UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-02383
AB BOND FUND, INC.
(Exact name of registrant as specified in charter)
1345 Avenue of the Americas, New York, New York 10105
(Address of principal executive offices) (Zip code)
Joseph J. Mantineo
AllianceBernstein L.P.
1345 Avenue of the Americas
New York, New York 10105
(Name and address of agent for service)
Registrants telephone number, including area code: (800) 221-5672
Date of fiscal year end: October 31, 2022
Date of reporting period: April 30, 2022
ITEM 1. REPORTS TO STOCKHOLDERS.
APR 04.30.22
SEMI-ANNUAL REPORT
AB ALL MARKET REAL RETURN PORTFOLIO
As of January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, the Funds annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically requested paper copies of the reports. Instead, the reports are made available on a website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.
You may elect to receive all future reports in paper form free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call the Fund at (800) 221 5672. Your election to receive reports in paper form will apply to all funds held in your account with your financial intermediary or, if you invest directly, to all AB Mutual Funds you hold.
Investment Products Offered | Are Not FDIC Insured May Lose Value Are Not Bank Guaranteed |
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Funds prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Funds 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 ABs website at www.abfunds.com, or go to the Securities and Exchange Commissions (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 Funds Form N-PORT reports are available on the Commissions 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.
FROM THE PRESIDENT |
Dear Shareholder,
Were pleased to provide this report for the AB All Market Real Return Portfolio (the Fund). Please review the discussion of Fund performance, the market conditions during the reporting period and the Funds investment strategy.
At AB, were striving to help our clients achieve better outcomes by:
+ | Fostering diverse perspectives that give us a distinctive approach to navigating global capital markets |
+ | Applying differentiated investment insights through a connected global research network |
+ | Embracing innovation to design better ways to invest and leading-edge mutual-fund solutions |
Whether youre an individual investor or a multibillion-dollar institution, were putting our knowledge and experience to work for you every day.
For more information about ABs comprehensive range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in AB mutual fundsand for placing your trust in our firm.
Sincerely,
Onur Erzan
President and Chief Executive Officer, AB Mutual Funds
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SEMI-ANNUAL REPORT
June 8, 2022
This report provides managements discussion of fund performance for the AB All Market Real Return Portfolio for the semi-annual reporting period ended April 30, 2022.
The Funds investment objective is to maximize real return over inflation.
NAV RETURNS AS OF APRIL 30, 2022 (unaudited)
6 Months | 12 Months | |||||||
AB ALL MARKET REAL RETURN PORTFOLIO | ||||||||
Class 1 Shares1 | 4.60% | 15.26% | ||||||
Class 2 Shares1 | 4.74% | 15.59% | ||||||
Class A Shares | 4.49% | 15.03% | ||||||
Class C Shares | 4.08% | 14.19% | ||||||
Advisor Class Shares2 | 4.70% | 15.40% | ||||||
Class R Shares2 | 4.32% | 14.70% | ||||||
Class K Shares2 | 4.46% | 15.01% | ||||||
Class I Shares2 | 4.61% | 15.51% | ||||||
Class Z Shares2 | 4.72% | 15.52% | ||||||
MSCI AC World Commodity Producers Index (net) | 16.13% | 25.37% |
1 | Class 1 shares are only available to Bernstein Global Wealth Management private client accounts. Class 2 shares are only available to the Advisers institutional clients or through other limited arrangements. |
2 | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
Please keep in mind that high, double-digit returns are highly unusual and cannot be sustained. Investors should also be aware that these returns were primarily achieved during favorable market conditions.
INVESTMENT RESULTS
The table above shows the Funds performance compared to its benchmark, the Morgan Stanley Capital International All Country (MSCI AC) World Commodity Producers Index (net), for the six- and 12-month periods ended April 30, 2022.
All share classes of the Fund underperformed the benchmark for both periods, before sales charges. During the six-month period, the strategic allocation detracted overall, relative to the benchmark, as real estate investment trusts (REITs) and inflation-sensitive equities underperformed commodity producers. This was partially offset by the strategic allocation
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to commodity futures, which contributed by significantly outperforming commodity producers. Security selection within commodity producers and commodity futures detracted, while security selection within REITs contributed. The Funds tactical overweights to commodity equities and commodity futures contributed, as did tactical underweights to inflation-sensitive equities and REITs.
For the 12-month period, the strategic allocation detracted overall, as REITs and inflation-sensitive equities underperformed commodity producers. This was partially offset by the strategic allocation to commodity futures, which contributed by significantly outperforming commodity producers. Security selection within REITs and inflation-sensitive equities contributed, while security selection within commodity equities detracted. The Funds tactical overweights to commodity futures and commodity equities contributed, as did tactical underweights to inflation-sensitive equities and REITs.
The Fund utilized derivatives for hedging and investment purposes in the form of futures, currency forwards, inflation swaps and variance swaps, which added to absolute returns for both periods, while total return swaps added for the six-month period, and detracted for the 12-month period.
MARKET REVIEW AND INVESTMENT STRATEGY
US, international and emerging-market stocks lost ground during the six-month period ended April 30, 2022. Early in the period, equities continued to benefit from accommodative monetary policy that underpinned an accelerating global economic recovery. Volatility increased as rapidly rising inflation triggered a hawkish shift among most major central banks. Inflation worsened after Russias invasion of Ukraine caused energy and agricultural prices to surge and Chinas pledge to enforce its zero-COVID policy raised new supply-chain concerns. The US Federal Reserve raised interest rates in March and signaled that it would move aggressively to harness inflation. The growing risk of recession led to sharp declines across global equity markets. Against a backdrop of rising rates, growth stocks came under pressure, triggering a rotation into value-oriented stocks. Within large-cap markets, value stocks outperformed growth stocks by a wide margin, although both declined in absolute terms. Large-cap stocks outperformed small-cap stocks on a relative basis, but both declined in absolute terms.
Fixed-income government bond market yields spiked in most markets, which led bond prices to fall on inflation concerns in all regions. Relative government bond returns were led by global inflation-linked bonds. Global investment-grade corporate bonds, which typically have longer maturities and are more sensitive to changes in yields than high-yield corporates, trailed global treasuries by a wide margin, except in the eurozone. High-yield corporate bonds also underperformed treasuries, but by a smaller margin. However, high-yield euro-denominated corporates outperformed eurozone treasuries during the period due to ongoing support from the
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European Central Bank. Emerging-market bonds underperformed the most as the US dollar advanced against most developed- and emerging-market currencies. Securitized assets also underperformed treasuries, but by a lesser extent than investment-grade corporates, given their lower sensitivity to yield changes. Brent crude oil prices rose sharply because of supply concerns and increased demand.
Inflation assets were mixed over the six- and 12-month periods, with natural resource equities, commodities and inflation swaps rallying. REITs posted negative returns over the six-month period and were close to neutral over the 12-month period, with the asset class outperforming broader equity markets over both periods. Commodities and natural resource equities rose meaningfully over both periods as strong demand from the global reopening combined with the conflict between Russia and Ukraineboth major exporters of key commoditiesexacerbated supply concerns in already-tight markets, such as oil, gas and agricultural commodities, further elevating prices. Inflation swaps continued to climb as inflation concerns remained at the forefront for investors.
The Funds Senior Investment Management Team continues to look for sources of value via asset allocation shifts, active security selection, risk overlay strategies and currency management. The Fund uses a blend of quantitative and fundamental research in order to determine overall portfolio risk, allocate risk across major real asset classes and identify idiosyncratic opportunities.
INVESTMENT POLICIES
The Fund seeks to maximize real return. Real return is the rate of return after adjusting for inflation. The Fund pursues an aggressive investment strategy involving a variety of asset classes. The Fund invests primarily in instruments that the Adviser expects to outperform broad equity indices during periods of rising inflation. Under normal circumstances, the Fund expects to invest its assets principally in the following instruments that, in the judgment of the Adviser, are affected directly or indirectly by the level and change in rate of inflation: inflation-indexed fixed-income securities, such as Treasury inflation-protected securities (TIPS) and similar bonds issued by governments outside of the United States; commodities; commodity-related equity securities; real estate equity securities; inflation-sensitive equity securities, which the Fund defines as equity securities of companies that the Adviser believes have the ability to pass along increasing costs to consumers and maintain or grow margins in rising inflation environments, including equity securities of utilities and infrastructure-related companies (inflation-sensitive equities); securities and derivatives linked to the price of other assets (such as commodities, stock indices
(continued on next page)
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and real estate); and currencies. The Fund expects its investments in fixed-income securities to have a broad range of maturities and quality levels.
The Fund seeks inflation protection from investments around the globe, both in developed- and emerging-market countries. In selecting securities for purchase and sale, the Adviser utilizes its qualitative and quantitative resources to determine overall inflation sensitivity, asset allocation and security selection. The Adviser assesses the securities risks and inflation sensitivity as well as the securities impact on the overall risks and inflation sensitivity of the Fund. When its analysis indicates that changes are necessary, the Adviser intends to implement them through a combination of changes to underlying positions and the use of inflation swaps and other types of derivatives, such as interest rate swaps.
The Fund anticipates that its targeted investment mix, other than its investments in inflation-indexed fixed-income securities, will focus on commodity-related equity securities, commodities and commodity derivatives, real estate equity securities and inflation-sensitive equities to provide a balance between expected return and inflation protection. The Fund may vary its investment allocations among these asset classes, at times significantly. Its commodities investments will include significant exposure to energy commodities, but will also include agricultural products, and industrial and precious metals, such as gold. The Funds investments in real estate equity securities will include REITs and other real estate-related securities.
The Fund invests in both US and non-US dollar-denominated equity or fixed-income securities. The Fund may invest in currencies for hedging or investment purposes, both in the spot market and through long or short positions in currency-related derivatives. The Fund does not ordinarily expect to hedge its foreign currency exposure because it will be balanced by investments in US dollar-denominated securities, although it may hedge the exposure under certain circumstances.
The Fund may enter into derivatives, such as options, futures contracts, forwards, swaps or structured notes, to a significant extent, subject to the limits of applicable law. The Fund intends to use leverage for investment purposes through the use of cash made available by derivatives transactions to make other investments in accordance with its investment policies. In determining when and to what extent to employ leverage or enter into derivatives transactions, the Adviser considers factors such as the relative risks and returns expected of potential investments and the cost of such transactions. The Adviser
(continued on next page)
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considers the impact of derivatives in making its assessments of the Funds risks. The resulting exposures to markets, sectors, issuers or specific securities will be continuously monitored by the Adviser.
The Fund may seek to gain exposure to physical commodities traded in the commodities markets through use of a variety of derivative instruments, including investments in commodity index-linked notes. The Adviser expects that the Fund will seek to gain exposure to commodities and commodity-related instruments and derivatives primarily through investments in AllianceBernstein Cayman Inflation Strategy, Ltd., a wholly owned subsidiary of the Fund organized under the laws of the Cayman Islands (the Subsidiary). The Subsidiary is advised by the Adviser and has the same investment objective and substantially similar investment policies and restrictions as the Fund except that the Subsidiary, unlike the Fund, may invest, without limitation, in commodities and commodity-related instruments. The Fund is subject to the risks associated with the commodities, derivatives and other instruments in which the Subsidiary invests, to the extent of its investment in the Subsidiary. The Fund limits its investment in the Subsidiary to no more than 25% of its net assets. Investment in the Subsidiary is expected to provide the Fund with commodity exposure within the limitations of federal tax requirements that apply to the Fund.
The Fund is non-diversified, which means that it may concentrate its assets in a smaller number of issuers than a diversified fund.
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DISCLOSURES AND RISKS
Benchmark Disclosure
The MSCI AC World Commodity Producers Index is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The MSCI AC World Commodity Producers Index is a free float-adjusted, market capitalization index designed to track the performance of global listed commodity producers, including emerging markets. Commodities sectors include: energy, grains, industrial metals, petroleum, precious metals and softs. MSCI makes no express or implied warranties or representations, and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices, any securities or financial products. This report is not approved, reviewed or produced by MSCI. Net returns include the reinvestment of dividends after deduction of non-US withholding tax. An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Fund.
A Word About Risk
Market Risk: The value of the Funds assets will fluctuate as the stock, commodity and bond markets fluctuate. The value of the Funds investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market.
Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security. Investments in fixed-income securities with lower ratings tend to have a higher probability that an issuer will default or fail to meet its payment obligations.
Interest-Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
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DISCLOSURES AND RISKS (continued)
Commodity Risk: Investing in commodities and commodity-linked derivative instruments, either directly or through the Subsidiary, may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, 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 Fund.
Leverage Risk: To the extent the Fund uses leveraging techniques, its net asset value (NAV) may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Funds investments.
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 Funds assets can decline as can the value of the Funds distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Illiquid Investments Risk: Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes and large positions. Foreign fixed-income securities may have more illiquid investments risk because secondary trading markets for these securities may be smaller and less well-developed and the securities may trade less frequently. Illiquid investments risk may be higher in a rising interest-rate environment, when the value and liquidity of fixed-income securities generally go down.
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Funds investments or reduce its returns.
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DISCLOSURES AND RISKS (continued)
Subsidiary Risk: By investing in the Subsidiary, the Fund is indirectly exposed to the risks associated with the Subsidiarys investments. The derivatives and other investments held by the Subsidiary are generally similar to those that are permitted to be held by the Fund and are subject to the same risks that apply to similar investments if held directly by the Fund. The Subsidiary is not registered under the Investment Company Act of 1940, as amended (the 1940 Act), and, unless otherwise noted in the Funds prospectus, is not subject to all of the investor protections of the 1940 Act. However, the Fund wholly owns and controls the Subsidiary, and the Fund and the Subsidiary are managed by the Adviser, making it unlikely the Subsidiary will take actions contrary to the interests of the Fund or its shareholders.
Real Estate Risk: The Funds investments in real estate securities have many of the same risks as direct ownership of real estate, including the risk that the value of real estate could decline due to a variety of factors that affect the real estate market generally. Investments in REITs may have additional risks. REITs are dependent on the capability of their managers, may have limited diversification, and could be significantly affected by changes in taxes.
Non-Diversification Risk: The Fund may have more risk because it is non-diversified, meaning that it can invest more of its assets in a smaller number of issuers. Accordingly, changes in the value of a single security may have a more significant effect, either negative or positive, on the Funds NAV.
Management Risk: The Fund is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Funds prospectus. As with all investments, you may lose money by investing in the Fund.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Fund will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by visiting
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DISCLOSURES AND RISKS (continued)
www.abfunds.com. For Class 1 shares, go to www.bernstein.com and click on Investments, found in the footer, then Mutual Fund InformationMutual Fund Performance at a Glance.
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com. For Class 1 shares, go to www.bernstein.com, click on Investments, found in the footer, then Mutual Fund InformationProspectuses, SAIs and Shareholder Reports. Please read the prospectus and/or summary prospectus carefully before investing.
All fees and expenses related to the operation of the Fund have been deducted. NAV returns do not reflect sales charges; if sales charges were reflected, the Funds quoted performance would be lower. SEC returns reflect the applicable sales charges for each share class: a 4.25% maximum front-end sales charge for Class A shares and a 1% 1-year contingent deferred sales charge for Class C shares. Returns for the different share classes will vary due to different expenses associated with each class. Performance assumes reinvestment of distributions and does not account for taxes.
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HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF APRIL 30, 2022 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) |
|||||||
CLASS 1 SHARES1 | ||||||||
1 Year | 15.26% | 15.26% | ||||||
5 Years | 8.13% | 8.13% | ||||||
10 Years | 2.09% | 2.09% | ||||||
CLASS 2 SHARES1 | ||||||||
1 Year | 15.59% | 15.59% | ||||||
5 Years | 8.41% | 8.41% | ||||||
10 Years | 2.36% | 2.36% | ||||||
CLASS A SHARES | ||||||||
1 Year | 15.03% | 10.09% | ||||||
5 Years | 7.92% | 6.97% | ||||||
10 Years | 1.93% | 1.49% | ||||||
CLASS C SHARES | ||||||||
1 Year | 14.19% | 13.19% | ||||||
5 Years | 7.11% | 7.11% | ||||||
10 Years2 | 1.19% | 1.19% | ||||||
ADVISOR CLASS SHARES3 | ||||||||
1 Year | 15.40% | 15.40% | ||||||
5 Years | 8.21% | 8.21% | ||||||
10 Years | 2.21% | 2.21% | ||||||
CLASS R SHARES3 | ||||||||
1 Year | 14.70% | 14.70% | ||||||
5 Years | 7.63% | 7.63% | ||||||
10 Years | 1.69% | 1.69% | ||||||
CLASS K SHARES3 | ||||||||
1 Year | 15.01% | 15.01% | ||||||
5 Years | 7.94% | 7.94% | ||||||
10 Years | 1.96% | 1.96% | ||||||
CLASS I SHARES3 | ||||||||
1 Year | 15.51% | 15.51% | ||||||
5 Years | 8.40% | 8.40% | ||||||
10 Years | 2.33% | 2.33% | ||||||
CLASS Z SHARES3 | ||||||||
1 Year | 15.52% | 15.52% | ||||||
5 Years | 8.42% | 8.42% | ||||||
Since Inception4 | 3.09% | 3.09% |
(footnotes continued on next page)
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HISTORICAL PERFORMANCE (continued)
The Funds prospectus fee table shows the Funds total annual operating expense ratios as 1.13%, 0.87%, 1.18%, 1.93%, 0.92%, 1.60%, 1.31%, 0.88% and 0.88% for Class 1, Class 2, Class A, Class C, Advisor Class, Class R, Class K, Class I and Class Z shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limit the Funds annual operating expense ratio (excluding extraordinary expenses, interest expense, and acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest) to 1.55% for Class R shares. These waivers/reimbursements may not be terminated before January 31, 2023, and may be extended by the Adviser for additional one-year terms. Absent reimbursements or waivers, performance would have been lower. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
1 | Class 1 shares are only available to Bernstein Global Wealth Management private client accounts. Class 2 shares are only available to the Advisers institutional clients or through other limited arrangements. |
2 | Assumes conversion of Class C shares into Class A shares after eight years. |
3 | These share classes are offered at NAV to eligible investors and their SEC returns are the same as their NAV returns. Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
4 | Inception date: 1/31/2014. |
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HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2022 (unaudited)
SEC Returns (reflects applicable sales charges) |
||||
CLASS 1 SHARES1 | ||||
1 Year | 24.45% | |||
5 Years | 8.60% | |||
10 Years | 2.31% | |||
CLASS 2 SHARES1 | ||||
1 Year | 24.70% | |||
5 Years | 8.87% | |||
10 Years | 2.57% | |||
CLASS A SHARES | ||||
1 Year | 19.02% | |||
5 Years | 7.46% | |||
10 Years | 1.71% | |||
CLASS C SHARES | ||||
1 Year | 22.34% | |||
5 Years | 7.60% | |||
10 Years2 | 1.40% | |||
ADVISOR CLASS SHARES3 | ||||
1 Year | 24.57% | |||
5 Years | 8.67% | |||
10 Years | 2.42% | |||
CLASS R SHARES3 | ||||
1 Year | 23.88% | |||
5 Years | 8.08% | |||
10 Years | 1.90% | |||
CLASS K SHARES3 | ||||
1 Year | 24.10% | |||
5 Years | 8.38% | |||
10 Years | 2.17% | |||
CLASS I SHARES3 | ||||
1 Year | 24.65% | |||
5 Years | 8.87% | |||
10 Years | 2.54% | |||
CLASS Z SHARES3 | ||||
1 Year | 24.67% | |||
5 Years | 8.87% | |||
Since Inception4 | 3.43% |
(footnotes continued on next page)
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HISTORICAL PERFORMANCE (continued)
1 | Class 1 shares are only available to Bernstein Global Wealth Management private client accounts. Class 2 shares are only available to the Advisers institutional clients or through other limited arrangements. |
2 | Assumes conversion of Class C shares into Class A shares after eight years. |
3 | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
4 | Inception date: 1/31/2014. |
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EXPENSE EXAMPLE
(unaudited)
As a shareholder of a mutual fund, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
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EXPENSE EXAMPLE (continued)
Beginning Account Value November 1, 2021 |
Ending Account Value April 30, 2022 |
Expenses Paid During Period* |
Annualized Expense Ratio* |
Total Expenses Paid During Period+ |
Total Annualized Expense Ratio+ |
|||||||||||||||||||
Class A | ||||||||||||||||||||||||
Actual |
$ | 1,000 | $ | 1,044.90 | $ | 5.73 | 1.13 | % | $ | 5.83 | 1.15 | % | ||||||||||||
Hypothetical** |
$ | 1,000 | $ | 1,019.19 | $ | 5.66 | 1.13 | % | $ | 5.76 | 1.15 | % | ||||||||||||
Class C | ||||||||||||||||||||||||
Actual |
$ | 1,000 | $ | 1,040.80 | $ | 9.56 | 1.89 | % | $ | 9.66 | 1.91 | % | ||||||||||||
Hypothetical** |
$ | 1,000 | $ | 1,015.42 | $ | 9.44 | 1.89 | % | $ | 9.54 | 1.91 | % | ||||||||||||
Advisor Class | ||||||||||||||||||||||||
Actual |
$ | 1,000 | $ | 1,047.00 | $ | 4.47 | 0.88 | % | $ | 4.57 | 0.90 | % | ||||||||||||
Hypothetical** |
$ | 1,000 | $ | 1,020.43 | $ | 4.41 | 0.88 | % | $ | 4.51 | 0.90 | % | ||||||||||||
Class R | ||||||||||||||||||||||||
Actual |
$ | 1,000 | $ | 1,043.20 | $ | 7.80 | 1.54 | % | $ | 7.90 | 1.56 | % | ||||||||||||
Hypothetical** |
$ | 1,000 | $ | 1,017.16 | $ | 7.70 | 1.54 | % | $ | 7.80 | 1.56 | % | ||||||||||||
Class K | ||||||||||||||||||||||||
Actual |
$ | 1,000 | $ | 1,044.60 | $ | 6.39 | 1.26 | % | $ | 6.49 | 1.28 | % | ||||||||||||
Hypothetical** |
$ | 1,000 | $ | 1,018.55 | $ | 6.31 | 1.26 | % | $ | 6.41 | 1.28 | % | ||||||||||||
Class I | ||||||||||||||||||||||||
Actual |
$ | 1,000 | $ | 1,046.10 | $ | 4.36 | 0.86 | % | $ | 4.46 | 0.88 | % | ||||||||||||
Hypothetical** |
$ | 1,000 | $ | 1,020.53 | $ | 4.31 | 0.86 | % | $ | 4.41 | 0.88 | % | ||||||||||||
Class 1 | ||||||||||||||||||||||||
Actual |
$ | 1,000 | $ | 1,046.00 | $ | 5.48 | 1.08 | % | $ | 5.58 | 1.10 | % | ||||||||||||
Hypothetical** |
$ | 1,000 | $ | 1,019.44 | $ | 5.41 | 1.08 | % | $ | 5.51 | 1.10 | % | ||||||||||||
Class 2 | ||||||||||||||||||||||||
Actual |
$ | 1,000 | $ | 1,047.40 | $ | 4.06 | 0.80 | % | $ | 4.16 | 0.82 | % | ||||||||||||
Hypothetical** |
$ | 1,000 | $ | 1,020.83 | $ | 4.01 | 0.80 | % | $ | 4.11 | 0.82 | % | ||||||||||||
Class Z | ||||||||||||||||||||||||
Actual |
$ | 1,000 | $ | 1,047.20 | $ | 4.21 | 0.83 | % | $ | 4.31 | 0.85 | % | ||||||||||||
Hypothetical** |
$ | 1,000 | $ | 1,020.68 | $ | 4.16 | 0.83 | % | $ | 4.26 | 0.85 | % |
* | Expenses are equal to the Funds annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
+ | In connection with the Funds investments in affiliated/unaffiliated underlying portfolios, the Fund incurs no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated/unaffiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Fund in an amount equal to the Funds pro rata share of certain acquired fund fees and expenses of the affiliated underlying portfolios. The Funds total expenses are equal to the classes annualized expense ratio plus the Funds pro rata share of the weighted average expense ratio of the affiliated/unaffiliated underlying portfolios in which it invests, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
16 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
PORTFOLIO SUMMARY
April 30, 2022 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $1,262.4
1 | All data are as of April 30, 2022. The portfolio breakdown is expressed as an approximate percentage of the Funds net assets inclusive of derivative exposure, based on the Advisers internal classification guidelines. |
2 | The Funds security type breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see Consolidated Portfolio of Investments section of the report for additional details). |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 17 |
PORTFOLIO SUMMARY (continued)
April 30, 2022 (unaudited)
TEN LARGEST HOLDINGS2
Company | U.S. $ Value | Percent of Net Assets |
||||||
Shell PLC | $ | 37,312,192 | 3.0 | % | ||||
Exxon Mobil Corp. | 19,959,838 | 1.6 | ||||||
Prologis, Inc. | 18,111,487 | 1.4 | ||||||
Equinix, Inc. | 16,517,268 | 1.3 | ||||||
Public Storage | 13,165,960 | 1.0 | ||||||
iShares Global Energy ETF | 12,829,958 | 1.0 | ||||||
TotalEnergies SE | 12,735,443 | 1.0 | ||||||
Welltower, Inc. | 11,641,842 | 0.9 | ||||||
EOG Resources, Inc. | 11,189,344 | 0.9 | ||||||
Mitsui Fudosan Co., Ltd. | 10,630,778 | 0.8 | ||||||
$ | 164,094,110 | 12.9 | % |
1 | All data are as of April 30, 2022. The Funds country breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see Consolidated Portfolio of Investments section of the report for additional details). Other country weightings represent 0.9% or less in the following: Austria, Belgium, Brazil, Chile, Denmark, Finland, Greece, India, Ireland, Israel, Luxembourg, Mexico, Netherlands, New Zealand, Philippines, Russia, Singapore, South Korea, Sweden, Switzerland, Taiwan, Thailand, United Arab Emirates, United Republic of Tanzania and Zambia. |
2 | Long-term investments. |
18 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS
April 30, 2022 (unaudited)
Company | Shares | U.S. $ Value | ||||||
|
||||||||
COMMON STOCKS 73.4% |
| |||||||
Real Estate 31.2% |
| |||||||
Diversified Real Estate Activities 2.1% |
| |||||||
Ayala Land, Inc. |
1,982,200 | $ | 1,209,873 | |||||
City Developments Ltd. |
353,600 | 2,167,962 | ||||||
Daito Trust Construction Co., Ltd. |
19,100 | 1,839,556 | ||||||
Mitsui Fudosan Co., Ltd. |
501,600 | 10,630,778 | ||||||
New World Development Co., Ltd. |
598,750 | 2,290,093 | ||||||
Nomura Real Estate Holdings, Inc. |
46,500 | 1,133,007 | ||||||
Sun Hung Kai Properties Ltd. |
583,000 | 6,714,460 | ||||||
|
|
|||||||
25,985,729 | ||||||||
|
|
|||||||
Diversified REITs 2.2% |
| |||||||
Alexander & Baldwin, Inc. |
101,860 | 2,159,432 | ||||||
Armada Hoffler Properties, Inc. |
284,600 | 3,856,330 | ||||||
Charter Hall Long Wale REIT |
542,250 | 2,035,096 | ||||||
Cofinimmo SA |
14,130 | 1,897,450 | ||||||
Essential Properties Realty Trust, Inc. |
192,660 | 4,623,840 | ||||||
Growthpoint Properties Ltd. |
1,440,142 | 1,287,624 | ||||||
ICADE |
29,880 | 1,784,010 | ||||||
Merlin Properties Socimi SA |
335,960 | 3,649,754 | ||||||
NTT UD REIT Investment Corp.(a) |
1,572 | 1,815,804 | ||||||
Stockland |
1,634,056 | 4,729,656 | ||||||
|
|
|||||||
27,838,996 | ||||||||
|
|
|||||||
Health Care REITs 2.2% |
| |||||||
Assura PLC |
2,909,950 | 2,411,359 | ||||||
Medical Properties Trust, Inc. |
284,300 | 5,228,277 | ||||||
Ventas, Inc. |
145,280 | 8,070,304 | ||||||
Welltower, Inc. |
128,200 | 11,641,842 | ||||||
|
|
|||||||
27,351,782 | ||||||||
|
|
|||||||
Hotel & Resort REITs 0.8% |
| |||||||
Invincible Investment Corp. |
8,526 | 2,780,131 | ||||||
Park Hotels & Resorts, Inc. |
252,960 | 4,985,842 | ||||||
RLJ Lodging Trust |
207,970 | 2,915,739 | ||||||
|
|
|||||||
10,681,712 | ||||||||
|
|
|||||||
Industrial REITs 4.7% |
| |||||||
Ascendas Real Estate Investment Trust |
1,088,200 | 2,238,949 | ||||||
Centuria Industrial REIT |
384,710 | 1,072,117 | ||||||
Dream Industrial Real Estate Investment Trust |
308,434 | 3,591,774 | ||||||
Duke Realty Corp. |
112,540 | 6,161,565 | ||||||
GLP J-REIT |
1,241 | 1,674,574 | ||||||
Industrial & Infrastructure Fund Investment Corp. |
1,270 | 1,822,304 | ||||||
LondonMetric Property PLC |
554,100 | 1,872,786 | ||||||
Mapletree Logistics Trust |
1,502,718 | 1,929,973 | ||||||
Mitsui Fudosan Logistics Park, Inc. |
408 | 1,749,268 | ||||||
Plymouth Industrial REIT, Inc. |
48,226 | 1,163,211 |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 19 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
|
||||||||
Prologis, Inc. |
112,992 | $ | 18,111,487 | |||||
Rexford Industrial Realty, Inc. |
83,410 | 6,509,317 | ||||||
Segro PLC |
344,962 | 5,775,389 | ||||||
STAG Industrial, Inc. |
141,410 | 5,277,421 | ||||||
|
|
|||||||
58,950,135 | ||||||||
|
|
|||||||
Office REITs 1.4% |
| |||||||
City Office REIT, Inc. |
237,110 | 3,518,712 | ||||||
Cousins Properties, Inc. |
121,065 | 4,346,233 | ||||||
Daiwa Office Investment Corp. |
330 | 1,868,215 | ||||||
Japan Prime Realty Investment Corp. |
616 | 1,868,795 | ||||||
Kenedix Office Investment Corp. Class A(a) |
338 | 1,766,627 | ||||||
Nippon Building Fund, Inc. |
437 | 2,268,600 | ||||||
Workspace Group PLC |
214,510 | 1,795,132 | ||||||
|
|
|||||||
17,432,314 | ||||||||
|
|
|||||||
Real Estate Development 1.2% |
| |||||||
China Resources Land Ltd. |
686,000 | 3,063,822 | ||||||
Emaar Properties PJSC |
1,219,430 | 2,103,336 | ||||||
Instone Real Estate Group SE(b) |
88,019 | 1,351,271 | ||||||
Longfor Group Holdings Ltd.(b) |
692,000 | 3,427,187 | ||||||
Megaworld Corp. |
17,716,000 | 960,223 | ||||||
Midea Real Estate Holding Ltd.(a)(b) |
1,853,000 | 3,528,544 | ||||||
Times China Holdings Ltd.(a) |
2,510,000 | 889,961 | ||||||
|
|
|||||||
15,324,344 | ||||||||
|
|
|||||||
Real Estate Operating Companies 2.5% |
||||||||
Aroundtown SA |
613,780 | 3,086,413 | ||||||
CA Immobilien Anlagen AG |
64,239 | 1,814,280 | ||||||
Castellum AB(a) |
123,990 | 2,455,417 | ||||||
Central Pattana PCL |
622,800 | 1,100,128 | ||||||
CIFI Ever Sunshine Services Group Ltd.(a)(b) |
560,120 | 741,825 | ||||||
CTP NV(b) |
132,869 | 1,881,273 | ||||||
Fastighets AB Balder Class B(c) |
62,170 | 3,081,597 | ||||||
Hongkong Land Holdings Ltd. |
567,500 | 2,647,365 | ||||||
Hulic Co., Ltd.(a) |
176,200 | 1,487,726 | ||||||
LEG Immobilien SE |
42,670 | 4,374,976 | ||||||
Shurgard Self Storage SA |
27,000 | 1,562,398 | ||||||
TAG Immobilien AG |
141,710 | 2,832,137 | ||||||
VGP NV |
10,030 | 2,608,769 | ||||||
Vonovia SE |
49,854 | 1,986,232 | ||||||
|
|
|||||||
31,660,536 | ||||||||
|
|
|||||||
Real Estate Services 0.2% |
| |||||||
Unibail-Rodamco-Westfield(c) |
26,690 | 1,914,650 | ||||||
|
|
|||||||
Residential REITs 5.2% |
| |||||||
American Campus Communities, Inc. |
96,280 | 6,226,428 | ||||||
American Homes 4 Rent Class A |
167,020 | 6,615,662 | ||||||
Equity LifeStyle Properties, Inc. |
54,330 | 4,198,622 |
20 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
|
||||||||
Equity Residential |
96,670 | $ | 7,878,605 | |||||
Essex Property Trust, Inc. |
22,210 | 7,313,087 | ||||||
Independence Realty Trust, Inc. |
231,060 | 6,298,696 | ||||||
Kenedix Residential Next Investment Corp. |
1,189 | 1,912,676 | ||||||
Killam Apartment Real Estate Investment Trust |
272,610 | 4,288,676 | ||||||
Minto Apartment Real Estate Investment Trust(b) |
123,070 | 1,883,436 | ||||||
Sun Communities, Inc. |
55,227 | 9,696,204 | ||||||
UDR, Inc. |
136,250 | 7,249,863 | ||||||
UNITE Group PLC (The) |
160,040 | 2,266,200 | ||||||
|
|
|||||||
65,828,155 | ||||||||
|
|
|||||||
Retail REITs 4.0% |
| |||||||
AEON REIT Investment Corp. |
2,395 | 2,749,733 | ||||||
Brixmor Property Group, Inc. |
256,260 | 6,503,879 | ||||||
CapitaLand Integrated Commercial Trust |
2,464,760 | 4,129,931 | ||||||
Eurocommercial Properties NV |
69,583 | 1,683,628 | ||||||
Kite Realty Group Trust |
230,990 | 5,151,077 | ||||||
Link REIT |
673,901 | 5,821,010 | ||||||
Mercialys SA |
154,538 | 1,492,349 | ||||||
NETSTREIT Corp.(a) |
194,596 | 4,207,166 | ||||||
Phillips Edison & Co., Inc. |
127,070 | 4,302,590 | ||||||
Simon Property Group, Inc. |
33,592 | 3,963,856 | ||||||
SITE Centers Corp. |
340,670 | 5,416,653 | ||||||
Spirit Realty Capital, Inc. |
117,060 | 5,086,257 | ||||||
|
|
|||||||
50,508,129 | ||||||||
|
|
|||||||
Specialized REITs 4.7% |
| |||||||
American Tower Corp. |
11,168 | 2,691,711 | ||||||
Crown Castle International Corp. |
10,598 | 1,962,856 | ||||||
CubeSmart |
143,710 | 6,827,662 | ||||||
Equinix, Inc. |
22,970 | 16,517,268 | ||||||
Extra Space Storage, Inc. |
1,426 | 270,940 | ||||||
Iron Mountain, Inc. |
22,739 | 1,221,766 | ||||||
National Storage Affiliates Trust |
46,860 | 2,652,276 | ||||||
Public Storage |
35,440 | 13,165,960 | ||||||
Safestore Holdings PLC |
208,270 | 3,276,454 | ||||||
SBA Communications Corp. |
2,668 | 926,090 | ||||||
VICI Properties, Inc. |
300,136 | 8,947,054 | ||||||
Weyerhaeuser Co. |
34,828 | 1,435,610 | ||||||
|
|
|||||||
59,895,647 | ||||||||
|
|
|||||||
393,372,129 | ||||||||
|
|
|||||||
Energy 12.0% |
| |||||||
Integrated Oil & Gas 9.0% |
| |||||||
BP PLC |
2,110,625 | 10,189,662 | ||||||
Chevron Corp. |
65,342 | 10,237,131 | ||||||
Eni SpA |
68,135 | 952,445 | ||||||
Equinor ASA |
201,392 | 6,806,962 | ||||||
Exxon Mobil Corp. |
234,133 | 19,959,838 |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 21 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
|
||||||||
Gazprom PJSC (Sponsored ADR)(d)(e) |
409,478 | $ | 0 | | ||||
LUKOIL PJSC (Sponsored ADR)(d)(e) |
20,541 | 0 | | |||||
PetroChina Co., Ltd. Class H |
14,012,000 | 6,651,411 | ||||||
Repsol SA |
564,249 | 8,417,398 | ||||||
Shell PLC |
1,389,866 | 37,312,192 | ||||||
TotalEnergies SE |
259,362 | 12,735,443 | ||||||
|
|
|||||||
113,262,482 | ||||||||
|
|
|||||||
Oil & Gas Equipment & Services 0.1% |
||||||||
Halliburton Co. |
26,872 | 957,181 | ||||||
|
|
|||||||
Oil & Gas Exploration & Production 2.2% |
||||||||
Canadian Natural Resources Ltd. |
29,614 | 1,832,880 | ||||||
ConocoPhillips |
88,918 | 8,493,447 | ||||||
Coterra Energy, Inc. |
95,540 | 2,750,597 | ||||||
EOG Resources, Inc. |
95,832 | 11,189,344 | ||||||
Hess Corp. |
23,490 | 2,421,114 | ||||||
Pioneer Natural Resources Co. |
2,980 | 692,761 | ||||||
Williams Cos., Inc. (The) |
29,793 | 1,021,602 | ||||||
|
|
|||||||
28,401,745 | ||||||||
|
|
|||||||
Oil & Gas Refining & Marketing 0.1% |
||||||||
Gevo, Inc.(a)(c) |
93,298 | 346,136 | ||||||
Marathon Petroleum Corp. |
8,228 | 717,975 | ||||||
Neste Oyj |
4,258 | 182,706 | ||||||
VERBIO Vereinigte BioEnergie AG |
4,378 | 310,244 | ||||||
|
|
|||||||
1,557,061 | ||||||||
|
|
|||||||
Oil & Gas Storage & Transportation 0.6% |
||||||||
Antero Midstream Corp. |
7,962 | 81,770 | ||||||
Cheniere Energy, Inc. |
5,783 | 785,389 | ||||||
Enbridge, Inc. |
63,045 | 2,751,179 | ||||||
EnLink Midstream LLC(c) |
6,341 | 62,586 | ||||||
Gibson Energy, Inc.(a) |
3,714 | 70,715 | ||||||
Keyera Corp.(a) |
5,599 | 138,902 | ||||||
Kinder Morgan, Inc. |
47,817 | 867,878 | ||||||
Koninklijke Vopak NV |
1,656 | 44,529 | ||||||
ONEOK, Inc. |
10,935 | 692,514 | ||||||
Pembina Pipeline Corp.(a) |
13,934 | 527,250 | ||||||
Targa Resources Corp. |
5,614 | 412,124 | ||||||
TC Energy Corp. |
24,848 | 1,314,305 | ||||||
|
|
|||||||
7,749,141 | ||||||||
|
|
|||||||
151,927,610 | ||||||||
|
|
|||||||
Materials 8.3% |
||||||||
Aluminum 0.3% |
||||||||
Alcoa Corp. |
32,721 | 2,218,484 | ||||||
Norsk Hydro ASA |
154,619 | 1,298,416 | ||||||
|
|
|||||||
3,516,900 | ||||||||
|
|
22 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
|
||||||||
Commodity Chemicals 0.5% |
||||||||
Beijing Sanju Environmental Protection and New Material Co., Ltd.(c) |
725,885 | $ | 456,160 | |||||
Corteva, Inc. |
65,960 | 3,805,232 | ||||||
Ecopro Co., Ltd. |
9,069 | 597,831 | ||||||
Guangzhou Tinci Materials Technology Co., Ltd. |
23,240 | 260,704 | ||||||
LG Chem Ltd. |
1,106 | 452,979 | ||||||
LyondellBasell Industries NV Class A |
1,201 | 127,342 | ||||||
Mitsubishi Chemical Holdings Corp. |
58,000 | 353,663 | ||||||
W-Scope Corp.(c) |
81,200 | 598,805 | ||||||
|
|
|||||||
6,652,716 | ||||||||
|
|
|||||||
Construction Materials 0.4% |
||||||||
CSR Ltd. |
670,887 | 2,873,129 | ||||||
GCC SAB de CV |
291,817 | 1,945,256 | ||||||
|
|
|||||||
4,818,385 | ||||||||
|
|
|||||||
Copper 0.5% |
||||||||
First Quantum Minerals Ltd. |
125,213 | 3,589,768 | ||||||
Lundin Mining Corp. |
193,381 | 1,765,741 | ||||||
OZ Minerals Ltd. |
58,603 | 1,017,227 | ||||||
|
|
|||||||
6,372,736 | ||||||||
|
|
|||||||
Diversified Chemicals 0.2% |
||||||||
Kemira Oyj(a) |
32,139 | 421,573 | ||||||
Sumitomo Chemical Co., Ltd. |
339,400 | 1,443,198 | ||||||
|
|
|||||||
1,864,771 | ||||||||
|
|
|||||||
Diversified Metals & Mining 2.4% |
||||||||
Allkem Ltd.(a)(c) |
172,553 | 1,438,094 | ||||||
Anglo American PLC |
234,158 | 10,371,086 | ||||||
BHP Group Ltd. |
19,116 | 640,624 | ||||||
China Molybdenum Co., Ltd. |
1,332,000 | 662,401 | ||||||
Ganfeng Lithium Co., Ltd. |
18,700 | 310,133 | ||||||
GEM Co., Ltd. |
259,500 | 263,067 | ||||||
Glencore PLC(c) |
1,055,245 | 6,502,065 | ||||||
MMC Norilsk Nickel PJSC (ADR)(d)(e) |
66,074 | 0 | | |||||
Nanjing Hanrui Cobalt Co., Ltd. |
40,300 | 309,764 | ||||||
Rio Tinto PLC |
107,530 | 7,597,655 | ||||||
Teck Resources Ltd. Class B |
55,195 | 2,177,926 | ||||||
Zhejiang Huayou Cobalt Co., Ltd. |
24,800 | 306,301 | ||||||
|
|
|||||||
30,579,116 | ||||||||
|
|
|||||||
Fertilizers & Agricultural Chemicals 0.3% |
||||||||
CF Industries Holdings, Inc. |
43,603 | 4,222,079 | ||||||
|
|
|||||||
Gold 1.3% |
||||||||
Agnico Eagle Mines Ltd. |
111,498 | 6,490,344 | ||||||
Barrick Gold Corp. |
184,080 | 4,106,825 | ||||||
Endeavour Mining PLC |
174,626 | 4,258,603 |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 23 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
|
||||||||
Northern Star Resources Ltd. |
113,735 | $ | 781,790 | |||||
Regis Resources Ltd. |
477,894 | 700,144 | ||||||
St. Barbara Ltd. |
580,752 | 542,867 | ||||||
|
|
|||||||
16,880,573 | ||||||||
|
|
|||||||
Industrial Gases 0.2% |
| |||||||
Air Liquide SA |
1,511 | 261,415 | ||||||
Air Products and Chemicals, Inc. |
3,195 | 747,854 | ||||||
Linde PLC |
2,385 | 744,025 | ||||||
|
|
|||||||
1,753,294 | ||||||||
|
|
|||||||
Paper Packaging 0.1% |
| |||||||
Packaging Corp. of America |
2,535 | 408,566 | ||||||
Sealed Air Corp. |
11,006 | 706,695 | ||||||
|
|
|||||||
1,115,261 | ||||||||
|
|
|||||||
Paper Products 0.3% |
| |||||||
Stora Enso Oyj Class R |
115,490 | 2,272,785 | ||||||
Suzano SA |
193,800 | 1,944,683 | ||||||
|
|
|||||||
4,217,468 | ||||||||
|
|
|||||||
Specialty Chemicals 0.6% |
| |||||||
Albemarle Corp. |
2,595 | 500,394 | ||||||
Beijing Easpring Material Technology Co., Ltd. |
37,500 | 375,785 | ||||||
Chr Hansen Holding A/S |
2,290 | 178,413 | ||||||
Danimer Scientific, Inc.(a)(c) |
122,702 | 480,992 | ||||||
Ecolab, Inc. |
3,826 | 647,895 | ||||||
Evonik Industries AG |
18,642 | 487,607 | ||||||
IMCD NV(a) |
3,392 | 540,082 | ||||||
Johnson Matthey PLC |
18,267 | 502,494 | ||||||
Koninklijke DSM NV(a) |
2,598 | 436,749 | ||||||
Livent Corp.(c) |
27,169 | 580,330 | ||||||
Novozymes A/S Class B |
3,482 | 242,728 | ||||||
Shanghai Putailai New Energy Technology Co., Ltd. |
16,160 | 286,717 | ||||||
Shenzhen Capchem Technology Co., Ltd. |
34,800 | 348,680 | ||||||
Sika AG |
978 | 298,738 | ||||||
Symrise AG |
3,978 | 473,359 | ||||||
Umicore SA |
12,792 | 491,769 | ||||||
Wacker Chemie AG |
3,472 | 550,895 | ||||||
|
|
|||||||
7,423,627 | ||||||||
|
|
|||||||
Steel 1.2% |
| |||||||
ArcelorMittal SA |
275,264 | 8,026,063 | ||||||
Commercial Metals Co. |
21,901 | 897,941 | ||||||
Fortescue Metals Group Ltd. |
77,677 | 1,173,938 | ||||||
Steel Dynamics, Inc. |
20,038 | 1,718,259 | ||||||
Vale SA (Sponsored ADR) Class B |
218,680 | 3,693,505 | ||||||
|
|
|||||||
15,509,706 | ||||||||
|
|
|||||||
104,926,632 | ||||||||
|
|
24 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
|
||||||||
Utilities 4.0% |
| |||||||
Electric Utilities 1.1% |
| |||||||
Acciona SA |
2,218 | $ | 434,168 | |||||
Auren Energia SA |
114,418 | 339,277 | ||||||
Avangrid, Inc.(a) |
22,581 | 1,001,467 | ||||||
Constellation Energy Corp. |
1 | 59 | ||||||
Contact Energy Ltd. |
17,398 | 91,402 | ||||||
Edison International |
9,316 | 640,848 | ||||||
Elia Group SA/NV |
852 | 135,620 | ||||||
Elmera Group ASA(b) |
2,416 | 5,452 | ||||||
Enel SpA |
674,685 | 4,387,404 | ||||||
Eversource Energy |
8,430 | 736,782 | ||||||
Exelon Corp. |
20,738 | 970,124 | ||||||
Fortis, Inc./Canada |
12,030 | 585,370 | ||||||
Hydro One Ltd.(b) |
7,729 | 208,950 | ||||||
Iberdrola SA |
50,071 | 575,356 | ||||||
Infratil Ltd. |
8,622 | 46,659 | ||||||
NextEra Energy, Inc. |
3,509 | 249,209 | ||||||
NRG Energy, Inc. |
43,515 | 1,562,189 | ||||||
Orsted AS |
1,757 | 194,378 | ||||||
PG&E Corp.(c) |
36,999 | 468,037 | ||||||
Red Electrica Corp. SA |
25,458 | 512,578 | ||||||
SSE PLC |
12,254 | 284,609 | ||||||
Terna Rete Elettrica Nazionale(a) |
66,925 | 545,846 | ||||||
Verbund AG(a) |
2,750 | 293,945 | ||||||
|
|
|||||||
14,269,729 | ||||||||
|
|
|||||||
Gas Utilities 0.4% |
| |||||||
AltaGas Ltd. |
18,277 | 417,996 | ||||||
APA Group(a) |
29,701 | 238,651 | ||||||
Atmos Energy Corp. |
3,321 | 376,601 | ||||||
Beijing Enterprises Holdings Ltd. |
11,970 | 40,466 | ||||||
Chesapeake Utilities Corp. |
432 | 54,074 | ||||||
China Gas Holdings Ltd. |
60,798 | 74,111 | ||||||
China Resources Gas Group Ltd. |
22,526 | 84,639 | ||||||
Enagas SA(a) |
6,305 | 136,331 | ||||||
ENN Energy Holdings Ltd. |
18,895 | 253,100 | ||||||
Hong Kong & China Gas Co., Ltd. |
272,146 | 300,155 | ||||||
Italgas SpA |
12,309 | 79,697 | ||||||
Kunlun Energy Co., Ltd. |
99,421 | 82,508 | ||||||
Naturgy Energy Group SA(a) |
8,351 | 251,217 | ||||||
New Jersey Resources Corp. |
2,355 | 101,642 | ||||||
Northwest Natural Holding Co. |
753 | 36,016 | ||||||
ONE Gas, Inc. |
1,314 | 110,862 | ||||||
Snam SpA |
51,938 | 284,859 | ||||||
Southwest Gas Holdings, Inc. |
1,616 | 142,386 | ||||||
Spire, Inc. |
1,269 | 92,320 | ||||||
Toho Gas Co., Ltd. |
2,477 | 58,108 | ||||||
Tokyo Gas Co., Ltd. |
10,337 | 198,000 | ||||||
Towngas Smart Energy Co., Ltd.(c) |
24,306 | 12,003 |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 25 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
|
||||||||
UGI Corp. |
45,931 | $ | 1,575,433 | |||||
|
|
|||||||
5,001,175 | ||||||||
|
|
|||||||
Independent Power and Renewable Electricity Producers 1.0% |
||||||||
Albioma SA |
13,759 | 731,377 | ||||||
Atlantica Sustainable Infrastructure PLC(a) |
24,547 | 758,502 | ||||||
Azure Power Global Ltd.(a)(c) |
32,947 | 462,905 | ||||||
Boralex, Inc.(a) |
23,442 | 702,722 | ||||||
Brookfield Renewable Corp. |
17,664 | 634,290 | ||||||
China Longyuan Power Group Corp. Ltd. |
198,000 | 381,905 | ||||||
EDP Renovaveis SA |
122,963 | 2,910,185 | ||||||
Energix-Renewable Energies Ltd. |
107,159 | 363,054 | ||||||
Enlight Renewable Energy Ltd.(c) |
172,949 | 371,052 | ||||||
Innergex Renewable Energy, Inc.(a) |
53,533 | 716,746 | ||||||
Meridian Energy Ltd. |
52,912 | 160,591 | ||||||
Neoen SA(b)(c) |
7,071 | 282,527 | ||||||
NextEra Energy Partners LP |
10,226 | 681,665 | ||||||
Ormat Technologies, Inc. |
9,446 | 733,954 | ||||||
RENOVA, Inc.(a)(c) |
19,500 | 240,257 | ||||||
Solaria Energia y Medio Ambiente SA(c) |
20,842 | 462,498 | ||||||
Terna Energy SA |
19,493 | 364,321 | ||||||
TransAlta Renewables, Inc.(a) |
63,577 | 881,907 | ||||||
Xinyi Energy Holdings Ltd. |
872,000 | 466,440 | ||||||
|
|
|||||||
12,306,898 | ||||||||
|
|
|||||||
Independent Power Producers & Energy Traders 0.3% |
||||||||
AES Corp. (The) |
33,465 | 683,355 | ||||||
Clearway Energy, Inc. |
20,174 | 573,345 | ||||||
Drax Group PLC |
46,151 | 466,388 | ||||||
ERG SpA |
16,456 | 567,004 | ||||||
Guangxi Guiguan Electric Power Co., Ltd. |
436,100 | 375,675 | ||||||
Northland Power, Inc.(a) |
24,387 | 735,986 | ||||||
|
|
|||||||
3,401,753 | ||||||||
|
|
|||||||
Multi-Utilities 0.7% |
||||||||
ACEA SpA |
1,079 | 18,509 | ||||||
Algonquin Power & Utilities Corp.(a) |
53,848 | 779,646 | ||||||
CenterPoint Energy, Inc. |
15,420 | 472,006 | ||||||
Consolidated Edison, Inc. |
8,674 | 804,427 | ||||||
DTE Energy Co. |
9,069 | 1,188,402 | ||||||
E.ON SE |
56,513 | 588,128 | ||||||
National Grid PLC |
119,934 | 1,781,856 | ||||||
NiSource, Inc. |
9,629 | 280,396 | ||||||
NorthWestern Corp. |
1,326 | 75,171 | ||||||
RWE AG |
7,995 | 331,948 | ||||||
Sempra Energy |
7,831 | 1,263,610 | ||||||
United Utilities Group PLC |
34,840 | 500,665 | ||||||
Unitil Corp. |
391 | 19,941 | ||||||
Veolia Environnement SA |
15,199 | 443,455 | ||||||
|
|
|||||||
8,548,160 | ||||||||
|
|
26 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
|
||||||||
Water Utilities 0.5% |
| |||||||
Aguas Andinas SA |
1,777,729 | $ | 312,702 | |||||
American States Water Co. |
8,568 | 673,959 | ||||||
American Water Works Co., Inc. |
8,674 | 1,336,490 | ||||||
Beijing Enterprises Water Group Ltd. |
1,960,380 | 634,158 | ||||||
California Water Service Group |
14,763 | 765,756 | ||||||
China Water Affairs Group Ltd.(a) |
21,187 | 23,262 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo |
33,400 | 300,833 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo (ADR) |
8,658 | 77,835 | ||||||
Essential Utilities, Inc. |
5,639 | 252,402 | ||||||
Guangdong Investment Ltd. |
340,000 | 435,316 | ||||||
Middlesex Water Co. |
5,050 | 449,197 | ||||||
Pennon Group PLC |
40,195 | 558,560 | ||||||
Severn Trent PLC |
10,372 | 407,636 | ||||||
SJW Group |
14,196 | 837,564 | ||||||
|
|
|||||||
7,065,670 | ||||||||
|
|
|||||||
50,593,385 | ||||||||
|
|
|||||||
Capital Goods 3.9% |
| |||||||
Aerospace & Defense 0.2% |
| |||||||
Hexcel Corp. |
14,707 | 799,473 | ||||||
Huntington Ingalls Industries, Inc. |
6,261 | 1,331,965 | ||||||
|
|
|||||||
2,131,438 | ||||||||
|
|
|||||||
Agricultural & Farm Machinery 0.2% |
| |||||||
Deere & Co. |
1,409 | 531,968 | ||||||
Lindsay Corp. |
4,881 | 659,667 | ||||||
Toro Co. (The) |
8,394 | 672,611 | ||||||
|
|
|||||||
1,864,246 | ||||||||
|
|
|||||||
Building Products 0.6% |
| |||||||
A O Smith Corp. |
11,664 | 681,527 | ||||||
Carrier Global Corp. |
13,365 | 511,479 | ||||||
Cie de Saint-Gobain |
24,821 | 1,448,012 | ||||||
Johnson Controls International PLC |
6,737 | 403,344 | ||||||
Kingspan Group PLC |
5,444 | 506,766 | ||||||
Lennox International, Inc. |
2,409 | 513,575 | ||||||
Nibe Industrier AB |
48,578 | 476,278 | ||||||
Owens Corning |
26,790 | 2,436,014 | ||||||
ROCKWOOL A/S |
1,356 | 379,246 | ||||||
Zurn Water Solutions Corp. |
17,595 | 549,316 | ||||||
|
|
|||||||
7,905,557 | ||||||||
|
|
|||||||
Construction & Engineering 0.2% |
| |||||||
Arcosa, Inc. |
16,268 | 870,826 | ||||||
Ferrovial SA |
12,638 | 324,093 | ||||||
Vinci SA |
13,068 | 1,268,039 | ||||||
|
|
|||||||
2,462,958 | ||||||||
|
|
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 27 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
|
||||||||
Construction & Farm Machinery & Heavy Trucks 0.1% |
||||||||
Cummins, Inc. |
4,453 | $ | 842,463 | |||||
Iveco Group NV(c) |
6,725 | 39,566 | ||||||
|
|
|||||||
882,029 | ||||||||
|
|
|||||||
Electrical Components & Equipment 1.1% |
||||||||
ABB Ltd. |
8,368 | 251,056 | ||||||
Acuity Brands, Inc. |
8,499 | 1,465,908 | ||||||
Advent Technologies Holdings, Inc.(a)(c) |
236,470 | 461,117 | ||||||
AFC Energy PLC(a)(c) |
711,022 | 296,080 | ||||||
Amara Raja Batteries Ltd. |
84,615 | 616,105 | ||||||
Ballard Power Systems, Inc.(a)(c) |
66,157 | 549,484 | ||||||
Blink Charging Co.(a)(c) |
14,098 | 269,272 | ||||||
Camel Group Co., Ltd. |
313,400 | 392,409 | ||||||
Ceres Power Holdings PLC(a)(c) |
45,483 | 415,011 | ||||||
Contemporary Amperex Technology Co., Ltd. |
2,800 | 171,175 | ||||||
EnerSys |
13,221 | 865,447 | ||||||
Eve Energy Co., Ltd. |
30,700 | 300,523 | ||||||
First Solar, Inc.(c) |
13,131 | 958,957 | ||||||
FuelCell Energy, Inc.(a)(c) |
72,579 | 296,122 | ||||||
Gotion High-tech Co., Ltd.(c) |
69,100 | 278,047 | ||||||
GS Yuasa Corp. |
21,100 | 365,882 | ||||||
Hubbell, Inc. |
4,274 | 834,969 | ||||||
Legrand SA |
3,166 | 280,553 | ||||||
nVent Electric PLC |
26,660 | 900,575 | ||||||
Plug Power, Inc.(a)(c) |
18,023 | 378,844 | ||||||
PowerCell Sweden AB(c) |
16,162 | 236,129 | ||||||
Prysmian SpA |
37,635 | 1,224,075 | ||||||
Schneider Electric SE |
2,366 | 339,448 | ||||||
Signify NV(b) |
17,703 | 748,971 | ||||||
SMA Solar Technology AG(a) |
10,195 | 463,962 | ||||||
Sunrun, Inc.(c) |
27,799 | 555,424 | ||||||
|
|
|||||||
13,915,545 | ||||||||
|
|
|||||||
Heavy Electrical Equipment 0.4% |
||||||||
Bloom Energy Corp.(c) |
20,078 | 372,648 | ||||||
CS Wind Corp. |
9,868 | 461,670 | ||||||
ITM Power PLC(a)(c) |
88,721 | 365,514 | ||||||
Ming Yang Smart Energy Group Ltd. |
131,596 | 436,503 | ||||||
NARI Technology Co., Ltd. |
77,560 | 372,898 | ||||||
NEL ASA(c) |
175,106 | 248,838 | ||||||
Nordex SE(c) |
32,802 | 473,402 | ||||||
Siemens Energy AG(c) |
37,328 | 719,022 | ||||||
Siemens Gamesa Renewable Energy SA(a)(c) |
23,518 | 374,608 | ||||||
TPI Composites, Inc.(c) |
34,138 | 390,539 | ||||||
Unison Co., Ltd./South Korea(c) |
285,738 | 527,002 |
28 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
|
||||||||
Vestas Wind Systems A/S |
8,491 | $ | 216,529 | |||||
Xinjiang Goldwind Science & Technology Co., Ltd. Class H |
290,600 | 413,043 | ||||||
|
|
|||||||
5,372,216 | ||||||||
|
|
|||||||
Industrial Conglomerates 0.1% |
||||||||
General Electric Co. |
5,179 | 386,094 | ||||||
Honeywell International, Inc. |
1,401 | 271,108 | ||||||
Roper Technologies, Inc. |
1,733 | 814,371 | ||||||
|
|
|||||||
1,471,573 | ||||||||
|
|
|||||||
Industrial Machinery 0.9% |
||||||||
Chart Industries, Inc.(c) |
3,473 | 586,312 | ||||||
China Conch Venture Holdings Ltd. |
95,000 | 246,693 | ||||||
Energy Recovery, Inc.(c) |
34,239 | 634,106 | ||||||
Evoqua Water Technologies Corp.(c) |
14,523 | 605,464 | ||||||
GEA Group AG |
10,387 | 404,329 | ||||||
John Bean Technologies Corp. |
6,725 | 792,810 | ||||||
Kurita Water Industries Ltd.(a) |
8,700 | 296,812 | ||||||
McPhy Energy SA(c) |
13,514 | 246,864 | ||||||
Mitsubishi Heavy Industries Ltd. |
35,700 | 1,220,587 | ||||||
Mueller Industries, Inc. |
13,557 | 734,112 | ||||||
NGK Insulators Ltd. |
36,000 | 484,258 | ||||||
Pentair PLC |
14,899 | 756,124 | ||||||
Snap-on, Inc. |
6,549 | 1,391,597 | ||||||
SPX Corp.(c) |
18,806 | 787,972 | ||||||
Techtronic Industries Co., Ltd. |
22,500 | 300,332 | ||||||
Trane Technologies PLC |
2,985 | 417,572 | ||||||
Watts Water Technologies, Inc. |
5,279 | 672,861 | ||||||
Xylem, Inc./NY |
7,473 | 601,577 | ||||||
|
|
|||||||
11,180,382 | ||||||||
|
|
|||||||
Trading Companies & Distributors 0.1% |
||||||||
WW Grainger, Inc. |
3,301 | 1,650,599 | ||||||
|
|
|||||||
48,836,543 | ||||||||
|
|
|||||||
Pharmaceuticals & Biotechnology 1.7% |
||||||||
Biotechnology 0.2% |
||||||||
AbbVie, Inc. |
12,160 | 1,786,061 | ||||||
Amgen, Inc. |
1,611 | 375,669 | ||||||
Horizon Therapeutics PLC(c) |
2,056 | 202,639 | ||||||
Jinyu Bio-Technology Co., Ltd. |
72,000 | 90,817 | ||||||
Moderna, Inc.(c) |
2,891 | 388,579 | ||||||
|
|
|||||||
2,843,765 | ||||||||
|
|
|||||||
Life Sciences Tools & Services 0.5% |
||||||||
Bio-Rad Laboratories, Inc. Class A(c) |
2,200 | 1,126,532 | ||||||
Danaher Corp. |
3,066 | 769,965 | ||||||
Eurofins Scientific SE |
5,508 | 511,901 | ||||||
Mettler-Toledo International, Inc.(c) |
1,271 | 1,623,741 |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 29 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
|
||||||||
Waters Corp.(c) |
6,859 | $ | 2,078,414 | |||||
|
|
|||||||
6,110,553 | ||||||||
|
|
|||||||
Pharmaceuticals 1.0% |
||||||||
Bayer AG |
35,853 | 2,361,674 | ||||||
Elanco Animal Health, Inc.(c) |
36,652 | 927,662 | ||||||
Eli Lilly & Co. |
8,129 | 2,374,725 | ||||||
Novo Nordisk A/S Class B |
19,673 | 2,247,173 | ||||||
Pfizer, Inc. |
40,786 | 2,001,369 | ||||||
Roche Holding AG |
6,091 | 2,287,207 | ||||||
Takeda Pharmaceutical Co., Ltd. |
8,300 | 240,837 | ||||||
Zoetis, Inc. |
2,947 | 522,356 | ||||||
|
|
|||||||
12,963,003 | ||||||||
|
|
|||||||
21,917,321 | ||||||||
|
|
|||||||
Food Beverage & Tobacco 1.7% |
| |||||||
Agricultural Products 0.3% |
| |||||||
Archer-Daniels-Midland Co. |
10,171 | 910,915 | ||||||
Bunge Ltd. |
15,206 | 1,720,103 | ||||||
Darling Ingredients, Inc.(c) |
10,980 | 805,822 | ||||||
|
|
|||||||
3,436,840 | ||||||||
|
|
|||||||
Brewers 0.0% |
| |||||||
Kirin Holdings Co., Ltd. |
34,000 | 495,643 | ||||||
|
|
|||||||
Packaged Foods & Meats 1.1% |
| |||||||
a2 Milk Co., Ltd. (The)(a)(c) |
120,978 | 383,342 | ||||||
Beyond Meat, Inc.(a)(c) |
3,145 | 115,988 | ||||||
Danone SA |
12,272 | 742,103 | ||||||
Glanbia PLC |
36,634 | 439,803 | ||||||
Hershey Co. (The) |
6,130 | 1,383,970 | ||||||
Hormel Foods Corp. |
14,999 | 785,798 | ||||||
JBS SA |
71,000 | 543,563 | ||||||
Kellogg Co. |
5,940 | 406,890 | ||||||
Kerry Group PLC Class A |
3,959 | 438,538 | ||||||
Maple Leaf Foods, Inc. |
69,210 | 1,524,112 | ||||||
Marfrig Global Foods SA |
125,400 | 475,581 | ||||||
Minerva SA/Brazil |
152,000 | 403,677 | ||||||
Mowi ASA |
94,418 | 2,667,028 | ||||||
Nestle SA |
1,160 | 149,749 | ||||||
Pilgrims Pride Corp.(c) |
42,966 | 1,218,086 | ||||||
Sao Martinho SA |
32,700 | 306,963 | ||||||
Tyson Foods, Inc. Class A |
20,899 | 1,946,950 | ||||||
WH Group Ltd. |
535,500 | 369,816 | ||||||
|
|
|||||||
14,301,957 | ||||||||
|
|
|||||||
Tobacco 0.3% |
| |||||||
Imperial Brands PLC |
79,859 | 1,662,307 | ||||||
Philip Morris International, Inc. |
16,984 | 1,698,400 | ||||||
|
|
|||||||
3,360,707 | ||||||||
|
|
|||||||
21,595,147 | ||||||||
|
|
30 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
|
||||||||
Software & Services 1.4% |
||||||||
Application Software 0.4% |
||||||||
Adobe, Inc.(c) |
3,269 | $ | 1,294,361 | |||||
Autodesk, Inc.(c) |
368 | 69,655 | ||||||
Bentley Systems, Inc. |
3,456 | 146,500 | ||||||
Cadence Design Systems, Inc.(c) |
6,538 | 986,257 | ||||||
Constellation Software, Inc./Canada |
310 | 487,899 | ||||||
Dropbox, Inc. Class A(c) |
29,853 | 649,303 | ||||||
Fair Isaac Corp.(c) |
1,870 | 698,464 | ||||||
Intuit, Inc. |
1,659 | 694,706 | ||||||
|
|
|||||||
5,027,145 | ||||||||
|
|
|||||||
Data Processing & Outsourced Services 0.1% |
||||||||
Mastercard, Inc. Class A |
2,387 | 867,388 | ||||||
Western Union Co. (The) Class W |
41,854 | 701,473 | ||||||
|
|
|||||||
1,568,861 | ||||||||
|
|
|||||||
IT Consulting & Other Services 0.2% |
||||||||
Accenture PLC Class A |
1,383 | 415,398 | ||||||
Gartner, Inc.(c) |
5,687 | 1,652,358 | ||||||
Kyndryl Holdings, Inc.(c) |
713 | 8,477 | ||||||
|
|
|||||||
2,076,233 | ||||||||
|
|
|||||||
Systems Software 0.7% |
||||||||
Fortinet, Inc.(c) |
5,172 | 1,494,760 | ||||||
Microsoft Corp. |
21,810 | 6,052,711 | ||||||
ServiceNow, Inc.(c) |
2,035 | 972,933 | ||||||
|
|
|||||||
8,520,404 | ||||||||
|
|
|||||||
17,192,643 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 1.1% |
||||||||
Semiconductor Equipment 0.5% |
||||||||
Applied Materials, Inc. |
12,393 | 1,367,567 | ||||||
ASML Holding NV(a) |
3,203 | 1,817,826 | ||||||
Enphase Energy, Inc.(c) |
1,805 | 291,327 | ||||||
Flat Glass Group Co., Ltd.(a) |
119,778 | 428,305 | ||||||
GCL Technology Holdings Ltd.(a)(c) |
1,447,000 | 457,091 | ||||||
KLA Corp. |
492 | 157,076 | ||||||
Meyer Burger Technology AG(a)(c) |
581,498 | 275,535 | ||||||
Sino-American Silicon Products, Inc. |
92,000 | 457,913 | ||||||
SolarEdge Technologies, Inc.(c) |
1,919 | 480,537 | ||||||
Xinyi Solar Holdings Ltd. |
218,000 | 324,041 | ||||||
|
|
|||||||
6,057,218 | ||||||||
|
|
|||||||
Semiconductors 0.6% |
||||||||
Advanced Micro Devices, Inc.(c) |
9,046 | 773,614 | ||||||
Broadcom, Inc. |
1,931 | 1,070,527 | ||||||
Canadian Solar, Inc.(c) |
20,512 | 564,490 | ||||||
LONGi Green Energy Technology Co., Ltd. Class A |
21,380 | 216,857 |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 31 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
|
||||||||
NVIDIA Corp. |
7,383 | $ | 1,369,325 | |||||
QUALCOMM, Inc. |
12,276 | 1,714,835 | ||||||
STMicroelectronics NV |
20,107 | 742,897 | ||||||
SunPower Corp.(c) |
33,567 | 554,191 | ||||||
Wolfspeed, Inc.(c) |
6,171 | 565,942 | ||||||
|
|
|||||||
7,572,678 | ||||||||
|
|
|||||||
13,629,896 | ||||||||
|
|
|||||||
Technology Hardware & Equipment 0.9% |
||||||||
Electronic Components 0.0% |
||||||||
Samsung SDI Co., Ltd. |
549 | 261,518 | ||||||
|
|
|||||||
Electronic Equipment & Instruments 0.1% |
||||||||
Itron, Inc.(c) |
14,398 | 687,937 | ||||||
Landis+Gyr Group AG |
8,167 | 455,793 | ||||||
|
|
|||||||
1,143,730 | ||||||||
|
|
|||||||
Technology Distributors 0.2% |
| |||||||
Arrow Electronics, Inc.(c) |
13,134 | 1,547,973 | ||||||
CDW Corp./DE |
4,649 | 758,624 | ||||||
|
|
|||||||
2,306,597 | ||||||||
|
|
|||||||
Technology Hardware, Storage & Peripherals 0.6% |
||||||||
Apple, Inc. |
50,462 | 7,955,334 | ||||||
|
|
|||||||
11,667,179 | ||||||||
|
|
|||||||
Transportation 0.9% |
| |||||||
Air Freight & Logistics 0.2% |
| |||||||
Expeditors International of Washington, Inc. |
3,896 | 385,977 | ||||||
Kuehne + Nagel International AG |
4,610 | 1,289,630 | ||||||
United Parcel Service, Inc. Class B |
6,599 | 1,187,688 | ||||||
|
|
|||||||
2,863,295 | ||||||||
|
|
|||||||
Airport Services 0.1% |
| |||||||
Aena SME SA(c) |
1,862 | 264,235 | ||||||
Aeroports de Paris(c) |
652 | 92,225 | ||||||
Auckland International Airport Ltd.(c) |
30,397 | 152,684 | ||||||
Beijing Capital International Airport Co., Ltd.(c) |
40,812 | 22,296 | ||||||
Flughafen Zurich AG(c) |
482 | 81,506 | ||||||
Fraport AG Frankfurt Airport Services Worldwide(c) |
937 | 50,073 | ||||||
Grupo Aeroportuario del Centro Norte SAB de CV (ADR) |
862 | 48,212 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV (ADR)(c) |
879 | 135,181 | ||||||
Grupo Aeroportuario del Sureste SAB de CV (ADR) |
499 | 108,892 |
32 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
|
||||||||
Hainan Meilan International Airport Co., Ltd.(c) |
3,341 | $ | 6,317 | |||||
Japan Airport Terminal Co., Ltd.(a)(c) |
2,325 | 96,340 | ||||||
|
|
|||||||
1,057,961 | ||||||||
|
|
|||||||
Highways & Railtracks 0.5% |
| |||||||
Atlantia SpA(c) |
12,761 | 304,421 | ||||||
Atlas Arteria Ltd. |
24,141 | 117,279 | ||||||
Getlink SE |
11,007 | 201,418 | ||||||
Jiangsu Expressway Co., Ltd. Class H |
30,502 | 30,135 | ||||||
Shenzhen Expressway Corp. Ltd. Class H |
17,352 | 17,845 | ||||||
Transurban Group(a) |
515,319 | 5,174,633 | ||||||
Yuexiu Transport Infrastructure Ltd. |
23,387 | 14,924 | ||||||
Zhejiang Expressway Co., Ltd. Class H |
35,790 | 29,601 | ||||||
|
|
|||||||
5,890,256 | ||||||||
|
|
|||||||
Marine 0.0% |
| |||||||
AP Moller - Maersk A/S Class B |
38 | 109,981 | ||||||
SITC International Holdings Co., Ltd. |
109,000 | 362,367 | ||||||
|
|
|||||||
472,348 | ||||||||
|
|
|||||||
Marine Ports & Services 0.0% |
| |||||||
China Merchants Holdings International Co., Ltd. |
33,635 | 58,720 | ||||||
COSCO SHIPPING Ports Ltd. |
41,376 | 29,503 | ||||||
Hamburger Hafen und Logistik AG |
590 | 9,601 | ||||||
Hutchison Port Holdings Trust |
127,114 | 30,298 | ||||||
Westshore Terminals Investment Corp.(a) |
993 | 26,614 | ||||||
|
|
|||||||
154,736 | ||||||||
|
|
|||||||
Trucking 0.1% |
| |||||||
Nippon Express Holdings, Inc. |
10,000 | 586,307 | ||||||
|
|
|||||||
11,024,903 | ||||||||
|
|
|||||||
Banks 0.7% |
| |||||||
Diversified Banks 0.6% |
| |||||||
Banco Bilbao Vizcaya Argentaria SA |
98,219 | 515,380 | ||||||
Bank of America Corp. |
41,722 | 1,488,641 | ||||||
BNP Paribas SA |
7,128 | 369,597 | ||||||
BOC Hong Kong Holdings Ltd. |
110,500 | 399,994 | ||||||
ING Groep NV |
30,765 | 291,474 | ||||||
JPMorgan Chase & Co. |
13,526 | 1,614,463 | ||||||
National Bank of Canada |
22,370 | 1,562,322 | ||||||
Societe Generale SA |
46,088 | 1,107,681 | ||||||
|
|
|||||||
7,349,552 | ||||||||
|
|
|||||||
Regional Banks 0.1% |
| |||||||
KeyCorp |
79,046 | 1,526,378 | ||||||
Regions Financial Corp. |
21,876 | 453,271 | ||||||
|
|
|||||||
1,979,649 | ||||||||
|
|
|||||||
9,329,201 | ||||||||
|
|
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 33 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
|
||||||||
Insurance 0.7% |
||||||||
Life & Health Insurance 0.5% |
||||||||
iA Financial Corp., Inc. |
12,609 | $ | 659,282 | |||||
Japan Post Holdings Co., Ltd. |
34,100 | 239,104 | ||||||
Japan Post Insurance Co., Ltd. |
92,700 | 1,498,939 | ||||||
Medibank Pvt Ltd. |
106,989 | 240,420 | ||||||
MetLife, Inc. |
24,419 | 1,603,840 | ||||||
Prudential Financial, Inc. |
15,456 | 1,677,131 | ||||||
|
|
|||||||
5,918,716 | ||||||||
|
|
|||||||
Multi-line Insurance 0.0% |
||||||||
Aviva PLC |
40,261 | 216,005 | ||||||
|
|
|||||||
Property & Casualty Insurance 0.2% |
||||||||
Arch Capital Group Ltd.(c) |
34,107 | 1,557,667 | ||||||
Cincinnati Financial Corp. |
3,283 | 402,693 | ||||||
Fidelity National Financial, Inc. |
3,502 | 139,449 | ||||||
|
|
|||||||
2,099,809 | ||||||||
|
|
|||||||
8,234,530 | ||||||||
|
|
|||||||
Media & Entertainment 0.6% |
||||||||
Advertising 0.1% |
||||||||
Omnicom Group, Inc. |
13,645 | 1,038,794 | ||||||
|
|
|||||||
Broadcasting 0.0% |
||||||||
Fox Corp. Class A |
3,294 | 118,057 | ||||||
RAI Way SpA(b) |
2,411 | 14,175 | ||||||
|
|
|||||||
132,232 | ||||||||
|
|
|||||||
Cable & Satellite 0.0% |
||||||||
SES SA |
9,714 | 86,916 | ||||||
|
|
|||||||
Interactive Home Entertainment 0.1% |
||||||||
Electronic Arts, Inc. |
12,606 | 1,488,138 | ||||||
|
|
|||||||
Interactive Media & Services 0.4% |
||||||||
Alphabet, Inc. Class A(c) |
879 | 2,006,045 | ||||||
Alphabet, Inc. Class C(c) |
836 | 1,922,240 | ||||||
Meta Platforms, Inc. Class A(c) |
6,674 | 1,337,937 | ||||||
|
|
|||||||
5,266,222 | ||||||||
|
|
|||||||
8,012,302 | ||||||||
|
|
|||||||
Commercial & Professional Services 0.6% |
||||||||
Environmental & Facilities Services 0.4% |
||||||||
Aker Carbon Capture ASA(c) |
115,655 | 233,649 | ||||||
Casella Waste Systems, Inc. Class A(c) |
8,395 | 690,405 | ||||||
China Conch Environment Protection Holdings Ltd.(c) |
46,000 | 39,393 | ||||||
Clean Harbors, Inc.(c) |
8,280 | 868,820 | ||||||
Ecopro HN Co., Ltd. |
9,508 | 370,040 |
34 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
|
||||||||
Republic Services, Inc. Class A |
6,569 | $ | 882,020 | |||||
Tetra Tech, Inc. |
4,728 | 658,516 | ||||||
TOMRA Systems ASA |
7,808 | 307,053 | ||||||
Waste Management, Inc. |
4,995 | 821,378 | ||||||
|
|
|||||||
4,871,274 | ||||||||
|
|
|||||||
Human Resource & Employment Services 0.1% |
||||||||
Robert Half International, Inc. |
14,398 | 1,415,467 | ||||||
|
|
|||||||
Research & Consulting Services 0.1% |
||||||||
Booz Allen Hamilton Holding Corp. |
18,808 | 1,535,297 | ||||||
|
|
|||||||
7,822,038 | ||||||||
|
|
|||||||
Retailing 0.6% |
||||||||
Automotive Retail 0.0% |
||||||||
AutoZone, Inc.(c) |
154 | 301,142 | ||||||
|
|
|||||||
Department Stores 0.1% |
||||||||
Next PLC |
9,820 | 735,525 | ||||||
|
|
|||||||
General Merchandise Stores 0.1% |
||||||||
Dollarama, Inc. |
8,158 | 453,544 | ||||||
Target Corp. |
2,725 | 623,071 | ||||||
|
|
|||||||
1,076,615 | ||||||||
|
|
|||||||
Home Improvement Retail 0.2% |
||||||||
Home Depot, Inc. (The) |
7,437 | 2,234,075 | ||||||
Lowes Cos., Inc. |
377 | 74,544 | ||||||
|
|
|||||||
2,308,619 | ||||||||
|
|
|||||||
Internet & Direct Marketing Retail 0.2% |
||||||||
Amazon.com, Inc.(c) |
1,362 | 3,385,428 | ||||||
|
|
|||||||
7,807,329 | ||||||||
|
|
|||||||
Telecommunication Services 0.5% |
||||||||
Integrated Telecommunication Services 0.5% |
||||||||
Cellnex Telecom SA(a) |
48,746 | 2,272,065 | ||||||
China Tower Corp. Ltd.(b) |
1,092,444 | 127,498 | ||||||
Eutelsat Communications SA |
4,205 | 46,732 | ||||||
Helios Towers PLC(a)(c) |
11,151 | 15,718 | ||||||
Infrastrutture Wireless Italiane SpA(a) |
204,990 | 2,187,311 | ||||||
Telefonica SA |
353,267 | 1,718,517 | ||||||
Telstra Corp., Ltd. |
81,024 | 229,999 | ||||||
Vantage Towers AG |
2,434 | 82,760 | ||||||
|
|
|||||||
6,680,600 | ||||||||
|
|
|||||||
Wireless Telecommunication Services 0.0% |
||||||||
SoftBank Corp. |
12,400 | 144,309 | ||||||
|
|
|||||||
6,824,909 | ||||||||
|
|
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 35 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
|
||||||||
Consumer Durables & Apparel 0.5% |
||||||||
Apparel, Accessories & Luxury Goods 0.1% |
||||||||
Pandora A/S |
12,461 | $ | 1,094,155 | |||||
|
|
|||||||
Consumer Electronics 0.0% |
||||||||
Panasonic Holdings Corp. |
37,500 | 334,245 | ||||||
|
|
|||||||
Homebuilding 0.3% |
||||||||
Construtora Tenda SA |
586,000 | 689,837 | ||||||
Desarrolladora Homex SAB de CV(c) |
1,590 | 3 | ||||||
Installed Building Products, Inc. |
6,107 | 491,430 | ||||||
MRV Engenharia e Participacoes SA |
203,700 | 425,204 | ||||||
PulteGroup, Inc. |
62,960 | 2,629,210 | ||||||
Urbi Desarrollos Urbanos SAB de CV(c) |
9 | 3 | ||||||
|
|
|||||||
4,235,687 | ||||||||
|
|
|||||||
Household Appliances 0.1% |
||||||||
Electrolux AB(a) |
57,429 | 875,816 | ||||||
Whirlpool Corp. |
1,324 | 240,332 | ||||||
|
|
|||||||
1,116,148 | ||||||||
|
|
|||||||
6,780,235 | ||||||||
|
|
|||||||
Health Care Equipment & Services 0.5% |
||||||||
Health Care Distributors 0.2% |
||||||||
AmerisourceBergen Corp. Class A |
11,074 | 1,675,385 | ||||||
McKesson Corp. |
1,703 | 527,266 | ||||||
|
|
|||||||
2,202,651 | ||||||||
|
|
|||||||
Health Care Equipment 0.1% |
||||||||
ABIOMED, Inc.(c) |
844 | 241,874 | ||||||
IDEXX Laboratories, Inc.(c) |
3,460 | 1,489,460 | ||||||
|
|
|||||||
1,731,334 | ||||||||
|
|
|||||||
Health Care Supplies 0.0% |
||||||||
Align Technology, Inc.(c) |
1,070 | 310,204 | ||||||
|
|
|||||||
Managed Health Care 0.2% |
||||||||
Centene Corp.(c) |
11,353 | 914,484 | ||||||
Molina Healthcare, Inc.(c) |
5,142 | 1,611,760 | ||||||
|
|
|||||||
2,526,244 | ||||||||
|
|
|||||||
6,770,433 | ||||||||
|
|
|||||||
Diversified Financials 0.5% |
||||||||
Asset Management & Custody Banks 0.2% |
||||||||
Ameriprise Financial, Inc. |
3,647 | 968,242 | ||||||
Brookfield Infrastructure Corp.(a) |
888 | 62,977 | ||||||
Carlyle Group, Inc. (The) |
31,192 | 1,131,958 | ||||||
Hicl Infrastructure PLC |
49,068 | 108,843 | ||||||
|
|
|||||||
2,272,020 | ||||||||
|
|
36 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
|
||||||||
Consumer Finance 0.1% |
||||||||
Ally Financial, Inc. |
29,031 | $ | 1,160,079 | |||||
Capital One Financial Corp. |
2,927 | 364,762 | ||||||
|
|
|||||||
1,524,841 | ||||||||
|
|
|||||||
Financial Exchanges & Data 0.1% |
||||||||
Moodys Corp. |
2,448 | 774,743 | ||||||
|
|
|||||||
Mortgage REITs 0.0% |
||||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. |
14,024 | 560,820 | ||||||
|
|
|||||||
Multi-Sector Holdings 0.1% |
||||||||
Investor AB |
31,912 | 614,079 | ||||||
Kinnevik AB(a)(c) |
27,148 | 531,353 | ||||||
|
|
|||||||
1,145,432 | ||||||||
|
|
|||||||
6,277,856 | ||||||||
|
|
|||||||
Automobiles & Components 0.4% |
||||||||
Auto Parts & Equipment 0.2% |
||||||||
Aisin Corp. |
36,200 | 1,051,630 | ||||||
BorgWarner, Inc. |
6,991 | 257,478 | ||||||
Exide Industries Ltd. |
151,153 | 300,121 | ||||||
Magna International, Inc. Class A (Canada) |
3,875 | 233,529 | ||||||
Tianneng Power International Ltd.(a) |
911,999 | 759,817 | ||||||
|
|
|||||||
2,602,575 | ||||||||
|
|
|||||||
Automobile Manufacturers 0.2% |
||||||||
Ford Motor Co. |
19,726 | 279,320 | ||||||
Nissan Motor Co., Ltd.(c) |
149,400 | 598,130 | ||||||
Tesla, Inc.(c) |
1,258 | 1,095,416 | ||||||
|
|
|||||||
1,972,866 | ||||||||
|
|
|||||||
4,575,441 | ||||||||
|
|
|||||||
Food & Staples Retailing 0.3% |
||||||||
Food Retail 0.2% |
||||||||
George Weston Ltd. |
1,124 | 139,834 | ||||||
J Sainsbury PLC |
71,765 | 209,393 | ||||||
Kroger Co. (The) |
30,721 | 1,657,705 | ||||||
|
|
|||||||
2,006,932 | ||||||||
|
|
|||||||
Hypermarkets & Super Centers 0.1% |
||||||||
Costco Wholesale Corp. |
2,055 | 1,092,684 | ||||||
|
|
|||||||
3,099,616 | ||||||||
|
|
|||||||
Consumer Services 0.2% |
| |||||||
Casinos & Gaming 0.0% |
| |||||||
La Francaise des Jeux SAEM |
3,022 | 112,844 | ||||||
|
|
|||||||
Restaurants 0.1% |
| |||||||
Chipotle Mexican Grill, Inc. Class A(c) |
824 | 1,199,423 | ||||||
Dominos Pizza, Inc. |
473 | 159,874 | ||||||
|
|
|||||||
1,359,297 | ||||||||
|
|
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 37 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
|
||||||||
Specialized Consumer Services 0.1% |
||||||||
WW International, Inc.(c) |
77,954 | $ | 763,170 | |||||
|
|
|||||||
2,235,311 | ||||||||
|
|
|||||||
Information Technology 0.1% |
||||||||
Technology Hardware, Storage & Peripherals 0.1% |
||||||||
NetApp, Inc. |
19,282 | 1,412,407 | ||||||
|
|
|||||||
1,412,407 | ||||||||
|
|
|||||||
Industrials 0.1% |
||||||||
Machinery 0.1% |
||||||||
AGCO Corp. |
7,007 | 892,692 | ||||||
CNH Industrial NV |
17,411 | 246,649 | ||||||
|
|
|||||||
1,139,341 | ||||||||
|
|
|||||||
Total Common Stocks |
927,004,337 | |||||||
|
|
|||||||
INVESTMENT COMPANIES 3.1% |
||||||||
Funds and Investment Trusts 3.1%(f) |
||||||||
3i Infrastructure PLC |
15,808 | 69,577 | ||||||
iShares Global Energy ETF |
361,611 | 12,829,958 | ||||||
iShares MSCI Global Metals & Mining Producers ETF |
218,316 | 9,926,829 | ||||||
JPMorgan Alerian MLP Index ETN(a) |
195,020 | 4,062,267 | ||||||
VanEck Agribusiness ETF(a) |
48,849 | 4,815,534 | ||||||
VanEck Gold Miners ETF/USA |
192,160 | 6,723,678 | ||||||
|
|
|||||||
Total Investment Companies |
38,427,843 | |||||||
|
|
|||||||
SHORT-TERM INVESTMENTS 18.1% |
||||||||
Investment Companies 18.1% |
||||||||
AB Fixed Income Shares, Inc. Government Money Market Portfolio Class AB, 0.22%(f)(g)(h) |
228,680,754 | 228,680,754 | ||||||
|
|
|||||||
Total Investments Before Security Lending Collateral for Securities
Loaned 94.6% |
1,194,112,934 | |||||||
|
|
|||||||
38 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
|
||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED 1.4% |
||||||||
Investment Companies 1.4% |
||||||||
AB Fixed Income Shares, Inc. Government Money Market Portfolio Class AB, 0.22%(f)(g)(h) |
17,259,914 | $ | 17,259,914 | |||||
|
|
|||||||
Total Investments 96.0% |
1,211,372,848 | |||||||
Other assets less liabilities 4.0% |
50,992,104 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 1,262,364,952 | ||||||
|
|
FUTURES (see Note D)
Description | Number of Contracts |
Expiration Month |
Current Notional |
Value and Unrealized Appreciation/ (Depreciation) |
||||||||||||
Purchased Contracts |
| |||||||||||||||
Brent Crude Futures |
293 | October 2022 | $ | 28,755,020 | $ | 1,257,545 | ||||||||||
Cattle Feeder Futures |
51 | May 2022 | 3,986,925 | (248,549 | ) | |||||||||||
Coffee Robusta Futures |
130 | July 2022 | 2,739,100 | 16,640 | ||||||||||||
Coffee C Futures |
90 | July 2022 | 7,495,875 | (493,426 | ) | |||||||||||
Copper Futures |
174 | July 2022 | 19,176,975 | (1,811,396 | ) | |||||||||||
Corn Futures |
667 | July 2022 | 27,130,225 | 6,446,408 | ||||||||||||
Cotton No.2 Futures |
98 | July 2022 | 7,135,870 | 1,369,509 | ||||||||||||
Cotton No.2 Futures |
25 | December 2022 | 1,525,875 | 237,173 | ||||||||||||
Gasoline RBOB Futures |
71 | June 2022 | 10,062,461 | 2,070,844 | ||||||||||||
Gold 100 OZ Futures |
299 | June 2022 | 57,159,830 | (500,098 | ) | |||||||||||
KC HRW Wheat Futures |
111 | July 2022 | 6,136,913 | 1,717,364 | ||||||||||||
Lean Hogs Futures |
215 | July 2022 | 9,462,150 | 220,328 | ||||||||||||
Live Cattle Futures |
151 | August 2022 | 8,170,610 | (89,496 | ) | |||||||||||
LME Nickel Futures |
72 | May 2022 | 13,714,704 | (4,561,291 | ) | |||||||||||
LME Primary Aluminum Futures |
239 | May 2022 | 18,137,112 | (4,015,979 | ) | |||||||||||
LME Zinc Futures |
140 | May 2022 | 14,494,375 | 21,419 | ||||||||||||
Low SU Gasoil Futures |
83 | July 2022 | 9,127,925 | 2,858,560 | ||||||||||||
Natural Gas Futures |
692 | June 2022 | 50,896,600 | (5,237,437 | ) | |||||||||||
NY Harbor ULSD Futures |
76 | June 2022 | 11,802,420 | 3,488,843 | ||||||||||||
Platinum Futures |
49 | July 2022 | 2,302,020 | (256,627 | ) | |||||||||||
Silver Futures |
115 | July 2022 | 13,273,875 | (1,823,046 | ) | |||||||||||
Soybean Futures |
316 | July 2022 | 26,619,050 | 3,637,991 | ||||||||||||
Soybean Meal Futures |
312 | July 2022 | 13,487,760 | 573,802 | ||||||||||||
Soybean Oil Futures |
340 | July 2022 | 17,172,720 | 4,070,891 | ||||||||||||
Sugar 11 (World) Futures |
477 | September 2022 | 10,284,120 | 734,890 | ||||||||||||
Wheat Futures (CBT) |
263 | July 2022 | 13,883,113 | 3,540,508 | ||||||||||||
WTI Crude Futures |
79 | June 2022 | 8,132,260 | 1,437,318 | ||||||||||||
WTI Crude Futures |
126 | August 2022 | 12,434,940 | 683,556 | ||||||||||||
WTI Crude Futures |
135 | November 2022 | 12,599,550 | 468,751 |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 39 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Description | Number of Contracts |
Expiration Month |
Current Notional |
Value and Unrealized Appreciation/ (Depreciation) |
||||||||||||
Sold Contracts |
| |||||||||||||||
LME Nickel Futures |
7 | May 2022 | $ | 1,333,374 | $ | 13,546 | ||||||||||
LME Primary Aluminum Futures |
36 | May 2022 | 2,731,950 | 194,490 | ||||||||||||
LME Zinc Futures |
14 | May 2022 | 1,449,438 | (122,020 | ) | |||||||||||
MSCI Emerging Markets Futures |
177 | June 2022 | 9,357,990 | 274,329 | ||||||||||||
|
|
|||||||||||||||
$ | 16,175,340 | |||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
Counterparty | Contracts to Deliver (000) |
In Exchange For (000) |
Settlement Date |
Unrealized Appreciation/ (Depreciation) |
||||||||||||
Bank of America, NA |
USD | 2,313 | EUR | 2,095 | 05/12/2022 | $ | (102,286 | ) | ||||||||
Bank of America, NA |
USD | 2,047 | CNH | 13,078 | 05/18/2022 | (80,440 | ) | |||||||||
Bank of America, NA |
CLP | 903,614 | USD | 1,105 | 05/25/2022 | 50,173 | ||||||||||
Bank of America, NA |
USD | 705 | PHP | 37,058 | 07/28/2022 | (4,350 | ) | |||||||||
Barclays Bank PLC |
BRL | 77,007 | USD | 15,465 | 05/03/2022 | (111,202 | ) | |||||||||
Barclays Bank PLC |
USD | 15,655 | BRL | 77,007 | 05/03/2022 | (78,686 | ) | |||||||||
Barclays Bank PLC |
USD | 2,353 | CZK | 52,306 | 05/06/2022 | (111,086 | ) | |||||||||
Barclays Bank PLC |
USD | 7,665 | HUF | 2,501,419 | 05/06/2022 | (690,849 | ) | |||||||||
Barclays Bank PLC |
NZD | 29,284 | USD | 19,899 | 05/18/2022 | 992,597 | ||||||||||
Barclays Bank PLC |
SEK | 58,748 | USD | 6,055 | 05/18/2022 | 70,173 | ||||||||||
Barclays Bank PLC |
SEK | 27,300 | USD | 2,773 | 05/18/2022 | (8,445 | ) | |||||||||
Barclays Bank PLC |
USD | 5,927 | CNH | 37,634 | 05/18/2022 | (247,569 | ) | |||||||||
Barclays Bank PLC |
USD | 3,632 | JPY | 463,878 | 05/18/2022 | (55,731 | ) | |||||||||
Barclays Bank PLC |
USD | 1,541 | NOK | 14,051 | 05/18/2022 | (42,770 | ) | |||||||||
Barclays Bank PLC |
USD | 14,556 | NZD | 22,068 | 05/18/2022 | (307,748 | ) | |||||||||
Barclays Bank PLC |
COP | 20,242,174 | USD | 5,089 | 05/25/2022 | (6,275 | ) | |||||||||
Barclays Bank PLC |
USD | 14,582 | CLP | 11,731,293 | 05/25/2022 | (885,540 | ) | |||||||||
Barclays Bank PLC |
USD | 15,319 | BRL | 77,007 | 06/02/2022 | 106,712 | ||||||||||
Barclays Bank PLC |
MYR | 159,526 | USD | 37,817 | 06/16/2022 | 1,095,533 | ||||||||||
Barclays Bank PLC |
MYR | 16,541 | USD | 3,780 | 06/16/2022 | (28,065 | ) | |||||||||
Barclays Bank PLC |
USD | 47,329 | MYR | 199,796 | 06/16/2022 | (1,338,479 | ) | |||||||||
Barclays Bank PLC |
INR | 401,001 | USD | 5,222 | 07/07/2022 | 19,975 | ||||||||||
Barclays Bank PLC |
USD | 19,706 | IDR | 285,593,505 | 07/28/2022 | (222,932 | ) | |||||||||
BNP Paribas SA |
USD | 18,789 | EUR | 16,608 | 05/12/2022 | (1,262,174 | ) | |||||||||
BNP Paribas SA |
CNH | 8,292 | USD | 1,296 | 05/18/2022 | 44,917 | ||||||||||
BNP Paribas SA |
EUR | 1,933 | USD | 2,089 | 05/18/2022 | 48,429 | ||||||||||
BNP Paribas SA |
USD | 1,303 | JPY | 164,900 | 05/18/2022 | (31,654 | ) | |||||||||
BNP Paribas SA |
USD | 1,844 | CLP | 1,571,076 | 05/25/2022 | (10,200 | ) | |||||||||
BNP Paribas SA |
USD | 2,327 | SGD | 3,183 | 07/08/2022 | (25,392 | ) | |||||||||
BNP Paribas SA |
USD | 705 | PHP | 37,058 | 07/28/2022 | (4,283 | ) | |||||||||
Citibank, NA |
USD | 9,807 | CZK | 212,372 | 05/06/2022 | (706,446 | ) | |||||||||
Citibank, NA |
EUR | 5,554 | USD | 6,084 | 05/12/2022 | 222,778 | ||||||||||
Citibank, NA |
CNH | 498,801 | USD | 77,936 | 05/18/2022 | 2,928,448 | ||||||||||
Credit Suisse International |
CZK | 264,002 | USD | 11,576 | 05/06/2022 | 262,349 | ||||||||||
Credit Suisse International |
HUF | 2,573,566 | USD | 7,488 | 05/06/2022 | 312,352 | ||||||||||
Credit Suisse International |
PLN | 6,601 | USD | 1,502 | 05/06/2022 | 12,997 | ||||||||||
Credit Suisse International |
USD | 2,211 | CZK | 49,886 | 05/06/2022 | (72,742 | ) | |||||||||
Credit Suisse International |
USD | 3,295 | HUF | 1,137,288 | 05/06/2022 | (124,233 | ) |
40 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) |
In Exchange For (000) |
Settlement Date |
Unrealized Appreciation/ (Depreciation) |
||||||||||||
Credit Suisse International |
USD | 2,249 | PLN | 9,662 | 05/06/2022 | $ | (69,314 | ) | ||||||||
Credit Suisse International |
EUR | 16,608 | USD | 18,455 | 05/12/2022 | 928,158 | ||||||||||
Credit Suisse International |
CHF | 2,329 | USD | 2,436 | 05/18/2022 | 40,228 | ||||||||||
Credit Suisse International |
CNH | 20,415 | USD | 3,205 | 05/18/2022 | 124,313 | ||||||||||
Credit Suisse International |
EUR | 3,339 | USD | 3,580 | 05/18/2022 | 55,781 | ||||||||||
Credit Suisse International |
GBP | 3,148 | USD | 4,004 | 05/18/2022 | 46,086 | ||||||||||
Credit Suisse International |
USD | 6,687 | GBP | 5,129 | 05/18/2022 | (238,150 | ) | |||||||||
Credit Suisse International |
USD | 5,862 | SEK | 55,743 | 05/18/2022 | (182,993 | ) | |||||||||
Deutsche Bank AG |
BRL | 77,007 | USD | 15,655 | 05/03/2022 | 78,686 | ||||||||||
Deutsche Bank AG |
USD | 15,886 | BRL | 77,007 | 05/03/2022 | (309,882 | ) | |||||||||
Deutsche Bank AG |
PLN | 29,225 | USD | 7,224 | 05/06/2022 | 631,240 | ||||||||||
Deutsche Bank AG |
USD | 10,771 | CZK | 240,488 | 05/06/2022 | (465,674 | ) | |||||||||
Deutsche Bank AG |
USD | 18,282 | PLN | 78,986 | 05/06/2022 | (464,331 | ) | |||||||||
Deutsche Bank AG |
USD | 1,343 | EUR | 1,215 | 05/12/2022 | (60,613 | ) | |||||||||
Deutsche Bank AG |
AUD | 17,607 | USD | 12,773 | 05/18/2022 | 329,559 | ||||||||||
Deutsche Bank AG |
CAD | 2,761 | USD | 2,156 | 05/18/2022 | 6,889 | ||||||||||
Deutsche Bank AG |
CHF | 20,269 | USD | 21,603 | 05/18/2022 | 751,231 | ||||||||||
Deutsche Bank AG |
CNH | 59,166 | USD | 9,252 | 05/18/2022 | 322,437 | ||||||||||
Deutsche Bank AG |
EUR | 18,804 | USD | 20,309 | 05/18/2022 | 460,277 | ||||||||||
Deutsche Bank AG |
GBP | 8,748 | USD | 11,392 | 05/18/2022 | 392,743 | ||||||||||
Deutsche Bank AG |
NZD | 14,098 | USD | 9,153 | 05/18/2022 | 50,531 | ||||||||||
Deutsche Bank AG |
USD | 12,501 | AUD | 17,606 | 05/18/2022 | (58,172 | ) | |||||||||
Deutsche Bank AG |
USD | 2,187 | CAD | 2,761 | 05/18/2022 | (38,085 | ) | |||||||||
Deutsche Bank AG |
USD | 8,182 | CHF | 7,710 | 05/18/2022 | (250,868 | ) | |||||||||
Deutsche Bank AG |
USD | 29,263 | JPY | 3,706,686 | 05/18/2022 | (689,884 | ) | |||||||||
Deutsche Bank AG |
USD | 3,497 | NOK | 32,939 | 05/18/2022 | 14,912 | ||||||||||
Deutsche Bank AG |
USD | 5,957 | NOK | 52,687 | 05/18/2022 | (339,434 | ) | |||||||||
Deutsche Bank AG |
USD | 4,853 | NZD | 7,215 | 05/18/2022 | (195,030 | ) | |||||||||
Deutsche Bank AG |
USD | 21,077 | SEK | 201,347 | 05/18/2022 | (565,201 | ) | |||||||||
Deutsche Bank AG |
USD | 1,270 | MXN | 25,745 | 05/19/2022 | (12,776 | ) | |||||||||
Deutsche Bank AG |
CLP | 4,602,207 | USD | 5,818 | 05/25/2022 | 445,174 | ||||||||||
Deutsche Bank AG |
PEN | 15,935 | USD | 4,210 | 05/25/2022 | 69,089 | ||||||||||
Deutsche Bank AG |
BRL | 14,104 | USD | 2,792 | 06/02/2022 | (33,400 | ) | |||||||||
Deutsche Bank AG |
ZAR | 88,632 | USD | 5,721 | 06/23/2022 | 138,572 | ||||||||||
Deutsche Bank AG |
USD | 3,355 | INR | 258,982 | 07/07/2022 | 4,357 | ||||||||||
Deutsche Bank AG |
CAD | 1,578 | USD | 1,232 | 07/21/2022 | 3,943 | ||||||||||
Deutsche Bank AG |
PHP | 269,424 | USD | 5,096 | 07/28/2022 | 2,152 | ||||||||||
Deutsche Bank AG |
USD | 20,251 | PHP | 1,072,222 | 07/28/2022 | 21,121 | ||||||||||
Goldman Sachs Bank USA |
CZK | 387,062 | USD | 17,077 | 05/06/2022 | 489,762 | ||||||||||
Goldman Sachs Bank USA |
HUF | 876,758 | USD | 2,633 | 05/06/2022 | 188,830 | ||||||||||
Goldman Sachs Bank USA |
PLN | 35,796 | USD | 8,345 | 05/06/2022 | 269,740 | ||||||||||
Goldman Sachs Bank USA |
USD | 8,441 | HUF | 2,856,044 | 05/06/2022 | (477,616 | ) | |||||||||
Goldman Sachs Bank USA |
USD | 1,336 | PLN | 5,636 | 05/06/2022 | (64,554 | ) | |||||||||
Goldman Sachs Bank USA |
CHF | 11,842 | USD | 12,196 | 05/18/2022 | 14,056 | ||||||||||
Goldman Sachs Bank USA |
CNH | 47,748 | USD | 7,234 | 05/18/2022 | 53,349 | ||||||||||
Goldman Sachs Bank USA |
EUR | 12,731 | USD | 13,383 | 05/18/2022 | (55,545 | ) | |||||||||
Goldman Sachs Bank USA |
JPY | 1,430,116 | USD | 10,924 | 05/18/2022 | (99,848 | ) | |||||||||
Goldman Sachs Bank USA |
USD | 6,574 | CNH | 41,777 | 05/18/2022 | (269,324 | ) | |||||||||
Goldman Sachs Bank USA |
USD | 4,687 | GBP | 3,762 | 05/18/2022 | 43,324 | ||||||||||
Goldman Sachs Bank USA |
USD | 2,836 | MXN | 58,289 | 05/19/2022 | 11,203 | ||||||||||
Goldman Sachs Bank USA |
PEN | 9,133 | USD | 2,468 | 05/25/2022 | 94,313 |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 41 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) |
In Exchange For (000) |
Settlement Date |
Unrealized Appreciation/ (Depreciation) |
||||||||||||
Goldman Sachs Bank USA |
USD | 965 | COP | 3,679,885 | 05/25/2022 | $ | (38,951 | ) | ||||||||
Goldman Sachs Bank USA |
MYR | 142,058 | USD | 33,538 | 06/16/2022 | 837,600 | ||||||||||
Goldman Sachs Bank USA |
USD | 45,146 | MYR | 190,901 | 06/16/2022 | (1,202,921 | ) | |||||||||
Goldman Sachs Bank USA |
ZAR | 20,105 | USD | 1,253 | 06/23/2022 | (13,638 | ) | |||||||||
Goldman Sachs Bank USA |
JPY | 450,502 | USD | 3,552 | 07/15/2022 | 70,766 | ||||||||||
Goldman Sachs Bank USA |
TWD | 755 | USD | 26 | 07/27/2022 | 165 | ||||||||||
HSBC Bank USA |
USD | 971 | EUR | 850 | 05/12/2022 | (74,020 | ) | |||||||||
HSBC Bank USA |
CHF | 9,050 | USD | 9,704 | 05/18/2022 | 393,936 | ||||||||||
HSBC Bank USA |
CNH | 6,784 | USD | 1,059 | 05/18/2022 | 38,976 | ||||||||||
HSBC Bank USA |
CNH | 14,700 | USD | 2,301 | 05/18/2022 | 82,066 | ||||||||||
HSBC Bank USA |
USD | 1,296 | CNH | 8,292 | 05/18/2022 | (44,518 | ) | |||||||||
HSBC Bank USA |
USD | 12,395 | NOK | 108,814 | 05/18/2022 | (793,018 | ) | |||||||||
HSBC Bank USA |
USD | 8,530 | PEN | 31,943 | 05/25/2022 | (228,635 | ) | |||||||||
HSBC Bank USA |
GBP | 1,943 | USD | 2,553 | 06/09/2022 | 109,328 | ||||||||||
HSBC Bank USA |
USD | 1,308 | GBP | 992 | 06/09/2022 | (60,688 | ) | |||||||||
HSBC Bank USA |
DKK | 15,603 | USD | 2,312 | 06/17/2022 | 94,962 | ||||||||||
HSBC Bank USA |
NOK | 11,078 | USD | 1,284 | 06/17/2022 | 102,861 | ||||||||||
HSBC Bank USA |
TWD | 189,245 | USD | 6,518 | 07/27/2022 | 49,346 | ||||||||||
JPMorgan Chase Bank, NA |
CNH | 168,739 | USD | 25,595 | 05/18/2022 | 220,318 | ||||||||||
JPMorgan Chase Bank, NA |
USD | 16,602 | GBP | 12,727 | 05/18/2022 | (599,176 | ) | |||||||||
JPMorgan Chase Bank, NA |
USD | 4,279 | PEN | 16,045 | 05/25/2022 | (109,130 | ) | |||||||||
JPMorgan Chase Bank, NA |
GBP | 1,001 | USD | 1,307 | 06/09/2022 | 48,541 | ||||||||||
Morgan Stanley Capital Services, Inc. |
USD | 4,064 | PLN | 16,203 | 05/06/2022 | (409,098 | ) | |||||||||
Morgan Stanley Capital Services, Inc. |
EUR | 808 | USD | 880 | 05/12/2022 | 27,668 | ||||||||||
Morgan Stanley Capital Services, Inc. |
USD | 2,488 | CNH | 16,192 | 05/18/2022 | (53,286 | ) | |||||||||
Morgan Stanley Capital Services, Inc. |
USD | 1,503 | PEN | 5,770 | 05/25/2022 | (3,182 | ) | |||||||||
Morgan Stanley Capital Services, Inc. |
GBP | 1,572 | USD | 2,054 | 06/09/2022 | 76,946 | ||||||||||
Morgan Stanley Capital Services, Inc. |
USD | 3,716 | GBP | 2,868 | 06/09/2022 | (110,006 | ) | |||||||||
Morgan Stanley Capital Services, Inc. |
MYR | 38,330 | USD | 9,029 | 06/16/2022 | 206,269 | ||||||||||
Morgan Stanley Capital Services, Inc. |
USD | 3,387 | MYR | 14,302 | 06/16/2022 | (94,758 | ) | |||||||||
Morgan Stanley Capital Services, Inc. |
USD | 3,413 | CHF | 3,174 | 07/13/2022 | (137,892 | ) | |||||||||
Morgan Stanley Capital Services, Inc. |
AUD | 1,566 | USD | 1,122 | 07/21/2022 | 14,422 | ||||||||||
Morgan Stanley Capital Services, Inc. |
CAD | 1,141 | USD | 911 | 07/21/2022 | 23,372 | ||||||||||
Natwest Markets PLC |
USD | 1,112 | EUR | 1,005 | 05/12/2022 | (51,892 | ) | |||||||||
Natwest Markets PLC |
USD | 2,437 | SEK | 22,866 | 06/17/2022 | (105,477 | ) | |||||||||
Standard Chartered Bank |
CLP | 1,912,356 | USD | 2,362 | 05/25/2022 | 129,005 | ||||||||||
Standard Chartered Bank |
USD | 1,124 | NZD | 1,652 | 06/10/2022 | (57,877 | ) | |||||||||
Standard Chartered Bank |
ZAR | 126,940 | USD | 8,418 | 06/23/2022 | 422,990 | ||||||||||
Standard Chartered Bank |
IDR | 163,967,000 | USD | 11,400 | 07/28/2022 | 214,335 | ||||||||||
State Street Bank & Trust Co. |
CZK | 676 | USD | 30 | 05/06/2022 | 783 | ||||||||||
State Street Bank & Trust Co. |
EUR | 515 | USD | 562 | 05/12/2022 | 18,616 |
42 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) |
In Exchange For (000) |
Settlement Date |
Unrealized Appreciation/ (Depreciation) |
||||||||||||
State Street Bank & Trust Co. |
EUR | 1,316 | USD | 1,381 | 05/12/2022 | $ | (7,819 | ) | ||||||||
State Street Bank & Trust Co. |
USD | 18 | EUR | 16 | 05/12/2022 | (1,393 | ) | |||||||||
State Street Bank & Trust Co. |
NZD | 75 | USD | 48 | 05/18/2022 | 317 | ||||||||||
State Street Bank & Trust Co. |
USD | 65 | AUD | 92 | 05/18/2022 | (354 | ) | |||||||||
State Street Bank & Trust Co. |
USD | 49 | NZD | 75 | 05/18/2022 | (1,031 | ) | |||||||||
State Street Bank & Trust Co. |
USD | 27 | MXN | 560 | 05/19/2022 | 32 | ||||||||||
State Street Bank & Trust Co. |
GBP | 138 | USD | 181 | 06/09/2022 | 7,309 | ||||||||||
State Street Bank & Trust Co. |
USD | 929 | GBP | 707 | 06/09/2022 | (40,467 | ) | |||||||||
State Street Bank & Trust Co. |
NZD | 174 | USD | 118 | 06/10/2022 | 5,843 | ||||||||||
State Street Bank & Trust Co. |
THB | 861,352 | USD | 25,704 | 06/16/2022 | 539,464 | ||||||||||
State Street Bank & Trust Co. |
USD | 11,025 | THB | 368,416 | 06/16/2022 | (261,404 | ) | |||||||||
UBS AG |
EUR | 11,472 | USD | 13,127 | 05/12/2022 | 1,020,433 | ||||||||||
UBS AG |
USD | 1,077 | CHF | 1,000 | 07/13/2022 | (45,125 | ) | |||||||||
UBS AG |
USD | 13,807 | CAD | 17,266 | 07/21/2022 | (370,823 | ) | |||||||||
UBS AG |
KRW | 38,242,592 | USD | 30,680 | 07/27/2022 | 379,629 | ||||||||||
|
|
|||||||||||||||
$ | 968,937 | |||||||||||||||
|
|
INFLATION (CPI) SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||||||||||||
Swap Counterparty |
Notional Amount (000) |
Termination Date |
Payments made by the Fund |
Payments received by the Fund |
Payment Frequency Paid/ Received |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||
Citibank, NA | USD | 30,950 | 03/18/2031 | 2.378% | CPI# | Maturity | $ | 512,925 | $ | 0 | | $ | 512,925 | |||||||||||||||||||
Goldman Sachs International | USD | 63,680 | 04/26/2027 | 1.705% | CPI# | Maturity | 5,944,033 | 0 | | 5,944,033 | ||||||||||||||||||||||
Goldman Sachs International | USD | 53,750 | 04/26/2027 | 2.175% | CPI# | Maturity | 3,826,998 | 0 | | 3,826,998 | ||||||||||||||||||||||
Goldman Sachs International | USD | 110,190 | 04/25/2030 | 1.900% | CPI# | Maturity | 4,330,774 | 0 | | 4,330,774 | ||||||||||||||||||||||
Goldman Sachs International | USD | 58,060 | 03/16/2031 | 2.289% | CPI# | Maturity | 1,191,071 | 0 | | 1,191,071 | ||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | 15,805,801 | $ | 0 | | $ | 15,805,801 | ||||||||||||||||||||||||||
|
|
|
|
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
TOTAL RETURN SWAPS (see Note D)
Counterparty & Referenced Obligation |
Rate Paid/ Received |
Payment Frequency |
Current Notional (000) |
Maturity Date |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||
Pay Total Return on Reference Obligation |
| |||||||||||||||||||||||
UBS AG |
||||||||||||||||||||||||
FTSE EPRA/NAREIT Developed Real Estate Index |
|
OBFR Plus 0.38% |
|
Quarterly | USD | 52,396 | 09/15/2022 | $ | 419,222 | |||||||||||||||
FTSE EPRA/NAREIT Developed Real Estate Index |
|
OBFR Plus 0.31% |
|
Quarterly | USD | 2,428 | 09/15/2022 | 19,079 | ||||||||||||||||
FTSE EPRA/NAREIT Developed Real Estate Index |
|
OBFR Plus 0.43% |
|
Quarterly | USD | 44,473 | 01/17/2023 | 353,538 | ||||||||||||||||
FTSE EPRA/NAREIT Developed Real Estate Index |
|
OBFR Plus 0.37% |
|
Quarterly | USD | 2,875 | 01/17/2023 | 22,482 | ||||||||||||||||
FTSE EPRA/NAREIT Developed Real Estate Index |
|
OBFR Plus 0.30% |
|
Quarterly | USD | 20,765 | 05/15/2023 | 1,138,752 | ||||||||||||||||
|
|
|||||||||||||||||||||||
$ | 1,953,073 | |||||||||||||||||||||||
|
|
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 43 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
(a) | Represents entire or partial securities out on loan. See Note E for securities lending information. |
(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 April 30, 2022, the aggregate market value of these securities amounted to $14,201,109 or 1.1% of net assets. |
(c) | Non-income producing security. |
(d) | Fair valued by the Adviser. |
(e) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(f) | To obtain a copy of the funds shareholder report, please go to the Securities and Exchange Commissions website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618. |
(g) | Affiliated investments. |
(h) | The rate shown represents the 7-day yield as of period end. |
Currency Abbreviations:
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
CLP Chilean Peso
CNH Chinese Yuan Renminbi (Offshore)
COP Colombian Peso
CZK Czech Koruna
DKK Danish Krone
EUR Euro
GBP Great British Pound
HUF Hungarian Forint
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
PEN Peruvian Sol
PHP Philippine Peso
PLN Polish Zloty
SEK Swedish Krona
SGD Singapore Dollar
THB Thailand Baht
TWD New Taiwan Dollar
USD United States Dollar
ZAR South African Rand
Glossary:
ADR American Depositary Receipt
CBT Chicago Board of Trade
CPI Consumer Price Index
EPRA European Public Real Estate Association
ETF Exchange Traded Fund
ETN Exchange Traded Note
FTSE Financial Times Stock Exchange
KC HRW Kansas City Hard Red Winter
LME London Metal Exchange
MSCI Morgan Stanley Capital International
NAREIT National Association of Real Estate Investment Trusts
OBFR Overnight Bank Funding Rate
PJSC Public Joint Stock Company
RBOB Reformulated Gasoline Blend-Stock for Oxygen Blending (Unleaded Gas)
REIT Real Estate Investment Trust
ULSD Ultra-Low Sulfur Diesel
WTI West Texas Intermediate
See notes to consolidated financial statements.
44 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
CONSOLIDATED STATEMENT OF ASSETS & LIABILITIES
April 30, 2022 (unaudited)
Assets |
| |||
Investments in securities, at value |
| |||
Unaffiliated issuers (cost $888,843,271) |
$ | 965,432,180 | (a) | |
Affiliated issuers (cost $245,940,668including investment of cash collateral for securities loaned of $17,259,914) |
245,940,668 | |||
Cash |
1,890,000 | |||
Cash collateral due from broker |
56,504,739 | |||
Foreign currencies, at value (cost $7,146,550) |
6,967,996 | |||
Unrealized appreciation on forward currency exchange contracts |
17,385,787 | |||
Unrealized appreciation on inflation swaps |
15,805,801 | |||
Unrealized appreciation on total return swaps |
1,953,073 | |||
Receivable for investment securities sold and foreign currency transactions |
1,729,673 | |||
Receivable for capital stock sold |
1,720,791 | |||
Unaffiliated dividends and interest receivable |
1,707,186 | |||
Receivable for variation margin on futures |
398,355 | |||
Affiliated dividends receivable |
38,419 | |||
|
|
|||
Total assets |
1,317,474,668 | |||
|
|
|||
Liabilities |
| |||
Cash collateral due to broker |
18,260,000 | |||
Payable for collateral received on securities loaned |
17,259,914 | |||
Unrealized depreciation on forward currency exchange contracts |
16,416,850 | |||
Payable for capital stock redeemed |
1,656,367 | |||
Advisory fee payable |
810,133 | |||
Distribution fee payable |
160,226 | |||
Payable for investment securities purchased and foreign currency transactions |
117,478 | |||
Administrative fee payable |
34,207 | |||
Transfer Agent fee payable |
19,978 | |||
Foreign capital gains tax payable |
4,032 | |||
Directors fees payable |
3,268 | |||
Accrued expenses |
367,263 | |||
|
|
|||
Total liabilities |
55,109,716 | |||
|
|
|||
Net Assets |
$ | 1,262,364,952 | ||
|
|
|||
Composition of Net Assets |
| |||
Capital stock, at par |
$ | 125,093 | ||
Additional paid-in capital |
1,235,785,892 | |||
Distributable earnings |
26,453,967 | |||
|
|
|||
Net Assets |
$ | 1,262,364,952 | ||
|
|
(a) | Includes securities on loan with a value of $30,932,398 (see Note E). |
See notes to consolidated financial statements.
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 45 |
CONSOLIDATED STATEMENT OF ASSETS & LIABILITIES (continued)
Net Asset Value Per Share33 billion shares of capital stock authorized, $.001 par value
Class | Net Assets | Shares Outstanding |
Net Asset Value |
|||||||||
|
||||||||||||
A | $ | 5,430,079 | 528,450 | $ | 10.28 | * | ||||||
|
||||||||||||
C | $ | 328,567 | 31,277 | $ | 10.51 | |||||||
|
||||||||||||
Advisor | $ | 27,022,932 | 2,635,477 | $ | 10.25 | |||||||
|
||||||||||||
R | $ | 74,840 | 7,255 | $ | 10.32 | |||||||
|
||||||||||||
K | $ | 1,093,286 | 107,797 | $ | 10.14 | |||||||
|
||||||||||||
I | $ | 28,878,888 | 2,849,804 | $ | 10.13 | |||||||
|
||||||||||||
1 | $ | 718,360,846 | 71,469,223 | $ | 10.05 | |||||||
|
||||||||||||
2 | $ | 10,319 | 1,000 | $ | 10.32 | |||||||
|
||||||||||||
Z | $ | 481,165,195 | 47,462,531 | $ | 10.14 | |||||||
|
* | The maximum offering price per share for Class A shares was $10.74 which reflects a sales charge of 4.25%. |
See notes to consolidated financial statements.
46 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
CONSOLIDATED STATEMENT OF OPERATIONS
Six Months Ended April 30, 2022 (unaudited)
Investment Income |
| |||||||
Dividends |
| |||||||
Unaffiliated issuers (net of foreign taxes withheld of $638,503) |
$ | 14,203,101 | ||||||
Affiliated issuers |
56,003 | |||||||
Securities lending income |
153,267 | $ | 14,412,371 | |||||
|
|
|||||||
Expenses |
| |||||||
Advisory fee (see Note B) |
4,711,439 | |||||||
Distribution feeClass A |
6,661 | |||||||
Distribution feeClass C |
1,067 | |||||||
Distribution feeClass R |
177 | |||||||
Distribution feeClass K |
1,371 | |||||||
Distribution feeClass 1 |
873,506 | |||||||
Transfer agencyClass A |
1,736 | |||||||
Transfer agencyClass C |
85 | |||||||
Transfer agencyAdvisor Class |
6,778 | |||||||
Transfer agencyClass R |
92 | |||||||
Transfer agencyClass K |
1,101 | |||||||
Transfer agencyClass I |
5,908 | |||||||
Transfer agencyClass 1 |
72,896 | |||||||
Transfer agencyClass Z |
60,542 | |||||||
Custody and accounting |
176,186 | |||||||
Registration fees |
71,605 | |||||||
Audit and tax |
58,416 | |||||||
Administrative |
45,802 | |||||||
Printing |
29,154 | |||||||
Legal |
24,642 | |||||||
Directors fees |
16,938 | |||||||
Miscellaneous |
45,850 | |||||||
|
|
|||||||
Total expenses |
6,211,952 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Notes B & E) |
(77,291 | ) | ||||||
|
|
|||||||
Net expenses |
6,134,661 | |||||||
|
|
|||||||
Net investment income |
8,277,710 | |||||||
|
|
See notes to consolidated financial statements.
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 47 |
CONSOLIDATED STATEMENT OF OPERATIONS (continued)
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain (loss) on: |
||||||||
Investment transactions |
$ | 41,117,948 | ||||||
Forward currency exchange contracts |
(390,706 | ) | ||||||
Futures |
75,236,950 | |||||||
Swaps |
5,654,499 | |||||||
Foreign currency transactions |
(308,418 | ) | ||||||
Net change in unrealized appreciation/depreciation of: |
||||||||
Investments |
(91,092,003 | ) | ||||||
Forward currency exchange contracts |
707,514 | |||||||
Futures |
5,909,889 | |||||||
Swaps |
5,330,794 | |||||||
Foreign currency denominated assets and liabilities |
(180,423 | ) | ||||||
|
|
|||||||
Net gain on investment and foreign currency transactions |
41,986,044 | |||||||
|
|
|||||||
Contributions from Affiliates (see Note B) |
683 | |||||||
|
|
|||||||
Net Increase in Net Assets from Operations |
$ | 50,264,437 | ||||||
|
|
See notes to consolidated financial statements.
48 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
|||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income |
$ | 8,277,710 | $ | 16,202,556 | ||||
Net realized gain on investment and foreign currency transactions |
121,310,273 | 181,993,385 | ||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities |
(79,324,229 | ) | 221,060,621 | |||||
Contributions from Affiliates (see Note B) |
683 | 0 | | |||||
|
|
|
|
|||||
Net increase in net assets from operations |
50,264,437 | 419,256,562 | ||||||
Distributions to Shareholders | ||||||||
Class A |
(464,964 | ) | (221,879 | ) | ||||
Class C |
(12,613 | ) | (9,571 | ) | ||||
Advisor Class |
(1,665,846 | ) | (412,387 | ) | ||||
Class R |
(5,635 | ) | (652 | ) | ||||
Class K |
(108,197 | ) | (32,508 | ) | ||||
Class I |
(2,495,051 | ) | (808,887 | ) | ||||
Class 1 |
(61,937,570 | ) | (16,708,336 | ) | ||||
Class 2 |
(981 | ) | (293 | ) | ||||
Class Z |
(54,143,834 | ) | (15,915,046 | ) | ||||
Capital Stock Transactions | ||||||||
Net increase |
595,104 | 18,064,568 | ||||||
|
|
|
|
|||||
Total increase (decrease) |
(69,975,150 | ) | 403,211,571 | |||||
Net Assets | ||||||||
Beginning of period |
1,332,340,102 | 929,128,531 | ||||||
|
|
|
|
|||||
End of period |
$ | 1,262,364,952 | $ | 1,332,340,102 | ||||
|
|
|
|
See notes to consolidated financial statements.
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 49 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
April 30, 2022 (unaudited)
NOTE A
Significant Accounting Policies
AB Bond Fund, Inc. (the Company) is registered under the Investment Company Act of 1940 as an open-end management investment company. The Company, which is a Maryland corporation, operates as a series company comprised of 10 portfolios currently in operation. Each portfolio is considered to be a separate entity for financial reporting and tax purposes. This report relates only to the AB All Market Real Return Portfolio (the Fund), a non-diversified portfolio. As part of the Funds investment strategy, the Fund seeks to gain exposure to commodities and commodities-related instruments and derivatives primarily through investments in AllianceBernstein Cayman Inflation Strategy, Ltd., a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the Subsidiary). The Fund is the sole shareholder of the Subsidiary and it is intended that the Fund will remain the sole shareholder and will continue to control the Subsidiary. Under the Articles of Association of the Subsidiary, shares issued by the Subsidiary confer upon a shareholder the right to receive notice of, to attend and to vote at general meetings of the Subsidiary and shall confer upon the shareholder rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiary. As of April 30, 2022, consolidated net assets of the Fund were $1,262,364,952, of which $204,988,497, or 16%, represented the Funds ownership of all issued shares and voting rights of the Subsidiary. This report presents the consolidated financial statements of the Fund and the Subsidiary. All intercompany transactions and balances have been eliminated in consolidation. The Fund has authorized the issuance of Class A, Class B, Class C, Advisor Class, Class R, Class K, Class I, Class 1, Class 2, Class Z, and Class T shares. Class B and Class T shares have not been issued. Class 1 shares are sold only to the private clients of Sanford C. Bernstein & Co. LLC by its registered representatives. As of April 30, 2022, AllianceBernstein L.P. (the Adviser), was the sole shareholder of Class 2 shares. Class A shares are sold with a front-end sales charge of up to 4.25% for purchases not exceeding $1,000,000. With respect to purchases of $1,000,000 or more, Class A shares redeemed within one year of purchase may be subject to a contingent deferred sales charge of 1%. Class C shares are subject to a contingent deferred sales charge of 1% on redemptions made within the first year after purchase, and 0% after the first year of purchase. 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. Class R, Class K, Class 1, and Class Z shares are sold without an initial or contingent deferred sales charge. Advisor Class, Class I, and Class 2 shares are sold without an initial or
50 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
contingent deferred sales charge and are not subject to ongoing distribution expenses. All eleven classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The consolidated financial statements have been prepared in conformity with U.S. generally accepted accounting principles (U.S. GAAP), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the consolidated financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Fund.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at fair value as determined in accordance with procedures established by and under the general supervision of the Companys Board of Directors (the Board).
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (NASDAQ)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (OTC) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, the Adviser will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 51 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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 issuers financial statements or other available documents. In addition, the Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on
52 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
market data obtained from sources independent of the Fund. Unobservable inputs reflect the Funds 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 1quoted prices in active markets for identical investments |
| Level 2other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| Level 3significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which are then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3.
Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.
Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 53 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
The following table summarizes the valuation of the Funds investments by the above fair value hierarchy levels as of April 30, 2022:
Investments in |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
||||||||||||||||
Common Stocks: |
||||||||||||||||
Real Estate |
$ | 250,674,909 | $ | 142,697,220 | $ | 0 | | $ | 393,372,129 | |||||||
Energy |
68,324,618 | 83,602,992 | 0 | (a) | 151,927,610 | |||||||||||
Materials |
43,520,136 | 61,406,496 | 0 | (a) | 104,926,632 | |||||||||||
Utilities |
27,125,356 | 23,468,029 | 0 | | 50,593,385 | |||||||||||
Capital Goods |
30,206,213 | 18,630,330 | 0 | | 48,836,543 | |||||||||||
Pharmaceuticals & Biotechnology |
14,177,712 | 7,739,609 | 0 | | 21,917,321 | |||||||||||
Food Beverage & Tobacco |
15,125,159 | 6,469,988 | 0 | | 21,595,147 | |||||||||||
Software & Services |
17,192,643 | 0 | | 0 | | 17,192,643 | ||||||||||
Semiconductors & Semiconductor Equipment |
8,909,431 | 4,720,465 | 0 | | 13,629,896 | |||||||||||
Technology Hardware & Equipment |
10,949,868 | 717,311 | 0 | | 11,667,179 | |||||||||||
Transportation |
1,922,165 | 9,102,738 | 0 | | 11,024,903 | |||||||||||
Banks |
6,645,075 | 2,684,126 | 0 | | 9,329,201 | |||||||||||
Insurance |
6,040,062 | 2,194,468 | 0 | | 8,234,530 | |||||||||||
Media & Entertainment |
7,911,211 | 101,091 | 0 | | 8,012,302 | |||||||||||
Commercial & Professional Services |
6,911,296 | 910,742 | 0 | | 7,822,038 | |||||||||||
Retailing |
7,071,804 | 735,525 | 0 | | 7,807,329 | |||||||||||
Telecommunication Services |
15,718 | 6,809,191 | 0 | | 6,824,909 | |||||||||||
Consumer Durables & Apparel |
4,476,019 | 2,304,216 | 0 | | 6,780,235 | |||||||||||
Health Care Equipment & Services |
6,770,433 | 0 | | 0 | | 6,770,433 | ||||||||||
Diversified Financials |
5,023,581 | 1,254,275 | 0 | | 6,277,856 | |||||||||||
Automobiles & Components |
1,865,743 | 2,709,698 | 0 | | 4,575,441 | |||||||||||
Food & Staples Retailing |
2,890,223 | 209,393 | 0 | | 3,099,616 | |||||||||||
Consumer Services |
2,122,467 | 112,844 | 0 | | 2,235,311 | |||||||||||
Information Technology |
1,412,407 | 0 | | 0 | | 1,412,407 | ||||||||||
Industrials |
892,692 | 246,649 | 0 | | 1,139,341 |
54 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Investments in |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investment Companies |
$ | 38,358,266 | $ | 69,577 | $ | 0 | | $ | 38,427,843 | |||||||
Short-Term Investments |
228,680,754 | 0 | | 0 | | 228,680,754 | ||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund |
17,259,914 | 0 | | 0 | | 17,259,914 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
832,475,875 | 378,896,973 | (b) | 0 | (a) | 1,211,372,848 | ||||||||||
Other Financial Instruments(c): |
||||||||||||||||
Assets: |
||||||||||||||||
Futures |
35,334,705 | 0 | | 0 | | 35,334,705 | (d) | |||||||||
Forward Currency Exchange Contracts |
0 | | 17,385,787 | 0 | | 17,385,787 | ||||||||||
Inflation (CPI) Swaps |
0 | | 15,805,801 | 0 | | 15,805,801 | ||||||||||
Total Return Swaps |
0 | | 1,953,073 | 0 | | 1,953,073 | ||||||||||
Liabilities: |
||||||||||||||||
Futures |
(19,159,365 | ) | 0 | | 0 | | (19,159,365 | )(d) | ||||||||
Forward Currency Exchange Contracts |
0 | | (16,416,850 | ) | 0 | | (16,416,850 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 848,651,215 | $ | 397,624,784 | $ | 0 | (a) | $ | 1,246,275,999 | |||||||
|
|
|
|
|
|
|
|
(a) | The Fund held securities with zero market value at period end. |
(b) | A significant portion of the Funds 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. |
(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 consolidated statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the consolidated portfolio of investments. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value. |
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends,
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 55 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
interest and foreign withholding taxes recorded on the Funds books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
4. Taxes
It is the Funds policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
If, during a taxable year, the Subsidiarys taxable losses (and other deductible items) exceed its income and gains, the net loss will not pass through to the Fund as a deductible amount for Federal income tax purposes. Note that the loss from the Subsidiarys contemplated activities also cannot be carried forward to reduce future Subsidiarys income in subsequent years. However, if the Subsidiarys taxable gains exceed its losses and other deductible items during a taxable year, the net gain will pass through to the Fund as income for Federal income tax purposes.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Funds 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 Funds consolidated financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts as adjustments to interest income. The Fund accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
56 | AB ALL MARKET REAL RETURN PORTFOLIO |
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
6. Class Allocations
All income earned and expenses incurred by the Fund are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Fund represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each fund or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B
Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Fund pays the Adviser an advisory fee at an annual rate of .75% of the Funds average daily net assets. The Adviser agreed to waive its fees and bear certain expenses to the extent necessary to limit total operating expenses (excluding extraordinary expenses, interest expense, and acquired fund fees and expenses other than the advisory fees of any AB Mutual Funds in which the Fund may invest) on an annual basis (the Expense Caps) to 1.30%, 2.05%, 1.05%, 1.55%, 1.30%, 1.05%, 1.30%, 1.05% and 1.05% of daily average net assets for Class A, Class C, Advisor Class, Class R, Class K, Class I, Class 1, Class 2 and Class Z shares, respectively. This fee waiver and/or expense reimbursement agreement will remain in effect until January 31, 2023. For the six months ended April 30, 2022, such reimbursement amounted to $13.
The Subsidiary has entered into a separate agreement with the Adviser for the management of the Subsidiarys portfolio. The Adviser receives no compensation from the Subsidiary for its services under the agreement.
Pursuant to the investment advisory agreement, the Fund may reimburse the Adviser for certain legal and accounting services provided to the Fund by the Adviser. For the six months ended April 30, 2022, the reimbursement for such services amounted to $45,802.
The Fund compensates AllianceBernstein Investor Services, Inc. (ABIS), a wholly-owned subsidiary of the Adviser, under a Transfer Agency
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 57 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Agreement for providing personnel and facilities to perform transfer agency services for the Fund. ABIS may make payments to intermediaries that provide omnibus account services, sub-accounting services and/or networking services. Such compensation retained by ABIS amounted to $115,536 for the six months ended April 30, 2022.
AllianceBernstein Investments, Inc. (the Distributor), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Funds shares. The Distributor has advised the Fund that it has retained front-end sales charges of $178 from the sale of Class A shares and received $0 and $0 in contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C shares, respectively, for the six months ended April 30, 2022.
The Fund may invest in AB Government Money Market Portfolio (the Government Money Market Portfolio) which has a contractual annual advisory fee rate of .20% of the portfolios 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 January 31, 2023. In connection with the investment by the Fund in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Funds pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended April 30, 2022, such waiver amounted to $76,399.
A summary of the Funds transactions in AB mutual funds for the six months ended April 30, 2022 is as follows:
Fund |
Market Value 10/31/21 (000) |
Purchases at Cost (000) |
Sales Proceeds (000) |
Market Value 4/30/22 (000) |
Dividend Income (000) |
|||||||||||||||
Government Money Market Portfolio |
$ | 233,997 | $ | 575,727 | $ | 581,043 | $ | 228,681 | $ | 56 | ||||||||||
Government Money Market Portfolio* |
20,370 | 113,035 | 116,145 | 17,260 | 5 | |||||||||||||||
|
|
|
|
|||||||||||||||||
Total |
$ | 245,941 | $ | 61 | ||||||||||||||||
|
|
|
|
* | Investments of cash collateral for securities lending transactions (see Note E). |
During the six months ended April 30, 2022, the Adviser reimbursed the Fund $683 for trading losses incurred due to a trade entry error.
NOTE C
Distribution Services Agreement
The Fund has adopted a Distribution Services Agreement (the Agreement) pursuant to Rule 12b-1 under the Investment Company Act
58 | AB ALL MARKET REAL RETURN PORTFOLIO |
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
of 1940. Under the Agreement, the Fund pays distribution and servicing fees to AllianceBernstein Investments, Inc. (the Distributor) at an annual rate of up to .30% of the Funds average daily net assets attributable to Class A shares, 1% of the Funds average daily net assets attributable to Class C shares, .50% of the Funds average daily net assets attributable to Class R shares, .25% of the Funds average daily net assets attributable to Class K shares and .25% of the Funds average daily net assets attributable to Class 1 shares. There are no distribution and servicing fees on the Advisor Class, Class I, Class 2 and Class Z shares. Payments under the Plan in respect of Class A shares are currently limited to an annual rate of .25% of Class A shares average daily net assets. The fees are accrued daily and paid monthly. The Agreement provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. Since the commencement of the Funds operations, the Distributor has incurred expenses in excess of the distribution costs reimbursed by the Fund in the amounts of $160,369, $16,836, $19,717 and $1,940,789 for Class C, Class R, Class K and Class 1 shares, respectively. While such costs may be recovered from the Fund in future periods so long as the Agreement is in effect, the rate of the distribution and servicing fees payable under the Agreement may not be increased without a shareholder vote. In accordance with the Agreement, there is no provision for recovery of unreimbursed distribution costs incurred by the Distributor beyond the current fiscal year for Class A shares. The Agreement also provides that the Adviser may use its own resources to finance the distribution of the Funds shares.
NOTE D
Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the six months ended April 30, 2022 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding U.S. government securities) |
$ | 348,830,036 | $ | 380,913,347 | ||||
U.S. government securities |
0 | | 0 | |
The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation are as follows:
Gross unrealized appreciation |
$ | 208,873,276 | ||
Gross unrealized depreciation |
(97,381,216 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 111,492,060 | ||
|
|
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 59 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
1. Derivative Financial Instruments
The Fund may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, investment purposes), or to hedge or adjust the risk profile of its portfolio.
The principal types of derivatives utilized by the Fund, as well as the methods in which they may be used are:
| Futures |
The Fund may buy or sell futures for investment purposes or for the purpose of hedging its portfolio against adverse effects of potential movements in the market. The Fund bears the market risk that arises from changes in the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Fund may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under Currency Transactions.
At the time the Fund enters into futures, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Such amount is shown as cash collateral due from broker on the consolidated statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Use of long futures subjects the Fund to risk of loss in excess of the amounts shown on the consolidated statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Fund to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous days settlement price, which could effectively prevent liquidation of unfavorable positions.
60 | AB ALL MARKET REAL RETURN PORTFOLIO |
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
During the six months ended April 30, 2022, the Fund held futures for hedging and non-hedging purposes.
| Forward Currency Exchange Contracts |
The Fund may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to hedge certain firm purchase and sale commitments denominated in foreign currencies and for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under Currency Transactions.
A forward currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on forward currency exchange contracts. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Fund. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
During the six months ended April 30, 2022, the Fund held forward currency exchange contracts for hedging and non-hedging purposes.
| Swaps |
The Fund may enter into swaps to hedge its exposure to interest rates, credit risk, equity markets or currencies. The Fund may also enter into swaps for non-hedging purposes as a means of gaining market exposures, making direct investments in foreign currencies, as described below under Currency Transactions or in order to take a long or short position with respect to an underlying referenced asset described below under Total Return Swaps. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Fund in accordance with the terms of the respective swaps to provide value and recourse to the Fund or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Fund, and/or the termination value at the end of the
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 61 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
contract. Therefore, the Fund considers the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Funds exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Fund accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the consolidated statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the consolidated statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received for swaps are recognized as cost or proceeds on the consolidated statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the consolidated statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the consolidated statement of operations.
Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (FCMs) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.
At the time the Fund enters into a centrally cleared swap, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the consolidated statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation
62 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Inflation (CPI) Swaps:
Inflation swap agreements are contracts in which one party agrees to pay the cumulative percentage increase in a price index (the Consumer Price Index with respect to CPI swaps) over the term of the swap (with some lag on the inflation index), and the other pays a compounded fixed rate. Inflation swaps may be used to protect the net asset value, or NAV, of a Fund against an unexpected change in the rate of inflation measured by an inflation index since the value of these agreements is expected to increase if there are unexpected inflation increases.
During the six months ended April 30, 2022, the Fund held inflation (CPI) swaps for hedging and non-hedging purposes.
Total Return Swaps:
The Fund may enter into total return swaps in order to take a long or short position with respect to an underlying referenced asset. The Fund is subject to market price volatility of the underlying referenced asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Fund will receive a payment from or make a payment to the counterparty.
During the six months ended April 30, 2022, the Fund held total return swaps for hedging and non-hedging purposes.
Variance Swaps:
The Fund may enter into variance swaps to hedge equity market risk or adjust exposure to the equity markets. Variance swaps are contracts in which two parties agree to exchange cash payments based on the difference between the stated level of variance and the actual variance realized on underlying asset(s) or index(es). Actual variance as used here is defined as the sum of the square of the returns on the reference asset(s) or index(es) (which in effect is a measure of its volatility) over the length of the contract term. So the parties to a variance swap can be said to exchange actual volatility for a contractually stated rate of volatility.
During the six months ended April 30, 2022, the Fund held variance swaps for hedging and non-hedging purposes.
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 63 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
The Fund typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (ISDA Master Agreement) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the OTC counterparty certain derivative financial instruments payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Funds net liability, held by the defaulting party, may be delayed or denied.
The Funds ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Fund decline below specific levels (net asset contingent features). If these levels are triggered, the Funds OTC counterparty has the right to terminate such transaction and require the Fund to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty table below for additional details.
During the six months ended April 30, 2022, the Fund had entered into the following derivatives:
Asset Derivatives |
Liability Derivatives |
|||||||||||
Derivative Type |
Consolidated |
Fair Value | Consolidated |
Fair Value | ||||||||
Equity contracts |
Receivable/Payable for variation margin on futures |
$ |
274,329 |
* |
||||||||
Commodity contracts |
Receivable/Payable for variation margin on futures |
|
35,060,376 |
* |
Receivable/Payable for variation margin on futures |
$ |
19,159,365 |
* | ||||
Foreign currency contracts |
Unrealized appreciation on forward currency exchange contracts |
|
17,385,787 |
|
Unrealized depreciation on forward currency exchange contracts |
|
16,416,850 |
| ||||
Interest rate contracts |
Unrealized appreciation on inflation swaps |
|
15,805,801 |
|
64 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Asset Derivatives |
Liability Derivatives |
|||||||||||
Derivative Type |
Consolidated |
Fair Value | Consolidated |
Fair Value | ||||||||
Equity contracts |
Unrealized appreciation on total return swaps |
$ |
1,953,073 |
|
||||||||
|
|
|
|
|||||||||
Total |
$ | 70,479,366 | $ | 35,576,215 | ||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the consolidated statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the consolidated portfolio of investments. |
Derivative Type |
Location of Gain or |
Realized Gain or (Loss) on Derivatives |
Change in Unrealized Appreciation or (Depreciation) |
|||||||
Equity contracts |
Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | (891,577 | ) | $ | (83,606 | ) | |||
Commodity contracts |
Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | 76,128,527 | 5,993,495 | |||||||
Foreign currency contracts |
Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | (390,706 | ) | 707,514 | ||||||
Interest rate contracts |
Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 3,267,296 | 745,252 | |||||||
Commodity contracts |
Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (2,691,262 | ) | 962,153 |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 65 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Derivative Type |
Location of Gain or |
Realized Gain or (Loss) on Derivatives |
Change in Unrealized Appreciation or (Depreciation) |
|||||||
Foreign exchange contracts |
Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | $ | (66,699 | ) | $ | 187,124 | ||||
Equity contracts |
Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 5,145,164 | 3,436,265 | |||||||
|
|
|
|
|||||||
Total |
$ | 80,500,743 | $ | 11,948,197 | ||||||
|
|
|
|
The following table represents the average monthly volume of the Funds derivative transactions during the six months ended April 30, 2022:
Futures: |
||||
Average notional amount of buy contracts |
$ | 407,130,309 | ||
Average notional amount of sale contracts |
$ | 28,889,376 | ||
Forward Currency Exchange Contracts: |
||||
Average principal amount of buy contracts |
$ | 535,291,176 | ||
Average principal amount of sale contracts |
$ | 565,866,494 | ||
Inflation Swaps: |
||||
Average notional amount |
$ | 348,895,714 | ||
Total Return Swaps: |
||||
Average notional amount |
$ | 143,931,391 | ||
Variance Swaps: |
||||
Average notional amount |
$ | 1,445,350 | (a) |
(a) | Positions were open for five months during the period. |
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the consolidated statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Funds derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements (MA) and net of the related collateral received/pledged by the Fund as of April 30, 2022. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
66 | AB ALL MARKET REAL RETURN PORTFOLIO |
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
All Market Real Return Portfolio
Counterparty |
Derivative Assets Subject to a MA |
Derivatives Available for Offset |
Cash Collateral Received* |
Security Collateral Received* |
Net Amount of Derivative Assets |
|||||||||||||||
Bank of America, NA |
$ | 50,173 | $ | (50,173 | ) | $ | 0 | | $ | 0 | | $ | 0 | | ||||||
Barclays Bank PLC |
2,284,990 | (2,284,990 | ) | 0 | | 0 | | 0 | | |||||||||||
BNP Paribas SA |
93,346 | (93,346 | ) | 0 | | 0 | | 0 | | |||||||||||
Citibank, NA |
735,703 | (706,446 | ) | 0 | | 0 | | 29,257 | ||||||||||||
Credit Suisse International |
1,782,264 | (687,432 | ) | 0 | | 0 | | 1,094,832 | ||||||||||||
Deutsche Bank AG |
3,722,913 | (3,483,350 | ) | (210,000 | ) | 0 | | 29,563 | ||||||||||||
Goldman Sachs Bank USA/Goldman Sachs International |
17,365,984 | (2,222,397 | ) | (15,040,000 | ) | 0 | | 103,587 | ||||||||||||
HSBC Bank USA |
871,475 | (871,475 | ) | 0 | | 0 | | 0 | | |||||||||||
JPMorgan Chase Bank, NA |
48,541 | (48,541 | ) | 0 | | 0 | | 0 | | |||||||||||
Morgan Stanley Capital Services, Inc. |
348,677 | (348,677 | ) | 0 | | 0 | | 0 | | |||||||||||
Standard Chartered Bank |
766,330 | (57,877 | ) | (330,000 | ) | 0 | | 378,453 | ||||||||||||
State Street Bank & Trust Co. |
572,364 | (312,468 | ) | 0 | | 0 | | 259,896 | ||||||||||||
UBS AG |
3,353,135 | (415,948 | ) | 0 | | 0 | | 2,937,187 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 31,995,895 | $ | (11,583,120 | ) | $ | (15,580,000 | ) | $ | 0 | | $ | 4,832,775 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Counterparty |
Derivative Liabilities Subject to a MA |
Derivatives Available for Offset |
Cash Collateral Pledged* |
Security Collateral Pledged* |
Net Amount of Derivative Liabilities |
|||||||||||||||
Bank of America, NA |
$ | 187,076 | $ | (50,173 | ) | $ | (10,000 | ) | $ | 0 | | $ | 126,903 | |||||||
Barclays Bank PLC |
4,135,377 | (2,284,990 | ) | (1,210,000 | ) | 0 | | 640,387 | ||||||||||||
BNP Paribas SA |
1,333,703 | (93,346 | ) | 0 | | 0 | | 1,240,357 | ||||||||||||
Citibank, NA |
706,446 | (706,446 | ) | 0 | | 0 | | 0 | | |||||||||||
Credit Suisse International |
687,432 | (687,432 | ) | 0 | | 0 | | 0 | | |||||||||||
Deutsche Bank AG |
3,483,350 | (3,483,350 | ) | 0 | | 0 | | 0 | | |||||||||||
Goldman Sachs Bank USA/Goldman Sachs International |
2,222,397 | (2,222,397 | ) | 0 | | 0 | | 0 | | |||||||||||
HSBC Bank USA |
1,200,879 | (871,475 | ) | 0 | | 0 | | 329,404 |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 67 |
NOTES TO CONSOLIDATED 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 |
|||||||||||||||
JPMorgan Chase Bank, NA |
$ | 708,306 | $ | (48,541 | ) | $ | 0 | | $ | 0 | | $ | 659,765 | |||||||
Morgan Stanley Capital Services, Inc. |
808,222 | (348,677 | ) | 0 | | 0 | | 459,545 | ||||||||||||
Natwest Markets PLC |
157,369 | 0 | | 0 | | 0 | | 157,369 | ||||||||||||
Standard Chartered Bank |
57,877 | (57,877 | ) | 0 | | 0 | | 0 | | |||||||||||
State Street Bank & Trust Co. |
312,468 | (312,468 | ) | 0 | | 0 | | 0 | | |||||||||||
UBS AG |
415,948 | (415,948 | ) | 0 | | 0 | | 0 | | |||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 16,416,850 | $ | (11,583,120 | ) | $ | (1,220,000 | ) | $ | 0 | | $ | 3,613,730 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | 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. |
AllianceBernstein Cayman Inflation Strategy, Ltd.
Counterparty |
Derivative Assets Subject to a MA |
Derivatives Available for Offset |
Cash Collateral Received* |
Security Collateral Received* |
Net Amount of Derivative Assets |
|||||||||||||||
Citibank, NA |
$ | 2,928,448 | $ | 0 | | $ | (2,400,000 | ) | $ | 0 | | $ | 528,448 | |||||||
JPMorgan Chase Bank, NA |
220,318 | 0 | | 0 | | 0 | | 220,318 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 3,148,766 | $ | 0 | | $ | (2,400,000 | ) | $ | 0 | | $ | 748,766 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged may be more than the amount reported due to over-collateralization. |
^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
2. Currency Transactions
The Fund may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Fund may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Fund may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Fund and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Fund may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
68 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
NOTE E
Securities Lending
The Fund may enter into securities lending transactions. Under the Funds securities lending program, all loans of securities will be collateralized continually by cash collateral and/or non-cash collateral. Non-cash collateral will include only securities issued or guaranteed by the U.S. government or its agencies or instrumentalities. The Fund cannot sell or repledge any non-cash collateral, such collateral will not be reflected in the portfolio of investments. If a loan is collateralized by cash, the Fund will be compensated for the loan from a portion of the net return from the income earned on cash collateral after a rebate is paid to the borrower (in some cases, this rebate may be a negative rebate or fee paid by the borrower to the Fund in connection with the loan), and payments are made for fees of the securities lending agent and for certain other administrative expenses. If the Fund receives non-cash collateral, the Fund will receive a fee from the borrower generally equal to a negotiated percentage of the market value of the loaned securities. The Fund will have the right to call a loan and obtain the securities loaned at any time on notice to the borrower within the normal and customary settlement time for the securities. While the securities are on loan, the borrower is obligated to pay the Fund amounts equal to any dividend income or other distributions from the securities; however, these distributions will not be afforded the same preferential tax treatment as qualified dividends. The Fund will not be able to exercise voting rights with respect to any securities during the existence of a loan, but will have the right to regain ownership of loaned securities in order to exercise voting or other ownership rights. Collateral received and securities loaned are marked to market daily to ensure that the securities loaned are secured by collateral. The lending agent currently invests the cash collateral received in Government Money Market Portfolio, an eligible money market vehicle, in accordance with the investment restrictions of the Fund, and as approved by the Board. The collateral received on securities loaned is recorded as an asset as well as a corresponding liability in the consolidated statement of assets and liabilities. The collateral will be adjusted the next business day to maintain the required collateral amount. The amounts of securities lending income from the borrowers and Government Money Market Portfolio are reflected in the consolidated statement of operations. When the Fund earns net securities lending income from Government Money Market Portfolio, the income is inclusive of a rebate expense paid to the borrower. In connection with the cash collateral investment by the Fund in Government Money Market Portfolio, the Adviser has agreed to waive a portion of the Funds share of the advisory fees of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. When the Fund lends securities, its investment performance will continue to reflect changes in the value of the securities loaned. A principal risk of lending portfolio securities
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 69 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
is that the borrower may fail to return the loaned securities upon termination of the loan and that the collateral will not be sufficient to replace the loaned securities. The lending agent has agreed to indemnify the Fund in the case of default of any securities borrower.
A summary of the Funds transactions surrounding securities lending for the six months ended April 30, 2022 is as follows:
Government Money Market Portfolio |
||||||||||||||||||||||
Market on Loan* |
Cash Collateral* |
Market Value of Non-Cash Collateral* |
Income from Borrowers |
Income Earned |
Advisory Fee Waived |
|||||||||||||||||
$ | 30,932,398 | $ | 17,259,914 | $ | 15,765,742 | $ | 148,618 | $ | 4,649 | $ | 879 |
* | As of April 30, 2022. |
NOTE F
Capital Stock
Each class consists of 3,000,000,000 authorized shares. Transactions in capital shares for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2022 |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
|||||||||||||||||||||
|
|
|||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
Shares sold |
73,677 | 317,223 | $ | 757,762 | $ | 3,288,034 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends |
45,749 | 25,555 | 433,245 | 214,154 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares converted from Class C |
4,196 | 47,783 | 44,212 | 457,252 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(85,832 | ) | (804,855 | ) | (884,790 | ) | (7,247,828 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase (decrease) |
37,790 | (414,294 | ) | $ | 350,429 | $ | (3,288,388 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||
Shares sold |
16,618 | 64 | $ | 172,882 | $ | 591 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends |
1,299 | 1,081 | 12,612 | 9,141 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares converted to Class A |
(4,124 | ) | (47,515 | ) | (44,212 | ) | (457,252 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(886 | ) | (1,542 | ) | (9,000 | ) | (14,427 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase (decrease) |
12,907 | (47,912 | ) | $ | 132,282 | $ | (461,947 | ) | ||||||||||||||||
|
70 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2022 |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
|||||||||||||||||||||
|
|
|||||||||||||||||||||||
Advisor Class | ||||||||||||||||||||||||
Shares sold |
1,149,792 | 543,513 | $ | 11,796,583 | $ | 5,271,583 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends |
135,873 | 35,548 | 1,282,638 | 296,466 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(327,639 | ) | (442,417 | ) | (3,305,271 | ) | (4,262,588 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase |
958,026 | 136,644 | $ | 9,773,950 | $ | 1,305,461 | ||||||||||||||||||
|
||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||
Shares sold |
546 | 873 | $ | 5,571 | $ | 8,390 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends |
591 | 77 | 5,634 | 652 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(26 | ) | (1,930 | ) | (262 | ) | (18,669 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase (decrease) |
1,111 | (980 | ) | $ | 10,943 | $ | (9,627 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Class K | ||||||||||||||||||||||||
Shares sold |
71,766 | 70,470 | $ | 720,040 | $ | 687,598 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends |
11,559 | 3,926 | 108,197 | 32,508 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(83,841 | ) | (158,429 | ) | (832,847 | ) | (1,448,034 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net decrease |
(516 | ) | (84,033 | ) | $ | (4,610 | ) | $ | (727,928 | ) | ||||||||||||||
|
||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Shares sold |
198,822 | 286,467 | $ | 2,029,411 | $ | 2,889,024 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends |
267,422 | 97,928 | 2,495,050 | 808,887 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(141,059 | ) | (738,310 | ) | (1,394,827 | ) | (6,968,310 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase (decrease) |
325,185 | (353,915 | ) | $ | 3,129,634 | $ | (3,270,399 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||
Shares sold |
9,173,376 | 13,434,001 | $ | 90,952,820 | $ | 126,050,237 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends |
5,191,186 | 1,712,373 | 48,122,290 | 14,041,460 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(6,894,339 | ) | (13,764,673 | ) | (68,965,842 | ) | (126,361,702 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase |
7,470,223 | 1,381,701 | $ | 70,109,268 | $ | 13,729,995 | ||||||||||||||||||
|
||||||||||||||||||||||||
Class Z | ||||||||||||||||||||||||
Shares sold |
333,391 | 249,298 | $ | 3,525,819 | $ | 2,315,447 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends |
5,796,985 | 1,926,761 | 54,143,834 | 15,915,046 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(14,863,076 | ) | (844,383 | ) | (140,576,445 | ) | (7,443,092 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase (decrease) |
(8,732,700 | ) | 1,331,676 | $ | (82,906,792 | ) | $ | 10,787,401 | ||||||||||||||||
|
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 71 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
There were no transactions in capital shares for Class 2 for the six months ended April 30, 2022 and the year ended October 31, 2021.
At April 30, 2022, certain AB mutual funds owned approximately 34% of the Funds outstanding shares. Significant transactions by such shareholder, if any, may impact the Funds performance.
NOTE G
Risks Involved in Investing in the Fund
Market RiskThe value of the Funds assets will fluctuate as the stock, commodity and bond markets fluctuate. The value of the Funds investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market.
Credit RiskAn issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security. Investments in fixed-income securities with lower ratings tend to have a higher probability that an issuer will default or fail to meet its payment obligations.
Interest-Rate RiskChanges in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Commodity RiskInvesting in commodities and commodity-linked derivative instruments, either directly or through the Subsidiary, may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.
72 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Derivatives RiskDerivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, 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 Fund.
Leverage RiskWhen the Fund borrows money or otherwise leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Funds investments. The Fund may create leverage through the use of reverse repurchase arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures or by borrowing money. The use of other types of derivative instruments by the Fund, such as options and swaps, may also result in a form of leverage. Leverage may result in higher returns to the Fund than if the Fund were not leveraged, but may also adversely affect returns, particularly if the market is declining.
Inflation RiskThis 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 Funds assets can decline as can the value of the Funds distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Illiquid Investments RiskIlliquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes and large positions. Foreign fixed-income securities may have more illiquid investments risk because secondary trading markets for these securities may be smaller and less well-developed and the securities may trade less frequently. Illiquid investments risk may be higher in a rising interest rate environment, when the value and liquidity of fixed-income securities generally go down.
Foreign (Non-U.S.) RiskInvestments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Currency RiskFluctuations in currency exchange rates may negatively affect the value of the Funds investments or reduce its returns.
Subsidiary RiskBy investing in the Subsidiary, the Fund is indirectly exposed to the risks associated with the Subsidiarys investments. The
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 73 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
derivatives and other investments held by the Subsidiary are generally similar to those that are permitted to be held by the Fund and are subject to the same risks that apply to similar investments if held directly by the Fund. The Subsidiary is not registered under the Investment Company Act of 1940, as amended (the 1940 Act), and, unless otherwise noted in the Funds Prospectus, is not subject to all of the investor protections of the 1940 Act. However, the Fund wholly owns and controls the Subsidiary, and the Fund and the Subsidiary are managed by the Adviser, making it unlikely the Subsidiary will take actions contrary to the interests of the Fund or its shareholders.
Real Estate RiskThe Funds investments in the real estate securities have many of the same risks as direct ownership of real estate, including the risk that the value of real estate could decline due to a variety of factors that affect the real estate market generally. Investments in REITs may have additional risks. REITs are dependent on the capability of their managers, may have limited diversification, and could be significantly affected by changes in taxes.
Non-Diversification RiskThe Fund may have more risk because it is non-diversified, meaning that it can invest more of its assets in a smaller number of issuers. Accordingly, changes in the value of a single security may have a more significant effect, either negative or positive, on the Funds NAV.
LIBOR Transition and Associated RiskA Fund may be exposed to debt securities, derivatives or other financial instruments that are tied to 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 LIBORs 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. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserves Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S.
74 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.
The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Funds performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Funds 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. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.
Indemnification RiskIn the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Funds maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Fund has not accrued any liability in connection with these indemnification provisions.
Management RiskThe Fund is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE H
Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Fund, participate in a $325 million revolving credit facility (the Facility) intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 75 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
included in miscellaneous expenses in the consolidated statement of operations. The Fund did not utilize the Facility during the six months ended April 30, 2022.
NOTE I
Distributions to Shareholders
The tax character of distributions to be paid for the year ending October 31, 2022 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended October 31, 2021 and October 31, 2020 were as follows:
2021 | 2020 | |||||||
Distributions paid from: |
||||||||
Ordinary income |
$ | 34,109,559 | $ | 22,804,583 | ||||
|
|
|
|
|||||
Total distributions paid |
$ | 34,109,559 | $ | 22,804,583 | ||||
|
|
|
|
As of October 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed ordinary income |
$ | 117,458,659 | ||
Accumulated capital and other losses |
(61,812,103 | )(a) | ||
Unrealized appreciation/(depreciation) |
(151,358,647 | )(b) | ||
|
|
|||
Total accumulated earnings/(deficit) |
$ | (95,712,091 | )(c) | |
|
|
(a) | As of October 31, 2021, the Fund had a net capital loss carryforward of $61,812,103. During the fiscal year, the Fund utilized $68,312,672 of capital loss carry forwards to offset current year net realized gains. |
(b) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the recognition for tax purposes of unrealized gains/losses on certain derivative instruments, the tax treatment of passive foreign investment companies (PFICs), the tax treatment of earnings from the Subsidiary, the tax treatment of swaps, and the tax deferral of losses on wash sales. |
(c) | The difference between book-basis and tax-basis components of accumulated earnings/(deficit) is attributable primarily to the accrual of foreign capital gains tax. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of October 31, 2021, the Fund had a net short-term capital loss carryforward of $61,812,103 which may be carried forward for an indefinite period.
NOTE J
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
76 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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 K
Subsequent Events
Management has evaluated subsequent events for possible recognition or disclosure in the consolidated financial statements through the date the consolidated financial statements are issued. Management has determined that there are no material events that would require disclosure in the Funds consolidated financial statements through this date.
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 77 |
CONSOLIDATED FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class A | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 10.81 | $ 7.65 | $ 8.66 | $ 8.53 | $ 8.90 | $ 8.24 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.06 | .27 | .09 | .12 | .14 | .09 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
.36 | 3.14 | (.96 | ) | .13 | (.23 | ) | .76 | ||||||||||||||||
Contributions from Affiliates |
.00 | (c) | 0 | | .00 | (c) | 0 | | 0 | | .00 | (c) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
.42 | 3.41 | (.87 | ) | .25 | (.09 | ) | .85 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends |
||||||||||||||||||||||||
Dividends from net investment income |
(.95 | ) | (.25 | ) | (.14 | ) | (.12 | ) | (.28 | ) | (.19 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 10.28 | $ 10.81 | $ 7.65 | $ 8.66 | $ 8.53 | $ 8.90 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(d)* |
4.49 | % | 45.48 | %(g) | (10.11 | )% | 2.97 | % | (1.11 | )% | 10.45 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$5,430 | $5,306 | $6,926 | $10,634 | $11,478 | $11,819 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f) |
1.13 | %^ | 1.29 | % | 1.29 | % | 1.30 | % | 1.26 | % | 1.27 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f) |
1.14 | %^ | 1.39 | % | 1.40 | % | 1.32 | % | 1.27 | % | 1.28 | % | ||||||||||||
Net investment income(b) |
1.15 | %^ | 2.86 | % | 1.10 | % | 1.42 | % | 1.52 | % | 1.05 | % | ||||||||||||
Portfolio turnover rate |
35 | % | 65 | % | 88 | % | 100 | % | 141 | % | 123 | % | ||||||||||||
Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios |
.02 | %^ | .03 | % | .04 | % | .02 | % | .03 | % | .04 | % |
See | footnote summary on page 87. |
78 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class C | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 10.86 | $ 7.66 | $ 8.63 | $ 8.49 | $ 8.83 | $ 8.17 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income (loss)(a)(b) |
.02 | (.49 | ) | .03 | .06 | .07 | .02 | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
.36 | 3.86 | (.95 | ) | .11 | (.23 | ) | .76 | ||||||||||||||||
Contributions from Affiliates |
.00 | (c) | 0 | | .00 | (c) | 0 | | 0 | | .00 | (c) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
.38 | 3.37 | (.92 | ) | .17 | (.16 | ) | .78 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends |
||||||||||||||||||||||||
Dividends from net investment income |
(.73 | ) | (.17 | ) | (.05 | ) | (.03 | ) | (.18 | ) | (.12 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 10.51 | $ 10.86 | $ 7.66 | $ 8.63 | $ 8.49 | $ 8.83 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(d)* |
4.08 | % | 44.41 | % | (10.74 | )%(g) | 2.05 | %(g) | (1.82 | )% | 9.73 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$329 | $199 | $508 | $754 | $1,225 | $1,801 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f) |
1.89 | %^ | 2.04 | % | 2.04 | % | 2.05 | % | 2.01 | % | 2.02 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f) |
1.91 | %^ | 2.19 | % | 2.15 | % | 2.07 | % | 2.02 | % | 2.03 | % | ||||||||||||
Net investment income (loss)(b) |
.44 | %^ | (5.20 | )% | .34 | % | .66 | % | .78 | % | .27 | % | ||||||||||||
Portfolio turnover rate |
35 | % | 65 | % | 88 | % | 100 | % | 141 | % | 123 | % | ||||||||||||
Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios |
.02 | %^ | .03 | % | .04 | % | .02 | % | .03 | % | .04 | % |
See | footnote summary on page 87. |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 79 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 10.79 | $ 7.63 | $ 8.63 | $ 8.51 | $ 8.89 | $ 8.22 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.07 | .16 | .11 | .14 | .16 | .11 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
.34 | 3.27 | (.95 | ) | .12 | (.24 | ) | .77 | ||||||||||||||||
Contributions from Affiliates |
.00 | (c) | 0 | | .00 | (c) | 0 | | 0 | | .00 | (c) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
.41 | 3.43 | (.84 | ) | .26 | (.08 | ) | .88 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends |
||||||||||||||||||||||||
Dividends from net investment income |
(.95 | ) | (.27 | ) | (.16 | ) | (.14 | ) | (.30 | ) | (.21 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 10.25 | $ 10.79 | $ 7.63 | $ 8.63 | $ 8.51 | $ 8.89 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(d)* |
4.70 | % | 45.82 | %(g) | (9.79 | )% | 3.15 | % | (.96 | )% | 10.87 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$27,023 | $18,096 | $11,761 | $18,611 | $26,030 | $27,670 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f) |
.88 | %^ | 1.04 | % | 1.04 | % | 1.05 | % | 1.01 | % | 1.02 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f) |
.89 | %^ | 1.17 | % | 1.14 | % | 1.07 | % | 1.02 | % | 1.02 | % | ||||||||||||
Net investment income(b) |
1.41 | %^ | 1.60 | % | 1.33 | % | 1.66 | % | 1.77 | % | 1.31 | % | ||||||||||||
Portfolio turnover rate |
35 | % | 65 | % | 88 | % | 100 | % | 141 | % | 123 | % | ||||||||||||
Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios |
.02 | %^ | .03 | % | .04 | % | .02 | % | .03 | % | .04 | % |
See | footnote summary on page 87. |
80 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class R | ||||||||||||||||||||||||
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 10.83 | $ 7.53 | $ 8.53 | $ 8.40 | $ 8.79 | $ 8.14 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income (loss)(a)(b) |
.04 | (.02 | ) | .07 | .10 | .11 | .07 | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
.35 | 3.41 | (.95 | ) | .11 | (.23 | ) | .76 | ||||||||||||||||
Contributions from Affiliates |
.00 | (c) | 0 | | .00 | (c) | 0 | | 0 | | .00 | (c) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
.39 | 3.39 | (.88 | ) | .21 | (.12 | ) | .83 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends |
||||||||||||||||||||||||
Dividends from net investment income |
(.90 | ) | (.09 | ) | (.12 | ) | (.08 | ) | (.27 | ) | (.18 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 10.32 | $ 10.83 | $ 7.53 | $ 8.53 | $ 8.40 | $ 8.79 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(d)* |
4.32 | % | 45.23 | %(g) | (10.32 | )% | 2.62 | % | (1.47 | )% | 10.29 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$75 | $67 | $54 | $271 | $271 | $239 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f) |
1.54 | %^ | 1.54 | % | 1.54 | % | 1.55 | % | 1.55 | % | 1.54 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f) |
1.59 | %^ | 1.57 | % | 1.60 | % | 1.57 | % | 1.58 | % | 1.60 | % | ||||||||||||
Net investment income (loss)(b) |
.75 | %^ | (.19 | )% | .92 | % | 1.16 | % | 1.24 | % | .81 | % | ||||||||||||
Portfolio turnover rate |
35 | % | 65 | % | 88 | % | 100 | % | 141 | % | 123 | % | ||||||||||||
Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios |
.02 | %^ | .03 | % | .04 | % | .02 | % | .03 | % | .04 | % |
See | footnote summary on page 87. |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 81 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class K | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 10.68 | $ 7.55 | $ 8.55 | $ 8.42 | $ 8.80 | $ 8.15 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income (loss)(a)(b) |
.05 | (.02 | ) | .08 | .12 | .13 | .09 | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
.35 | 3.39 | (.94 | ) | .13 | (.23 | ) | .75 | ||||||||||||||||
Contributions from Affiliates |
.00 | (c) | 0 | | .00 | (c) | 0 | | 0 | | .00 | (c) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
.40 | 3.37 | (.86 | ) | .25 | (.10 | ) | .84 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends |
||||||||||||||||||||||||
Dividends from net investment income |
(.94 | ) | (.24 | ) | (.14 | ) | (.12 | ) | (.28 | ) | (.19 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 10.14 | $ 10.68 | $ 7.55 | $ 8.55 | $ 8.42 | $ 8.80 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(d)* |
4.46 | % | 45.60 | %(g) | (10.10 | )% | 3.03 | % | (1.20 | )% | 10.48 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$1,093 | $1,157 | $1,453 | $2,069 | $2,604 | $2,265 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f) |
1.26 | %^ | 1.26 | % | 1.28 | % | 1.27 | % | 1.26 | % | 1.28 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f) |
1.28 | %^ | 1.28 | % | 1.29 | % | 1.28 | % | 1.27 | % | 1.29 | % | ||||||||||||
Net investment income (loss)(b) |
1.04 | %^ | (.18 | )% | 1.08 | % | 1.44 | % | 1.52 | % | 1.05 | % | ||||||||||||
Portfolio turnover rate |
35 | % | 65 | % | 88 | % | 100 | % | 141 | % | 123 | % | ||||||||||||
Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios |
.02 | %^ | .03 | % | .04 | % | .02 | % | .03 | % | .04 | % |
See | footnote summary on page 87. |
82 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class I | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
Net asset value, beginning of period |
$ 10.70 | $ 7.58 | $ 8.58 | $ 8.46 | $ 8.83 | $ 8.17 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.07 | .09 | .12 | .15 | .17 | .12 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
.34 | 3.32 | (.94 | ) | .13 | (.22 | ) | .77 | ||||||||||||||||
Contributions from Affiliates |
.00 | (c) | 0 | | .00 | (c) | 0 | | 0 | | .00 | (c) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
.41 | 3.41 | (.82 | ) | .28 | (.05 | ) | .89 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends |
||||||||||||||||||||||||
Dividends from net investment income |
(.98 | ) | (.29 | ) | (.18 | ) | (.16 | ) | (.32 | ) | (.23 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 10.13 | $ 10.70 | $ 7.58 | $ 8.58 | $ 8.46 | $ 8.83 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(d)* |
4.61 | % | 46.03 | %(g) | (9.76 | )% | 3.39 | % | (.69 | )% | 10.98 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$28,879 | $27,013 | $21,817 | $23,541 | $12,213 | $16,753 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f) |
.86 | %^ | .84 | % | .86 | % | .85 | % | .83 | % | .85 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f) |
.87 | %^ | .85 | % | .87 | % | .86 | % | .84 | % | .86 | % | ||||||||||||
Net investment income(b) |
1.43 | %^ | .88 | % | 1.49 | % | 1.79 | % | 1.96 | % | 1.48 | % | ||||||||||||
Portfolio turnover rate |
35 | % | 65 | % | 88 | % | 100 | % | 141 | % | 123 | % | ||||||||||||
Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios |
.02 | %^ | .03 | % | .04 | % | .02 | % | .03 | % | .04 | % |
See | footnote summary on page 87. |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 83 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class 1 | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net asset value, beginning of period |
$ 10.61 | $ 7.52 | $ 8.51 | $ 8.39 | $ 8.76 | $ 8.11 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.06 | .13 | .10 | .13 | .15 | .10 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
.34 | 3.23 | (.93 | ) | .12 | (.22 | ) | .76 | ||||||||||||||||
Contributions from Affiliates |
.00 | (c) | 0 | | .00 | (c) | 0 | | 0 | | .00 | (c) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
.40 | 3.36 | (.83 | ) | .25 | (.07 | ) | .86 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends |
||||||||||||||||||||||||
Dividends from net investment income |
(.96 | ) | (.27 | ) | (.16 | ) | (.13 | ) | (.30 | ) | (.21 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 10.05 | $ 10.61 | $ 7.52 | $ 8.51 | $ 8.39 | $ 8.76 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(d)* |
4.60 | % | 45.63 | % | (9.94 | )% | 3.14 | % | (.92 | )% | 10.69 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$718,361 | $678,946 | $470,635 | $608,485 | $641,891 | $649,421 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f) |
1.08 | %^ | 1.08 | % | 1.10 | % | 1.09 | % | 1.08 | % | 1.09 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f) |
1.10 | %^ | 1.10 | % | 1.11 | % | 1.10 | % | 1.08 | % | 1.10 | % | ||||||||||||
Net investment income(b) |
1.21 | %^ | 1.33 | % | 1.26 | % | 1.62 | % | 1.71 | % | 1.24 | % | ||||||||||||
Portfolio turnover rate |
35 | % | 65 | % | 88 | % | 100 | % | 141 | % | 123 | % | ||||||||||||
Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios |
.02 | %^ | .03 | % | .04 | % | .02 | % | .03 | % | .04 | % |
See | footnote summary on page 87. |
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CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class 2 | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 10.88 | $ 7.70 | $ 8.71 | $ 8.58 | $ 8.96 | $ 8.29 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.08 | .14 | .12 | .16 | .18 | .13 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
.34 | 3.33 | (.95 | ) | .13 | (.24 | ) | .77 | ||||||||||||||||
Contributions from Affiliates |
.00 | (c) | 0 | | .00 | (c) | 0 | | 0 | | .00 | (c) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
.42 | 3.47 | (.83 | ) | .29 | (.06 | ) | .90 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends |
||||||||||||||||||||||||
Dividends from net investment income |
(.98 | ) | (.29 | ) | (.18 | ) | (.16 | ) | (.32 | ) | (.23 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 10.32 | $ 10.88 | $ 7.70 | $ 8.71 | $ 8.58 | $ 8.96 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(d)* |
4.74 | % | 46.10 | % | (9.70 | )% | 3.46 | % | (.77 | )% | 10.96 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$10 | $11 | $8 | $9 | $9 | $9 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f) |
.80 | %^ | .83 | % | .82 | % | .81 | % | .82 | % | .82 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f) |
.81 | %^ | .84 | % | .84 | % | .81 | % | .82 | % | .83 | % | ||||||||||||
Net investment income(b) |
1.48 | %^ | 1.45 | % | 1.53 | % | 1.90 | % | 1.95 | % | 1.50 | % | ||||||||||||
Portfolio turnover rate |
35 | % | 65 | % | 88 | % | 100 | % | 141 | % | 123 | % | ||||||||||||
Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios |
.02 | %^ | .03 | % | .04 | % | .02 | % | .03 | % | .04 | % |
See | footnote summary on page 87. |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 85 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class Z | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 10.70 | $ 7.58 | $ 8.58 | $ 8.46 | $ 8.83 | $ 8.17 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.07 | .14 | .12 | .16 | .17 | .13 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
.35 | 3.27 | (.94 | ) | .12 | (.22 | ) | .76 | ||||||||||||||||
Contributions from Affiliates |
.00 | (c) | 0 | | .00 | (c) | 0 | | 0 | | .00 | (c) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
.42 | 3.41 | (.82 | ) | .28 | (.05 | ) | .89 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends |
||||||||||||||||||||||||
Dividends from net investment income |
(.98 | ) | (.29 | ) | (.18 | ) | (.16 | ) | (.32 | ) | (.23 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 10.14 | $ 10.70 | $ 7.58 | $ 8.58 | $ 8.46 | $ 8.83 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(d)* |
4.72 | % | 46.17 | % | (9.75 | )% | 3.37 | % | (.68 | )% | 10.98 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$481,165 | $601,545 | $415,967 | $487,326 | $1,013,733 | $692,895 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f) |
.83 | % ^ | .84 | % | .85 | % | .84 | % | .83 | % | .82 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f) |
.85 | % ^ | .85 | % | .86 | % | .85 | % | .84 | % | .83 | % | ||||||||||||
Net investment income(b) |
1.46 | % ^ | 1.44 | % | 1.51 | % | 1.89 | % | 1.86 | % | 1.60 | % | ||||||||||||
Portfolio turnover rate |
35 | % | 65 | % | 88 | % | 100 | % | 141 | % | 123 | % | ||||||||||||
Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios |
.02 | %^ | .03 | % | .04 | % | .02 | % | .03 | % | .04 | % |
See | footnote summary on page 87. |
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CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
(a) | Based on average shares outstanding. |
(b) | Net of expenses waived/reimbursed by the Adviser. |
(c) | Amount is less than $.005. |
(d) | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Initial sales charges or contingent deferred sales charges are not reflected in the calculation of total investment return. Total return does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Total investment return calculated for a period of less than one year is not annualized. |
(e) | In connection with the Funds investments in affiliated underlying portfolios, the Fund incurs no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Fund in an amount equal to the Funds pro rata share of certain acquired fund fees and expenses, and for the six months ended April 30, 2022 and the years ended October 31, 2021, October 31, 2020, October 31, 2019, October 31, 2018 and October 31, 2017, such waiver amounted to .01% (annualized), .01%, .01%, .01%, .01% and .01%, respectively. |
(f) | The expense ratios presented below exclude interest/bank overdraft expense: |
Six Months Ended (unaudited) |
Year Ended October 31, | |||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||
|
| |||||||||||||
Class A | ||||||||||||||
Net of waivers/reimbursements |
1.13%^ | 1.29% | 1.29 | % | 1.29% | 1.26% | 1.27% | |||||||
Before waivers/reimbursements |
1.14%^ | 1.39% | 1.40 | % | 1.32% | 1.27% | 1.28% | |||||||
Class C | ||||||||||||||
Net of waivers/reimbursements |
1.89%^ | 2.04% | 2.04 | % | 2.04% | 2.01% | 2.02% | |||||||
Before waivers/reimbursements |
1.91%^ | 2.19% | 2.15 | % | 2.07% | 2.02% | 2.03% | |||||||
Advisor Class | ||||||||||||||
Net of waivers/reimbursements |
.88%^ | 1.04% | 1.04 | % | 1.04% | 1.01% | 1.02% | |||||||
Before waivers/reimbursements |
.89%^ | 1.17% | 1.14 | % | 1.06% | 1.02% | 1.02% | |||||||
Class R | ||||||||||||||
Net of waivers/reimbursements |
1.54%^ | 1.54% | 1.54 | % | 1.54% | 1.55% | 1.54% | |||||||
Before waivers/reimbursements |
1.59%^ | 1.57% | 1.60 | % | 1.57% | 1.58% | 1.60% | |||||||
Class K | ||||||||||||||
Net of waivers/reimbursements |
1.26%^ | 1.26% | 1.28 | % | 1.27% | 1.26% | 1.28% | |||||||
Before waivers/reimbursements |
1.28%^ | 1.28% | 1.29 | % | 1.28% | 1.27% | 1.29% | |||||||
Class I | ||||||||||||||
Net of waivers/reimbursements |
.86%^ | .84% | .86 | % | .84% | .83% | .85% | |||||||
Before waivers/reimbursements |
.87%^ | .85% | .87 | % | .85% | .84% | .86% | |||||||
Class 1 | ||||||||||||||
Net of waivers/reimbursements |
1.08%^ | 1.08% | 1.10 | % | 1.09% | 1.08% | 1.09% | |||||||
Before waivers/reimbursements |
1.10%^ | 1.10% | 1.11 | % | 1.09% | 1.08% | 1.10% | |||||||
Class 2 | ||||||||||||||
Net of waivers/reimbursements |
.80%^ | .83% | .82 | % | .81% | .82% | .82% | |||||||
Before waivers/reimbursements |
.80%^ | .84% | .84 | % | .81% | .82% | .83% | |||||||
Class Z | ||||||||||||||
Net of waivers/reimbursements |
.83%^ | .84% | .85 | % | .83% | .83% | .82% | |||||||
Before waivers/reimbursements |
.85%^ | .85% | .86 | % | .84% | .84% | .83% |
* | Includes the impact of proceeds received and credited to the Fund resulting from class action settlements, which enhanced the Funds performance for the years ended October 31, 2020 and October 31, 2019 by .02% and .07%, respectively. |
^ | Annualized. |
See | notes to consolidated financial statements. |
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BOARD OF DIRECTORS
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and Chief Executive Officer |
Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) |
OFFICERS
Vinod Chathlani(2), Vice President Daniel J. Loewy(2), Vice President Leon Zhu(2), Vice President Emilie D. Wrapp, Secretary Michael B. Reyes, Senior 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 Boston, MA 02210
Principal Underwriter 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 |
Independent Registered Public Ernst & Young LLP One Manhattan West New York, NY 10001
Legal Counsel Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
1 | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
2 | The day-to-day management of, and investment decisions for, the Funds portfolio are made by the Advisers All Market Real Return Portfolio Team. Messrs. Chathlani, Loewy and Zhu are the investment professionals with the most significant responsibility for the day-to-day management of the Funds portfolio. |
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Operation and Effectiveness of the Funds Liquidity Risk Management Program:
In October 2016, the Securities and Exchange Commission (SEC) adopted the open-end fund liquidity rule (the Liquidity Rule). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (LRMP) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Fund to designate an Administrator of the Funds Liquidity Risk Management Program. The Administrator of the Funds LRMP is AllianceBernstein L.P., the Funds 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 Funds Board of Trustees (the Fund Board) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the funds 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 LRMPs principal objectives include supporting the Funds compliance with limits on investments in illiquid assets and mitigating the risk that the Fund will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Fund classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Funds strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Fund participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Fund is required to maintain a Highly Liquid Investment Minimum (HLIM). The Committee also incorporated the following information when determining the Funds reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Funds 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 Funds LRMP is adequately designed, has been implemented as intended,
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 89 |
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 Fund or its ability to timely meet redemptions during the Program Reporting Period.
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Information Regarding the Review and Approval of the Funds Advisory Agreement
The disinterested directors (the directors) of AB Bond Fund, Inc. (the Company) unanimously approved the continuance of the Companys Advisory Agreement with the Adviser in respect of AB All Market Real Return Portfolio (the Fund) at a meeting held by video conference on August 3-4, 2021 (the Meeting).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Advisers integrity and competence they have gained from that experience, the Advisers initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Advisers willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund and the money market fund advised by the Adviser in which the Fund invests a portion of its assets.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business judgment. The material factors and conclusions that formed the basis for the directors determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 91 |
research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Funds investment strategies and from time to time proposes changes intended to improve the Funds relative or absolute performance for the directors consideration. They also noted the professional experience and qualifications of the Funds portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Advisory Agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant at the request of the directors. The quality of administrative and other services, including the Advisers role in coordinating the activities of the Funds other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2019 and 2020 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Advisers relationship with the Fund, including those relating to its subsidiaries that provide transfer agency, distribution and brokerage services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Advisers relationship with the Fund before taxes and distribution expenses. The directors concluded that the Advisers level of profitability from its relationship with the Fund was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the money market fund advised
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by the Adviser in which the Fund invests, including, but not limited to, benefits relating to soft dollar arrangements (whereby investment advisers receive brokerage and research services from brokers that execute transactions for their clients); 12b-1 fees and sales charges received by the Funds principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of the Funds shares; brokerage commissions paid by the Fund to brokers affiliated with the Adviser; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Advisers profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the 15(c) service provider), showing the performance of the Class A Shares of the Fund against a group of similar funds (peer group) and a larger group of similar funds (peer universe), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5-, and 10-year periods ended May 31, 2021 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, and their discussion with the Adviser of the reasons for the Funds underperformance in the periods reviewed, the directors concluded that the Funds investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees payable by other funds. The directors compared the Funds contractual advisory fee rate with a peer group median and took into account the impact on the advisory fee rate of the administrative expense reimbursement paid to the Adviser in the latest fiscal year.
The directors also considered the Advisers fee schedule for other clients utilizing investment strategies similar to those of the Fund. For this purpose, they reviewed the relevant advisory fee information from the Advisers Form ADV and in a report from the Funds Senior Analyst and noted the differences between the Funds fee schedule, on the one hand,
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 93 |
and the Advisers institutional fee schedule, on the other. The directors noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the directors and that they had previously discussed with the Adviser its policies in respect of such arrangements.
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional clients. In this regard, the Adviser noted, among other things, that, compared to institutional accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions and compliance obligations; (iii) must prepare and file or distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund shareholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the Adviser to institutional clients as compared to the Fund, and the different risk profile, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
The directors noted that the Fund invests in shares of exchange-traded funds (ETFs), subject to the restrictions and limitations of the Investment Company Act of 1940 as these may be varied as a result of exemptive orders issued, and rules adopted, by the SEC. The directors also noted that ETFs pay advisory fees pursuant to their advisory contracts, and that the Adviser had provided, and they had reviewed, information about the expense ratios of the relevant ETFs. The directors concluded, based on the Advisers explanation of how it uses ETFs when they are the most cost-effective way to obtain desired exposures, in some cases pending purchases of underlying securities, that the advisory fee for the Fund is for services that are in addition to, rather than duplicative of, the services provided under the advisory contracts of the ETFs.
In connection with their review of the Funds advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Funds latest fiscal year and the directors considered the Advisers expense cap for the Fund. The directors noted that it was likely that the expense ratios of some of the other funds in the Funds category were lowered by waivers or reimbursements by those funds investment advisers, which in
94 | AB ALL MARKET REAL RETURN PORTFOLIO |
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some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Advisers services because the Adviser is responsible for coordinating services provided to the Fund by others. The directors noted that the Funds expense ratio was above the medians. After reviewing and discussing the Advisers explanations of the reasons for this, the directors concluded that the Funds expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedule for the Fund does not contain breakpoints and that they had discussed their strong preference for breakpoints in advisory contracts with the Adviser. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a funds adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a funds operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. The directors informed the Adviser that they would monitor the Funds asset level (which was well below the level at which they would anticipate adding an initial breakpoint) and its profitability to the Adviser and anticipated revisiting the question of breakpoints in the future if circumstances warranted doing so.
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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 Portfolio1
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
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 Funds 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 Funds 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 August 23, 2021, Sustainable US Thematic Portfolio was named FlexFee US Thematic Portfolio. Prior to December 1, 2021, Sustainable Thematic Balanced Portfolio was named Conservative Wealth Strategy. |
96 | AB ALL MARKET REAL RETURN PORTFOLIO |
abfunds.com |
AB ALL MARKET REAL RETURN PORTFOLIO
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
AMRR-0152-0422
APR 04.30.22
SEMI-ANNUAL REPORT
AB BOND INFLATION STRATEGY
As of January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, the Funds annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically requested paper copies of the reports. Instead, the reports are made available on a website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.
You may elect to receive all future reports in paper form free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call the Fund at (800) 221 5672. Your election to receive reports in paper form will apply to all funds held in your account with your financial intermediary or, if you invest directly, to all AB Mutual Funds you hold.
Investment Products Offered | Are Not FDIC Insured May Lose Value Are Not Bank Guaranteed |
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Funds prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Funds 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 ABs website at www.abfunds.com, or go to the Securities and Exchange Commissions (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 Funds Form N-PORT reports are available on the Commissions 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.
FROM THE PRESIDENT |
Dear Shareholder,
Were pleased to provide this report for the AB Bond Inflation Strategy (the Fund). Please review the discussion of Fund performance, the market conditions during the reporting period and the Funds investment strategy.
At AB, were striving to help our clients achieve better outcomes by:
+ | Fostering diverse perspectives that give us a distinctive approach to navigating global capital markets |
+ | Applying differentiated investment insights through a connected global research network |
+ | Embracing innovation to design better ways to invest and leading-edge mutual-fund solutions |
Whether youre an individual investor or a multibillion-dollar institution, were putting our knowledge and experience to work for you every day.
For more information about ABs comprehensive range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in AB mutual fundsand for placing your trust in our firm.
Sincerely,
Onur Erzan
President and Chief Executive Officer, AB Mutual Funds
abfunds.com | AB BOND INFLATION STRATEGY | 1 |
SEMI-ANNUAL REPORT
June 6, 2022
This report provides managements discussion of fund performance for the AB Bond Inflation Strategy for the semi-annual reporting period ended April 30, 2022.
The Funds investment objective is to maximize real return without assuming what the Adviser considers to be undue risk.
NAV RETURNS AS OF APRIL 30, 2022 (unaudited)
6 Months | 12 Months | |||||||
AB BOND INFLATION STRATEGY | ||||||||
Class 1 Shares1 | -2.45% | 0.79% | ||||||
Class 2 Shares1 | -2.49% | 0.88% | ||||||
Class A Shares | -2.57% | 0.55% | ||||||
Class C Shares | -2.95% | -0.14% | ||||||
Advisor Class Shares2 | -2.46% | 0.88% | ||||||
Class R Shares2 | -2.75% | 0.36% | ||||||
Class K Shares2 | -2.63% | 0.60% | ||||||
Class I Shares2 | -2.43% | 0.86% | ||||||
Class Z Shares2 | -2.49% | 0.87% | ||||||
Bloomberg 1-10 Year TIPS Index | -1.96% | 1.52% |
1 | Class 1 shares are only available to Bernstein Global Wealth Management private client accounts. Class 2 shares are only available to large Bernstein Global Wealth Management private client accounts and the Advisers institutional clients or through other limited arrangements. |
2 | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
INVESTMENT RESULTS
The table above shows the Funds performance compared to its benchmark, the Bloomberg 1-10 Year Treasury Inflation-Protected Securities (TIPS) Index, for the six- and 12-month periods ended April 30, 2022.
During both periods, all share classes underperformed the benchmark, before sales charges. In the six-month period, the Funds yield-curve positioning on the five-year part of the curve detracted the most, relative to the benchmark. Positioning in six-month and five-year US Treasury Inflation-Protected Securities (TIPS) also detracted from performance. Currency decisions contributed, mostly from beneficial exposures to the Swedish krona, Australian dollar, offshore Chinese renminbi and Canadian dollar that exceeded a loss in the Russian ruble. Off-benchmark allocation to
2 | AB BOND INFLATION STRATEGY |
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Consumer Price Index (CPI) swaps, investment-grade credit default swaps, commercial mortgage-backed securities (CMBS) and interest rate swaps also added, offset partially by shortfalls among investment-grade corporate bonds and US agency mortgages.
During the 12-month period, positioning in six-month TIPS was the primary detractor, partially offset by an allocation to two-year TIPS. Yield-curve positioning on the two-, five- and 10-year parts of the curve also hampered results, partially offset by a gain from positioning on the six-month part of the curve. Currency decisions added to performance, due to exposures to the Swedish krona, Australian dollar, offshore Chinese renminbi and Russian ruble. Sector allocation to CPI swaps and CMBS contributed more than losses from interest rate swaps, investment-grade corporate bonds and US agency mortgages.
During both periods, the Fund utilized currency forwards to hedge currency risk and actively manage currency positions. Treasury futures and interest rate swaps were utilized to manage duration, country exposure and yield-curve positioning. CPI swaps were used to hedge inflation and for investment purposes. Credit default swaps were utilized in the corporate and CMBS sectors for hedging and investment purposes. Total return swaps were used in the corporate sector for hedging and investment purposes. During the 12-month period, written swaptions were used for hedging and investment purposes, which had an immaterial impact on returns.
MARKET REVIEW AND INVESTMENT STRATEGY
During the six-month period ended April 30, 2022, fixed-income government bond market yields spiked in most markets, which led bond prices to fall on inflation concerns in all regions. Inflation remained elevated and worsened when Russia invaded Ukraine, causing energy and agricultural prices to jump. Major central banks started the process of raising interest rates and ending bond purchases. Relative government bond returns were led by global inflation-linked bonds. Global investment-grade corporate bonds, which typically have longer maturities and are more sensitive to changes in yields than high-yield corporates, trailed global treasuries by a wide margin, except in the eurozone. High-yield corporate bonds also underperformed treasuries, but by a smaller margin. However, high-yield euro-denominated corporates outperformed eurozone treasuries during the period due to ongoing support from the European Central Bank. Emerging-market bonds underperformed the most as the US dollar advanced against most developed- and emerging-market currencies. Securitized assets also underperformed treasuries, but by a lesser extent than investment-grade corporates, given their lower sensitivity to yield changes. Brent crude oil prices rose sharply from supply concerns and increased demand.
abfunds.com | AB BOND INFLATION STRATEGY | 3 |
INVESTMENT POLICIES
The Fund seeks real return. Real return is the rate of return after adjusting for inflation. The Fund pursues its objective by investing principally in inflation-indexed securities (such as TIPS or inflation-indexed securities from issuers other than the US Treasury) or by gaining inflation protection through derivatives transactions, such as inflation (CPI) swaps or total return swaps linked to TIPS. In deciding whether to purchase inflation-indexed securities or use inflation-linked derivatives transactions, the Adviser considers the relative costs and efficiency of each method. In addition, in seeking to maximize real return, the Fund may also invest in other fixed-income investments, such as US and non-US government securities, corporate fixed-income securities and mortgage-related securities, as well as derivatives linked to such securities.
Under normal circumstances, the Fund invests at least 80% of its net assets in fixed-income securities. While the Fund expects to invest principally in investment-grade securities, it may invest up to 15% of its total assets in fixed-income securities rated BB or B or the equivalent by at least one nationally recognized statistical rating organization (or deemed by the Adviser to be of comparable credit quality), which are not investment-grade (junk bonds).
Inflation-indexed securities are fixed-income securities structured to provide protection against inflation. Their principal value and/or the interest paid on them are adjusted to reflect official inflation measures. The inflation measure for TIPS is the CPI for Urban Consumers. The Fund may also invest in other inflation-indexed securities, issued by both US and non-US issuers, and in derivative instruments linked to these securities.
The Fund may invest in derivatives, such as options, futures contracts, forwards or swaps. The Fund intends to use leverage for investment purposes. To do this, the Fund expects to enter into (i) reverse repurchase agreement transactions and use the cash made available from these transactions to make additional investments in fixed-income securities in accordance with the Funds investment policies and (ii) total return swaps. In determining when and to what extent to employ leverage or enter into derivatives transactions, the Adviser considers factors such as the relative risks and returns expected of potential investments and the costs of such transactions. The Adviser considers the impact of reverse repurchase agreements, swaps and other derivatives in making its assessments of the Funds risks. The resulting exposures to markets, sectors, issuers or specific securities will be continuously monitored by the Adviser.
(continued on next page)
4 | AB BOND INFLATION STRATEGY |
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The Adviser selects securities for purchase or sale based on its assessment of the securities risk and return characteristics as well as the securities impact on the overall risk and return characteristics of the Fund. In making this assessment, the Adviser takes into account various factors, including the credit quality and sensitivity to interest rates of the securities under consideration and of the Funds other holdings.
The Fund may also invest in loan participations and assignments; structured securities; mortgage-backed and other asset-backed securities; variable-, floating- and inverse-floating-rate instruments; and preferred stock, and may use other investment techniques. The Fund may invest in fixed-income securities of any maturity and duration. If the rating of a fixed-income security falls below investment-grade, the Fund will not be obligated to sell the security and may continue to hold it if, in the Advisers opinion, the investment is appropriate under the circumstances.
abfunds.com | AB BOND INFLATION STRATEGY | 5 |
DISCLOSURES AND RISKS
Benchmark Disclosure
The Bloomberg 1-10 Year TIPS Index is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The Bloomberg 1-10 Year TIPS Index represents the performance of inflation-protected securities issued by the US Treasury. An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Fund.
A Word About Risk
Market Risk: The value of the Funds assets will fluctuate as the bond market fluctuates. The value of the Funds investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market.
Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security. Investments in fixed-income securities with lower ratings tend to have a higher probability that an issuer will default or fail to meet its payment obligations.
Interest-Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Duration Risk: Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Funds assets can decline
6 | AB BOND INFLATION STRATEGY |
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DISCLOSURES AND RISKS (continued)
as can the value of the Funds distributions. This risk is significantly greater for fixed-income securities with longer maturities. Although the Fund invests principally in inflation-indexed securities, the value of its securities may be vulnerable to changes in expectations of inflation or interest rates.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, 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 Fund.
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Funds investments or reduce its returns.
Mortgage-Related and/or Other Asset-Backed Securities Risk: Investments in mortgage-related and other asset-backed securities are subject to certain additional risks. The value of these securities may be particularly sensitive to changes in interest rates. These risks include extension risk, which is the risk that, in periods of rising interest rates, issuers may delay the payment of principal, and prepayment risk, which is the risk that in periods of falling interest rates, issuers may pay principal sooner than expected, exposing the Fund to a lower rate of return upon reinvestment of principal. Mortgage-backed securities offered by non-governmental issuers and other asset-backed securities may be subject to other risks, such as higher rates of default in the mortgages or assets backing the securities or risks associated with the nature and servicing of mortgages or assets backing the securities.
Leverage Risk: To the extent the Fund uses leveraging techniques, its net asset value (NAV) may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Funds investments.
Illiquid Investments Risk: Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest-rate environment, when the value and liquidity of fixed-income securities generally go down.
abfunds.com | AB BOND INFLATION STRATEGY | 7 |
DISCLOSURES AND RISKS (continued)
Management Risk: The Fund is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Funds prospectus. As with all investments, you may lose money by investing in the Fund.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Fund will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by visiting www.abfunds.com. For Class 1 shares, go to www.bernstein.com and click on Investments, found in the footer, then Mutual Fund InformationMutual Fund Performance at a Glance.
All fees and expenses related to the operation of the Fund have been deducted. NAV returns do not reflect sales charges; if sales charges were reflected, the Funds quoted performance would be lower. SEC returns reflect the applicable sales charges for each share class: a 4.25% maximum front-end sales charge for Class A shares and a 1% 1-year contingent deferred sales charge for Class C shares. Effective on March 7, 2022, the maximum sales charge for purchases of Class A shares is reduced from 4.25% to 2.25%. Class 1 and Class 2 shares do not carry sales charges. Returns for the different share classes will vary due to different expenses associated with each class. Performance assumes reinvestment of distributions and does not account for taxes.
8 | AB BOND INFLATION STRATEGY |
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HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF APRIL 30, 2022 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) |
SEC Yields1 |
||||||||||
CLASS 1 SHARES2 | -0.04% | |||||||||||
1 Year | 0.79% | 0.79% | ||||||||||
5 Years | 3.85% | 3.85% | ||||||||||
10 Years | 2.50% | 2.50% | ||||||||||
CLASS 2 SHARES2 | 0.05% | |||||||||||
1 Year | 0.88% | 0.88% | ||||||||||
5 Years | 3.96% | 3.96% | ||||||||||
10 Years | 2.60% | 2.60% | ||||||||||
CLASS A SHARES | -0.27% | |||||||||||
1 Year | 0.55% | -1.68% | ||||||||||
5 Years | 3.70% | 3.23% | ||||||||||
10 Years | 2.32% | 2.09% | ||||||||||
CLASS C SHARES | -1.01% | |||||||||||
1 Year | -0.14% | -1.10% | ||||||||||
5 Years | 2.92% | 2.92% | ||||||||||
10 Years3 | 1.58% | 1.58% | ||||||||||
ADVISOR CLASS SHARES4 | -0.03% | |||||||||||
1 Year | 0.88% | 0.88% | ||||||||||
5 Years | 3.96% | 3.96% | ||||||||||
10 Years | 2.59% | 2.59% | ||||||||||
CLASS R SHARES4 | -0.68% | |||||||||||
1 Year | 0.36% | 0.36% | ||||||||||
5 Years | 3.45% | 3.45% | ||||||||||
10 Years | 2.10% | 2.10% | ||||||||||
CLASS K SHARES4 | -0.37% | |||||||||||
1 Year | 0.60% | 0.60% | ||||||||||
5 Years | 3.68% | 3.68% | ||||||||||
10 Years | 2.34% | 2.34% | ||||||||||
CLASS I SHARES4 | -0.03% | |||||||||||
1 Year | 0.86% | 0.86% | ||||||||||
5 Years | 3.97% | 3.97% | ||||||||||
10 Years | 2.61% | 2.61% | ||||||||||
CLASS Z SHARES4 | 0.04% | |||||||||||
1 Year | 0.87% | 0.87% | ||||||||||
5 Years | 3.96% | 3.96% | ||||||||||
Since Inception5 | 3.58% | 3.58% |
(footnotes continued on next page)
abfunds.com | AB BOND INFLATION STRATEGY | 9 |
HISTORICAL PERFORMANCE (continued)
The Funds prospectus fee table shows the Funds total annual operating expense ratios as 0.75%, 0.65%, 1.00%, 1.75%, 0.75%, 1.40%, 1.09%, 0.74% and 0.66% for Class 1, Class 2, Class A, Class C, Advisor Class, Class R, Class K, Class I and Class Z shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limit the Funds total annual operating expenses (excluding extraordinary expenses, interest expense and acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest) to 0.60%, 0.50%, 0.75%, 1.50%, 0.50%, 1.00%, 0.75%, 0.50% and 0.50% for Class 1, Class 2, Class A, Class C, Advisor Class, Class R, Class K, Class I and Class Z shares, respectively. These waivers/reimbursements may not be terminated before January 31, 2023, and may be extended by the Adviser for additional one-year terms. Absent reimbursements or waivers, performance would have been lower. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
1 | SEC yields are calculated based on SEC guidelines for the 30-day period ended April 30, 2022. |
2 | Class 1 shares are only available to Bernstein Global Wealth Management private client accounts. Class 2 shares are only available to large Bernstein Global Wealth Management private client accounts and the Advisers institutional clients or through other limited arrangements. These share classes do not carry front-end sales charges; therefore, their respective NAV and SEC returns are the same. |
3 | Assumes conversion of Class C shares into Class A shares after 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 Fund. |
5 | Inception date: 12/11/2014. |
10 | AB BOND INFLATION STRATEGY |
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HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2022 (unaudited)
SEC Returns (reflects applicable sales charges) |
||||
CLASS 1 SHARES1 | ||||
1 Year | 3.05% | |||
5 Years | 4.27% | |||
10 Years | 2.75% | |||
CLASS 2 SHARES1 | ||||
1 Year | 3.16% | |||
5 Years | 4.35% | |||
10 Years | 2.84% | |||
CLASS A SHARES | ||||
1 Year | 0.65% | |||
5 Years | 3.63% | |||
10 Years | 2.34% | |||
CLASS C SHARES | ||||
1 Year | 1.15% | |||
5 Years | 3.33% | |||
10 Years2 | 1.82% | |||
ADVISOR CLASS SHARES3 | ||||
1 Year | 3.19% | |||
5 Years | 4.37% | |||
10 Years | 2.84% | |||
CLASS R SHARES3 | ||||
1 Year | 2.66% | |||
5 Years | 3.85% | |||
10 Years | 2.35% | |||
CLASS K SHARES3 | ||||
1 Year | 2.99% | |||
5 Years | 4.09% | |||
10 Years | 2.59% | |||
CLASS I SHARES3 | ||||
1 Year | 3.20% | |||
5 Years | 4.36% | |||
10 Years | 2.85% | |||
CLASS Z SHARES3 | ||||
1 Year | 3.14% | |||
5 Years | 4.35% | |||
Since Inception4 | 3.80% |
(footnotes continued on next page)
abfunds.com | AB BOND INFLATION STRATEGY | 11 |
HISTORICAL PERFORMANCE (continued)
1 | Class 1 shares are only available to Bernstein Global Wealth Management private client accounts. Class 2 shares are only available to large Bernstein Global Wealth Management private client accounts and the Advisers institutional clients or through other limited arrangements. |
2 | Assumes conversion of Class C shares into Class A shares after eight years. |
3 | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
4 | Inception date: 12/11/2014. |
12 | AB BOND INFLATION STRATEGY |
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EXPENSE EXAMPLE
(unaudited)
As a shareholder of a mutual fund, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
abfunds.com | AB BOND INFLATION STRATEGY | 13 |
EXPENSE EXAMPLE (continued)
Beginning Account Value November 1, 2021 |
Ending Account Value April 30, 2022 |
Expenses Paid During Period* |
Annualized Expense Ratio* |
|||||||||||||
Class A | ||||||||||||||||
Actual |
$ | 1,000 | $ | 974.30 | $ | 3.72 | 0.76 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,021.03 | $ | 3.81 | 0.76 | % | ||||||||
Class C | ||||||||||||||||
Actual |
$ | 1,000 | $ | 970.50 | $ | 7.38 | 1.51 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,017.31 | $ | 7.55 | 1.51 | % | ||||||||
Advisor Class | ||||||||||||||||
Actual |
$ | 1,000 | $ | 975.40 | $ | 2.50 | 0.51 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,022.27 | $ | 2.56 | 0.51 | % | ||||||||
Class R | ||||||||||||||||
Actual |
$ | 1,000 | $ | 972.50 | $ | 4.94 | 1.01 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,019.79 | $ | 5.06 | 1.01 | % | ||||||||
Class K | ||||||||||||||||
Actual |
$ | 1,000 | $ | 973.70 | $ | 3.72 | 0.76 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,021.03 | $ | 3.81 | 0.76 | % | ||||||||
Class I | ||||||||||||||||
Actual |
$ | 1,000 | $ | 975.70 | $ | 2.50 | 0.51 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,022.27 | $ | 2.56 | 0.51 | % | ||||||||
Class 1 | ||||||||||||||||
Actual |
$ | 1,000 | $ | 975.50 | $ | 2.99 | 0.61 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,021.77 | $ | 3.06 | 0.61 | % | ||||||||
Class 2 | ||||||||||||||||
Actual |
$ | 1,000 | $ | 975.10 | $ | 2.50 | 0.51 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,022.27 | $ | 2.56 | 0.51 | % | ||||||||
Class Z | ||||||||||||||||
Actual |
$ | 1,000 | $ | 975.10 | $ | 2.50 | 0.51 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,022.27 | $ | 2.56 | 0.51 | % |
* | Expenses are equal to each classes annualized expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
14 | AB BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO SUMMARY
April 30, 2022 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $1,244.1
Total Investments ($mil): $1,427.2
INFLATION PROTECTION BREAKDOWN1
U.S. Inflation-Protected Exposure | 90.8 | % | ||
Non-Inflation Exposure | 9.2 | |||
100.0 | % |
SECTOR BREAKDOWN OF NET PORTFOLIO ASSETS, EXCLUDING TREASURY SECURITIES, TIPS, INTEREST RATE DERIVATIVES AND NET CASH EQUIVALENTS1
CorporatesInvestment Grade | 9.3% | |||
Collateralized Mortgage Obligations | 4.0% | |||
Asset-Backed Securities | 3.4% | |||
Mortgage Pass-Throughs | 2.2% | |||
CorporatesNon-Investment Grade | 1.8% | |||
Collateralized Loan Obligations | 1.7% | |||
Commercial Mortgage-Backed Securities | 1.4% | |||
Emerging MarketsCorporate Bonds | 0.3% | |||
Local GovernmentsUS Municipal Bonds | 0.3% | |||
Quasi-Sovereigns | 0.1% | |||
Emerging MarketsSovereigns | 0.1% | |||
Common Stocks | 0.1% |
SECTOR BREAKDOWN OF TOTAL PORTFOLIO INVESTMENTS, EXCLUDING DERIVATIVES2
Inflation-Linked Securities | 77.5% | |||
CorporatesInvestment Grade | 8.2% | |||
Collateralized Mortgage Obligations | 3.5% | |||
Asset-Backed Securities | 2.9% | |||
Mortgage Pass-Throughs | 1.9% | |||
CorporatesNon-Investment Grade | 1.6% | |||
Collateralized Loan Obligations | 1.5% | |||
Commercial Mortgage-Backed Securities | 1.3% | |||
Emerging MarketsCorporate Bonds | 0.3% | |||
Local GovernmentsUS Municipal Bonds | 0.2% | |||
Quasi-Sovereigns | 0.1% | |||
Emerging MarketsSovereigns | 0.1% | |||
Common Stocks | 0.1% | |||
GovernmentsSovereign Bonds | 0.1% | |||
Short-Term | 0.7% |
1 | All data are as of April 30, 2022. The Funds sector and inflation protection exposure breakdowns are expressed as an approximate percentage of the Funds total net assets (and may vary over time) inclusive of derivative exposure except as noted, based on the Advisers internal classification. |
2 | The Funds sector breakdown is expressed, based on the Advisers internal classification, as a percentage of total investments and may vary over time. The Fund also enters into derivative transactions (not reflected in the table), which may be used for hedging or investment purposes or to adjust the risk profile or exposures of the Fund (see Portfolio of Investments section of the report for additional details). Derivative transactions may result in a form of leverage for the Fund. The Fund uses leverage for investment purposes by entering into reverse repurchase agreements. As a result, the Funds total investments will generally exceed its net assets. |
abfunds.com | AB BOND INFLATION STRATEGY | 15 |
PORTFOLIO OF INVESTMENTS
April 30, 2022 (unaudited)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
INFLATION-LINKED SECURITIES 88.9% |
||||||||||||
United States 88.9% |
| |||||||||||
U.S. Treasury Inflation Index |
U.S.$ | 313,832 | $ | 321,815,123 | ||||||||
0.125%, 10/15/2024 (TIPS)(a)(b) |
26,184 | 27,174,247 | ||||||||||
0.125%, 10/15/2025-01/15/2030 (TIPS)(a) |
23,788 | 24,316,941 | ||||||||||
0.25%, 01/15/2025 (TIPS)(a) |
142,620 | 148,280,453 | ||||||||||
0.25%, 07/15/2029 (TIPS) |
34,844 | 35,992,804 | ||||||||||
0.375%, 07/15/2023 (TIPS)(a)(b) |
39,663 | 41,212,476 | ||||||||||
0.375%, 01/15/2027 (TIPS)(a) |
95,190 | 99,205,335 | ||||||||||
0.375%, 07/15/2027 (TIPS) |
88,883 | 93,049,140 | ||||||||||
0.50%, 01/15/2028 (TIPS) |
36,684 | 38,386,387 | ||||||||||
0.625%, 01/15/2024 (TIPS) |
41,904 | 43,743,503 | ||||||||||
0.625%, 01/15/2026 (TIPS)(a) |
100,258 | 105,568,711 | ||||||||||
0.75%, 07/15/2028 (TIPS) |
57,979 | 61,874,955 | ||||||||||
0.875%, 01/15/2029 (TIPS)(a) |
27,984 | 30,021,082 | ||||||||||
2.50%, 01/15/2029 (TIPS) |
29,625 | 35,004,015 | ||||||||||
|
|
|||||||||||
Total Inflation-Linked Securities |
1,105,645,172 | |||||||||||
|
|
|||||||||||
CORPORATES - INVESTMENT |
||||||||||||
Industrial 5.1% |
| |||||||||||
Basic 0.3% |
| |||||||||||
Anglo American Capital PLC |
373 | 352,776 | ||||||||||
Braskem Netherlands Finance BV |
200 | 180,800 | ||||||||||
Freeport Indonesia PT |
415 | 412,460 | ||||||||||
Inversiones CMPC SA/Cayman Islands Branch |
270 | 270,999 | ||||||||||
Suzano Austria GmbH |
2,204 | 1,878,800 | ||||||||||
3.75%, 01/15/2031 |
222 | 192,640 | ||||||||||
|
|
|||||||||||
3,288,475 | ||||||||||||
|
|
|||||||||||
Capital Goods 0.1% |
| |||||||||||
Flowserve Corp. |
545 | 450,039 | ||||||||||
Westinghouse Air Brake Technologies Corp. |
180 | 174,571 | ||||||||||
|
|
|||||||||||
624,610 | ||||||||||||
|
|
16 | AB BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Communications - Media 0.5% |
| |||||||||||
Discovery Communications LLC |
U.S.$ | 58 | $ | 49,739 | ||||||||
5.20%, 09/20/2047 |
188 | 173,584 | ||||||||||
5.30%, 05/15/2049 |
83 | 77,804 | ||||||||||
Magallanes, Inc. |
1,595 | 1,484,833 | ||||||||||
Prosus NV |
593 | 527,414 | ||||||||||
3.68%, 01/21/2030(c) |
428 | 361,767 | ||||||||||
4.027%, 08/03/2050(c) |
487 | 336,030 | ||||||||||
Tencent Holdings Ltd. |
874 | 802,105 | ||||||||||
2.39%, 06/03/2030(c) |
610 | 514,421 | ||||||||||
3.24%, 06/03/2050(c) |
655 | 466,196 | ||||||||||
Time Warner Cable LLC |
235 | 194,336 | ||||||||||
Weibo Corp. |
2,114 | 1,740,900 | ||||||||||
|
|
|||||||||||
6,729,129 | ||||||||||||
|
|
|||||||||||
Communications - Telecommunications 0.3% |
||||||||||||
AT&T, Inc. |
631 | 581,599 | ||||||||||
5.15%, 03/15/2042 |
316 | 323,426 | ||||||||||
T-Mobile USA, Inc. |
2,602 | 2,215,525 | ||||||||||
2.625%, 02/15/2029 |
203 | 175,628 | ||||||||||
2.875%, 02/15/2031 |
559 | 475,720 | ||||||||||
3.375%, 04/15/2029(c) |
119 | 107,721 | ||||||||||
|
|
|||||||||||
3,879,619 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Automotive 0.3% |
||||||||||||
General Motors Co. |
194 | 204,464 | ||||||||||
6.80%, 10/01/2027 |
272 | 292,819 | ||||||||||
Harley-Davidson Financial Services, Inc. |
258 | 239,767 | ||||||||||
3.35%, 06/08/2025(c) |
1,491 | 1,451,444 | ||||||||||
Nissan Motor Co., Ltd. |
1,378 | 1,316,817 | ||||||||||
|
|
|||||||||||
3,505,311 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Other 0.2% |
||||||||||||
Las Vegas Sands Corp. |
1,419 | 1,223,220 |
abfunds.com | AB BOND INFLATION STRATEGY | 17 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Marriott International, Inc./MD |
U.S.$ | 92 | $ | 96,462 | ||||||||
MDC Holdings, Inc. |
731 | 689,801 | ||||||||||
|
|
|||||||||||
2,009,483 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Retailers 0.2% |
||||||||||||
Advance Auto Parts, Inc. |
141 | 126,697 | ||||||||||
3.90%, 04/15/2030 |
1,525 | 1,444,663 | ||||||||||
Ross Stores, Inc. |
1,083 | 1,114,223 | ||||||||||
|
|
|||||||||||
2,685,583 | ||||||||||||
|
|
|||||||||||
Consumer Non-Cyclical 0.8% |
||||||||||||
Altria Group, Inc. |
950 | 854,477 | ||||||||||
4.80%, 02/14/2029 |
226 | 224,983 | ||||||||||
Amgen, Inc. |
789 | 728,113 | ||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. |
1,695 | 1,678,762 | ||||||||||
BAT Capital Corp. |
1,727 | 1,478,813 | ||||||||||
4.70%, 04/02/2027 |
605 | 599,253 | ||||||||||
4.906%, 04/02/2030 |
593 | 573,348 | ||||||||||
Cencosud SA |
1,134 | 1,148,033 | ||||||||||
Cigna Corp. |
501 | 503,465 | ||||||||||
CVS Health Corp. |
49 | 49,213 | ||||||||||
Ochsner LSU Health System of North Louisiana |
1,190 | 983,392 | ||||||||||
Takeda Pharmaceutical Co., Ltd. |
1,151 | 1,168,472 | ||||||||||
|
|
|||||||||||
9,990,324 | ||||||||||||
|
|
|||||||||||
Energy 1.0% |
| |||||||||||
BP Capital Markets America, Inc. |
1,962 | 1,454,215 | ||||||||||
Cenovus Energy, Inc. |
33 | 33,008 | ||||||||||
4.40%, 04/15/2029 |
1,830 | 1,812,103 |
18 | AB BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Continental Resources, Inc./OK |
U.S.$ | 1,496 | $ | 1,236,594 | ||||||||
5.75%, 01/15/2031(c) |
1,113 | 1,141,738 | ||||||||||
Enbridge Energy Partners LP |
1,351 | 1,690,952 | ||||||||||
Energy Transfer LP |
843 | 856,008 | ||||||||||
Eni SpA |
954 | 946,091 | ||||||||||
Marathon Petroleum Corp. |
289 | 301,051 | ||||||||||
6.50%, 03/01/2041 |
282 | 318,113 | ||||||||||
Oleoducto Central SA |
453 | 411,182 | ||||||||||
ONEOK Partners LP |
105 | 106,578 | ||||||||||
ONEOK, Inc. |
166 | 181,250 | ||||||||||
Tengizchevroil Finance Co. International Ltd. |
306 | 245,871 | ||||||||||
TransCanada PipeLines Ltd. |
909 | 1,022,080 | ||||||||||
6.20%, 10/15/2037 |
912 | 1,026,082 | ||||||||||
|
|
|||||||||||
12,782,916 | ||||||||||||
|
|
|||||||||||
Other Industrial 0.1% |
| |||||||||||
Alfa SAB de CV |
600 | 605,738 | ||||||||||
CITIC Ltd. |
550 | 488,972 | ||||||||||
|
|
|||||||||||
1,094,710 | ||||||||||||
|
|
|||||||||||
Services 0.1% |
| |||||||||||
Expedia Group, Inc. |
486 | 488,357 | ||||||||||
6.25%, 05/01/2025(c) |
34 | 35,652 | ||||||||||
S&P Global, Inc. |
295 | 296,776 | ||||||||||
4.75%, 08/01/2028(c) |
59 | 61,125 | ||||||||||
|
|
|||||||||||
881,910 | ||||||||||||
|
|
|||||||||||
Technology 1.1% |
| |||||||||||
Baidu, Inc. |
201 | 184,938 | ||||||||||
Broadcom, Inc. |
188 | 150,703 | ||||||||||
3.187%, 11/15/2036(c) |
557 | 440,910 | ||||||||||
4.00%, 04/15/2029(c) |
188 | 179,438 |
abfunds.com | AB BOND INFLATION STRATEGY | 19 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
4.15%, 04/15/2032(c) |
U.S.$ | 673 | $ | 624,598 | ||||||||
4.15%, 11/15/2030 |
260 | 245,833 | ||||||||||
4.926%, 05/15/2037(c) |
689 | 644,022 | ||||||||||
Dell International LLC/EMC Corp. |
974 | 1,030,424 | ||||||||||
Entegris Escrow Corp. |
1,896 | 1,824,691 | ||||||||||
Infor, Inc. |
450 | 418,855 | ||||||||||
Kyndryl Holdings, Inc. |
1,428 | 1,248,029 | ||||||||||
Micron Technology, Inc. |
805 | 800,210 | ||||||||||
NXP BV/NXP Funding LLC |
711 | 742,462 | ||||||||||
Oracle Corp. |
1,165 | 900,021 | ||||||||||
3.65%, 03/25/2041 |
628 | 485,639 | ||||||||||
5.375%, 07/15/2040 |
376 | 360,437 | ||||||||||
SK Hynix, Inc. |
382 | 316,934 | ||||||||||
TSMC Arizona Corp. |
1,009 | 1,004,510 | ||||||||||
VeriSign, Inc. |
250 | 214,590 | ||||||||||
Western Digital Corp. |
1,677 | 1,400,731 | ||||||||||
Workday, Inc. |
182 | 174,269 | ||||||||||
3.80%, 04/01/2032 |
480 | 454,234 | ||||||||||
|
|
|||||||||||
13,846,478 | ||||||||||||
|
|
|||||||||||
Transportation - Airlines 0.1% |
| |||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. |
528 | 526,344 | ||||||||||
4.75%, 10/20/2028(c) |
614 | 608,020 | ||||||||||
|
|
|||||||||||
1,134,364 | ||||||||||||
|
|
|||||||||||
Transportation - Railroads 0.0% |
| |||||||||||
Lima Metro Line 2 Finance Ltd. |
229 | 214,773 | ||||||||||
5.875%, 07/05/2034(c) |
292 | 298,140 | ||||||||||
|
|
|||||||||||
512,913 | ||||||||||||
|
|
|||||||||||
Transportation - Services 0.0% |
| |||||||||||
ENA Master Trust |
303 | 280,616 | ||||||||||
|
|
|||||||||||
63,246,441 | ||||||||||||
|
|
20 | AB BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Financial Institutions 4.1% |
||||||||||||
Banking 2.7% |
||||||||||||
ABN AMRO Bank NV |
U.S.$ | 200 | $ | 201,552 | ||||||||
Banco de Credito del Peru S.A. |
958 | 870,762 | ||||||||||
Banco Santander SA |
600 | 582,840 | ||||||||||
Bank of America Corp. |
1,775 | 1,467,428 | ||||||||||
2.687%, 04/22/2032 |
636 | 547,005 | ||||||||||
4.376%, 04/27/2028 |
2,480 | 2,476,057 | ||||||||||
Series DD |
295 | 301,956 | ||||||||||
Series Z |
458 | 469,473 | ||||||||||
Bank of New York Mellon Corp. (The) |
273 | 273,218 | ||||||||||
Barclays Bank PLC |
137 | 171,461 | ||||||||||
BNP Paribas SA |
593 | 540,276 | ||||||||||
2.871%, 04/19/2032(c) |
1,145 | 971,922 | ||||||||||
Capital One Financial Corp. |
989 | 902,611 | ||||||||||
Citigroup, Inc. |
402 | 385,876 | ||||||||||
4.075%, 04/23/2029 |
592 | 575,673 | ||||||||||
5.95%, 01/30/2023(d) |
257 | 257,257 | ||||||||||
Series W |
504 | 458,791 | ||||||||||
Series Y |
480 | 429,648 | ||||||||||
Credit Suisse Group AG |
1,522 | 1,277,004 | ||||||||||
4.194%, 04/01/2031(c) |
614 | 570,338 | ||||||||||
Danske Bank A/S |
746 | 722,605 | ||||||||||
Deutsche Bank AG/New York NY |
296 | 268,673 | ||||||||||
3.961%, 11/26/2025 |
405 | 398,285 | ||||||||||
Discover Bank |
327 | 330,028 | ||||||||||
Fifth Third Bancorp |
334 | 324,818 |
abfunds.com | AB BOND INFLATION STRATEGY | 21 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Goldman Sachs Group, Inc. (The) |
U.S.$ | 631 | $ | 522,670 | ||||||
2.615%, 04/22/2032 |
1,364 | 1,154,885 | ||||||||
3.102%, 02/24/2033 |
906 | 791,971 | ||||||||
Series V |
775 | 694,702 | ||||||||
HSBC Holdings PLC |
377 | 374,870 | ||||||||
4.583%, 06/19/2029 |
709 | 696,500 | ||||||||
4.762%, 03/29/2033 |
604 | 573,075 | ||||||||
ING Groep NV |
346 | 336,018 | ||||||||
JPMorgan Chase & Co. |
1,364 | 1,173,845 | ||||||||
Series I |
528 | 521,564 | ||||||||
Series V |
258 | 254,375 | ||||||||
Morgan Stanley |
309 | 269,658 | ||||||||
4.21%, 04/20/2028 |
553 | 548,886 | ||||||||
Nationwide Building Society |
982 | 911,787 | ||||||||
Santander Holdings USA, Inc. |
497 | 450,849 | ||||||||
4.40%, 07/13/2027 |
424 | 418,458 | ||||||||
Societe Generale SA |
1,764 | 1,591,992 | ||||||||
Standard Chartered PLC |
400 | 342,824 | ||||||||
3.971%, 03/30/2026(c) |
657 | 646,363 | ||||||||
6.00%, 07/26/2025(c)(d) |
1,267 | 1,263,402 | ||||||||
Truist Financial Corp. |
1,060 | 1,047,110 | ||||||||
UBS AG/Stamford CT |
465 | 470,166 | ||||||||
UniCredit SpA |
413 | 364,316 | ||||||||
2.569%, 09/22/2026(c) |
396 | 362,055 | ||||||||
3.127%, 06/03/2032(c) |
368 | 304,270 | ||||||||
US Bancorp |
427 | 406,448 |
22 | AB BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Wells Fargo & Co. |
U.S.$ | 1,206 | $ | 1,096,158 | ||||||||
Series BB |
418 | 382,069 | ||||||||||
|
|
|||||||||||
33,746,843 | ||||||||||||
|
|
|||||||||||
Brokerage 0.2% |
| |||||||||||
Charles Schwab Corp. (The) |
554 | 559,806 | ||||||||||
Series I |
1,366 | 1,245,642 | ||||||||||
Charles Schwab Corp., (The) |
322 | 288,563 | ||||||||||
|
|
|||||||||||
2,094,011 | ||||||||||||
|
|
|||||||||||
Finance 0.7% |
| |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
1,570 | 1,305,219 | ||||||||||
6.50%, 07/15/2025 |
209 | 216,852 | ||||||||||
Air Lease Corp. |
376 | 318,840 | ||||||||||
2.875%, 01/15/2026 |
111 | 104,165 | ||||||||||
3.625%, 04/01/2027 |
51 | 48,341 | ||||||||||
Aircastle Ltd. |
1,329 | 1,162,915 | ||||||||||
4.125%, 05/01/2024 |
232 | 230,661 | ||||||||||
4.25%, 06/15/2026 |
83 | 80,147 | ||||||||||
5.25%, 08/11/2025(c) |
585 | 583,865 | ||||||||||
Aviation Capital Group LLC |
1,097 | 973,994 | ||||||||||
3.50%, 11/01/2027(c) |
211 | 193,751 | ||||||||||
4.125%, 08/01/2025(c) |
7 | 6,829 | ||||||||||
4.375%, 01/30/2024(c) |
194 | 193,210 | ||||||||||
4.875%, 10/01/2025(c) |
246 | 244,777 | ||||||||||
5.50%, 12/15/2024(c) |
550 | 559,048 | ||||||||||
CDBL Funding 1 |
940 | 898,302 | ||||||||||
Synchrony Financial |
791 | 644,823 | ||||||||||
4.50%, 07/23/2025 |
1,092 | 1,096,619 | ||||||||||
|
|
|||||||||||
8,862,358 | ||||||||||||
|
|
|||||||||||
Insurance 0.3% |
| |||||||||||
Alleghany Corp. |
1,257 | 1,207,474 | ||||||||||
Centene Corp. |
563 | 469,581 |
abfunds.com | AB BOND INFLATION STRATEGY | 23 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Guardian Life Insurance Co. of America (The) |
U.S.$ | 183 | $ | 181,392 | ||||||||
Nationwide Mutual Insurance Co. |
125 | 179,574 | ||||||||||
Swiss Re Finance Luxembourg SA |
1,000 | 1,000,450 | ||||||||||
Voya Financial, Inc. |
335 | 333,503 | ||||||||||
|
|
|||||||||||
3,371,974 | ||||||||||||
|
|
|||||||||||
Other Finance 0.0% |
| |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
233 | 227,725 | ||||||||||
|
|
|||||||||||
REITs 0.2% |
| |||||||||||
American Tower Corp. |
635 | 612,654 | ||||||||||
4.05%, 03/15/2032 |
252 | 236,510 | ||||||||||
GLP Capital LP/GLP Financing II, Inc. |
1,373 | 1,157,933 | ||||||||||
Vornado Realty LP |
718 | 628,092 | ||||||||||
|
|
|||||||||||
2,635,189 | ||||||||||||
|
|
|||||||||||
50,938,100 | ||||||||||||
|
|
|||||||||||
Utility 0.2% |
||||||||||||
Electric 0.2% |
| |||||||||||
AES Panama Generation Holdings SRL |
358 | 318,620 | ||||||||||
Chile Electricity Pec SpA |
661 | 506,202 | ||||||||||
Duke Energy Carolinas NC Storm Funding LLC |
1,183 | 997,423 | ||||||||||
Engie Energia Chile SA |
751 | 664,306 | ||||||||||
|
|
|||||||||||
2,486,551 | ||||||||||||
|
|
|||||||||||
Total Corporates Investment Grade |
116,671,092 | |||||||||||
|
|
|||||||||||
24 | AB BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS 4.0% |
||||||||||||
Risk Share Floating Rate 3.7% |
| |||||||||||
Bellemeade Re Ltd. |
U.S.$ | 342 | $ | 341,436 | ||||||||
Series 2019-1A, Class M1B |
445 | 445,247 | ||||||||||
Series 2019-2A, Class M1C |
707 | 704,883 | ||||||||||
Series 2019-3A, Class M1B |
351 | 350,234 | ||||||||||
Series 2019-3A, Class M1C |
480 | 477,267 | ||||||||||
Series 2019-4A, Class M1B |
425 | 425,194 | ||||||||||
Series 2020-3A, Class M1B |
156 | 156,454 | ||||||||||
Series 2021-1A, Class M1C |
728 | 724,085 | ||||||||||
Series 2021-2A, Class M1B |
1,425 | 1,390,980 | ||||||||||
Series 2021-3A, Class A2 |
1,699 | 1,675,511 | ||||||||||
Series 2022-1, Class M1B |
1,255 | 1,250,476 | ||||||||||
Connecticut Avenue Securities Trust |
86 | 86,105 | ||||||||||
Series 2019-R02, Class 1M2 |
47 | 46,610 | ||||||||||
Series 2019-R03, Class 1M2 |
24 | 24,146 |
abfunds.com | AB BOND INFLATION STRATEGY | 25 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Series 2019-R06, Class 2M2 |
U.S.$ | 58 | $ | 57,937 | ||||||
Series 2019-R07, Class 1M2 |
177 | 177,076 | ||||||||
Series 2020-R01, Class 1M2 |
488 | 487,738 | ||||||||
Series 2020-R02, Class 2M2 |
262 | 261,275 | ||||||||
Series 2021-R01, Class 1M2 |
1,447 | 1,399,739 | ||||||||
Series 2021-R03, Class 1M2 |
864 | 825,094 | ||||||||
Series 2022-R01, Class 1M2 |
2,899 | 2,793,794 | ||||||||
Series 2022-R02, Class 2M1 |
2,376 | 2,349,379 | ||||||||
Series 2022-R03, Class 1M2 |
2,283 | 2,322,888 | ||||||||
Series 2022-R04, Class 1M2 |
573 | 575,970 | ||||||||
Eagle Re Ltd. |
1,100 | 1,091,725 | ||||||||
Series 2021-2, Class M1B |
675 | 663,502 | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes |
122 | 125,690 | ||||||||
Series 2017-HQA2, Class M2B |
840 | 856,205 |
26 | AB BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Series 2019-DNA3, Class M2 |
U.S.$ | 55 | $ | 55,233 | ||||||
Series 2019-DNA4, Class M2 |
136 | 135,674 | ||||||||
Series 2019-FTR2, Class M2 |
515 | 503,568 | ||||||||
Series 2019-HQA3, Class M2 |
454 | 452,764 | ||||||||
Series 2020-DNA1, Class M2 |
268 | 267,118 | ||||||||
Series 2020-DNA5, Class M2 |
525 | 528,607 | ||||||||
Series 2021-DNA5, Class M2 |
589 | 583,875 | ||||||||
Series 2021-DNA6, Class M2 |
2,561 | 2,469,197 | ||||||||
Series 2021-DNA7, Class M2 |
2,635 | 2,549,422 | ||||||||
Series 2021-HQA3, Class M1 |
1,235 | 1,200,057 | ||||||||
Series 2021-HQA4, Class M2 |
1,765 | 1,665,957 | ||||||||
Series 2022-DNA1, Class M1B |
1,542 | 1,472,948 | ||||||||
Series 2022-DNA2, Class M1B |
2,468 | 2,423,499 | ||||||||
Series 2022-DNA3, Class M1B |
1,069 | 1,069,229 | ||||||||
Federal National Mortgage Association Connecticut Avenue Securities |
133 | 140,248 |
abfunds.com | AB BOND INFLATION STRATEGY | 27 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Series 2015-C02, Class 1M2 |
U.S.$ | 125 | $ | 126,572 | ||||||
Series 2015-C03, Class 1M2 |
119 | 121,822 | ||||||||
Series 2015-C03, Class 2M2 |
0 | ** | 0 | | ||||||
Series 2015-C04, Class 1M2 |
459 | 492,618 | ||||||||
Series 2016-C05, Class 2M2 |
486 | 503,934 | ||||||||
Series 2016-C06, Class 1M2 |
190 | 198,147 | ||||||||
Series 2016-C07, Class 2M2 |
768 | 802,963 | ||||||||
Series 2017-C03, Class 1M2 |
401 | 411,662 | ||||||||
Series 2021-R02, Class 2M2 |
1,221 | 1,161,659 | ||||||||
Home Re Ltd. |
200 | 200,270 | ||||||||
PMT Credit Risk Transfer Trust |
592 | 586,561 | ||||||||
Series 2019-3R, Class A |
56 | 56,285 | ||||||||
Series 2020-1R, Class A |
206 | 205,617 | ||||||||
Radnor Re Ltd. |
586 | 586,224 | ||||||||
Series 2019-2, Class M1B |
372 | 371,895 |
28 | AB BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Series 2020-1, Class M1A |
U.S.$ | 352 | $ | 349,136 | ||||||||
STACR Trust |
376 | 377,990 | ||||||||||
Traingle Re Ltd. |
42 | 41,823 | ||||||||||
Series 2021-3, Class M1A |
1,084 | 1,074,753 | ||||||||||
|
|
|||||||||||
45,273,967 | ||||||||||||
|
|
|||||||||||
Agency Floating Rate 0.2% |
||||||||||||
Federal Home Loan Mortgage Corp. REMICs |
2,160 | 278,165 | ||||||||||
Series 4693, Class SL |
1,287 | 200,681 | ||||||||||
Series 4954, Class SL |
1,690 | 252,521 | ||||||||||
Series 4981, Class HS |
3,378 | 433,289 | ||||||||||
Federal National Mortgage Association REMICs |
652 | 108,025 | ||||||||||
Series 2014-17, Class SA |
1,765 | 299,522 | ||||||||||
Series 2014-78, Class SE |
974 | 141,659 | ||||||||||
Series 2016-77, Class DS |
1,033 | 149,749 | ||||||||||
Series 2017-62, Class AS |
1,162 | 184,681 |
abfunds.com | AB BOND INFLATION STRATEGY | 29 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Series 2017-81, Class SA |
U.S.$ | 1,403 | $ | 231,132 | ||||||||
Series 2017-97, Class LS |
1,595 | 248,500 | ||||||||||
Government National Mortgage Association |
840 | 119,575 | ||||||||||
Series 2017-134, Class MS |
932 | 136,077 | ||||||||||
|
|
|||||||||||
2,783,576 | ||||||||||||
|
|
|||||||||||
Agency Fixed Rate 0.1% |
||||||||||||
Federal Home Loan Mortgage Corp. REMICs |
2,258 | 397,567 | ||||||||||
Federal National Mortgage Association REMICs |
4,844 | 929,042 | ||||||||||
|
|
|||||||||||
1,326,609 | ||||||||||||
|
|
|||||||||||
Non-Agency Floating Rate 0.0% |
||||||||||||
JPMorgan Chase Bank, NA |
167 | 166,881 | ||||||||||
|
|
|||||||||||
Total Collateralized Mortgage Obligations |
49,551,033 | |||||||||||
|
|
|||||||||||
ASSET-BACKED SECURITIES 3.4% |
||||||||||||
Other ABS - Fixed Rate 1.6% |
||||||||||||
AB Issuer LLC |
1,461 | 1,267,390 | ||||||||||
Affirm Asset Securitization Trust |
404 | 396,691 | ||||||||||
Series 2021-Z2, Class A |
635 | 617,968 | ||||||||||
Series 2022-X1, Class A |
2,416 | 2,387,495 |
30 | AB BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Atalaya Equipment Leasing Trust |
U.S.$ | 284 | $ | 283,814 | ||||||
Series 2021-1A, Class B |
482 | 459,470 | ||||||||
BHG Securitization Trust |
1,350 | 1,245,611 | ||||||||
Cajun Global LLC |
462 | 431,866 | ||||||||
College Ave Student Loans LLC |
603 | 552,084 | ||||||||
Conns Receivables Funding LLC |
1,719 | 1,712,797 | ||||||||
Dext ABS LLC |
197 | 184,060 | ||||||||
Diamond Issuer |
2,152 | 1,941,202 | ||||||||
Dominos Pizza Master Issuer LLC |
773 | 695,271 | ||||||||
GCI Funding I LLC |
536 | 485,340 | ||||||||
Hardees Funding LLC |
500 | 505,327 | ||||||||
Series 2020-1A, Class A2 |
330 | 313,248 | ||||||||
MVW LLC |
1,102 | 1,024,331 | ||||||||
Neighborly Issuer LLC |
522 | 476,896 | ||||||||
Series 2022-1A, Class A2 |
1,665 | 1,509,676 | ||||||||
Nelnet Student Loan Trust |
758 | 648,733 | ||||||||
Series 2021-DA, Class B |
793 | 695,264 |
abfunds.com | AB BOND INFLATION STRATEGY | 31 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Upstart Securitization Trust |
U.S.$ | 127 | $ | 126,497 | ||||||||
Series 2021-3, Class B |
1,090 | 1,022,182 | ||||||||||
|
|
|||||||||||
18,983,213 | ||||||||||||
|
|
|||||||||||
Autos - Fixed Rate 1.5% |
||||||||||||
ACMAT |
3,775 | 3,775,117 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC |
1,330 | 1,333,772 | ||||||||||
Series 2018-2A, Class A |
1,425 | 1,431,114 | ||||||||||
Carvana Auto Receivables Trust |
777 | 748,960 | ||||||||||
Series 2021-N4, Class D |
916 | 866,559 | ||||||||||
Series 2021-P4, Class D |
1,206 | 1,108,649 | ||||||||||
CPS Auto Receivables Trust |
1,080 | 1,008,284 | ||||||||||
Series 2022-A, Class C |
1,765 | 1,683,313 | ||||||||||
FHF Trust |
651 | 630,680 | ||||||||||
Ford Credit Auto Owner Trust |
1,000 | 917,175 | ||||||||||
Hertz Vehicle Financing III LLC |
1,660 | 1,554,304 | ||||||||||
LAD Auto Receivables Trust |
1,391 | 1,357,403 | ||||||||||
Octane Receivables Trust |
1,508 | 1,406,341 | ||||||||||
Santander Bank NA SBCLN |
1,100 | 1,075,939 | ||||||||||
|
|
|||||||||||
18,897,610 | ||||||||||||
|
|
32 | AB BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Credit Cards - Fixed Rate 0.3% |
||||||||||||
Brex Commercial Charge Card Master Trust |
U.S.$ | 729 | $ | 718,229 | ||||||||
Series 2022-1, Class A |
2,894 | 2,856,663 | ||||||||||
Mission Lane Credit Card Master Trust |
352 | 342,929 | ||||||||||
|
|
|||||||||||
3,917,821 | ||||||||||||
|
|
|||||||||||
Total Asset-Backed Securities |
41,798,644 | |||||||||||
|
|
|||||||||||
MORTGAGE PASS-THROUGHS 2.2% |
||||||||||||
Agency Fixed Rate 30-Year 2.2% |
||||||||||||
Federal National Mortgage Association |
3,968 | 3,634,638 | ||||||||||
3.00%, 02/01/2052 |
6,891 | 6,525,568 | ||||||||||
Uniform Mortgage-Backed Security |
7,341 | 6,706,118 | ||||||||||
3.00%, 05/01/2052, TBA |
11,228 | 10,599,683 | ||||||||||
|
|
|||||||||||
Total Mortgage Pass-Throughs |
27,466,007 | |||||||||||
|
|
|||||||||||
CORPORATES - NON-INVESTMENT GRADE 1.8% |
||||||||||||
Industrial 1.4% |
| |||||||||||
Basic 0.1% |
| |||||||||||
INEOS Quattro Finance 2 PLC |
EUR | 506 | 490,252 | |||||||||
Ingevity Corp. |
U.S.$ | 683 | 616,510 | |||||||||
|
|
|||||||||||
1,106,762 | ||||||||||||
|
|
|||||||||||
Capital Goods 0.1% |
| |||||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC |
742 | 651,261 | ||||||||||
TK Elevator Midco GmbH |
EUR | 401 | 392,936 | |||||||||
TransDigm, Inc. |
U.S.$ | 512 | 512,655 | |||||||||
|
|
|||||||||||
1,556,852 | ||||||||||||
|
|
abfunds.com | AB BOND INFLATION STRATEGY | 33 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Communications - Media 0.4% |
| |||||||||||
Altice Financing SA |
EUR | 642 | $ | 571,670 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
U.S.$ | 472 | 392,456 | |||||||||
4.75%, 02/01/2032(c) |
2,261 | 1,957,709 | ||||||||||
DISH DBS Corp. |
1,067 | 957,056 | ||||||||||
VZ Vendor Financing II BV |
EUR | 561 | 504,160 | |||||||||
|
|
|||||||||||
4,383,051 | ||||||||||||
|
|
|||||||||||
Communications - |
||||||||||||
Altice France SA/France |
307 | 275,888 | ||||||||||
Lorca Telecom Bondco SA |
642 | 619,980 | ||||||||||
Lumen Technologies, Inc. |
U.S.$ | 719 | 569,175 | |||||||||
|
|
|||||||||||
1,465,043 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Automotive 0.2% |
||||||||||||
Adient Global Holdings Ltd. |
EUR | 642 | 637,102 | |||||||||
Clarios Global LP/Clarios US Finance Co. |
191 | 192,541 | ||||||||||
Ford Motor Credit Co. LLC |
U.S.$ | 983 | 955,673 | |||||||||
ZF Finance GmbH |
EUR | 600 | 563,343 | |||||||||
|
|
|||||||||||
2,348,659 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - |
||||||||||||
Carnival Corp. |
U.S.$ | 1,235 | 1,111,920 | |||||||||
Mattel, Inc. |
367 | 349,579 | ||||||||||
Royal Caribbean Cruises Ltd. |
422 | 458,891 | ||||||||||
|
|
|||||||||||
1,920,390 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - |
||||||||||||
1011778 BC ULC/New Red Finance, Inc. |
1,046 | 924,110 | ||||||||||
|
|
34 | AB BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Consumer Non-Cyclical 0.1% |
||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC |
U.S.$ | 664 | $ | 558,949 | ||||||||
IQVIA, Inc. |
EUR | 550 | 507,451 | |||||||||
Organon & Co./Organon Foreign Debt Co-Issuer BV
|
550 | 522,200 | ||||||||||
|
|
|||||||||||
1,588,600 | ||||||||||||
|
|
|||||||||||
Energy 0.0% |
||||||||||||
Transocean Poseidon Ltd. |
U.S.$ | 364 | 349,662 | |||||||||
|
|
|||||||||||
Services 0.1% |
||||||||||||
APCOA Parking Holdings GmbH |
EUR | 642 | 626,794 | |||||||||
|
|
|||||||||||
Technology 0.0% |
||||||||||||
Playtech PLC |
550 | 576,422 | ||||||||||
|
|
|||||||||||
Transportation - Airlines 0.0% |
||||||||||||
Deutsche Lufthansa AG |
400 | 390,766 | ||||||||||
|
|
|||||||||||
17,237,111 | ||||||||||||
|
|
|||||||||||
Financial Institutions 0.3% |
||||||||||||
Banking 0.3% |
||||||||||||
Banco Santander SA |
U.S.$ | 1,200 | 1,212,216 | |||||||||
Credit Suisse Group AG |
320 | 302,826 | ||||||||||
7.50%, 07/17/2023-12/11/2023(c)(d) |
1,356 | 1,346,125 | ||||||||||
Discover Financial Services |
1,667 | 1,699,940 | ||||||||||
|
|
|||||||||||
4,561,107 | ||||||||||||
|
|
|||||||||||
Utility 0.1% |
||||||||||||
Electric 0.1% |
||||||||||||
Vistra Corp. |
751 | 730,971 | ||||||||||
|
|
|||||||||||
Total Corporates Non-Investment Grade |
22,529,189 | |||||||||||
|
|
|||||||||||
abfunds.com | AB BOND INFLATION STRATEGY | 35 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
COLLATERALIZED LOAN OBLIGATIONS 1.7% |
||||||||||||
CLO - Floating Rate 1.7% |
||||||||||||
AGL CLO 12 Ltd. |
U.S.$ | 948 | $ | 915,524 | ||||||||
AGL CLO 16 Ltd. |
650 | 630,313 | ||||||||||
Balboa Bay Loan Funding Ltd. |
415 | 409,600 | ||||||||||
Series 2021-1A, Class A |
1,111 | 1,097,219 | ||||||||||
Ballyrock CLO 15 Ltd. |
1,000 | 968,229 | ||||||||||
Ballyrock CLO 16 Ltd. |
660 | 633,355 | ||||||||||
Crown Point CLO 11 Ltd. |
400 | 393,706 | ||||||||||
Dryden 78 CLO Ltd. |
880 | 866,252 | ||||||||||
Series 2020-78A, Class D |
460 | 450,892 | ||||||||||
Dryden 98 CLO Ltd. |
500 | 495,690 | ||||||||||
Elevation CLO Ltd. |
780 | 757,559 |
36 | AB BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Elmwood CLO IX Ltd. |
U.S.$ | 1,065 | $ | 1,032,068 | ||||||
Flatiron CLO 21 Ltd. |
1,120 | 1,082,654 | ||||||||
Goldentree Loan Management US CLO 7 Ltd. |
1,077 | 1,061,582 | ||||||||
Kayne CLO 7 Ltd. |
400 | 396,231 | ||||||||
Magnetite XXVI Ltd. |
2,348 | 2,323,971 | ||||||||
Neuberger Berman Loan Advisers CLO 42 Ltd. |
1,295 | 1,243,844 | ||||||||
Neuberger Berman Loan Advisers CLO 43 Ltd. |
1,354 | 1,344,033 | ||||||||
New Mountain CLO 3 Ltd. |
500 | 490,421 | ||||||||
OCP CLO Ltd. |
1,424 | 1,402,650 | ||||||||
Pikes Peak CLO 8 |
1,450 | 1,432,541 | ||||||||
Regatta XX Funding Ltd. |
1,425 | 1,381,485 |
abfunds.com | AB BOND INFLATION STRATEGY | 37 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Regatta XXIV Funding Ltd. |
U.S.$ | 500 | $ | 485,004 | ||||||||
Voya CLO Ltd. |
340 | 324,336 | ||||||||||
|
|
|||||||||||
Total Collateralized Loan Obligations |
21,619,159 | |||||||||||
|
|
|||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES 1.6% |
||||||||||||
Non-Agency Floating Rate |
||||||||||||
AREIT Trust |
4,005 | 3,958,307 | ||||||||||
Ashford Hospitality Trust |
659 | 653,280 | ||||||||||
BAMLL Commercial Mortgage Securities Trust |
1,755 | 1,667,652 | ||||||||||
BBCMS Mortgage Trust |
1,383 | 1,380,784 | ||||||||||
BFLD Trust |
2,276 | 2,244,592 | ||||||||||
BX Commercial Mortgage Trust |
185 | 180,364 | ||||||||||
Series 2019-IMC, Class E |
895 | 863,722 | ||||||||||
CLNY Trust |
1,000 | 972,454 |
38 | AB BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Federal Home Loan Mortgage Corp. |
U.S.$ | 168 | $ | 162,730 | ||||||||
Morgan Stanley Capital I Trust |
102 | 93,655 | ||||||||||
Natixis Commercial Mortgage Securities Trust |
461 | 457,616 | ||||||||||
|
|
|||||||||||
12,635,156 | ||||||||||||
|
|
|||||||||||
Non-Agency Fixed Rate CMBS 0.6% |
||||||||||||
BAMLL Commercial Mortgage Securities Trust |
520 | 465,759 | ||||||||||
CGRBS Commercial Mortgage Trust |
885 | 888,148 | ||||||||||
Citigroup Commercial Mortgage Trust |
915 | 915,731 | ||||||||||
Series 2013-GC11, Class D |
191 | 188,958 | ||||||||||
Commercial Mortgage Trust |
53 | 52,735 | ||||||||||
GS Mortgage Securities Trust |
19 | 8,140 | ||||||||||
Series 2013-G1, Class A1 |
59 | 59,317 | ||||||||||
Series 2014-GC18, Class D |
155 | 68,097 | ||||||||||
GSF |
502 | 468,903 | ||||||||||
Series 2021-1, Class A2 |
1,054 | 1,007,254 | ||||||||||
Series 2021-1, Class AS |
40 | 37,586 | ||||||||||
HFX Funding |
1,070 | 1,009,814 |
abfunds.com | AB BOND INFLATION STRATEGY | 39 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
JPMBB Commercial Mortgage Securities Trust |
U.S.$ | 314 | $ | 307,459 | ||||||||
Series 2014-C22, Class XA |
18,672 | 278,822 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust |
12 | 12,323 | ||||||||||
LB-UBS Commercial Mortgage Trust |
78 | 32,373 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust |
9,833 | 256,445 | ||||||||||
Wells Fargo Commercial Mortgage Trust |
330 | 312,519 | ||||||||||
Series 2016-NXS6, Class C |
525 | 500,712 | ||||||||||
|
|
|||||||||||
6,871,095 | ||||||||||||
|
|
|||||||||||
Total Commercial Mortgage-Backed Securities |
19,506,251 | |||||||||||
|
|
|||||||||||
EMERGING MARKETS - CORPORATE BONDS 0.3% |
||||||||||||
Industrial 0.3% |
||||||||||||
Basic 0.1% |
||||||||||||
Vedanta Resources Finance II PLC |
379 | 395,416 | ||||||||||
Volcan Cia Minera SAA |
262 | 234,621 | ||||||||||
|
|
|||||||||||
630,037 | ||||||||||||
|
|
|||||||||||
Capital Goods 0.1% |
| |||||||||||
Cemex SAB de CV |
942 | 800,700 | ||||||||||
Embraer Netherlands Finance BV |
590 | 571,194 | ||||||||||
6.95%, 01/17/2028(c) |
384 | 384,595 | ||||||||||
Odebrecht Holdco Finance Ltd. |
270 | 1,352 | ||||||||||
|
|
|||||||||||
1,757,841 | ||||||||||||
|
|
40 | AB BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Communications - Media 0.0% |
| |||||||||||
Globo Comunicacao e Participacoes SA |
U.S.$ | 427 | $ | 369,168 | ||||||||
|
|
|||||||||||
Consumer Cyclical - Other 0.0% |
||||||||||||
Wynn Macau Ltd. |
483 | 388,211 | ||||||||||
|
|
|||||||||||
Consumer Non-Cyclical 0.1% |
||||||||||||
Natura &Co Luxembourg Holdings SARL |
592 | 575,898 | ||||||||||
Natura Cosmeticos SA |
583 | 520,969 | ||||||||||
Virgolino de Oliveira Finance SA |
655 | 65 | ||||||||||
|
|
|||||||||||
1,096,932 | ||||||||||||
|
|
|||||||||||
4,242,189 | ||||||||||||
|
|
|||||||||||
Utility 0.0% |
||||||||||||
Electric 0.0% |
||||||||||||
Terraform Global Operating LLC |
89 | 87,541 | ||||||||||
|
|
|||||||||||
Financial Institutions 0.0% |
||||||||||||
Other Finance 0.0% |
||||||||||||
OEC Finance Ltd. |
238 | 8,265 | ||||||||||
|
|
|||||||||||
Total Emerging Markets Corporate Bonds |
4,337,995 | |||||||||||
|
|
|||||||||||
LOCAL GOVERNMENTS - US MUNICIPAL BONDS 0.3% |
||||||||||||
United States 0.3% |
||||||||||||
City of New York NY |
775 | 644,632 | ||||||||||
Port Authority of New York & New Jersey |
660 | 647,444 | ||||||||||
Tobacco Settlement Finance Authority/WV |
908 | 903,904 | ||||||||||
University of California |
1,465 | 1,166,437 | ||||||||||
|
|
|||||||||||
Total Local Governments US Municipal Bonds |
3,362,417 | |||||||||||
|
|
abfunds.com | AB BOND INFLATION STRATEGY | 41 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
QUASI-SOVEREIGNS 0.1% |
||||||||||||
Quasi-Sovereign Bonds 0.1% |
||||||||||||
Mexico 0.1% |
||||||||||||
Comision Federal de Electricidad |
U.S.$ | 1,089 | $ | 869,703 | ||||||||
4.688%, 05/15/2029(c) |
1,016 | 934,275 | ||||||||||
|
|
|||||||||||
Total Quasi-Sovereigns |
1,803,978 | |||||||||||
|
|
|||||||||||
EMERGING MARKETS - |
||||||||||||
Dominican Republic 0.1% |
||||||||||||
Dominican Republic International Bond |
1,213 | 1,018,389 | ||||||||||
|
|
|||||||||||
Egypt 0.0% |
||||||||||||
Egypt Government International Bond |
699 | 511,144 | ||||||||||
|
|
|||||||||||
Total Emerging Markets Sovereigns |
1,529,533 | |||||||||||
|
|
|||||||||||
Shares | ||||||||||||
COMMON STOCKS 0.1% |
||||||||||||
Financials 0.1% |
||||||||||||
Insurance 0.1% |
||||||||||||
Mt Logan Re Ltd.(i)(m) |
226 | 198,051 | ||||||||||
Mt Logan Re Ltd.
(Preference |
1,428 | 1,287,758 | ||||||||||
|
|
|||||||||||
Total Common Stocks |
1,485,809 | |||||||||||
|
|
|||||||||||
Principal Amount (000) |
||||||||||||
GOVERNMENTS - SOVEREIGN BONDS 0.0% |
||||||||||||
Colombia 0.0% |
||||||||||||
Colombia Government International Bond |
U.S.$ | 248 | 194,029 | |||||||||
|
|
42 | AB BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Shares |
U.S. $ Value | |||||||||||
|
||||||||||||
SHORT-TERM INVESTMENTS 0.8% |
||||||||||||
Investment Companies 0.8% |
||||||||||||
AB Fixed Income Shares, Inc. Government Money Market Portfolio Class AB, 0.22%(o)(p)(q) |
9,657,753 | $ | 9,657,753 | |||||||||
|
|
|||||||||||
Total Investments 114.7% |
1,427,158,061 | |||||||||||
Other assets less liabilities (14.7)% |
(183,096,919 | ) | ||||||||||
|
|
|||||||||||
Net Assets 100.0% |
$ | 1,244,061,142 | ||||||||||
|
|
FUTURES (see Note D)
Description | Number of Contracts |
Expiration Month |
Current Notional |
Value and Unrealized Appreciation/ (Depreciation) |
||||||||||||
Purchased Contracts |
||||||||||||||||
U.S. T-Note 2 Yr (CBT) Futures |
275 | June 2022 | $ | 57,973,438 | $ | (415,921 | ) | |||||||||
Sold Contracts |
||||||||||||||||
U.S. 10 Yr Ultra Futures |
185 | June 2022 | 23,865,000 | 266,455 | ||||||||||||
U.S. T-Note 5 Yr (CBT) Futures |
257 | June 2022 | 28,956,672 | 187,025 | ||||||||||||
U.S. Ultra Bond (CBT) Futures |
72 | June 2022 | 11,551,500 | 617,834 | ||||||||||||
|
|
|||||||||||||||
$ | 655,393 | |||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
Counterparty | Contracts to Deliver (000) |
In Exchange For (000) |
Settlement Date |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||
Deutsche Bank AG |
CNH | 7,382 | USD | 1,111 | 05/18/2022 | $ | 483 | |||||||||||||
Goldman Sachs Bank USA |
MYR | 7,213 | USD | 1,699 | 06/16/2022 | 38,818 | ||||||||||||||
HSBC Bank USA |
USD | 1,180 | EUR | 1,108 | 05/12/2022 | (10,058 | ) | |||||||||||||
HSBC Bank USA |
CNH | 159,949 | USD | 24,664 | 05/18/2022 | 610,957 | ||||||||||||||
HSBC Bank USA |
CAD | 23,240 | USD | 18,596 | 07/21/2022 | 511,336 | ||||||||||||||
JPMorgan Chase Bank, NA |
CAD | 2,590 | USD | 2,041 | 07/21/2022 | 25,347 | ||||||||||||||
JPMorgan Chase Bank, NA |
USD | 2,005 | CAD | 2,511 | 07/21/2022 | (50,956 | ) | |||||||||||||
Morgan Stanley Capital Services, Inc. |
EUR | 7,549 | USD | 8,642 | 05/12/2022 | 675,237 | ||||||||||||||
Morgan Stanley Capital Services, Inc. |
AUD | 24,731 | USD | 17,726 | 07/21/2022 | 227,756 | ||||||||||||||
State Street Bank & Trust Co. |
EUR | 266 | USD | 304 | 05/12/2022 | 23,835 | ||||||||||||||
State Street Bank & Trust Co. |
USD | 26 | EUR | 23 | 05/12/2022 | (1,353 | ) | |||||||||||||
State Street Bank & Trust Co. |
AUD | 1,396 | USD | 998 | 07/21/2022 | 9,842 | ||||||||||||||
|
|
|||||||||||||||||||
$ | 2,061,244 | |||||||||||||||||||
|
|
abfunds.com | AB BOND INFLATION STRATEGY | 43 |
PORTFOLIO OF INVESTMENTS (continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note D)
Description | Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at April 30, 2022 |
Notional Amount (000) |
Market Value |
Upfront Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||||||||||
CDX-NAHY Series 38, 5 Year Index, 06/20/2027* |
(5.00 | )% | Quarterly | 4.63 | % | USD | 14,546 | $ | (303,171 | ) | $ | (682,680 | ) | $ | 379,509 | |||||||||||||||||
CDX-NAIG Series 38, 5 Year Index, 06/20/2027* |
(1.00 | ) | Quarterly | 0.84 | USD | 115,610 | (1,015,176 | ) | (1,604,144 | ) | 588,968 | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (1,318,347 | ) | $ | (2,286,824 | ) | $ | 968,477 | |||||||||||||||||||||||||
|
|
|
|
|
|
CENTRALLY CLEARED INFLATION (CPI) SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||||||||||||
Notional Amount (000) |
Termination Date |
Payments made by the Fund |
Payments received by the Fund |
Payment Paid/ Received |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||||||
USD |
21,500 | 07/15/2022 | 1.851% | CPI# | Maturity | $ | 1,709,931 | $ | 0 | | $ | 1,709,931 | ||||||||||||||||||||
USD |
12,000 | 07/15/2022 | 1.850% | CPI# | Maturity | 955,013 | 0 | | 955,013 | |||||||||||||||||||||||
USD |
11,250 | 07/15/2022 | 1.575% | CPI# | Maturity | 968,228 | 0 | | 968,228 | |||||||||||||||||||||||
USD |
9,450 | 07/15/2022 | 1.758% | CPI# | Maturity | 788,882 | 0 | | 788,882 | |||||||||||||||||||||||
USD |
4,500 | 07/15/2022 | 1.484% | CPI# | Maturity | 399,927 | 0 | | 399,927 | |||||||||||||||||||||||
USD |
9,000 | 07/15/2023 | 1.902% | CPI# | Maturity | 949,474 | 0 | | 949,474 | |||||||||||||||||||||||
USD |
3,000 | 01/15/2024 | 1.599% | CPI# | Maturity | 387,902 | 0 | | 387,902 | |||||||||||||||||||||||
USD |
64,600 | 02/26/2025 | 1.589% | CPI# | Maturity | 9,157,249 | 0 | | 9,157,249 | |||||||||||||||||||||||
USD |
38,550 | 02/28/2025 | 1.527% | CPI# | Maturity | 5,581,955 | 0 | | 5,581,955 | |||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | 20,898,561 | $ | 0 | | $ | 20,898,561 | ||||||||||||||||||||||||||
|
|
|
|
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||||||
Notional Amount (000) |
Termination Date |
Payments made by the Fund |
Payments received by the Fund |
Payment Paid/ |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||
USD | 1,160 | 06/09/2025 | 2.488% | 3 Month LIBOR |
Semi-Annual/Quarterly | $ | 9,249 | $ | 0 | | $ | 9,249 | ||||||||||||||
USD | 2,106 | 08/04/2025 | 2.293% | 3 Month LIBOR |
Semi-Annual/Quarterly | 39,999 | 0 | | 39,999 | |||||||||||||||||
USD | 5,400 | 10/04/2026 | 1.487% | 3 Month LIBOR |
Semi-Annual/Quarterly | 342,854 | 0 | | 342,854 | |||||||||||||||||
USD | 1,080 | 11/08/2026 | 1.657% | 3 Month LIBOR |
Semi-Annual/Quarterly | 54,829 | 0 | | 54,829 | |||||||||||||||||
USD | 1,080 | 11/09/2026 | 1.672% | 3 Month LIBOR |
Semi-Annual/Quarterly | 54,125 | 0 | | 54,125 | |||||||||||||||||
USD | 7,030 | 04/04/2027 | 2.436% | 3 Month LIBOR |
Semi-Annual/Quarterly | 178,505 | 0 | | 178,505 |
44 | AB BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
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 | 20,920 | 06/05/2027 | 0.558% | 3 Month LIBOR |
Semi-Annual/Quarterly | $ | 2,402,392 | $ | 0 | | $ | 2,402,392 | ||||||||||||||||
USD | 715 | 07/12/2027 | 2.354% | 3 Month LIBOR |
Semi-Annual/Quarterly | 17,832 | 0 | | 17,832 | |||||||||||||||||||
USD | 5,395 | 06/04/2029 | 2.149% | 3 Month LIBOR |
Semi-Annual/Quarterly | 249,799 | 0 | | 249,799 | |||||||||||||||||||
USD | 3,170 | 09/27/2029 | 1.593% | 3 Month LIBOR |
Semi-Annual/Quarterly | 295,182 | 0 | | 295,182 | |||||||||||||||||||
USD | 40,300 | 05/21/2031 | 1.617% | 3 Month LIBOR |
Semi-Annual/Quarterly | 4,112,493 | 0 | | 4,112,493 | |||||||||||||||||||
USD | 1,490 | 11/10/2035 | 2.631% | 3 Month LIBOR |
Semi-Annual/Quarterly | 43,301 | 0 | | 43,301 | |||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
$ | 7,800,560 | $ | 0 | | $ | 7,800,560 | ||||||||||||||||||||||
|
|
|
|
|
|
CREDIT DEFAULT SWAPS (see Note D)
Swap Counterparty & Referenced Obligation |
Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at April 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 | 8 | $ | (2,040 | ) | $ | (1,287 | ) | $ | (753 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 8 | (2,040 | ) | (1,029 | ) | (1,011 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 12 | (2,946 | ) | (1,173 | ) | (1,773 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 25 | (6,119 | ) | (3,571 | ) | (2,548 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 25 | (6,119 | ) | (3,253 | ) | (2,866 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 23 | (5,666 | ) | (2,675 | ) | (2,991 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 35 | (8,386 | ) | (4,166 | ) | (4,220 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 40 | (9,745 | ) | (5,001 | ) | (4,744 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 40 | (9,746 | ) | (4,842 | ) | (4,904 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 56 | (13,599 | ) | (6,756 | ) | (6,843 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 56 | (13,599 | ) | (6,096 | ) | (7,503 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 86 | (20,850 | ) | (10,104 | ) | (10,746 | ) |
abfunds.com | AB BOND INFLATION STRATEGY | 45 |
PORTFOLIO OF INVESTMENTS (continued)
Swap Counterparty & Referenced Obligation |
Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at April 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 | 82 | $ | (19,718 | ) | $ | (8,839 | ) | $ | (10,879 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 114 | (27,424 | ) | (11,786 | ) | (15,638 | ) | |||||||||||||||||||||
Credit Suisse International |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 05/11/2063* |
2.00 | Monthly | 7.50 | USD | 1,008 | (90,998 | ) | (21,192 | ) | (69,806 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 5 | (1,133 | ) | (554 | ) | (579 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 114 | (27,651 | ) | (13,197 | ) | (14,454 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 130 | (31,503 | ) | (15,304 | ) | (16,199 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 122 | (29,464 | ) | (9,356 | ) | (20,108 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 212 | (51,220 | ) | (29,754 | ) | (21,466 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 130 | (31,276 | ) | (8,467 | ) | (22,809 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 159 | (38,302 | ) | (12,421 | ) | (25,881 | ) | |||||||||||||||||||||
Deutsche Bank AG |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 28 | (6,799 | ) | (3,121 | ) | (3,678 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 122 | (29,463 | ) | (14,538 | ) | (14,925 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 141 | (33,996 | ) | (16,774 | ) | (17,222 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 204 | (49,181 | ) | (22,028 | ) | (27,153 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 205 | (49,408 | ) | (22,121 | ) | (27,287 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 409 | (98,815 | ) | (27,759 | ) | (71,056 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 621 | (150,037 | ) | (41,175 | ) | (108,862 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 670 | (161,822 | ) | (36,371 | ) | (125,451 | ) | |||||||||||||||||||||
Goldman Sachs International |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 14 | (3,400 | ) | (2,022 | ) | (1,378 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 14 | (3,400 | ) | (1,193 | ) | (2,207 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 25 | (6,119 | ) | (3,073 | ) | (3,046 | ) |
46 | AB BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Swap Counterparty & Referenced Obligation |
Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at April 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 | 28 | $ | (6,800 | ) | $ | (2,630 | ) | $ | (4,170 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 28 | (6,799 | ) | (2,430 | ) | (4,369 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 55 | (13,372 | ) | (5,653 | ) | (7,719 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 156 | (37,622 | ) | (15,695 | ) | (21,927 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 167 | (40,342 | ) | (13,650 | ) | (26,692 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 348 | (84,083 | ) | (53,813 | ) | (30,270 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 302 | (72,979 | ) | (38,891 | ) | (34,088 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 485 | (117,173 | ) | (76,070 | ) | (41,103 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 561 | (135,531 | ) | (81,579 | ) | (53,952 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 938 | (226,641 | ) | (117,491 | ) | (109,150 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 1,220 | (294,634 | ) | (136,272 | ) | (158,362 | ) | |||||||||||||||||||||
JPMorgan Securities, LLC |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 26 | (6,346 | ) | (2,424 | ) | (3,922 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 28 | (6,799 | ) | (2,598 | ) | (4,201 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 111 | (26,743 | ) | (13,363 | ) | (13,380 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 114 | (27,650 | ) | (10,534 | ) | (17,116 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 226 | (54,621 | ) | (26,461 | ) | (28,160 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 648 | (156,609 | ) | (75,205 | ) | (81,404 | ) | |||||||||||||||||||||
Morgan Stanley & Co. International PLC |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 1,032 | (249,305 | ) | (144,270 | ) | (105,035 | ) | |||||||||||||||||||||
Morgan Stanley Capital Services LLC |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 179 | (43,289 | ) | (11,953 | ) | (31,336 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (2,649,322 | ) | $ | (1,201,980 | ) | $ | (1,447,342 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
abfunds.com | AB BOND INFLATION STRATEGY | 47 |
PORTFOLIO OF INVESTMENTS (continued)
INFLATION (CPI) SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||||||
Swap |
Notional Amount (000) |
Termination Date |
Payments made by the Fund |
Payments received by the Fund |
Payment Frequency Paid/ Received |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||
JPMorgan Chase Bank, NA |
USD 23,800 | 07/15/2023 | 1.848% | CPI# | Maturity | $ | 2,578,041 | $ | 0 | | $ | 2,578,041 |
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
INTEREST RATE SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||||||||||
Swap Counterparty |
Notional Amount (000) |
Termination Date |
Payments made by the Fund |
Payments received by the Fund |
Payment Frequency Paid/ Received |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||
Morgan Stanley Capital Services LLC | USD | 595 | 03/06/2042 | 2.804% | 3 Month LIBOR |
Semi-Annual/ Quarterly |
$ | 9,323 | $ | 0 | | $ | 9,323 |
REVERSE REPURCHASE AGREEMENTS (see Note D)
Broker | Interest Rate | Maturity | U.S. $ Value at April 30, 2022 |
|||||||||
HSBC Bank USA |
0.08 | % | | $ | 6,893,679 | |||||||
HSBC Bank USA |
0.08 | % | | 4,289,965 | ||||||||
HSBC Bank USA |
0.08 | % | | 97,660,217 | ||||||||
HSBC Bank USA |
0.09 | % | | 17,315,929 | ||||||||
HSBC Bank USA |
0.31 | % | | 1,998,453 | ||||||||
HSBC Bank USA |
0.33 | % | | 6,320,740 | ||||||||
JPMorgan Chase Bank |
0.36 | % | | 14,864,906 | ||||||||
|
|
|||||||||||
$ | 149,343,889 | |||||||||||
|
|
| The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on April 30, 2022. |
The type of underlying collateral and the remaining maturity of open reverse repurchase agreements on the statements of assets and liabilities is as follows:
Overnight and Continuous |
Up to 30 Days | 31-90 Days | Greater than 90 Days |
Total | ||||||||||||||||
Inflation-Linked Securities |
$ | 149,343,889 | $ | 0 | | $ | 0 | | $ | 0 | | $ | 149,343,889 |
** | Principal amount less than 500. |
(a) | Position, or a portion thereof, has been segregated to collateralize reverse repurchase agreements. |
(b) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(c) | Security is exempt from registration under Rule 144A 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 April 30, 2022, the aggregate market value of these securities amounted to $186,062,286 or 15.0% of net assets. |
48 | AB BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
(d) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(e) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at April 30, 2022. |
(f) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.24% of net assets as of April 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 | $ | 501,586 | $ | 468,903 | 0.04 | % | |||||||||
GSF |
02/25/2021 | 1,082,886 | 1,007,254 | 0.08 | % | |||||||||||
GSF |
02/25/2021 | 40,956 | 37,586 | 0.00 | % | |||||||||||
HFX Funding |
11/19/2020 | 1,141,698 | 1,009,814 | 0.08 | % | |||||||||||
Morgan Stanley Capital I Trust |
11/16/2015 | 101,507 | 93,655 | 0.01 | % | |||||||||||
PMT Credit Risk Transfer Trust Series 2020-1R, Class A
|
02/11/2000 | 206,460 | 205,617 | 0.02 | % | |||||||||||
Terraform Global Operating LLC |
02/08/2018 | 89,000 | 87,541 | 0.01 | % | |||||||||||
Virgolino de Oliveira Finance SA |
01/24/2014 | 363,153 | 65 | 0.00 | % |
(g) | Inverse interest only security. |
(h) | IO Interest Only. |
(i) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(j) | Defaulted matured security. |
(k) | Fair valued by the Adviser. |
(l) | Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at April 30, 2022. |
(m) | Non-income producing security. |
(n) | Restricted and illiquid security. |
Restricted & Illiquid Securities |
Acquisition Date |
Cost | Market Value |
Percentage of Net Assets |
||||||||||||
Mt Logan Re Ltd. (Preference Shares) |
12/30/2014 | $ | 1,427,910 | $ | 1,287,758 | 0.10 | % |
(o) | Affiliated investments. |
(p) | To obtain a copy of the funds shareholder report, please go to the Securities and Exchange Commissions website at www.sec.gov, or call AB at (800) 227-4618. |
(q) | The rate shown represents the 7-day yield as of period end. |
abfunds.com | AB BOND INFLATION STRATEGY | 49 |
PORTFOLIO OF INVESTMENTS (continued)
Currency Abbreviations:
AUD Australian Dollar CAD Canadian Dollar CNH Chinese Yuan Renminbi (Offshore) EUR Euro MYR Malaysian Ringgit USD United States Dollar |
Glossary:
ABS Asset-Backed Securities
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
LIBOR London Interbank Offered Rate
REIT Real Estate Investment Trust
REMICs Real Estate Mortgage Investment Conduits
SOFR Secured Overnight Financing Rate
TBA To Be Announced
TIPS Treasury Inflation Protected Security
See notes to financial statements.
50 | AB BOND INFLATION STRATEGY |
abfunds.com |
STATEMENT OF ASSETS & LIABILITIES
April 30, 2022 (unaudited)
Assets |
| |||
Investments in securities, at value |
||||
Unaffiliated issuers (cost $1,464,125,750) |
$ | 1,417,500,308 | ||
Affiliated issuers (cost $9,657,753) |
9,657,753 | |||
Cash |
23,415 | |||
Cash collateral due from broker |
10,666,260 | |||
Foreign currencies, at value (cost $1,767,421) |
1,701,528 | |||
Receivable for investment securities sold |
15,073,376 | |||
Receivable for capital stock sold |
7,840,434 | |||
Interest receivable |
2,988,024 | |||
Unrealized appreciation on inflation swaps |
2,578,041 | |||
Unrealized appreciation on forward currency exchange contracts |
2,123,611 | |||
Receivable for variation margin on centrally cleared swaps |
423,920 | |||
Receivable for variation margin on futures |
181,012 | |||
Receivable for terminated centrally cleared credit default swaps |
42,278 | |||
Unrealized appreciation on interest rate swaps |
9,323 | |||
Affiliated dividends receivable |
1,387 | |||
|
|
|||
Total assets |
1,470,810,670 | |||
|
|
|||
Liabilities | ||||
Payable for reverse repurchase agreements |
149,343,889 | |||
Payable for investment securities purchased |
65,354,732 | |||
Payable for capital stock redeemed |
6,121,819 | |||
Market value on credit default swaps (net premiums received $1,201,980) |
2,649,322 | |||
Cash collateral due to broker |
2,520,000 | |||
Advisory fee payable |
388,162 | |||
Payable for terminated centrally cleared credit default swaps |
85,355 | |||
Distribution fee payable |
68,530 | |||
Unrealized depreciation on forward currency exchange contracts |
62,367 | |||
Administrative fee payable |
35,984 | |||
Foreign capital gains tax payable |
26,085 | |||
Directors fees payable |
1,788 | |||
Transfer Agent fee payable |
551 | |||
Accrued expenses |
90,944 | |||
|
|
|||
Total liabilities |
226,749,528 | |||
|
|
|||
Net Assets |
$ | 1,244,061,142 | ||
|
|
|||
Composition of Net Assets |
| |||
Capital stock, at par |
$ | 109,762 | ||
Additional paid-in capital |
1,254,642,572 | |||
Accumulated loss |
(10,691,192 | ) | ||
|
|
|||
Net Assets |
$ | 1,244,061,142 | ||
|
|
See notes to financial statements.
abfunds.com | AB BOND INFLATION STRATEGY | 51 |
STATEMENT OF ASSETS & LIABILITIES (continued)
Net Asset Value Per Share33 billion shares of capital stock authorized, $.001 par value
Class | Net Assets | Shares Outstanding |
Net Asset Value |
|||||||||
|
||||||||||||
A | $ | 72,029,185 | 6,300,644 | $ | 11.43 | * | ||||||
|
||||||||||||
C | $ | 17,526,650 | 1,580,798 | $ | 11.09 | |||||||
|
||||||||||||
Advisor | $ | 625,432,910 | 54,647,057 | $ | 11.44 | |||||||
|
||||||||||||
R | $ | 2,747,683 | 239,724 | $ | 11.46 | |||||||
|
||||||||||||
K | $ | 5,008,964 | 438,546 | $ | 11.42 | |||||||
|
||||||||||||
I | $ | 7,151,835 | 632,528 | $ | 11.31 | |||||||
|
||||||||||||
1 | $ | 426,284,436 | 38,075,975 | $ | 11.20 | |||||||
|
||||||||||||
2 | $ | 68,573,455 | 6,128,099 | $ | 11.19 | |||||||
|
||||||||||||
Z | $ | 19,306,024 | 1,718,941 | $ | 11.23 | |||||||
|
* | The maximum offering price per share for Class A shares was $11.69 which reflects a sales charge of 2.25%. |
See notes to financial statements.
52 | AB BOND INFLATION STRATEGY |
abfunds.com |
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2022 (unaudited)
Investment Income |
| |||||||
Interest |
$ | 32,850,595 | ||||||
DividendsAffiliated issuers |
3,693 | $ | 32,854,288 | |||||
|
|
|||||||
Expenses | ||||||||
Advisory fee (see Note B) |
2,956,891 | |||||||
Distribution feeClass A |
81,978 | |||||||
Distribution feeClass C |
83,781 | |||||||
Distribution feeClass R |
5,873 | |||||||
Distribution feeClass K |
7,877 | |||||||
Distribution feeClass 1 |
204,305 | |||||||
Transfer agencyClass A |
26,269 | |||||||
Transfer agencyClass C |
6,691 | |||||||
Transfer agencyAdvisor Class |
232,017 | |||||||
Transfer agencyClass R |
3,054 | |||||||
Transfer agencyClass K |
6,301 | |||||||
Transfer agencyClass I |
4,008 | |||||||
Transfer agencyClass 1 |
25,827 | |||||||
Transfer agencyClass 2 |
4,688 | |||||||
Transfer agencyClass Z |
2,488 | |||||||
Registration fees |
121,272 | |||||||
Custody and accounting |
94,153 | |||||||
Audit and tax |
58,410 | |||||||
Administrative |
48,259 | |||||||
Printing |
39,338 | |||||||
Legal |
19,459 | |||||||
Directors fees |
15,014 | |||||||
Miscellaneous |
11,845 | |||||||
|
|
|||||||
Total expenses before interest expense |
4,059,798 | |||||||
Interest expense |
58,473 | |||||||
|
|
|||||||
Total expenses |
4,118,271 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Note B) |
(726,470 | ) | ||||||
|
|
|||||||
Net expenses |
3,391,801 | |||||||
|
|
|||||||
Net investment income |
29,462,487 | |||||||
|
|
See notes to financial statements.
abfunds.com | AB BOND INFLATION STRATEGY | 53 |
STATEMENT OF OPERATIONS (continued)
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain (loss) on: |
||||||||
Investment transactions |
$ | (329,579 | ) | |||||
Forward currency exchange contracts |
213,461 | |||||||
Futures |
(3,915,358 | ) | ||||||
Swaps |
(4,860,677 | ) | ||||||
Foreign currency transactions |
1,178,906 | |||||||
Net change in unrealized appreciation/depreciation of: |
||||||||
Investments |
(83,378,832 | ) | ||||||
Forward currency exchange contracts |
3,686,503 | |||||||
Futures |
(47,515 | ) | ||||||
Swaps |
25,300,245 | |||||||
Foreign currency denominated assets and liabilities |
(135,905 | ) | ||||||
|
|
|||||||
Net loss on investment and foreign currency transactions |
(62,288,751 | ) | ||||||
|
|
|||||||
Net Decrease in Net Assets from Operations |
$ | (32,826,264 | ) | |||||
|
|
See notes to financial statements.
54 | AB BOND INFLATION STRATEGY |
abfunds.com |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
|||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income |
$ | 29,462,487 | $ | 33,270,082 | ||||
Net realized gain (loss) on investment and foreign currency transactions |
(7,713,247 | ) | 14,110,803 | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities |
(54,575,504 | ) | 4,188,413 | |||||
|
|
|
|
|||||
Net increase (decrease) in net assets from operations |
(32,826,264 | ) | 51,569,298 | |||||
Distributions to Shareholders |
| |||||||
Class A |
(1,318,496 | ) | (1,439,317 | ) | ||||
Class C |
(296,387 | ) | (255,420 | ) | ||||
Advisor Class |
(12,233,599 | ) | (11,236,851 | ) | ||||
Class R |
(42,380 | ) | (74,773 | ) | ||||
Class K |
(127,130 | ) | (278,001 | ) | ||||
Class I |
(152,490 | ) | (241,543 | ) | ||||
Class 1 |
(8,781,627 | ) | (14,464,863 | ) | ||||
Class 2 |
(1,571,689 | ) | (2,649,431 | ) | ||||
Class Z |
(459,506 | ) | (756,905 | ) | ||||
Capital Stock Transactions |
| |||||||
Net increase |
278,191,899 | 430,919,982 | ||||||
|
|
|
|
|||||
Total increase |
220,382,331 | 451,092,176 | ||||||
Net Assets |
| |||||||
Beginning of period |
1,023,678,811 | 572,586,635 | ||||||
|
|
|
|
|||||
End of period |
$ | 1,244,061,142 | $ | 1,023,678,811 | ||||
|
|
|
|
See notes to financial statements.
abfunds.com | AB BOND INFLATION STRATEGY | 55 |
STATEMENT OF CASH FLOWS
For the six months ended April 30, 2022 (unaudited)
Cash flows from operating activities | ||||||||
Net decrease in net assets from operations |
$ | (32,826,264 | ) | |||||
Reconciliation of net decrease in net assets from operations to net decrease in cash from operating activities | ||||||||
Purchases of long-term investments |
$ | (753,121,653 | ) | |||||
Purchases of short-term investments |
(343,760,403 | ) | ||||||
Proceeds from disposition of long-term investments |
435,703,063 | |||||||
Proceeds from disposition of short-term investments |
380,307,158 | |||||||
Net realized loss on investment transactions and foreign currency transactions |
7,713,247 | |||||||
Net realized gain on forward currency exchange contracts |
213,461 | |||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities |
54,575,504 | |||||||
Net accretion of bond discount and amortization of bond premium |
8,640,576 | |||||||
Inflation index adjustment |
(33,675,974 | ) | ||||||
Increase in receivable for investments sold |
(14,900,371 | ) | ||||||
Increase in interest receivable |
(226,727 | ) | ||||||
Increase in affiliated dividends receivable |
(1,017 | ) | ||||||
Decrease in cash collateral due from broker |
952,211 | |||||||
Increase in payable for investments purchased |
19,332,770 | |||||||
Increase in cash collateral due to broker |
292,000 | |||||||
Increase in advisory fee payable |
124,397 | |||||||
Increase in administrative fee payable |
854 | |||||||
Decrease in Transfer Agent fee payable |
(9,887 | ) | ||||||
Increase in distribution fee payable |
13,895 | |||||||
Decrease in Directors fee payable |
(593 | ) | ||||||
Decrease in accrued expenses |
(271,528 | ) | ||||||
Proceeds on swaps, net |
1,490,908 | |||||||
Proceeds for exchange-traded derivatives settlements, net |
13,074,187 | |||||||
|
|
|||||||
Total adjustments |
(223,533,922 | ) | ||||||
|
|
|||||||
Net cash provided by (used in) operating activities |
(256,360,186 | ) |
See notes to financial statements.
56 | AB BOND INFLATION STRATEGY |
abfunds.com |
STATEMENT OF CASH FLOWS (continued)
Cash flows from financing activities | ||||||||
Subscriptions of capital stock, net |
$ | 273,402,917 | ||||||
Cash dividends paid (net of dividend reinvestments) |
(5,427,131 | ) | ||||||
Repayment of reverse repurchase agreements |
(12,537,796 | ) | ||||||
|
|
|||||||
Net cash provided by (used in) financing activities |
$ | 255,437,990 | ||||||
Effect of exchange rate on cash |
1,043,001 | |||||||
|
|
|||||||
Net increase in cash |
120,805 | |||||||
Cash at beginning of period |
1,604,138 | |||||||
|
|
|||||||
Cash at end of period |
$ | 1,724,943 | ||||||
|
|
|||||||
Supplemental disclosure of cash flow information | ||||||||
Reinvestment of dividends |
$ | 19,556,173 | ||||||
Interest expense paid during the period |
$ | 63,080 |
In accordance with U.S. GAAP, the Fund has included a Statement of Cash Flows as a result of its significant investments in reverse repurchase agreements throughout the period.
See notes to financial statements.
abfunds.com | AB BOND INFLATION STRATEGY | 57 |
NOTES TO FINANCIAL STATEMENTS
April 30, 2022 (unaudited)
NOTE A
Significant Accounting Policies
AB Bond Fund, Inc. (the Company) is registered under the Investment Company Act of 1940 as an open-end management investment company. The Company, which is a Maryland corporation, operates as a series company comprised of 10 portfolios currently in operation. Each portfolio is considered to be a separate entity for financial reporting and tax purposes. This report relates only to the AB Bond Inflation Strategy Portfolio (the Fund), a diversified portfolio. The Fund has authorized the issuance of Class A, Class B, Class C, Advisor Class, Class R, Class K, Class I, Class Z, Class T, Class 1 and Class 2. Class B and Class T shares have not been issued. Class 1 shares are sold only to the private clients of Sanford C. Bernstein & Co. LLC by its registered representatives. Effective March 7, 2022, the maximum sales charge for purchases of Class A shares was 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 Class A shares in amounts of $1,000,000 or more, or by certain group retirement plans, may have been subject to a 1%, 1-year contingent deferred sales charge, which may have been 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 convert to Class A shares 10 years after the end of the calendar month of purchase. Class R, Class K, and Class 1 shares are sold without an initial or contingent deferred sales charge. Advisor Class, Class I, Class 2 and Class Z shares are sold without an initial or contingent deferred sales charge and are not subject to ongoing distribution expenses. All 11 classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (U.S. GAAP), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Fund.
58 | AB BOND INFLATION STRATEGY |
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NOTES TO FINANCIAL STATEMENTS (continued)
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at fair value as determined in accordance with procedures established by and under the general supervision of the Companys Board of Directors (the Board).
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (NASDAQ)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (OTC) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the Adviser) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the Committee) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties.
abfunds.com | AB BOND INFLATION STRATEGY | 59 |
NOTES TO FINANCIAL STATEMENTS (continued)
Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuers financial statements or other available documents. In addition, the Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Funds 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 1quoted prices in active markets for identical investments |
| Level 2other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| Level 3significant unobservable inputs (including the Funds 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 value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset-backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.
Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a
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NOTES TO FINANCIAL STATEMENTS (continued)
valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
The following table summarizes the valuation of the Funds investments by the above fair value hierarchy levels as of April 30, 2022:
Investments in |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Inflation-Linked Securities |
$ | 0 | | $ | 1,105,645,172 | $ | 0 | | $ | 1,105,645,172 | ||||||
Corporates Investment Grade |
0 | | 116,671,092 | 0 | | 116,671,092 | ||||||||||
Collateralized Mortgage Obligations |
0 | | 49,551,033 | 0 | | 49,551,033 | ||||||||||
Asset-Backed Securities |
0 | | 41,798,644 | 0 | | 41,798,644 | ||||||||||
Mortgage Pass-Throughs |
0 | | 27,466,007 | 0 | | 27,466,007 | ||||||||||
Corporates Non-Investment Grade |
0 | | 22,529,189 | 0 | | 22,529,189 | ||||||||||
Collateralized Loan Obligations |
0 | | 21,619,159 | 0 | | 21,619,159 | ||||||||||
Commercial Mortgage-Backed Securities |
0 | | 17,992,508 | 1,513,743 | 19,506,251 | |||||||||||
Emerging Markets Corporate Bonds |
0 | | 4,337,930 | 65 | 4,337,995 | |||||||||||
Local Governments US Municipal Bonds |
0 | | 3,362,417 | 0 | | 3,362,417 | ||||||||||
Quasi-Sovereigns |
0 | | 1,803,978 | 0 | | 1,803,978 | ||||||||||
Emerging Markets Sovereigns |
0 | | 1,529,533 | 0 | | 1,529,533 | ||||||||||
Common Stocks |
0 | | 0 | | 1,485,809 | 1,485,809 | ||||||||||
Governments Sovereign Bonds |
0 | | 194,029 | 0 | | 194,029 | ||||||||||
Short-Term Investments |
9,657,753 | 0 | | 0 | | 9,657,753 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
9,657,753 | 1,414,500,691 | 2,999,617 | 1,427,158,061 | ||||||||||||
Other Financial Instruments(a): |
||||||||||||||||
Assets: |
| |||||||||||||||
Futures |
1,071,314 | 0 | | 0 | | 1,071,314 | (b) | |||||||||
Forward Currency Exchange Contracts |
0 | | 2,123,611 | 0 | | 2,123,611 | ||||||||||
Centrally Cleared Inflation (CPI) Swaps |
0 | | 20,898,561 | 0 | | 20,898,561 | (b) | |||||||||
Centrally Cleared Interest Rate Swaps |
0 | | 7,800,560 | 0 | | 7,800,560 | (b) | |||||||||
Inflation (CPI) Swaps |
0 | | 2,578,041 | 0 | | 2,578,041 | ||||||||||
Interest Rate Swaps |
0 | | 9,323 | 0 | | 9,323 |
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NOTES TO FINANCIAL STATEMENTS (continued)
Investments in |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Liabilities: |
| |||||||||||||||
Futures |
$ | (415,921 | ) | $ | 0 | | $ | 0 | | $ | (415,921 | )(b) | ||||
Forward Currency Exchange Contracts |
0 | | (62,367 | ) | 0 | | (62,367 | ) | ||||||||
Centrally Cleared Credit Default Swaps |
0 | | (1,318,347 | ) | 0 | | (1,318,347 | )(b) | ||||||||
Credit Default Swaps |
0 | | (2,649,322 | ) | 0 | | (2,649,322 | ) | ||||||||
Reverse Repurchase Agreements |
(149,343,889 | ) | 0 | | 0 | | (149,343,889 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (139,030,743) | $ | 1,443,880,751 | $ | 2,999,617 | $ | 1,307,849,625 | ||||||||
|
|
|
|
|
|
|
|
(a) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value. |
(b) | Only variation margin receivable/(payable) at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value. |
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
4. Taxes
It is the Funds policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital
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NOTES TO FINANCIAL STATEMENTS (continued)
gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Funds 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 Funds financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts as adjustments to interest income.
The Fund accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Fund are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Fund represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each fund or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
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NOTES TO FINANCIAL STATEMENTS (continued)
NOTE B
Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Fund pays the Adviser an advisory fee at an annual rate of .50% of the first $2.5 billion, .45% of the next $2.5 billion and .40% in excess of $5 billion, of the Funds average daily net assets. The Adviser has agreed to waive its fees and bear certain expenses to the extent necessary to limit total operating expenses (excluding extraordinary expenses, interest expense, and acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest), on an annual basis (Expense Caps) to .75%, 1.50%, .50%, 1.00%, .75%, .50%, .60%, .50% and .50% of the daily average net assets for the Class A, Class C, Advisor Class, Class R, Class K, Class I, Class 1, Class 2, and Class Z shares, respectively. This fee waiver and/or expense reimbursement agreement will remain in effect until January 31, 2023 and then may be extended for additional one-year terms. For the six months ended April 30, 2022, such reimbursement amounted to $719,094.
Pursuant to the investment advisory agreement, the Fund may reimburse the Adviser for certain legal and accounting services provided to the Fund by the Adviser. For the six months ended April 30, 2022, the reimbursement for such services amounted to $48,259.
The Fund compensates AllianceBernstein Investor Services, Inc. (ABIS), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Fund. ABIS may make payments to intermediaries that provide omnibus account services, sub-accounting services and/or networking services. Such compensation retained by ABIS amounted to $113,560 for the six months ended April 30, 2022.
AllianceBernstein Investments, Inc. (the Distributor), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Funds shares. The Distributor has advised the Fund that it has retained front-end sales charges of $6,154 from the sale of Class A shares and received $8 and $1,528 in contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C shares, respectively, for the six months ended April 30, 2022.
The Fund may invest in AB Government Money Market Portfolio (the Government Money Market Portfolio) which has a contractual annual advisory fee rate of .20% of the portfolios 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 January 31, 2023. In connection with
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NOTES TO FINANCIAL STATEMENTS (continued)
the investment by the Fund in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Funds pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended April 30, 2022, such waiver amounted to $7,376.
A summary of the Funds transactions in AB mutual funds for the six months ended April 30, 2022 is as follows:
Fund |
Market Value 10/31/21 (000) |
Purchases at Cost (000) |
Sales Proceeds (000) |
Market Value 4/30/22 (000) |
Dividend Income (000) |
|||||||||||||||
Government Money Market Portfolio |
$ | 47,433 | $ | 342,532 | $ | 380,307 | $ | 9,658 | $ | 4 |
NOTE C
Distribution Services Agreement
The Fund has adopted a Distribution Services Agreement (the Agreement) pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement, the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to .30% of the Funds average daily net assets attributable to Class A shares, 1% of the Funds average daily net assets attributable to Class C shares, .50% of the Funds average daily net assets attributable to Class R shares, .25% of the Funds average daily net assets attributable to Class K shares and .10% of the Funds average daily net assets attributable to Class 1 shares. There are no distribution and servicing fees on the Advisor Class, Class I, Class 2 and Class Z shares. Payments under the Agreement in respect of Class A shares are currently limited to an annual rate of .25% of Class A shares average daily net assets. The fees are accrued daily and paid monthly. The Agreement provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. Since the commencement of the Funds operations, the Distributor has incurred expenses in excess of the distribution costs reimbursed by the Fund in the amounts of $327,625 $57,443, $58,706 and $1,582,157 for Class C, Class R, Class K and Class 1 shares, respectively. While such costs may be recovered from the Fund in future periods so long as the Agreement is in effect, the rate of the distribution and servicing fees payable under the Agreement may not be increased without a shareholder vote. In accordance with the Agreement, there is no provision for recovery of unreimbursed distribution costs incurred by the Distributor beyond the current fiscal year for Class A shares. The Agreement also provides that the Adviser may use its own resources to finance the distribution of the Funds shares.
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NOTES TO FINANCIAL STATEMENTS (continued)
NOTE D
Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the six months ended April 30, 2022 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding U.S. government securities) |
$ | 95,627,431 | $ | 85,062,571 | ||||
U.S. government securities |
657,566,518 | 334,358,550 |
The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly,, gross unrealized appreciation and unrealized depreciation are as follows:
Gross unrealized appreciation |
$ | 43,257,902 | ||
Gross unrealized depreciation |
(56,359,087 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (13,101,185 | ) | |
|
|
1. Derivative Financial Instruments
The Fund may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, investment purposes), or to hedge or adjust the risk profile of its portfolio.
The principal types of derivatives utilized by the Fund, as well as the methods in which they may be used are:
| Futures |
The Fund may buy or sell futures for investment purposes or for the purpose of hedging its portfolio against adverse effects of potential movements in the market. The Fund bears the market risk that arises from changes in the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Fund may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under Currency Transactions.
At the time the Fund enters into futures, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are
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NOTES TO FINANCIAL STATEMENTS (continued)
known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Use of long futures subjects the Fund to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Fund to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous days settlement price, which could effectively prevent liquidation of unfavorable positions.
During the six months ended April 30, 2022, the Fund held futures for hedging and non-hedging purposes.
| Forward Currency Exchange Contracts |
The Fund may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to hedge certain firm purchase and sale commitments denominated in foreign currencies and for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under Currency Transactions.
A forward currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on forward currency exchange contracts. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Fund. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
During the six months ended April 30, 2022, the Fund held forward currency exchange contracts for hedging and non-hedging purposes.
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NOTES TO FINANCIAL STATEMENTS (continued)
| Swaps |
The Fund may enter into swaps to hedge its exposure to interest rates, credit risk or currencies. The Fund may also enter into swaps for non-hedging purposes as a means of gaining market exposures, making direct investments in foreign currencies, as described below under Currency Transactions. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Fund in accordance with the terms of the respective swaps to provide value and recourse to the Fund or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Fund, and/or the termination value at the end of the contract. Therefore, the Fund considers the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Funds exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Fund accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received for 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
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NOTES TO FINANCIAL STATEMENTS (continued)
the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.
At the time the Fund enters into a centrally cleared swap, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Interest Rate Swaps:
The Fund is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Fund holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, the Fund may enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Fund may elect to pay a fixed rate and receive a floating rate, or, receive a fixed rate and pay a floating rate on a notional amount.
In addition, the Fund may also enter into interest rate swap transactions to preserve a return or spread on a particular investment or portion of its portfolio, or protecting against an increase in the price of securities the Fund anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) computed based on a contractually-based principal (or notional) amount. Interest rate swaps are entered into on a net basis (i.e., the two payment streams are netted out, with the Fund receiving or paying, as the case may be, only the net amount of the two payments).
70 | AB BOND INFLATION STRATEGY |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
During the six months ended April 30, 2022, the Fund held interest rate swaps for hedging and non-hedging purposes.
Inflation (CPI) Swaps:
Inflation swap agreements are contracts in which one party agrees to pay the cumulative percentage increase in a price index (the Consumer Price Index with respect to CPI swaps) over the term of the swap (with some lag on the inflation index), and the other pays a compounded fixed rate. Inflation swaps may be used to protect the net asset value, or NAV, of a Fund against an unexpected change in the rate of inflation measured by an inflation index since the value of these agreements is expected to increase if there are unexpected inflation increases.
During the six months ended April 30, 2022, the Fund held inflation (CPI) swaps for hedging and non-hedging purposes.
Credit Default Swaps:
The Fund may enter into credit default swaps, including to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults by corporate and sovereign issuers held by the Fund, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. The Fund may purchase credit protection (Buy Contract) or provide credit protection (Sale Contract) on the referenced obligation of the credit default swap. During the term of the swap, the Fund receives/(pays) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Fund is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Fund will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap (the Maximum Payout Amount) and deliver/(take delivery of) the referenced obligation or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront premium received upon entering into the agreement, or net amounts received from settlement of buy protection credit default swaps entered into by the Fund for the same referenced obligations with the same counterparty.
Credit default swaps may involve greater risks than if a Fund had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If the Fund is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If the
abfunds.com | AB BOND INFLATION STRATEGY | 71 |
NOTES TO FINANCIAL STATEMENTS (continued)
Fund is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Fund coupled with the periodic payments previously received, may be less than the Maximum Payout Amount it pays to the buyer, resulting in a net loss to the Fund.
Implied credit spreads over U.S. Treasuries of comparable maturity utilized in determining the market value of credit default swaps on issuers as of period end are disclosed in the portfolio of investments. The implied spreads serve as an indicator of the current status of the payment/performance risk and typically reflect the likelihood of default by the issuer of the referenced obligation. The implied credit spread of a particular reference obligation also reflects the cost of buying/selling protection and may reflect upfront payments required to be made to enter into the agreement. Widening credit spreads typically represent a deterioration of the referenced obligations credit soundness and greater likelihood of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as Defaulted indicates a credit event has occurred for the referenced obligation.
During the six months ended April 30, 2022, the Fund held credit default swaps for hedging and non-hedging purposes.
Total Return Swaps:
The Fund may enter into total return swaps in order to take a long or short position with respect to an underlying referenced asset. The Fund is subject to market price volatility of the underlying referenced asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Fund will receive a payment from or make a payment to the counterparty.
During the six months ended April 30, 2022, the Fund held total return swaps for hedging and non-hedging purposes.
The Fund typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (ISDA Master Agreement) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the OTC counterparty certain derivative financial instruments payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of
72 | AB BOND INFLATION STRATEGY |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Funds net liability, held by the defaulting party, may be delayed or denied.
The Funds ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Fund decline below specific levels (net asset contingent features). If these levels are triggered, the Funds OTC counterparty has the right to terminate such transaction and require the Fund to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty table below for additional details.
During the six months ended April 30, 2022, the Fund had entered into the following derivatives:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type |
Statement of Assets and Liabilities Location |
Fair Value | Statement of Assets and Liabilities Location |
Fair Value | ||||||||
Interest rate contracts |
Receivable/Payable |
$ |
1,071,314 |
* |
Receivable/Payable |
$ |
415,921 |
* | ||||
Credit contracts |
Receivable/Payable for variation margin on centrally cleared swaps |
968,477 | * | |||||||||
Interest rate contracts |
Receivable/Payable |
|
28,699,121 |
* |
||||||||
Foreign currency contracts |
Unrealized |
|
2,123,611 |
|
Unrealized |
|
62,367 |
| ||||
Interest rate contracts |
Unrealized |
|
9,323 |
|
abfunds.com | AB BOND INFLATION STRATEGY | 73 |
NOTES TO FINANCIAL STATEMENTS (continued)
Asset Derivatives | Liability Derivatives | |||||||||||||
Derivative Type |
Statement of Assets and Liabilities Location |
Fair Value | Statement of Assets and Liabilities Location |
Fair Value | ||||||||||
Interest rate contracts |
Unrealized appreciation on inflation swaps |
$ |
2,578,041 |
|
||||||||||
Credit contracts |
|
Market value on credit default swaps |
|
$ | 2,649,322 | |||||||||
|
|
|
|
|||||||||||
Total |
$ | 35,449,887 | $ | 3,127,610 | ||||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. |
Derivative Type |
Location of Gain |
Realized Gain or (Loss) on Derivatives |
Change in Unrealized Appreciation or (Depreciation) |
|||||||
Interest rate contracts |
Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | (3,915,358 | ) | $ | (47,515 | ) | |||
Foreign currency contracts |
Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | 213,461 | 3,686,503 | |||||||
Interest rate contracts |
Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (5,052,708 | ) | 22,875,118 | ||||||
Credit contracts |
Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 192,031 | 2,425,127 | |||||||
|
|
|
|
|||||||
Total |
$ | (8,562,574 | ) | $ | 28,939,233 | |||||
|
|
|
|
74 | AB BOND INFLATION STRATEGY |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
The following table represents the average monthly volume of the Funds derivative transactions during the six months ended April 30, 2022:
Futures: |
||||
Average notional amount of buy contracts |
$ | 81,074,661 | ||
Average notional amount of sale contracts |
$ | 40,762,915 | ||
Forward Currency Exchange Contracts: |
||||
Average principal amount of buy contracts |
$ | 16,488,904 | ||
Average principal amount of sale contracts |
$ | 83,697,661 | ||
Interest Rate Swaps: |
||||
Average notional amount |
$ | 595,000 | ||
Inflation Swaps: |
||||
Average notional amount |
$ | 23,800,000 | ||
Centrally Cleared Interest Rate Swaps: |
||||
Average notional amount |
$ | 105,037,183 | ||
Centrally Cleared Inflation Swaps: |
||||
Average notional amount |
$ | 259,842,857 | ||
Credit Default Swaps: |
||||
Average notional amount of buy contracts |
$ | 13,160,200 | (a) | |
Average notional amount of sale contracts |
$ | 12,214,435 | ||
Centrally Cleared Credit Default Swaps: |
||||
Average notional amount of buy contracts |
$ | 135,966,286 | ||
Total Return Swaps: |
||||
Average notional amount |
$ | 20,860,000 | (b) |
(a) | Positions were open for four months during the period. |
(b) | Positions were open for less than one month during the period. |
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Funds derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements (MA) and net of the related collateral received/pledged by the Fund as of April 30, 2022. Exchange-traded derivatives
abfunds.com | AB BOND INFLATION STRATEGY | 75 |
NOTES TO FINANCIAL STATEMENTS (continued)
and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
Counterparty |
Derivative Assets Subject to a MA |
Derivatives Available for Offset |
Cash Collateral Received* |
Security Collateral Received* |
Net Amount of Derivative Assets |
|||||||||||||||
Deutsche Bank AG |
$ | 483 | $ | (483 | ) | $ | 0 | | $ | 0 | | $ | 0 | | ||||||
Goldman Sachs Bank USA/ Goldman Sachs International |
38,818 | (38,818 | ) | 0 | | 0 | | 0 | | |||||||||||
HSBC Bank USA |
1,122,293 | (10,058 | ) | 0 | | 0 | | 1,112,235 | ||||||||||||
JPMorgan Chase Bank, NA/JPMorgan Securities, LLC |
2,603,388 | (329,724 | ) | (2,273,664 | ) | 0 | | 0 | | |||||||||||
Morgan Stanley & Co. International PLC/Morgan Stanley Capital Services LLC/ Morgan Stanley Capital Services, Inc. |
912,316 | (292,594 | ) | 0 | | 0 | | 619,722 | ||||||||||||
State Street Bank & Trust Co. |
33,677 | (1,353 | ) | 0 | | 0 | | 32,324 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 4,710,975 | $ | (673,030 | ) | $ | (2,273,664 | ) | $ | 0 | | $ | 1,764,281 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
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. |
$ | 147,997 | $ | 0 | | $ | 0 | | $ | 0 | | $ | 147,997 | |||||||
Credit Suisse International |
301,547 | 0 | | (260,000 | ) | (41,547 | ) | 0 | | |||||||||||
Deutsche Bank AG |
579,521 | (483 | ) | 0 | | (579,038 | ) | 0 | | |||||||||||
Goldman Sachs Bank USA/ Goldman Sachs International |
1,048,895 | (38,818 | ) | 0 | | (1,010,077 | ) | 0 | | |||||||||||
HSBC Bank USA |
10,058 | (10,058 | ) | 0 | | 0 | | 0 | | |||||||||||
JPMorgan Chase Bank, NA/JPMorgan Securities, LLC |
329,724 | (329,724 | ) | 0 | | 0 | | 0 | | |||||||||||
Morgan Stanley & Co. International PLC/Morgan Stanley Capital Services LLC/ Morgan Stanley Capital Services, Inc. |
292,594 | (292,594 | ) | 0 | | 0 | | 0 | | |||||||||||
State Street Bank & Trust Co. |
1,353 | (1,353 | ) | 0 | | 0 | | 0 | | |||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 2,711,689 | $ | (673,030 | ) | $ | (260,000 | ) | $ | (1,630,662 | ) | $ | 147,997 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | 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. |
76 | AB BOND INFLATION STRATEGY |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
See Note D.3 for additional disclosure of netting arrangements regarding reverse repurchase agreements.
2. Currency Transactions
The Fund may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Fund may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Fund may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Fund and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Fund may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
3. Reverse Repurchase Agreements
The Fund may enter into reverse repurchase transactions (RVP) in accordance with the terms of a Master Repurchase Agreement (MRA), under which the Fund sells securities and agrees to repurchase them at a mutually agreed upon date and price. At the time the Fund enters into a reverse repurchase agreement, it will establish a segregated account with the custodian containing liquid assets having a value comparable to the repurchase price. Under the MRA and other Master Agreements, the Fund is permitted to offset payables and/or receivables with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund in the event of a default. In the event of a default by a MRA counterparty, the Fund may be considered an unsecured creditor with respect to any excess collateral (collateral with a market value in excess of the repurchase price) held by and/or posted to the counterparty, and as such the return of such excess collateral may be delayed or denied. For the six months ended April 30, 2022, the average amount of reverse repurchase agreements outstanding was $180,701,112 and the daily weighted average interest rate was .09%. At April 30, 2022, the Fund had reverse repurchase agreements outstanding in the amount of $149,343,889 as reported on the statement of assets and liabilities.
abfunds.com | AB BOND INFLATION STRATEGY | 77 |
NOTES TO FINANCIAL STATEMENTS (continued)
The following table presents the Funds RVP liabilities by counterparty net of the related collateral pledged by the Fund as of April 30, 2022:
Counterparty |
RVP Liabilities Subject to a MRA |
Securities Collateral Pledged* |
Net Amount of RVP Liabilities |
|||||||||
HSBC Bank USA |
$ | 134,478,983 | $ | (134,055,298 | ) | $ | 423,685 | |||||
JPMorgan Chase Bank |
14,864,906 | (14,682,804 | ) | 182,102 | ||||||||
|
|
|
|
|
|
|||||||
Total |
$ | 149,343,889 | $ | (148,738,102 | ) | $ | 605,787 | |||||
|
|
|
|
|
|
| Including accrued interest. |
* | The actual collateral pledged may be more than the amount reported due to overcollateralization. |
NOTE E
Capital Stock
Each class consists of 3,000,000,000 authorized shares. Transactions in capital shares for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
|||||||||||||||||||||
|
|
|||||||||||||||||||||||
Class A |
|
|||||||||||||||||||||||
Shares sold |
2,317,482 | 2,978,479 | $ | 27,381,346 | $ | 35,571,322 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions |
79,896 | 90,410 | 936,836 | 1,077,553 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares converted from Class C |
11,046 | 37,706 | 131,359 | 448,061 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(674,864 | ) | (1,241,973 | ) | (7,838,258 | ) | (14,796,949 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase |
1,733,560 | 1,864,622 | $ | 20,611,283 | $ | 22,299,987 | ||||||||||||||||||
|
||||||||||||||||||||||||
Class C |
|
|||||||||||||||||||||||
Shares sold |
711,081 | 910,217 | $ | 8,221,093 | $ | 10,556,717 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions |
22,279 | 18,764 | 253,519 | 217,682 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares converted to Class A |
(11,382 | ) | (38,802 | ) | (131,359 | ) | (448,061 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(251,938 | ) | (119,284 | ) | (2,867,147 | ) | (1,373,884 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase |
470,040 | 770,895 | $ | 5,476,106 | $ | 8,952,454 | ||||||||||||||||||
|
||||||||||||||||||||||||
Advisor Class |
|
|||||||||||||||||||||||
Shares sold |
27,612,979 | 32,633,289 | $ | 326,552,596 | $ | 390,487,358 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions |
792,418 | 752,032 | 9,294,247 | 8,980,280 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(13,440,750 | ) | (5,427,376 | ) | (157,099,884 | ) | (64,729,262 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase |
14,964,647 | 27,957,945 | $ | 178,746,959 | $ | 334,738,376 | ||||||||||||||||||
|
78 | AB BOND INFLATION STRATEGY |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (unaudited) |
Year Ended 2021 |
|||||||||||||||||||||
|
|
|||||||||||||||||||||||
Class R |
|
|||||||||||||||||||||||
Shares sold |
93,238 | 75,262 | $ | 1,092,845 | $ | 896,690 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions |
3,606 | 6,268 | 42,380 | 74,772 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(54,560 | ) | (149,178 | ) | (643,342 | ) | (1,768,349 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase (decrease) |
42,284 | (67,648 | ) | $ | 491,883 | $ | (796,887 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Class K |
|
|||||||||||||||||||||||
Shares sold |
78,937 | 275,029 | $ | 930,643 | $ | 3,257,866 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions |
10,819 | 23,367 | 127,130 | 278,000 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(271,808 | ) | (266,306 | ) | (3,208,072 | ) | (3,145,625 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase (decrease) |
(182,052 | ) | 32,090 | $ | (2,150,299 | ) | $ | 390,241 | ||||||||||||||||
|
||||||||||||||||||||||||
Class I |
|
|||||||||||||||||||||||
Shares sold |
272,779 | 196,613 | $ | 3,210,122 | $ | 2,313,809 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions |
13,147 | 20,510 | 152,490 | 241,543 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(167,925 | ) | (427,976 | ) | (1,949,945 | ) | (5,005,518 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase (decrease) |
118,001 | (210,853 | ) | $ | 1,412,667 | $ | (2,450,166 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Class 1 |
|
|||||||||||||||||||||||
Shares sold |
8,276,116 | 8,538,149 | $ | 95,715,030 | $ | 99,794,546 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions |
595,010 | 943,670 | 6,840,423 | 11,024,083 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(2,953,784 | ) | (4,846,477 | ) | (34,010,992 | ) | (56,534,866 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase |
5,917,342 | 4,635,342 | $ | 68,544,461 | $ | 54,283,763 | ||||||||||||||||||
|
||||||||||||||||||||||||
Class 2 |
|
|||||||||||||||||||||||
Shares sold |
2,577,310 | 1,000,419 | $ | 30,271,624 | $ | 11,655,904 | ||||||||||||||||||
|
||||||||||||||||||||||||
Share issued in reinvestment of dividends and distributions |
126,216 | 214,040 | 1,450,132 | 2,498,675 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(2,233,533 | ) | (871,616 | ) | (26,074,919 | ) | (10,110,085 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase |
469,993 | 342,843 | $ | 5,646,837 | $ | 4,044,494 | ||||||||||||||||||
|
abfunds.com | AB BOND INFLATION STRATEGY | 79 |
NOTES TO FINANCIAL STATEMENTS (continued)
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
|||||||||||||||||||||
|
|
|||||||||||||||||||||||
Class Z |
|
|||||||||||||||||||||||
Shares sold |
418,288 | 1,223,975 | $ | 4,838,652 | $ | 14,312,713 | ||||||||||||||||||
|
||||||||||||||||||||||||
Share issued in reinvestment of dividends and distributions |
39,833 | 64,293 | 459,016 | 753,696 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(516,003 | ) | (479,527 | ) | (5,885,666 | ) | (5,608,689 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase (decrease) |
(57,882 | ) | 808,741 | $ | (587,998 | ) | $ | 9,457,720 | ||||||||||||||||
|
NOTE F
Risks Involved in Investing in the Fund
Market RiskThe value of the Funds assets will fluctuate as the bond market fluctuates. The value of the Funds investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market.
Credit RiskAn issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security. Investments in fixed-income securities with lower ratings tend to have a higher probability that an issuer will default or fail to meet its payment obligations.
Interest-Rate RiskChanges in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Duration RiskDuration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
80 | AB BOND INFLATION STRATEGY |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Inflation RiskThis 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 Funds assets can decline as can the value of the Funds distributions. This risk is significantly greater for fixed-income securities with longer maturities. Although the Fund invests principally in inflation-indexed securities, the value of its securities may be vulnerable to changes in expectations of inflation or interest rates.
Derivatives RiskDerivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, 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 Fund.
Foreign (Non-U.S.) RiskInvestments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Currency RiskFluctuations in currency exchange rates may negatively affect the value of the Funds investments or reduce its returns.
Mortgage-Related and/or Other Asset-Backed Securities RiskInvestments in mortgage-related and other asset-backed securities are subject to certain additional risks. The value of these securities may be particularly sensitive to changes in interest rates. These risks include extension risk, which is the risk that, in periods of rising interest rates, issuers may delay the payment of principal, and prepayment risk, which is the risk that in periods of falling interest rates, issuers may pay principal sooner than expected, exposing the Fund to a lower rate of return upon reinvestment of principal. Mortgage-backed securities offered by non-governmental issuers and other asset-backed securities may be subject to other risks, such as higher rates of default in the mortgages or assets backing the securities or risks associated with the nature and servicing of mortgages or assets backing the securities.
Leverage RiskWhen the Fund borrows money or otherwise leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Funds investments. The Fund may create leverage through the use of reverse repurchase arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures or by borrowing money. The use of other types of derivative instruments by the Fund, such as options and swaps, may also result in a form of leverage. Leverage may result in
abfunds.com | AB BOND INFLATION STRATEGY | 81 |
NOTES TO FINANCIAL STATEMENTS (continued)
higher returns to the Fund than if the Fund were not leveraged, but may also adversely affect returns, particularly if the market is declining.
Illiquid Investments RiskIlliquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest rate environment, when the value and liquidity of fixed-income securities generally go down.
LIBOR Transition and Associated RiskA Fund may be exposed to debt securities, derivatives or other financial instruments that are tied to 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 LIBORs 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. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserves Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.
The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Funds performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments
82 | AB BOND INFLATION STRATEGY |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Funds 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. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.
Indemnification RiskIn the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Funds maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Fund has not accrued any liability in connection with these indemnification provisions.
Management RiskThe Fund is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE G
Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Fund, participate in a $325 million revolving credit facility (the Facility) intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Fund did not utilize the Facility during the six months ended April 30, 2022.
NOTE H
Distributions to Shareholders
The tax character of distributions to be paid for the year ending October 31, 2022 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended October 31, 2021 and October 31, 2020 were as follows:
2021 | 2020 | |||||||
Distributions paid from: |
||||||||
Ordinary income |
$ | 27,901,153 | $ | 13,870,708 | ||||
Net long-term capital gains |
3,495,951 | 0 | | |||||
|
|
|
|
|||||
Total taxable distributions paid |
$ | 31,397,104 | $ | 13,870,708 | ||||
|
|
|
|
abfunds.com | AB BOND INFLATION STRATEGY | 83 |
NOTES TO FINANCIAL STATEMENTS (continued)
As of October 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed capital gains |
$ | 3,796,204 | (a) | |
Unrealized appreciation/(depreciation) |
43,631,840 | (b) | ||
|
|
|||
Total accumulated earnings/(deficit) |
$ | 47,428,044 | (c) | |
|
|
(a) | During the fiscal year, the Fund utilized $11,427,672 of capital loss carry forwards to offset current year net realized gains. |
(b) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the recognition for tax purposes of unrealized gains/losses on certain derivative instruments, the tax treatment of passive foreign investment companies (PFICs), the tax treatment of Treasury inflation-protected securities, the tax treatment of swaps, the tax deferral of losses on wash sales, and the amortization on callable bonds. |
(c) | The differences between book-basis and tax-basis components of accumulated earnings/(deficit) are attributable primarily to the accrual of foreign capital gains tax and the tax treatment of defaulted securities. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of October 31, 2021, the Fund did not have any capital loss carryforwards.
NOTE I
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 J
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 Funds financial statements through this date.
84 | AB BOND INFLATION STRATEGY |
abfunds.com |
FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class A | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 11.97 | $ 11.56 | $ 10.95 | $ 10.47 | $ 10.83 | $ 10.92 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.28 | .51 | .25 | .21 | .28 | .21 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(.58 | ) | .35 | .59 | .52 | (.38 | ) | (.11 | ) | |||||||||||||||
Contributions from Affiliates |
0 | | 0 | | 0 | | .00 | (c) | 0 | | .00 | (c) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(.30 | ) | .86 | .84 | .73 | (.10 | ) | .10 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends and Distributions |
||||||||||||||||||||||||
Dividends from net investment income |
(.20 | ) | (.45 | ) | (.23 | ) | (.24 | ) | (.26 | ) | (.19 | ) | ||||||||||||
Distributions from net realized gain on investment transactions |
(.04 | ) | 0 | | 0 | | 0 | | 0 | | 0 | | ||||||||||||
Return of capital |
0 | | 0 | | 0 | | (.01 | ) | 0 | | 0 | | ||||||||||||
|
|
|||||||||||||||||||||||
Total dividends and distributions |
(.24 | ) | (.45 | ) | (.23 | ) | (.25 | ) | (.26 | ) | (.19 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 11.43 | $ 11.97 | $ 11.56 | $ 10.95 | $ 10.47 | $ 10.83 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(d) |
(2.57 | )% | 7.63 | % | 7.64 | % | 7.00 | % | (.99 | )% | .91 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$72,029 | $54,687 | $31,248 | $38,422 | $52,116 | $27,718 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e) |
.76 | %^ | .78 | % | .91 | % | 1.25 | % | 1.31 | % | 1.01 | % | ||||||||||||
Expenses, before waivers/reimbursements(e) |
.91 | %^ | 1.00 | % | 1.18 | % | 1.51 | % | 1.56 | % | 1.34 | % | ||||||||||||
Net investment income(b) |
4.86 | %^ | 4.29 | % | 2.26 | % | 1.93 | % | 2.60 | % | 1.95 | % | ||||||||||||
Portfolio turnover rate |
32 | % | 62 | % | 48 | % | 40 | % | 36 | % | 42 | % |
See footnote summary on page 94.
abfunds.com | AB BOND INFLATION STRATEGY | 85 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class C | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 11.63 | $ 11.25 | $ 10.67 | $ 10.24 | $ 10.61 | $ 10.71 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.23 | .44 | .18 | .13 | .19 | .13 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(.57 | ) | .31 | .56 | .49 | (.37 | ) | (.11 | ) | |||||||||||||||
Contributions from Affiliates |
0 | | 0 | | 0 | | .00 | (c) | 0 | | .00 | (c) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(.34 | ) | .75 | .74 | .62 | (.18 | ) | .02 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends and Distributions |
||||||||||||||||||||||||
Dividends from net investment income |
(.16 | ) | (.37 | ) | (.16 | ) | (.19 | ) | (.19 | ) | (.12 | ) | ||||||||||||
Distributions from net realized gain on investment transactions |
(.04 | ) | 0 | | 0 | | 0 | | 0 | | 0 | | ||||||||||||
|
|
|||||||||||||||||||||||
Total dividends and distributions |
(.20 | ) | (.37 | ) | (.16 | ) | (.19 | ) | (.19 | ) | (.12 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 11.09 | $ 11.63 | $ 11.25 | $ 10.67 | $ 10.24 | $ 10.61 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(d) |
(2.95 | )% | 6.87 | % | 6.92 | % | 6.18 | % | (1.77 | )% | .16 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$17,527 | $12,915 | $3,823 | $2,607 | $3,391 | $3,627 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e) |
1.51 | %^ | 1.53 | % | 1.64 | % | 1.99 | % | 2.03 | % | 1.76 | % | ||||||||||||
Expenses, before waivers/reimbursements(e) |
1.66 | %^ | 1.75 | % | 1.91 | % | 2.26 | % | 2.29 | % | 2.09 | % | ||||||||||||
Net investment income(b) |
4.05 | %^ | 3.79 | % | 1.62 | % | 1.28 | % | 1.77 | % | 1.26 | % | ||||||||||||
Portfolio turnover rate |
32 | % | 62 | % | 48 | % | 40 | % | 36 | % | 42 | % |
See footnote summary on page 94.
86 | AB BOND INFLATION STRATEGY |
abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 11.99 | $ 11.57 | $ 10.96 | $ 10.49 | $ 10.84 | $ 10.93 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.30 | .57 | .27 | .27 | .30 | .25 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(.60 | ) | .33 | .60 | .48 | (.37 | ) | (.13 | ) | |||||||||||||||
Contributions from Affiliates |
0 | | 0 | | 0 | | .00 | (c) | 0 | | .00 | (c) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(.30 | ) | .90 | .87 | .75 | (.07 | ) | .12 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends and Distributions |
||||||||||||||||||||||||
Dividends from net investment income |
(.21 | ) | (.48 | ) | (.26 | ) | (.27 | ) | (.28 | ) | (.21 | ) | ||||||||||||
Distributions from net realized gain on investment transactions |
(.04 | ) | 0 | | 0 | | 0 | | 0 | | 0 | | ||||||||||||
Return of capital |
0 | | 0 | | 0 | | (.01 | ) | 0 | | 0 | | ||||||||||||
|
|
|||||||||||||||||||||||
Total dividends and distributions |
(.25 | ) | (.48 | ) | (.26 | ) | (.28 | ) | (.28 | ) | (.21 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 11.44 | $ 11.99 | $ 11.57 | $ 10.96 | $ 10.49 | $ 10.84 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(d) |
(2.46 | )% | 7.98 | % | 7.93 | % | 7.21 | % | (.68 | )% | 1.15 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$625,433 | $475,604 | $135,677 | $168,440 | $150,011 | $107,545 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e) |
.51 | %^ | .53 | % | .66 | % | .97 | % | 1.05 | % | .77 | % | ||||||||||||
Expenses, before waivers/reimbursements(e) |
.66 | %^ | .74 | % | .92 | % | 1.24 | % | 1.31 | % | 1.10 | % | ||||||||||||
Net investment income(b) |
5.09 | %^ | 4.76 | % | 2.44 | % | 2.47 | % | 2.80 | % | 2.31 | % | ||||||||||||
Portfolio turnover rate |
32 | % | 62 | % | 48 | % | 40 | % | 36 | % | 42 | % |
See footnote summary on page 94.
abfunds.com | AB BOND INFLATION STRATEGY | 87 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class R | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 12.00 | $ 11.57 | $ 10.93 | $ 10.46 | $ 10.82 | $ 10.89 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.27 | .45 | .21 | .20 | .24 | .21 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(.60 | ) | .38 | .62 | .49 | (.37 | ) | (.12 | ) | |||||||||||||||
Contributions from Affiliates |
0 | | 0 | | 0 | | .00 | (c) | 0 | | .00 | (c) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(.33 | ) | .83 | .83 | .69 | (.13 | ) | .09 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends and Distributions |
||||||||||||||||||||||||
Dividends from net investment income |
(.17 | ) | (.40 | ) | (.19 | ) | (.22 | ) | (.23 | ) | (.16 | ) | ||||||||||||
Distributions from net realized gain on investment transactions |
(.04 | ) | 0 | | 0 | | 0 | | 0 | | 0 | | ||||||||||||
|
|
|||||||||||||||||||||||
Total dividends and distributions |
(.21 | ) | (.40 | ) | (.19 | ) | (.22 | ) | (.23 | ) | (.16 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 11.46 | $ 12.00 | $ 11.57 | $ 10.93 | $ 10.46 | $ 10.82 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(d) |
(2.75 | )% | 7.44 | % | 7.61 | %(f) | 6.64 | % | (1.15 | )% | .80 | %(f) | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$2,748 | $2,369 | $3,066 | $6,992 | $6,354 | $5,364 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e) |
1.01 | %^ | 1.04 | % | 1.21 | % | 1.47 | % | 1.54 | % | 1.29 | % | ||||||||||||
Expenses, before waivers/reimbursements(e) |
1.34 | %^ | 1.40 | % | 1.58 | % | 1.83 | % | 1.90 | % | 1.67 | % | ||||||||||||
Net investment income(b) |
4.59 | %^ | 3.74 | % | 1.88 | % | 1.88 | % | 2.24 | % | 2.08 | % | ||||||||||||
Portfolio turnover rate |
32 | % | 62 | % | 48 | % | 40 | % | 36 | % | 42 | % |
See footnote summary on page 94.
88 | AB BOND INFLATION STRATEGY |
abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class K | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 11.96 | $ 11.54 | $ 10.92 | $ 10.45 | $ 10.81 | $ 10.89 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.26 | .52 | .27 | .17 | .27 | .21 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(.57 | ) | .34 | .58 | .54 | (.38 | ) | (.11 | ) | |||||||||||||||
Contributions from Affiliates |
0 | | 0 | | 0 | | .00 | (c) | 0 | | .00 | (c) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(.31 | ) | .86 | .85 | .71 | (.11 | ) | .10 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends and Distributions |
||||||||||||||||||||||||
Dividends from net investment income |
(.19 | ) | (.44 | ) | (.23 | ) | (.23 | ) | (.25 | ) | (.18 | ) | ||||||||||||
Distributions from net realized gain on investment transactions |
(.04 | ) | 0 | | 0 | | 0 | | 0 | | 0 | | ||||||||||||
Return of capital |
0 | | 0 | | 0 | | (.01 | ) | 0 | | 0 | | ||||||||||||
|
|
|||||||||||||||||||||||
Total dividends and distributions |
(.23 | ) | (.44 | ) | (.23 | ) | (.24 | ) | (.25 | ) | (.18 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 11.42 | $ 11.96 | $ 11.54 | $ 10.92 | $ 10.45 | $ 10.81 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(d) |
(2.63 | )% | 7.64 | % | 7.74 | % | 6.88 | % | (1.01 | )% | .96 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$5,009 | $7,420 | $6,790 | $5,051 | $12,055 | $2,903 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e) |
.76 | %^ | .78 | % | .89 | % | 1.27 | % | 1.35 | % | 1.01 | % | ||||||||||||
Expenses, before waivers/reimbursements(e) |
1.03 | %^ | 1.09 | % | 1.21 | % | 1.57 | % | 1.65 | % | 1.37 | % | ||||||||||||
Net investment income(b) |
4.49 | %^ | 4.34 | % | 2.40 | % | 1.61 | % | 2.57 | % | 1.95 | % | ||||||||||||
Portfolio turnover rate |
32 | % | 62 | % | 48 | % | 40 | % | 36 | % | 42 | % |
See footnote summary on page 94.
abfunds.com | AB BOND INFLATION STRATEGY | 89 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class I | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 11.84 | $ 11.44 | $ 10.84 | $ 10.38 | $ 10.74 | $ 10.84 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.29 | .51 | .27 | .25 | .28 | .24 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(.57 | ) | .37 | .59 | .49 | (.36 | ) | (.12 | ) | |||||||||||||||
Contributions from Affiliates |
0 | | 0 | | 0 | | .00 | (c) | 0 | | .00 | (c) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(.28 | ) | .88 | .86 | .74 | (.08 | ) | .12 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends and Distributions |
||||||||||||||||||||||||
Dividends from net investment income |
(.21 | ) | (.48 | ) | (.26 | ) | (.27 | ) | (.28 | ) | (.22 | ) | ||||||||||||
Distributions from net realized gain on investment transactions |
(.04 | ) | 0 | | 0 | | 0 | | 0 | | 0 | | ||||||||||||
Return of capital |
0 | | 0 | | 0 | | (.01 | ) | 0 | | 0 | | ||||||||||||
|
|
|||||||||||||||||||||||
Total dividends and distributions |
(.25 | ) | (.48 | ) | (.26 | ) | (.28 | ) | (.28 | ) | (.22 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 11.31 | $ 11.84 | $ 11.44 | $ 10.84 | $ 10.38 | $ 10.74 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(d) |
(2.43 | )% | 7.88 | % | 7.97 | % | 7.23 | % | (.73 | )% | 1.15 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$7,152 | $6,093 | $8,297 | $9,893 | $5,688 | $642 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e) |
.51 | %^ | .53 | % | .65 | % | .94 | % | 1.11 | % | .76 | % | ||||||||||||
Expenses, before waivers/reimbursements(e) |
.69 | %^ | .74 | % | .88 | % | 1.18 | % | 1.34 | % | .99 | % | ||||||||||||
Net investment income(b) |
5.08 | %^ | 4.31 | % | 2.42 | % | 2.40 | % | 2.67 | % | 2.25 | % | ||||||||||||
Portfolio turnover rate |
32 | % | 62 | % | 48 | % | 40 | % | 36 | % | 42 | % |
See footnote summary on page 94.
90 | AB BOND INFLATION STRATEGY |
abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class 1 | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 11.73 | $ 11.35 | $ 10.77 | $ 10.33 | $ 10.69 | $ 10.80 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.28 | .52 | .26 | .24 | .28 | .22 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(.56 | ) | .34 | .59 | .48 | (.36 | ) | (.11 | ) | |||||||||||||||
Contributions from Affiliates |
0 | | 0 | | 0 | | .00 | (c) | 0 | | .00 | (c) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(.28 | ) | .86 | .85 | .72 | (.08 | ) | .11 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends and Distributions |
||||||||||||||||||||||||
Dividends from net investment income |
(.21 | ) | (.48 | ) | (.27 | ) | (.27 | ) | (.28 | ) | (.22 | ) | ||||||||||||
Distributions from net realized gain on investment transactions |
(.04 | ) | 0 | | 0 | | 0 | | 0 | | 0 | | ||||||||||||
Return of capital |
0 | | 0 | | 0 | | (.01 | ) | 0 | | 0 | | ||||||||||||
|
|
|||||||||||||||||||||||
Total dividends and distributions |
(.25 | ) | (.48 | ) | (.27 | ) | (.28 | ) | (.28 | ) | (.22 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 11.20 | $ 11.73 | $ 11.35 | $ 10.77 | $ 10.33 | $ 10.69 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(d) |
(2.45 | )% | 7.77 | % | 7.84 | % | 7.18 | % | (.77 | )%(f) | 1.01 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$426,284 | $377,333 | $312,381 | $319,282 | $306,620 | $274,366 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e) |
.61 | %^ | .63 | % | .75 | % | 1.07 | % | 1.14 | % | .86 | % | ||||||||||||
Expenses, before waivers/reimbursements(e) |
.69 | %^ | .75 | % | .88 | % | 1.20 | % | 1.28 | % | 1.04 | % | ||||||||||||
Net investment income(b) |
4.92 | %^ | 4.44 | % | 2.42 | % | 2.31 | % | 2.66 | % | 2.10 | % | ||||||||||||
Portfolio turnover rate |
32 | % | 62 | % | 48 | % | 40 | % | 36 | % | 42 | % |
See footnote summary on page 94.
abfunds.com | AB BOND INFLATION STRATEGY | 91 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class 2 | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 11.73 | $ 11.34 | $ 10.76 | $ 10.32 | $ 10.69 | $ 10.79 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.28 | .53 | .28 | .26 | .29 | .24 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(.57 | ) | .35 | .58 | .48 | (.37 | ) | (.11 | ) | |||||||||||||||
Contributions from Affiliates |
0 | | 0 | | 0 | | .00 | (c) | 0 | | .00 | (c) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(.29 | ) | .88 | .86 | .74 | (.08 | ) | .13 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends and Distributions |
||||||||||||||||||||||||
Dividends from net investment income |
(.21 | ) | (.49 | ) | (.28 | ) | (.29 | ) | (.29 | ) | (.23 | ) | ||||||||||||
Distributions from net realized gain on investment transactions |
(.04 | ) | 0 | | 0 | | 0 | | 0 | | 0 | | ||||||||||||
Return of capital |
0 | | 0 | | 0 | | (.01 | ) | 0 | | 0 | | ||||||||||||
|
|
|||||||||||||||||||||||
Total dividends and distributions |
(.25 | ) | (.49 | ) | (.28 | ) | (.30 | ) | (.29 | ) | (.23 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 11.19 | $ 11.73 | $ 11.34 | $ 10.76 | $ 10.32 | $ 10.69 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(d) |
(2.49 | )% | 7.98 | % | 7.96 | % | 7.19 | % | (.77 | )% | 1.21 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$68,573 | $66,348 | $60,289 | $58,829 | $50,705 | $54,118 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e) |
.51 | %^ | .53 | % | .65 | % | .96 | % | 1.03 | % | .76 | % | ||||||||||||
Expenses, before waivers/reimbursements(e) |
.59 | %^ | .65 | % | .78 | % | 1.09 | % | 1.17 | % | .94 | % | ||||||||||||
Net investment income(b) |
4.86 | %^ | 4.51 | % | 2.53 | % | 2.45 | % | 2.78 | % | 2.24 | % | ||||||||||||
Portfolio turnover rate |
32 | % | 62 | % | 48 | % | 40 | % | 36 | % | 42 | % |
See footnote summary on page 94.
92 | AB BOND INFLATION STRATEGY |
abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class Z | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 11.77 | $ 11.38 | $ 10.80 | $ 10.35 | $ 10.72 | $ 10.82 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.29 | .56 | .24 | .27 | .28 | .24 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(.58 | ) | .32 | .62 | .47 | (.36 | ) | (.11 | ) | |||||||||||||||
Contributions from Affiliates |
0 | | 0 | | 0 | | .00 | (c) | 0 | | .00 | (c) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(.29 | ) | .88 | .86 | .74 | (.08 | ) | .13 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends and Distributions |
||||||||||||||||||||||||
Dividends from net investment income |
(.21 | ) | (.49 | ) | (.28 | ) | (.28 | ) | (.29 | ) | (.23 | ) | ||||||||||||
Distributions from net realized gain on investment transactions |
(.04 | ) | 0 | | 0 | | 0 | | 0 | | 0 | | ||||||||||||
Return of capital |
0 | | 0 | | 0 | | (.01 | ) | 0 | | 0 | | ||||||||||||
|
|
|||||||||||||||||||||||
Total dividends and distributions |
(.25 | ) | (.49 | ) | (.28 | ) | (.29 | ) | (.29 | ) | (.23 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 11.23 | $ 11.77 | $ 11.38 | $ 10.80 | $ 10.35 | $ 10.72 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(d) |
(2.49 | )% | 7.94 | % | 7.92 | % | 7.26 | % | (.77 | )% | 1.19 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$19,306 | $20,910 | $11,016 | $32,606 | $26,142 | $16,019 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e) |
.51 | %^ | .53 | % | .67 | % | .96 | % | 1.06 | % | .76 | % | ||||||||||||
Expenses, before waivers/reimbursements(e) |
.60 | %^ | .65 | % | .81 | % | 1.10 | % | 1.21 | % | .94 | % | ||||||||||||
Net investment income(b) |
4.99 | %^ | 4.81 | % | 2.16 | % | 2.50 | % | 2.69 | % | 2.22 | % | ||||||||||||
Portfolio turnover rate |
32 | % | 62 | % | 48 | % | 40 | % | 36 | % | 42 | % |
See footnote summary on page 94.
abfunds.com | AB BOND INFLATION STRATEGY | 93 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
(a) | Based on average shares outstanding. |
(b) | Net of expenses waived/reimbursed by the Adviser. |
(c) | Amount is less than $.005. |
(d) | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Initial sales charges or contingent deferred sales charges are not reflected in the calculation of total investment return. Total return does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Total investment return calculated for a period of less than one year is not annualized. |
(e) | The expense ratios presented below exclude interest expense: |
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||
Net of waivers/reimbursements |
.75 | %^ | .75 | % | .75 | % | .75 | % | .75 | % | .75 | % | ||||||||||||
Before waivers/reimbursements |
.90 | %^ | .97 | % | 1.01 | % | 1.02 | % | 1.01 | % | 1.07 | % | ||||||||||||
Class C |
| |||||||||||||||||||||||
Net of waivers/reimbursements |
1.50 | %^ | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | ||||||||||||
Before waivers/reimbursements |
1.65 | %^ | 1.72 | % | 1.77 | % | 1.77 | % | 1.76 | % | 1.82 | % | ||||||||||||
Advisor Class |
| |||||||||||||||||||||||
Net of waivers/reimbursements |
.50 | %^ | .50 | % | .50 | % | .50 | % | .50 | % | .50 | % | ||||||||||||
Before waivers/reimbursements |
.65 | %^ | .72 | % | .77 | % | .77 | % | .76 | % | .83 | % | ||||||||||||
Class R |
| |||||||||||||||||||||||
Net of waivers/reimbursements |
1.00 | %^ | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||||
Before waivers/reimbursements |
1.33 | %^ | 1.36 | % | 1.37 | % | 1.36 | % | 1.36 | % | 1.38 | % | ||||||||||||
Class K |
| |||||||||||||||||||||||
Net of waivers/reimbursements |
.75 | %^ | .75 | % | .75 | % | .75 | % | .75 | % | .75 | % | ||||||||||||
Before waivers/reimbursements |
1.02 | %^ | 1.05 | % | 1.07 | % | 1.04 | % | 1.05 | % | 1.10 | % | ||||||||||||
Class I |
| |||||||||||||||||||||||
Net of waivers/reimbursements |
.50 | %^ | .50 | % | .50 | % | .50 | % | .50 | % | .50 | % | ||||||||||||
Before waivers/reimbursements |
.68 | %^ | .71 | % | .73 | % | .73 | % | .73 | % | .72 | % | ||||||||||||
Class 1 |
| |||||||||||||||||||||||
Net of waivers/reimbursements |
.60 | %^ | .60 | % | .60 | % | .60 | % | .60 | % | .60 | % | ||||||||||||
Before waivers/reimbursements |
.68 | %^ | .72 | % | .73 | % | .73 | % | .74 | % | .77 | % | ||||||||||||
Class 2 |
| |||||||||||||||||||||||
Net of waivers/reimbursements |
.50 | %^ | .50 | % | .50 | % | .50 | % | .50 | % | .50 | % | ||||||||||||
Before waivers/reimbursements |
.58 | %^ | .62 | % | .63 | % | .63 | % | .64 | % | .67 | % | ||||||||||||
Class Z |
| |||||||||||||||||||||||
Net of waivers/reimbursements |
.50 | %^ | .50 | % | .50 | % | .50 | % | .50 | % | .50 | % | ||||||||||||
Before waivers/reimbursements |
.59 | %^ | .62 | % | .63 | % | .64 | % | .65 | % | .68 | % |
(f) | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements. |
^ | Annualized. |
See notes to financial statements.
94 | AB BOND INFLATION STRATEGY |
abfunds.com |
BOARD OF DIRECTORS
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and Chief Executive Officer |
Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) |
OFFICERS
Michael Canter(2), Vice President Janaki Rao(2), 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 State Street Corporation CCB/5 1 Iron Street Boston, MA 02210
Principal Underwriter 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 |
Independent Registered Public Ernst & Young LLP One Manhattan West New York, NY 10001
Legal Counsel Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
1 | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
2 | The day-to-day management of, and investment decisions for, the Funds portfolio are made by the Advisers U.S. Multi-Sector Fixed-Income Team. Messrs. Canter and Rao are the investment professionals with the most significant responsibility for the day-to-day management of the Funds portfolio. |
abfunds.com | AB BOND INFLATION STRATEGY | 95 |
Operation and Effectiveness of the Funds Liquidity Risk Management Program:
In October 2016, the Securities and Exchange Commission (SEC) adopted the open-end fund liquidity rule (the Liquidity Rule). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (LRMP) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Fund to designate an Administrator of the Funds Liquidity Risk Management Program. The Administrator of the Funds LRMP is AllianceBernstein L.P., the Funds 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 Funds Board of Trustees (the Fund Board) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the funds 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 LRMPs principal objectives include supporting the Funds compliance with limits on investments in illiquid assets and mitigating the risk that the Fund will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Fund classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Funds strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Fund participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Fund is required to maintain a Highly Liquid Investment Minimum (HLIM). The Committee also incorporated the following information when determining the Funds reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Funds concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.
96 | AB BOND INFLATION STRATEGY |
abfunds.com |
The Adviser informed the Fund Board that the Committee believes the Funds 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 Fund or its ability to timely meet redemptions during the Program Reporting Period.
abfunds.com | AB BOND INFLATION STRATEGY | 97 |
Information Regarding the Review and Approval of the Funds Advisory Agreement
The disinterested directors (the directors) of AB Bond Fund, Inc. (the Company) unanimously approved the continuance of the Companys Advisory Agreement with the Adviser in respect of AB Bond Inflation Strategy (the Fund) at a meeting held by video conference on November 2-4, 2021 (the Meeting).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Advisers integrity and competence they have gained from that experience, the Advisers initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Advisers willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund and the money market fund advised by the Adviser in which the Fund invests a portion of its assets.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business
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judgment. The material factors and conclusions that formed the basis for the directors determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Funds investment strategies and from time to time proposes changes intended to improve the Funds relative or absolute performance for the directors consideration. They also noted the professional experience and qualifications of the Funds portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Advisory Agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant at the request of the directors. The quality of administrative and other services, including the Advisers role in coordinating the activities of the Funds other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2019 and 2020 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Advisers relationship with the Fund, including those relating to its subsidiaries that provide transfer agency and distribution services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Advisers relationship with the Fund before taxes and distribution
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expenses. The directors concluded that the Advisers level of profitability from its relationship with the Fund was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the money market fund advised by the Adviser in which the Fund invests, including, but not limited to, benefits relating to 12b-1 fees and sales charges received by the Funds principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of the Funds shares; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Advisers profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the 15(c) service provider), showing the performance of the Class A Shares of the Fund against a group of similar funds (peer group) and a larger group of similar funds (peer universe), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended July 31, 2021 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, the directors concluded that the Funds investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees payable by other funds. The directors compared the Funds contractual effective advisory fee rate with a peer group median. Taking into account the administrative expense reimbursement paid to the Adviser in the latest fiscal year, the directors noted that the Advisers total compensation was above the median.
The directors also considered the Advisers fee schedule for other clients utilizing investment strategies similar to those of the Fund. For this
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purpose, they reviewed the relevant advisory fee information from the Advisers Form ADV and in a report from the Funds Senior Analyst and noted the differences between the Funds fee schedule, on the one hand, and the Advisers institutional fee schedule and the schedule of fees charged by the Adviser to any offshore funds and for services to any sub-advised funds utilizing investment strategies similar to those of the Fund, on the other. The directors noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the directors and that they had previously discussed with the Adviser its policies in respect of such arrangements.
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional, offshore fund and sub-advised fund clients. In this regard, the Adviser noted, among other things, that, compared to institutional and offshore or sub-advisory accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions and compliance obligations; (iii) must prepare and file or distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund shareholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the Adviser to institutional, offshore fund and sub-advised fund clients as compared to the Fund, and the different risk profile, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
In connection with their review of the Funds advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Funds latest fiscal year and the directors considered the Advisers expense cap for the Fund. The directors noted that it was likely that the expense ratios of some of the other funds in the Funds category were lowered by waivers or reimbursements by those funds investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Advisers services because the Adviser is responsible for coordinating services provided to the Fund by others. The directors noted that the Funds expense ratio was in line with the medians.
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Economies of Scale
The directors noted that the advisory fee schedule for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a funds adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a funds operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Funds shareholders would benefit from a sharing of economies of scale in the event the Funds net assets exceed a breakpoint in the future.
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This page is not part of the Shareholder Report or the Financial Statements.
AB FAMILY OF FUNDS
US EQUITY
CORE
Core Opportunities Fund
Select US Equity Portfolio
Sustainable US Thematic Portfolio1
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
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 Funds 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 Funds 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 August 23, 2021, Sustainable US Thematic Portfolio was named FlexFee US Thematic Portfolio. Prior to December 1, 2021, Sustainable Thematic Balanced Portfolio was named Conservative Wealth Strategy. |
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AB BOND INFLATION STRATEGY
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
BIS-0152-0422
APR 04.30.22
SEMI-ANNUAL REPORT
AB HIGH YIELD PORTFOLIO
As of January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, the Funds annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically requested paper copies of the reports. Instead, the reports are made available on a website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.
You may elect to receive all future reports in paper form free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call the Fund at (800) 221 5672. Your election to receive reports in paper form will apply to all funds held in your account with your financial intermediary or, if you invest directly, to all AB Mutual Funds you hold.
Investment Products Offered | Are Not FDIC Insured May Lose Value Are Not Bank Guaranteed |
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Funds prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Funds 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 ABs website at www.abfunds.com, or go to the Securities and Exchange Commissions (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 Funds Form N-PORT reports are available on the Commissions 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.
FROM THE PRESIDENT |
Dear Shareholder,
Were pleased to provide this report for the AB High Yield Portfolio (the Fund). Please review the discussion of Fund performance, the market conditions during the reporting period and the Funds investment strategy.
At AB, were striving to help our clients achieve better outcomes by:
+ | Fostering diverse perspectives that give us a distinctive approach to navigating global capital markets |
+ | Applying differentiated investment insights through a connected global research network |
+ | Embracing innovation to design better ways to invest and leading-edge mutual-fund solutions |
Whether youre an individual investor or a multibillion-dollar institution, were putting our knowledge and experience to work for you every day.
For more information about ABs comprehensive range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in AB mutual fundsand for placing your trust in our firm.
Sincerely,
Onur Erzan
President and Chief Executive Officer, AB Mutual Funds
abfunds.com | AB HIGH YIELD PORTFOLIO | 1 |
SEMI-ANNUAL REPORT
June 7, 2022
This report provides managements discussion of fund performance for the AB High Yield Portfolio for the semi-annual reporting period ended April 30, 2022.
The Funds investment objective is to seek to maximize total return consistent with prudent investment management.
NAV RETURNS AS OF APRIL 30, 2022 (unaudited)
6 Months | 12 Months | |||||||
AB HIGH YIELD PORTFOLIO | ||||||||
Class A Shares | -7.39% | -5.32% | ||||||
Advisor Class Shares1 | -7.28% | -5.07% | ||||||
Class Z Shares1 | -7.28% | -5.09% | ||||||
Primary Benchmark: Bloomberg US Corporate HY 2% Issuer Capped Index |
-7.40% | -5.22% | ||||||
Markit iBoxx USD Liquid High Yield Index | -7.18% | -5.61% |
1 | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
INVESTMENT RESULTS
The table above shows the Funds performance compared to its primary benchmark, the Bloomberg US Corporate High Yield (HY) 2% Issuer Capped Index, for the six- and 12-month periods ended April 30, 2022. The table also includes the Markit iBoxx USD Liquid High Yield Index.
During the six-month period, all share classes outperformed the primary benchmark, before sales charges. Security selection was the main contributor, relative to the benchmark, due to selections in telecommunications, energy and consumer cyclicalautos that exceeded losses within the electric, media, basic and capital goods sectors. Industry allocation to high-yield credit default swaps was a minor detractor during the period. Yield-curve positioning and currency decisions did not have a material impact on performance.
During the 12-month period, Advisor Class and Class Z shares outperformed the primary benchmark, while Class A underperformed, before sales charges. Security selection within energy, telecommunications and consumer noncyclical added to outperformance, partially offset by losses in electric, real estate investment trusts and consumer cyclicalother during the period. Yield-curve positioning was a minor detractorthe result of
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an overweight to the five-year part of the curvemostly offset by a gain from an underweight to the two-year part of the curve. Industry allocation was also a minor detractor, as exposure to high-yield credit default swaps and an underweight to energy were mostly offset by gains from off-benchmark exposure to commercial mortgage-backed securities and the utilization of futures and interest rate swaps. Currency decisions did not materially impact performance during the period.
During both periods, the Fund utilized derivatives in the form of futures to hedge duration and interest-rate risk, and interest rate swaps to hedge duration risk. Currency forwards were used to hedge foreign currency exposure and to take active currency risk. Credit default swaps, both single name and index, were used to take active exposure as well as to hedge investment-grade and high-yield credit risk taken through cash bonds. Total return swaps were used to create synthetic high-yield exposure.
MARKET REVIEW AND INVESTMENT STRATEGY
During the six-month period ended April 30, 2022, fixed-income government bond market yields spiked in most markets, which led bond prices to fall on inflation concerns in all regions. Inflation remained elevated and worsened when Russia invaded Ukraine, causing energy and agricultural prices to jump. Major central banks started the process of raising interest rates and ending bond purchases. Relative government bond returns were led by global inflation-linked bonds. Global investment-grade corporate bonds, which typically have longer maturities and are more sensitive to changes in yields than high-yield corporates, trailed global treasuries by a wide margin, except in the eurozone. High-yield corporate bonds also underperformed treasuries, but by a smaller margin. However, high-yield euro-denominated corporates outperformed eurozone treasuries during the period due to ongoing support from the European Central Bank. Emerging-market bonds underperformed the most as the US dollar advanced against most developed- and emerging-market currencies. Securitized assets also underperformed treasuries, but by a lesser extent than investment-grade corporates, given their lower sensitivity to yield changes. Brent crude oil prices rose sharply from supply concerns and increased demand.
The Funds Senior Investment Management Team (the Team) continues to seek to maximize total return, utilizing a high-yield strategy with a global, multi-sector approach. The Team invests in corporate bonds from US and non-US issuers, and government bonds from developed and emerging markets, primarily focusing on lower-rated bonds (junk bonds), although it may also invest in investment-grade bonds.
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INVESTMENT POLICIES
The Fund invests, under normal circumstances, at least 80% of its net assets in fixed-income securities rated Ba1 or lower by Moodys Investors Service, or BB+ or lower by S&P Global Ratings or Fitch Ratings, or the equivalent by any nationally recognized statistical rating organization (commonly known as junk bonds); unrated securities considered by the Adviser to be of comparable quality; and related derivatives.
The Fund may invest in fixed-income securities with a range of maturities from short- to long-term. The Fund may also invest in equity securities.
In selecting securities for purchase or sale by the Fund, the Adviser attempts to take advantage of inefficiencies that it believes exist in the global debt markets. These inefficiencies arise from investor behavior, market complexity, and the investment limitations to which investors are subject. The Adviser combines quantitative analysis with fundamental credit and economic research in seeking to exploit these inefficiencies.
The Fund will most often invest in securities of US issuers, but may also purchase fixed-income securities of foreign issuers, including securities denominated in foreign currencies and securities of emerging-market issuers. The Adviser may or may not hedge any foreign currency exposure through the use of currency-related derivatives.
The Fund expects to use derivatives, such as options, futures contracts, forwards and swaps, to a significant extent. Derivatives may provide a more efficient and economical exposure to market segments than direct investments, and may also be a more efficient way to alter the Funds exposure. The Fund may, for example, use credit default and interest rate swaps to gain exposure to the fixed-income markets or particular fixed-income securities and, as noted above, may use currency-related derivatives. The Adviser may use derivatives to effectively leverage the Fund by creating aggregate market exposure substantially in excess of the Funds net assets.
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DISCLOSURES AND RISKS
Benchmark Disclosure
The Bloomberg US Corporate HY 2% Issuer Capped Index and the Markit iBoxx USD Liquid High Yield Index are unmanaged and do not reflect fees and expenses associated with the active management of a mutual fund portfolio. The Bloomberg US Corporate HY 2% Issuer Capped Index is the 2% Issuer Capped component of the US Corporate High Yield Index, which represents the performance of fixed-income securities having a maximum quality rating of Ba1, a minimum amount outstanding of $150 million and at least one year to maturity. The Markit iBoxx USD Liquid High Yield Index consists of USD high-yield bond issues with more than $400 million outstanding, selected to provide a balanced representation of the broad USD high-yield liquid corporate bond universe. An investor cannot invest directly in an index or average, and their results are not indicative of the performance for any specific investment, including the Fund.
A Word About Risk
Market Risk: The value of the Funds assets will fluctuate as the bond or stock market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market.
Interest-Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
Below Investment-Grade Securities Risk: Investments in fixed-income securities with lower ratings (commonly known as junk bonds) are subject to a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility, due to such factors as specific corporate developments, negative
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DISCLOSURES AND RISKS (continued)
perceptions of the junk bond market generally and may be more difficult to trade than other types of securities.
Duration Risk: Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Funds assets can decline as can the value of the Funds distributions. This risk is significantly greater if the Fund invests a significant portion of its assets in fixed-income securities with longer maturities.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, 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 Fund.
Leverage Risk: To the extent the Fund uses leveraging techniques, its net asset value (NAV) may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Funds investments.
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging-Market Risk: Investments in emerging-market countries may have more risk because the markets are less developed and less liquid and are subject to increased economic, political, regulatory or other uncertainties.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Funds investments in fixed-income securities denominated in foreign currencies or reduce the Funds returns.
Illiquid Investments Risk: Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions
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DISCLOSURES AND RISKS (continued)
of Fund shares. Illiquid investments risk may be higher in a rising interest-rate environment, when the value and liquidity of fixed-income securities generally decline.
Management Risk: The Fund is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Funds prospectus. As with all investments, you may lose money by investing in the Fund.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Fund will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by visiting www.abfunds.com.
Performance information prior to July 26, 2016 shown in this report reflects the historical performance of the AB High-Yield Portfolio, a series of The AB Pooling Portfolios (the Accounting Survivor). Upon completion of a reorganization of the Accounting Survivor into the Fund on July 26, 2016 (the Reorganization), Class Z shares of the Fund assumed the performance and financial history of the Accounting Survivor. Because the Fund has higher expenses than the Accounting Survivor had, the Accounting Survivors performance would have been lower than that shown had it operated with the Funds current expense levels. At the time of the Reorganization, the Accounting Survivor and the Fund had substantially similar investment objectives and strategies.
From February 26, 2018, through April 29, 2021, the Fund had a performance-based, or fulcrum, advisory fee. Accordingly, performance information shown during this period reflects performance fee adjustments and would have been different if the Fund had been managed under the current advisory fee arrangement. Class A and Class Z shares of the Fund were not in operation during this period.
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DISCLOSURES AND RISKS (continued)
All fees and expenses related to the operation of the Fund have been deducted. NAV returns do not reflect sales charges; if sales charges were reflected, the Funds 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. Returns for the different share classes will vary due to different expenses associated with each class. Performance assumes reinvestment of distributions and does not account for taxes.
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HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF APRIL 30, 2022 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) |
SEC Yields1 |
||||||||||
CLASS A SHARES | 4.72% | |||||||||||
1 Year | -5.32% | -9.32% | ||||||||||
Since Recommencement of Operations2 | -5.32% | -9.32% | ||||||||||
ADVISOR CLASS SHARES3 | 5.18% | |||||||||||
1 Year | -5.07% | -5.07% | ||||||||||
5 Years | 4.23% | 4.23% | ||||||||||
10 Years | 5.70% | 5.70% | ||||||||||
CLASS Z SHARES3 | 5.30% | |||||||||||
1 Year | -5.09% | -5.09% | ||||||||||
Since Recommencement of Operations2 | -5.09% | -5.09% |
The Funds current prospectus fee table shows the Funds total annual operating expense ratios as 2.28%, 1.83% and 1.92% for Class A, Advisor Class and Class Z shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limit the Funds annual operating expense ratios (excluding acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest, interest expense, taxes, extraordinary expenses, and brokerage commissions and other transaction costs) to 0.85%, 0.60% and 0.60% for Class A, Advisor Class and Class Z shares, respectively. These waivers/reimbursements may not be terminated before January 31, 2023. Any fees waived and expenses borne by the Adviser through December 31, 2019, under the expense limitation in effect prior to that date may be reimbursed by the Fund until the end of the third fiscal year after the fiscal period in which the fee was waived or the expense was borne, provided that no reimbursement payment will be made that would cause the Funds total other expenses to exceed the expense limitation for Advisor Class shares in effect (1) at the time of the waiver or reimbursement or (2) at the time of recapture. 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 ratio shown above may differ from the expense ratio in the Financial Highlights section since they are based on different time periods.
1 | SEC yields are calculated based on SEC guidelines for the 30-day period ended April 30, 2022. |
2 | Recommencement of operations date: 4/30/2021. |
3 | These share classes are offered at NAV to eligible investors and their SEC returns are the same as their NAV returns. Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of and certain other persons associated with, the Adviser and its affiliates or the Fund. |
abfunds.com | AB HIGH YIELD PORTFOLIO | 9 |
HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2022 (unaudited)
SEC Returns (reflects applicable sales charges) |
||||
CLASS A SHARES | ||||
Since Recommencement of Operations1 | -5.97% | |||
ADVISOR CLASS SHARES2 | ||||
1 Year | -0.17% | |||
5 Years | 5.11% | |||
10 Years | 6.21% | |||
CLASS Z SHARES2 | ||||
Since Recommencement of Operations1 | -1.60% |
1 | Recommencement of operations date: 4/30/2021. |
2 | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of and certain other persons associated with, the Adviser and its affiliates or the Fund. |
10 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
EXPENSE EXAMPLE
(unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 11/1/2021 |
Ending Account Value 4/30/2022 |
Expenses Paid During Period* |
Annualized Expense Ratio* |
|||||||||||||
Class A | ||||||||||||||||
Actual |
$ | 1,000 | $ | 926.10 | $ | 4.06 | 0.85 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,020.58 | $ | 4.26 | 0.85 | % | ||||||||
Advisor Class | ||||||||||||||||
Actual |
$ | 1,000 | $ | 927.20 | $ | 2.87 | 0.60 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,021.82 | $ | 3.01 | 0.60 | % | ||||||||
Class Z | ||||||||||||||||
Actual |
$ | 1,000 | $ | 927.20 | $ | 2.87 | 0.60 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,021.82 | $ | 3.01 | 0.60 | % |
* | Expenses are equal to the classes annualized expense ratios multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
abfunds.com | AB HIGH YIELD PORTFOLIO | 11 |
PORTFOLIO SUMMARY
April 30, 2022 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $59.5
1 | All data are as of April 30, 2022. The Funds security type breakdown is expressed as a percentage of total investments and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see Portfolio of Investments section of the report for additional details). Other represents less than 0.1% weightings in the following types: Emerging MarketsTreasuries, Rights and Warrants. |
12 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS
April 30, 2022 (unaudited)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
CORPORATES - NON-INVESTMENT GRADE 77.4% |
||||||||||||
Industrial 70.8% |
||||||||||||
Basic 5.6% |
||||||||||||
Advanced Drainage Systems, Inc.
|
U.S.$ | 28 | $ | 27,362 | ||||||||
Arconic Corp. |
11 | 10,645 | ||||||||||
ASP Unifrax Holdings,
Inc. |
170 | 149,922 | ||||||||||
7.50%, 09/30/2029(a) |
17 | 13,925 | ||||||||||
Axalta Coating Systems LLC
|
150 | 130,111 | ||||||||||
Big River Steel LLC/BRS Finance Corp. |
16 | 16,364 | ||||||||||
Cleveland-Cliffs,
Inc. |
6 | 5,627 | ||||||||||
4.875%, 03/01/2031(a) |
4 | 3,721 | ||||||||||
Commercial Metals Co. |
50 | 50,346 | ||||||||||
Crown Americas LLC/Crown Americas Capital Corp. VI |
100 | 99,722 | ||||||||||
CVR Partners LP/CVR Nitrogen Finance Corp. |
29 | 28,336 | ||||||||||
Element Solutions, Inc.
|
110 | 98,386 | ||||||||||
ERP Iron Ore, LLC
|
5 | 3,791 | ||||||||||
FMG Resources August (2006) Pty Ltd. |
145 | 128,753 | ||||||||||
6.125%, 04/15/2032(a) |
218 | 216,819 | ||||||||||
Graham Packaging Co., Inc.
|
119 | 107,320 | ||||||||||
Graphic Packaging International
LLC |
103 | 90,470 | ||||||||||
4.75%, 07/15/2027(a) |
28 | 27,125 | ||||||||||
Guala Closures SpA
|
EUR | 100 | 92,062 | |||||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc. |
U.S.$ | 37 | 35,625 | |||||||||
INEOS Quattro Finance 2 PLC
|
200 | 181,501 | ||||||||||
INEOS Styrolution Group GmbH
|
EUR | 100 | 92,850 |
abfunds.com | AB HIGH YIELD PORTFOLIO | 13 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Ingevity Corp. |
U.S.$ | 131 | $ | 118,247 | ||||||
Intelligent Packaging Holdco Issuer LP |
39 | 37,887 | ||||||||
Joseph T Ryerson & Son, Inc. |
48 | 51,584 | ||||||||
Kleopatra Finco SARL
|
EUR | 100 | 89,914 | |||||||
Kobe US Midco 2, Inc. |
U.S.$ | 97 | 95,062 | |||||||
Magnetation LLC/Mag Finance Corp.
|
60 | 0 | | |||||||
Mercer International, Inc. |
21 | 19,537 | ||||||||
NOVA Chemicals Corp.
|
54 | 51,673 | ||||||||
Olin Corp. |
57 | 56,089 | ||||||||
Peabody Energy Corp.
|
6 | 5,905 | ||||||||
PIC AU Holdings LLC/PIC AU Holdings Corp. |
46 | 47,495 | ||||||||
PMHC II, Inc. |
269 | 219,338 | ||||||||
Rimini Bidco SpA |
EUR | 100 | 91,387 | |||||||
SCIL IV LLC/SCIL USA Holdings LLC
|
U.S.$ | 231 | 210,813 | |||||||
Sealed Air Corp.
|
33 | 33,931 | ||||||||
SPCM SA |
200 | 171,282 | ||||||||
Valvoline, Inc. |
65 | 52,804 | ||||||||
4.25%, 02/15/2030(a) |
133 | 115,600 | ||||||||
WR Grace Holdings
LLC |
98 | 92,123 | ||||||||
5.625%, 08/15/2029(a) |
198 | 170,056 | ||||||||
|
|
|||||||||
3,341,510 | ||||||||||
|
|
|||||||||
Capital Goods 6.4% |
| |||||||||
ARD Finance SA |
EUR | 120 | 105,389 |
14 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC |
EUR | 100 | $ | 86,638 | ||||||
3.25%, 09/01/2028(a) |
U.S.$ | 200 | 176,460 | |||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. |
200 | 185,519 | ||||||||
5.25%, 08/15/2027(a) |
200 | 171,310 | ||||||||
Ball Corp. |
222 | 186,825 | ||||||||
Bombardier, Inc. |
85 | 73,906 | ||||||||
7.50%, 12/01/2024-03/15/2025(a) |
101 | 99,769 | ||||||||
7.875%, 04/15/2027(a) |
10 | 9,318 | ||||||||
Clean Harbors,
Inc. |
16 | 15,796 | ||||||||
5.125%, 07/15/2029(a) |
11 | 10,800 | ||||||||
Crown Cork & Seal Co., Inc. |
20 | 21,304 | ||||||||
Eco Material Technologies, Inc.
|
258 | 249,651 | ||||||||
Energizer Holdings, Inc.
|
74 | 61,592 | ||||||||
EnerSys |
80 | 74,567 | ||||||||
Gates Global LLC/Gates Corp.
|
162 | 159,696 | ||||||||
GFL Environmental,
Inc. |
140 | 125,749 | ||||||||
4.00%, 08/01/2028(a) |
50 | 44,066 | ||||||||
Granite US Holdings Corp.
|
18 | 18,563 | ||||||||
Griffon Corp. |
253 | 225,876 | ||||||||
JELD-WEN, Inc. |
6 | 5,675 | ||||||||
LSB Industries, Inc.
|
52 | 50,931 | ||||||||
Madison IAQ LLC
|
161 | 131,252 | ||||||||
Mueller Water Products, Inc.
|
13 | 11,812 | ||||||||
Renk AG/Frankfurt am Main
|
EUR | 100 | 104,487 | |||||||
SPX FLOW, Inc. |
U.S.$ | 141 | 126,937 | |||||||
Stevens Holding Co., Inc.
|
20 | 20,283 |
abfunds.com | AB HIGH YIELD PORTFOLIO | 15 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Tervita Corp. |
U.S.$ | 105 | $ | 117,059 | ||||||
TransDigm, Inc. |
150 | 129,611 | ||||||||
4.875%, 05/01/2029 |
84 | 73,565 | ||||||||
6.25%, 03/15/2026(a) |
362 | 362,463 | ||||||||
6.375%, 06/15/2026 |
27 | 26,681 | ||||||||
8.00%, 12/15/2025(a) |
61 | 63,510 | ||||||||
Triumph Group,
Inc. |
23 | 22,154 | ||||||||
7.75%, 08/15/2025 |
23 | 22,376 | ||||||||
8.875%, 06/01/2024(a) |
213 | 220,304 | ||||||||
Trivium Packaging Finance BV
|
EUR | 100 | 101,263 | |||||||
WESCO Distribution,
Inc. |
U.S.$ | 14 | 14,535 | |||||||
7.25%, 06/15/2028(a) |
107 | 111,197 | ||||||||
|
|
|||||||||
3,818,889 | ||||||||||
|
|
|||||||||
Communications - Media 8.9% |
| |||||||||
Advantage Sales & Marketing, Inc. |
125 | 114,322 | ||||||||
Altice Financing SA
|
378 | 321,680 | ||||||||
AMC Networks, Inc. |
76 | 66,315 | ||||||||
Arches Buyer, Inc.
|
8 | 6,960 | ||||||||
Cable One, Inc. |
160 | 137,683 | ||||||||
CCO Holdings LLC/CCO Holdings Capital
Corp. |
397 | 317,970 | ||||||||
4.50%, 08/15/2030-06/01/2033(a) |
288 | 248,780 | ||||||||
4.75%, 03/01/2030(a) |
40 | 35,711 | ||||||||
5.00%, 02/01/2028(a) |
193 | 183,869 | ||||||||
5.125%, 05/01/2027(a) |
295 | 287,429 | ||||||||
Clear Channel Outdoor Holdings, Inc. |
47 | 44,200 | ||||||||
CSC Holdings
LLC |
208 | 162,354 | ||||||||
4.625%, 12/01/2030(a) |
316 | 241,664 | ||||||||
7.50%, 04/01/2028(a) |
200 | 184,490 | ||||||||
DISH DBS Corp. |
218 | 200,511 | ||||||||
5.75%, 12/01/2028(a) |
194 | 174,011 | ||||||||
5.875%, 07/15/2022-11/15/2024 |
201 | 199,114 | ||||||||
7.75%, 07/01/2026 |
101 | 96,431 | ||||||||
DISH Network Corp.
|
27 | 23,193 |
16 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Gray Escrow II, Inc.
|
U.S.$ | 179 | $ | 156,789 | ||||||||
iHeartCommunications,
Inc. |
37 | 34,712 | ||||||||||
6.375%, 05/01/2026 |
5 | 5,116 | ||||||||||
8.375%, 05/01/2027 |
40 | 39,844 | ||||||||||
Lamar Media Corp. |
8 | 7,631 | ||||||||||
LCPR Senior Secured Financing DAC
|
200 | 200,797 | ||||||||||
Liberty Interactive LLC |
279 | 244,917 | ||||||||||
McGraw-Hill Education,
Inc. |
91 | 81,217 | ||||||||||
8.00%, 08/01/2029(a) |
60 | 53,700 | ||||||||||
National CineMedia LLC |
21 | 14,783 | ||||||||||
5.875%, 04/15/2028(a) |
60 | 51,631 | ||||||||||
Outfront Media Capital LLC/Outfront |
11 | 9,820 | ||||||||||
Sinclair Television Group,
Inc. |
110 | 91,371 | ||||||||||
5.125%, 02/15/2027(a) |
9 | 7,886 | ||||||||||
5.50%, 03/01/2030(a) |
344 | 283,623 | ||||||||||
Sirius XM Radio,
Inc. |
143 | 120,916 | ||||||||||
4.00%, 07/15/2028(a) |
135 | 122,071 | ||||||||||
4.125%, 07/01/2030(a) |
111 | 97,574 | ||||||||||
5.50%, 07/01/2029(a) |
24 | 23,132 | ||||||||||
Summer BC Holdco B SARL
|
EUR | 100 | 104,157 | |||||||||
TEGNA, Inc. |
U.S.$ | 92 | 89,315 | |||||||||
Univision Communications,
Inc. |
19 | 17,057 | ||||||||||
6.625%, 06/01/2027(a) |
121 | 121,733 | ||||||||||
9.50%, 05/01/2025(a) |
10 | 10,493 | ||||||||||
Urban One, Inc.
|
54 | 52,347 | ||||||||||
Virgin Media Vendor Financing Notes IV |
200 | 183,538 | ||||||||||
|
|
|||||||||||
5,272,857 | ||||||||||||
|
|
|||||||||||
Communications - Telecommunications 3.0% |
||||||||||||
Altice France SA/France
|
200 | 177,014 |
abfunds.com | AB HIGH YIELD PORTFOLIO | 17 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Embarq Corp. |
U.S.$ | 123 | $ | 110,756 | ||||||||
ESC CB Intelsat Jackson
|
47 | 0 | | |||||||||
ESC GCB In Jacks 5.5
|
158 | 0 | | |||||||||
Frontier Communications Holdings LLC |
43 | 39,072 | ||||||||||
Kaixo Bondco Telecom SA
|
EUR | 100 | 93,197 | |||||||||
Level 3 Financing,
Inc. |
U.S.$ | 137 | 111,273 | |||||||||
4.25%, 07/01/2028(a) |
134 | 113,370 | ||||||||||
Lumen Technologies, Inc.
|
169 | 133,784 | ||||||||||
Nexstar Media, Inc.
|
76 | 73,999 | ||||||||||
Sprint Capital Corp. |
357 | 453,742 | ||||||||||
Sprint Communications, Inc. |
38 | 38,533 | ||||||||||
Sprint Corp. |
73 | 76,642 | ||||||||||
Telecom Italia Capital SA |
90 | 80,217 | ||||||||||
United Group BV |
EUR | 100 | 93,890 | |||||||||
Vmed O2 UK Financing I PLC
|
U.S.$ | 200 | 171,268 | |||||||||
Zayo Group Holdings, Inc.
|
7 | 5,870 | ||||||||||
|
|
|||||||||||
1,772,627 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Automotive 4.2% |
| |||||||||||
Allison Transmission, Inc.
|
71 | 61,443 | ||||||||||
American Axle & Manufacturing, Inc. |
161 | 138,728 | ||||||||||
Clarios Global LP/Clarios US Finance Co. |
59 | 59,092 | ||||||||||
Dana, Inc. |
20 | 17,189 | ||||||||||
Dealer Tire LLC/DT Issuer LLC
|
98 | 96,437 | ||||||||||
Exide Technologies |
32 | 0 | | |||||||||
(First Lien) |
13 | 0 | |
18 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Ford Motor Co. |
U.S.$ | 162 | $ | 131,540 | ||||||||
Ford Motor Credit Co. LLC 2.70%, 08/10/2026 |
200 | 178,420 | ||||||||||
3.096%, 05/04/2023 |
221 | 218,555 | ||||||||||
4.00%, 11/13/2030 |
200 | 173,340 | ||||||||||
4.95%, 05/28/2027 |
200 | 194,441 | ||||||||||
Goodyear Tire & Rubber |
98 | 86,833 | ||||||||||
6.25%, 05/15/2026(a) |
55 | 55,780 | ||||||||||
IHO Verwaltungs GmbH |
200 | 188,835 | ||||||||||
Jaguar Land Rover Automotive
PLC |
EUR | 110 | 105,593 | |||||||||
5.875%, 11/15/2024(a) |
100 | 103,438 | ||||||||||
6.875%, 11/15/2026(a) |
100 | 103,180 | ||||||||||
Mclaren Finance PLC
|
U.S.$ | 200 | 193,332 | |||||||||
Meritor, Inc. |
8 | 8,283 | ||||||||||
PM General Purchaser LLC
|
90 | 85,952 | ||||||||||
Tenneco, Inc. |
25 | 23,969 | ||||||||||
7.875%, 01/15/2029(a) |
35 | 35,347 | ||||||||||
Titan International, Inc. |
60 | 58,831 | ||||||||||
ZF North America Capital, Inc.
|
158 | 154,551 | ||||||||||
|
|
|||||||||||
2,473,109 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Entertainment 4.5% |
||||||||||||
Boyne USA, Inc. |
26 | 24,214 | ||||||||||
Carnival Corp. |
67 | 60,149 | ||||||||||
5.75%, 03/01/2027(a) |
195 | 176,173 | ||||||||||
9.875%, 08/01/2027(a) |
28 | 30,127 | ||||||||||
10.50%, 02/01/2026(a) |
260 | 286,000 | ||||||||||
Cedar Fair LP |
15 | 14,202 | ||||||||||
Cedar Fair LP/Canadas Wonderland Co./Magnum Management Corp./Millennium
Op |
64 | 62,247 | ||||||||||
5.50%, 05/01/2025(a) |
192 | 193,006 | ||||||||||
Cinemark USA, Inc.
|
151 | 133,623 |
abfunds.com | AB HIGH YIELD PORTFOLIO | 19 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Lindblad Expeditions LLC
|
U.S.$ | 41 | $ | 40,293 | ||||||||
Mattel, Inc. |
78 | 75,862 | ||||||||||
5.875%, 12/15/2027(a) |
100 | 102,257 | ||||||||||
NCL Corp. Ltd. |
79 | 73,604 | ||||||||||
5.875%, 03/15/2026(a) |
24 | 22,062 | ||||||||||
Royal Caribbean Cruises Ltd. |
61 | 61,168 | ||||||||||
5.375%, 07/15/2027(a) |
91 | 83,409 | ||||||||||
5.50%, 08/31/2026-04/01/2028(a) |
222 | 203,402 | ||||||||||
10.875%, 06/01/2023(a) |
69 | 72,191 | ||||||||||
11.50%, 06/01/2025(a) |
74 | 80,497 | ||||||||||
SeaWorld Parks & Entertainment, Inc. |
121 | 110,163 | ||||||||||
8.75%, 05/01/2025(a) |
33 | 34,485 | ||||||||||
Six Flags Entertainment Corp.
|
117 | 116,570 | ||||||||||
Six Flags Theme Parks, Inc.
|
125 | 129,809 | ||||||||||
Vail Resorts, Inc.
|
167 | 171,711 | ||||||||||
Viking Cruises
Ltd. |
16 | 13,585 | ||||||||||
7.00%, 02/15/2029(a) |
79 | 70,308 | ||||||||||
13.00%, 05/15/2025(a) |
48 | 52,581 | ||||||||||
Viking Ocean Cruises Ship VII Ltd.
|
29 | 25,702 | ||||||||||
VOC Escrow Ltd. |
196 | 176,969 | ||||||||||
|
|
|||||||||||
2,696,369 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Other 3.6% |
| |||||||||||
Adams Homes, Inc.
|
58 | 56,777 | ||||||||||
Beazer Homes USA, Inc. |
28 | 28,186 | ||||||||||
Boyd Gaming Corp.
|
10 | 10,437 | ||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US LLC |
151 | 141,606 | ||||||||||
Caesars Entertainment, Inc.
|
78 | 78,880 | ||||||||||
Churchill Downs, Inc.
|
49 | 45,885 |
20 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Cirsa Finance International SARL
|
EUR | 100 | $ | 100,818 | ||||||
CP Atlas Buyer, Inc.
|
U.S.$ | 26 | 21,711 | |||||||
Empire Communities Corp.
|
61 | 57,808 | ||||||||
Everi Holdings, Inc.
|
21 | 19,044 | ||||||||
Five Point Operating Co. LP/Five Point |
91 | 90,476 | ||||||||
Forestar Group, Inc.
|
41 | 36,875 | ||||||||
Hilton Domestic Operating Co.,
Inc. |
100 | 84,804 | ||||||||
4.875%, 01/15/2030 |
17 | 16,435 | ||||||||
5.75%, 05/01/2028(a) |
11 | 11,144 | ||||||||
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc |
37 | 32,378 | ||||||||
Installed Building Products, Inc.
|
40 | 37,928 | ||||||||
Mattamy Group Corp.
|
58 | 49,495 | ||||||||
MGM Resorts International |
85 | 78,098 | ||||||||
6.00%, 03/15/2023 |
33 | 33,416 | ||||||||
6.75%, 05/01/2025 |
90 | 92,212 | ||||||||
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp. |
135 | 107,750 | ||||||||
5.875%, 09/01/2031(a) |
46 | 35,694 | ||||||||
Scientific Games International, Inc. |
9 | 9,218 | ||||||||
Shea Homes LP/Shea Homes Funding Corp. |
20 | 17,431 | ||||||||
Standard Industries, Inc./NJ
|
39 | 31,026 | ||||||||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. |
16 | 15,681 | ||||||||
Taylor Morrison Communities, Inc.
|
17 | 16,878 | ||||||||
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc. |
17 | 17,580 | ||||||||
5.875%, 04/15/2023(a) |
8 | 8,090 |
abfunds.com | AB HIGH YIELD PORTFOLIO | 21 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Travel & Leisure Co.
|
U.S.$ | 12 | $ | 10,731 | ||||||||
Travel & Leisure Co.
|
289 | 295,575 | ||||||||||
Wyndham Hotels & Resorts, Inc. |
120 | 111,879 | ||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. |
4 | 3,684 | ||||||||||
5.50%, 03/01/2025(a) |
236 | 228,330 | ||||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp. |
86 | 75,357 | ||||||||||
7.75%, 04/15/2025(a) |
48 | 49,488 | ||||||||||
|
|
|||||||||||
2,158,805 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Restaurants 1.0% |
| |||||||||||
1011778 BC ULC/New Red Finance,
Inc. |
146 | 128,986 | ||||||||||
4.00%, 10/15/2030(a) |
165 | 141,139 | ||||||||||
5.75%, 04/15/2025(a) |
66 | 67,460 | ||||||||||
IRB Holding Corp.
|
5 | 5,117 | ||||||||||
Papa Johns International, Inc. |
22 | 19,422 | ||||||||||
Stonegate Pub Co. Financing PLC
|
GBP | 113 | 143,956 | |||||||||
Yum! Brands, Inc. |
U.S.$ | 96 | 87,615 | |||||||||
|
|
|||||||||||
593,695 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Retailers 4.6% |
| |||||||||||
Arko Corp. |
99 | 87,760 | ||||||||||
Asbury Automotive Group,
Inc. |
63 | 56,758 | ||||||||||
5.00%, 02/15/2032(a) |
26 | 23,181 | ||||||||||
Bath & Body Works, Inc. |
20 | 19,357 | ||||||||||
6.625%, 10/01/2030(a) |
185 | 184,230 | ||||||||||
6.75%, 07/01/2036 |
48 | 46,307 | ||||||||||
6.875%, 11/01/2035 |
128 | 125,060 | ||||||||||
7.50%, 06/15/2029 |
17 | 17,561 | ||||||||||
BCPE Ulysses Intermediate, Inc. |
28 | 23,949 | ||||||||||
Carvana Co. |
39 | 31,937 | ||||||||||
5.875%, 10/01/2028(a) |
114 | 90,695 |
22 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Dufry One BV |
EUR | 103 | $ | 104,187 | ||||||
FirstCash, Inc.
|
U.S.$ | 160 | 148,851 | |||||||
Foundation Building Materials, Inc.
|
29 | 23,780 | ||||||||
Gap, Inc. (The) |
105 | 85,471 | ||||||||
3.875%, 10/01/2031(a) |
115 | 92,018 | ||||||||
Group 1 Automotive, Inc.
|
13 | 11,694 | ||||||||
Hanesbrands, Inc.
|
101 | 100,104 | ||||||||
Kontoor Brands, Inc.
|
82 | 71,671 | ||||||||
LBM Acquisition LLC
|
137 | 112,544 | ||||||||
Levi Strauss & Co.
|
71 | 61,787 | ||||||||
Michaels Cos, Inc. (The)
|
221 | 190,025 | ||||||||
7.875%, 05/01/2029(a) |
58 | 46,042 | ||||||||
Murphy Oil USA,
Inc. |
56 | 49,414 | ||||||||
5.625%, 05/01/2027 |
2 | 2,325 | ||||||||
NMG Holding Co., Inc./Neiman Marcus Group LLC |
144 | 143,743 | ||||||||
Party City Holdings, Inc.
|
20 | 18,372 | ||||||||
Rite Aid Corp. |
22 | 18,870 | ||||||||
8.00%, 11/15/2026(a) |
263 | 220,889 | ||||||||
Specialty Building Products Holdings LLC/SBP Finance Corp. |
29 | 28,490 | ||||||||
SRS Distribution, Inc.
|
19 | 16,759 | ||||||||
Staples, Inc. |
154 | 147,035 | ||||||||
10.75%, 04/15/2027(a) |
61 | 53,978 | ||||||||
TPro Acquisition Corp.
|
33 | 34,481 | ||||||||
White Cap Buyer LLC
|
19 | 17,510 | ||||||||
William Carter Co. (The)
|
119 | 118,562 |
abfunds.com | AB HIGH YIELD PORTFOLIO | 23 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Wolverine World Wide, Inc.
|
U.S.$ | 157 | $ 133,518 | |||||||||
|
|
|||||||||||
2,758,915 | ||||||||||||
|
|
|||||||||||
Consumer Non-Cyclical 9.0% |
||||||||||||
AdaptHealth LLC
|
52 | 44,302 | ||||||||||
AHP Health Partners, Inc.
|
53 | 48,048 | ||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC |
346 | 291,258 | ||||||||||
4.875%, 02/15/2030(a) |
100 | 90,572 | ||||||||||
Bausch Health Americas, Inc.
|
59 | 55,859 | ||||||||||
Bausch Health Cos.,
Inc. |
196 | 173,933 | ||||||||||
5.50%, 11/01/2025(a) |
63 | 60,940 | ||||||||||
9.00%, 12/15/2025(a) |
103 | 103,422 | ||||||||||
Catalent Pharma Solutions, Inc.
|
14 | 12,139 | ||||||||||
CD&R Smokey Buyer, Inc.
|
78 | 79,406 | ||||||||||
Charles River Laboratories International, Inc. |
42 | 38,133 | ||||||||||
4.00%, 03/15/2031(a) |
151 | 134,945 | ||||||||||
Chobani LLC/Chobani Finance Corp., Inc. |
24 | 21,597 | ||||||||||
Chrome Bidco SASU
|
EUR | 100 | 94,965 | |||||||||
CHS/Community Health Systems,
Inc. |
U.S.$ | 20 | 16,924 | |||||||||
5.625%, 03/15/2027(a) |
17 | 16,218 | ||||||||||
6.00%, 01/15/2029(a) |
14 | 13,235 | ||||||||||
6.875%, 04/01/2028-04/15/2029(a) |
264 | 218,965 | ||||||||||
DaVita, Inc. |
78 | 63,551 | ||||||||||
4.625%, 06/01/2030(a) |
32 | 27,897 | ||||||||||
Elanco Animal Health, Inc. |
120 | 124,280 | ||||||||||
Emergent BioSolutions, Inc.
|
122 | 103,532 | ||||||||||
Encompass Health Corp. |
30 | 30,527 | ||||||||||
Endo Luxembourg Finance Co. I SARL/Endo US, Inc. |
48 | 41,885 |
24 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Gruenenthal GmbH
|
EUR | 100 | $ | 97,747 | ||||||
Horizon Therapeutics USA, Inc.
|
U.S.$ | 200 | 199,897 | |||||||
IQVIA, Inc. |
EUR | 100 | 92,337 | |||||||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc. |
U.S.$ | 143 | 113,780 | |||||||
Lamb Weston Holdings,
Inc. |
99 | 88,301 | ||||||||
4.375%, 01/31/2032(a) |
46 | 41,299 | ||||||||
4.875%, 05/15/2028(a) |
80 | 77,946 | ||||||||
Legacy LifePoint Health LLC
|
20 | 20,407 | ||||||||
LifePoint Health, Inc.
|
217 | 185,536 | ||||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC |
10 | 5,640 | ||||||||
ModivCare, Inc.
|
24 | 23,536 | ||||||||
Mozart Debt Merger Sub,
Inc. |
164 | 143,386 | ||||||||
5.25%, 10/01/2029(a) |
288 | 250,528 | ||||||||
Nidda Healthcare Holding GmbH
|
EUR | 270 | 264,030 | |||||||
Option Care Health, Inc.
|
U.S.$ | 120 | 107,757 | |||||||
Par Pharmaceutical, Inc.
|
40 | 36,522 | ||||||||
Paysafe Finance PLC/Paysafe Holdings US Corp. |
67 | 54,563 | ||||||||
Performance Food Group, Inc.
|
75 | 66,723 | ||||||||
Picard Groupe SAS
|
EUR | 100 | 98,845 | |||||||
Post Holdings,
Inc. |
U.S.$ | 125 | 104,250 | |||||||
4.625%, 04/15/2030(a) |
58 | 49,603 | ||||||||
5.50%, 12/15/2029(a) |
100 | 90,891 | ||||||||
5.625%, 01/15/2028(a) |
54 | 51,106 | ||||||||
5.75%, 03/01/2027(a) |
14 | 13,849 | ||||||||
Radiology Partners, Inc.
|
6 | 5,711 |
abfunds.com | AB HIGH YIELD PORTFOLIO | 25 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc. |
U.S.$ | 24 | $ | 24,651 | ||||||||
RP Escrow Issuer LLC
|
174 | 163,511 | ||||||||||
Spectrum Brands,
Inc. |
140 | 117,812 | ||||||||||
5.75%, 07/15/2025 |
3 | 3,037 | ||||||||||
Tempur Sealy International, Inc.
|
207 | 171,853 | ||||||||||
Tenet Healthcare
Corp. |
153 | 139,229 | ||||||||||
6.125%, 10/01/2028(a) |
1 | 959 | ||||||||||
6.25%, 02/01/2027(a) |
15 | 14,891 | ||||||||||
Triton Water Holdings, Inc.
|
222 | 184,007 | ||||||||||
US Acute Care Solutions LLC
|
80 | 77,893 | ||||||||||
US Foods, Inc. |
60 | 55,390 | ||||||||||
6.25%, 04/15/2025(a) |
107 | 110,016 | ||||||||||
US Renal Care, Inc.
|
104 | 90,433 | ||||||||||
Vizient, Inc. |
10 | 10,325 | ||||||||||
|
|
|||||||||||
5,354,730 | ||||||||||||
|
|
|||||||||||
Energy 8.9% |
||||||||||||
Antero Resources Corp.
|
4 | 4,236 | ||||||||||
Apache Corp. |
151 | 136,661 | ||||||||||
Athabasca Oil Corp.
|
85 | 90,206 | ||||||||||
Berry Petroleum Co. LLC
|
127 | 124,359 | ||||||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp. |
14 | 14,018 | ||||||||||
7.625%, 12/15/2025(a) |
201 | 207,031 | ||||||||||
Buckeye Partners LP
|
201 | 183,361 | ||||||||||
Callon Petroleum
Co. |
7 | 7,230 | ||||||||||
8.25%, 07/15/2025 |
8 | 8,026 | ||||||||||
Citgo Holding, Inc.
|
72 | 71,540 |
26 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
CITGO Petroleum
Corp. |
U.S.$ | 16 | $ | 15,908 | ||||||
7.00%, 06/15/2025(a) |
50 | 49,686 | ||||||||
Civitas Resources,
Inc. |
119 | 113,415 | ||||||||
7.50%, 04/30/2026 |
6 | 5,617 | ||||||||
CNX Resources Corp.
|
51 | 50,378 | ||||||||
Comstock Resources, Inc.
|
58 | 58,617 | ||||||||
Crescent Energy Finance LLC
|
119 | 117,214 | ||||||||
Diamond Foreign Asset Co./Diamond Finance LLC |
4 | 4,266 | ||||||||
9.00% (9.00% Cash or 13.00% PIK), 04/22/2027(f) |
4 | 3,753 | ||||||||
Encino Acquisition Partners Holdings LLC |
122 | 122,272 | ||||||||
EnLink Midstream LLC
|
49 | 48,560 | ||||||||
EnLink Midstream Partners LP |
119 | 115,485 | ||||||||
4.40%, 04/01/2024 |
47 | 46,381 | ||||||||
5.60%, 04/01/2044 |
14 | 11,495 | ||||||||
Series C |
102 | 74,970 | ||||||||
EQM Midstream Partners
LP |
57 | 51,295 | ||||||||
4.75%, 01/15/2031(a) |
106 | 94,746 | ||||||||
5.50%, 07/15/2028 |
18 | 17,195 | ||||||||
Genesis Energy LP/Genesis Energy Finance Corp. |
45 | 44,152 | ||||||||
6.25%, 05/15/2026 |
21 | 19,692 | ||||||||
6.50%, 10/01/2025 |
35 | 33,497 | ||||||||
7.75%, 02/01/2028 |
62 | 59,640 | ||||||||
8.00%, 01/15/2027 |
141 | 138,528 | ||||||||
Global Partners LP/GLP Finance Corp. |
96 | 92,972 | ||||||||
7.00%, 08/01/2027 |
26 | 25,517 | ||||||||
Gulfport Energy
Corp. |
128 | 13 | ||||||||
6.375%, 05/15/2025-01/15/2026(d) |
54 | 5 | ||||||||
6.625%, 05/01/2023(d) |
4 | 0 | | |||||||
8.00%, 05/17/2026 |
2 | 2,507 | ||||||||
8.00%, 05/17/2026(a) |
55 | 56,635 |
abfunds.com | AB HIGH YIELD PORTFOLIO | 27 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Harbour Energy PLC
|
U.S.$ | 200 | $ | 193,653 | ||||||
Hess Midstream Operations LP
|
17 | 15,563 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co. |
12 | 11,767 | ||||||||
6.00%, 02/01/2031(a) |
213 | 205,660 | ||||||||
ITT Holdings LLC
|
271 | 239,842 | ||||||||
Moss Creek Resources Holdings, Inc. |
48 | 47,035 | ||||||||
Murphy Oil Corp. |
111 | 110,577 | ||||||||
Nabors Industries
Ltd. |
36 | 35,229 | ||||||||
7.50%, 01/15/2028(a) |
37 | 35,601 | ||||||||
Nabors Industries, Inc. |
30 | 28,696 | ||||||||
7.375%, 05/15/2027(a) |
163 | 166,495 | ||||||||
New Fortress Energy, Inc.
|
102 | 100,316 | ||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp. |
86 | 81,054 | ||||||||
Occidental Petroleum Corp. |
28 | 28,497 | ||||||||
5.55%, 03/15/2026 |
272 | 278,736 | ||||||||
6.125%, 01/01/2031 |
93 | 97,887 | ||||||||
6.20%, 03/15/2040 |
69 | 71,385 | ||||||||
8.50%, 07/15/2027 |
42 | 47,383 | ||||||||
8.875%, 07/15/2030 |
42 | 50,453 | ||||||||
PBF Holding Co. LLC/PBF Finance Corp. |
9 | 7,906 | ||||||||
9.25%, 05/15/2025(a) |
80 | 82,902 | ||||||||
PDC Energy, Inc. |
69 | 67,166 | ||||||||
Range Resources Corp. |
24 | 24,055 | ||||||||
8.25%, 01/15/2029 |
55 | 58,911 | ||||||||
SM Energy Co. |
34 | 33,467 | ||||||||
Southwestern Energy Co. |
32 | 32,482 | ||||||||
8.375%, 09/15/2028 |
22 | 23,814 | ||||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. |
150 | 140,305 |
28 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Sunnova Energy Corp.
|
U.S.$ | 40 | $ | 36,774 | ||||||||
Sunoco LP/Sunoco Finance Corp. |
16 | 15,850 | ||||||||||
Talos Production, Inc. |
101 | 108,719 | ||||||||||
Transocean Guardian Ltd.
|
135 | 129,222 | ||||||||||
Transocean Phoenix 2 Ltd.
|
23 | 23,107 | ||||||||||
Transocean Poseidon Ltd.
|
106 | 101,834 | ||||||||||
Transocean, Inc. |
0 | ** | 101 | |||||||||
7.50%, 01/15/2026(a) |
18 | 14,778 | ||||||||||
8.00%, 02/01/2027(a) |
89 | 71,009 | ||||||||||
11.50%, 01/30/2027(a) |
32 | 31,863 | ||||||||||
Vantage Drilling International
|
46 | 0 | | |||||||||
Venture Global Calcasieu Pass LLC |
101 | 92,137 | ||||||||||
W&T Offshore, Inc. |
57 | 56,659 | ||||||||||
Weatherford International Ltd. |
2 | 2,081 | ||||||||||
|
|
|||||||||||
5,322,050 | ||||||||||||
|
|
|||||||||||
Other Industrial 0.4% |
||||||||||||
American Builders & Contractors Supply Co., Inc. |
95 | 88,298 | ||||||||||
Belden, Inc. |
EUR | 100 | 100,521 | |||||||||
H&E Equipment Services, Inc. |
U.S.$ | 33 | 28,736 | |||||||||
Interface, Inc. |
11 | 9,962 | ||||||||||
KAR Auction Services, Inc. |
5 | 5,068 | ||||||||||
Univar Solutions USA, Inc./Washington |
17 | 16,388 | ||||||||||
|
|
|||||||||||
248,973 | ||||||||||||
|
|
|||||||||||
Services 4.6% |
||||||||||||
ADT Security Corp. (The) |
52 | 44,231 | ||||||||||
4.875%, 07/15/2032(a) |
139 | 117,937 |
abfunds.com | AB HIGH YIELD PORTFOLIO | 29 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp. |
U.S.$ | 77 | $ | 74,421 | ||||||
9.75%, 07/15/2027(a) |
51 | 49,538 | ||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL |
GBP | 100 | 109,168 | |||||||
ANGI Group LLC |
U.S.$ | 353 | 280,342 | |||||||
Aptim Corp. |
85 | 66,677 | ||||||||
APX Group, Inc. |
199 | 163,244 | ||||||||
Aramark Services, Inc. |
95 | 96,698 | ||||||||
Block, Inc. |
216 | 197,262 | ||||||||
3.50%, 06/01/2031(a) |
11 | 9,209 | ||||||||
Elior Group SA |
EUR | 100 | 89,493 | |||||||
Garda World Security Corp. |
U.S.$ | 40 | 36,401 | |||||||
9.50%, 11/01/2027(a) |
13 | 12,841 | ||||||||
Millennium Escrow Corp. |
134 | 124,207 | ||||||||
Monitronics International, Inc. |
14 | 0 | | |||||||
MPH Acquisition Holdings LLC |
312 | 271,534 | ||||||||
Nielsen Finance LLC/Nielsen Finance Co. |
71 | 67,057 | ||||||||
5.875%, 10/01/2030(a) |
95 | 91,273 | ||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. |
105 | 89,960 | ||||||||
5.75%, 04/15/2026(a) |
130 | 124,954 | ||||||||
6.25%, 01/15/2028(a) |
102 | 91,546 | ||||||||
Ritchie Bros Auctioneers, Inc. |
12 | 12,039 | ||||||||
Sabre GLBL, Inc. |
101 | 102,239 | ||||||||
9.25%, 04/15/2025(a) |
65 | 69,442 | ||||||||
Service Corp. International/US |
22 | 19,018 | ||||||||
TripAdvisor, Inc. |
61 | 62,625 |
30 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Verscend Escrow Corp. |
U.S.$ | 137 | $ | 141,110 | ||||||||
WASH Multifamily Acquisition, Inc. |
17 | 16,555 | ||||||||||
ZipRecruiter, Inc. |
109 | 101,961 | ||||||||||
|
|
|||||||||||
2,732,982 | ||||||||||||
|
|
|||||||||||
Technology 4.1% |
| |||||||||||
Ahead DB Holdings LLC |
37 | 32,814 | ||||||||||
Avaya, Inc. |
221 | 204,292 | ||||||||||
Boxer Parent Co., Inc. |
25 | 25,500 | ||||||||||
CDK Global, Inc. |
39 | 39,294 | ||||||||||
Clarivate Science Holdings Corp. |
31 | 27,386 | ||||||||||
CommScope, Inc. |
92 | 77,106 | ||||||||||
6.00%, 03/01/2026(a) |
56 | 52,951 | ||||||||||
8.25%, 03/01/2027(a) |
29 | 24,651 | ||||||||||
Elastic NV |
17 | 15,297 | ||||||||||
Imola Merger Corp. |
40 | 37,339 | ||||||||||
LogMeIn, Inc. |
117 | 103,171 | ||||||||||
Minerva Merger Sub, Inc. |
221 | 203,310 | ||||||||||
NCR Corp. |
86 | 82,019 | ||||||||||
5.125%, 04/15/2029(a) |
101 | 95,564 | ||||||||||
5.75%, 09/01/2027(a) |
24 | 23,184 | ||||||||||
Pitney Bowes, Inc. |
40 | 36,964 | ||||||||||
Playtika Holding Corp. |
147 | 132,397 | ||||||||||
Presidio Holdings, Inc. |
131 | 127,665 | ||||||||||
Rackspace Technology Global, Inc. |
226 | 195,584 | ||||||||||
5.375%, 12/01/2028(a) |
109 | 88,941 | ||||||||||
Science Applications International Corp. |
15 | 14,342 | ||||||||||
Seagate HDD Cayman |
117 | 104,280 |
abfunds.com | AB HIGH YIELD PORTFOLIO | 31 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Sensata Technologies BV |
U.S.$ | 200 | $ | 179,386 | ||||||||
Sensata Technologies, Inc. |
180 | 152,350 | ||||||||||
TTM Technologies, Inc. |
40 | 35,039 | ||||||||||
Veritas US, Inc./Veritas Bermuda Ltd. |
305 | 269,961 | ||||||||||
Virtusa Corp. |
37 | 33,412 | ||||||||||
Xerox Corp. |
18 | 18,000 | ||||||||||
|
|
|||||||||||
2,432,199 | ||||||||||||
|
|
|||||||||||
Transportation - Airlines 0.6% |
| |||||||||||
Air Canada |
25 | 23,115 | ||||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd. |
60 | 59,467 | ||||||||||
5.75%, 04/20/2029(a) |
52 | 50,169 | ||||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd. |
46 | 44,952 | ||||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd. |
118 | 124,901 | ||||||||||
United Airlines, Inc. |
22 | 20,213 | ||||||||||
|
|
|||||||||||
322,817 | ||||||||||||
|
|
|||||||||||
Transportation - Services 1.4% |
||||||||||||
Albion Financing 1 SARL/Aggreko Holdings, Inc. |
200 | 188,710 | ||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. |
26 | 24,715 | ||||||||||
5.75%, 07/15/2027(a) |
22 | 21,725 | ||||||||||
BCP V Modular Services |
EUR | 113 | 103,176 | |||||||||
EC Finance PLC |
111 | 112,872 | ||||||||||
Loxam SAS |
113 | 114,094 | ||||||||||
PROG Holdings, Inc. |
U.S.$ | 209 | 185,026 | |||||||||
United Rentals North America, Inc. |
94 | 83,203 |
32 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
XPO Logistics, Inc. |
U.S.$ | 11 | $ | 11,256 | ||||||||
|
|
|||||||||||
844,777 | ||||||||||||
|
|
|||||||||||
42,145,304 | ||||||||||||
|
|
|||||||||||
Financial Institutions 5.7% |
||||||||||||
Banking 0.6% |
||||||||||||
Ally Financial, Inc. |
164 | 141,642 | ||||||||||
Series C |
28 | 24,220 | ||||||||||
Bread Financial Holdings, Inc. |
103 | 100,178 | ||||||||||
7.00%, 01/15/2026(a) |
22 | 22,271 | ||||||||||
Discover Financial Services |
93 | 94,838 | ||||||||||
Societe Generale SA |
3 | 3,117 | ||||||||||
|
|
|||||||||||
386,266 | ||||||||||||
|
|
|||||||||||
Brokerage 0.6% |
||||||||||||
Advisor Group Holdings, Inc. |
87 | 91,785 | ||||||||||
AG Issuer LLC |
100 | 98,117 | ||||||||||
Jane Street Group/JSG Finance, Inc. |
81 | 74,446 | ||||||||||
Lehman Brothers Holdings, Inc. |
423 | 1,694 | ||||||||||
LPL Holdings, Inc. |
12 | 10,931 | ||||||||||
NFP Corp. |
32 | 29,218 | ||||||||||
6.875%, 08/15/2028(a) |
90 | 79,637 | ||||||||||
|
|
|||||||||||
385,828 | ||||||||||||
|
|
|||||||||||
Finance 1.5% |
| |||||||||||
Air Lease Corp. |
50 | 45,165 | ||||||||||
Aircastle Ltd. |
31 | 27,581 | ||||||||||
Castlelake Aviation Finance DAC |
98 | 88,231 | ||||||||||
CNG Holdings, Inc. |
32 | 29,954 |
abfunds.com | AB HIGH YIELD PORTFOLIO | 33 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Curo Group Holdings Corp. |
U.S.$ | 164 | $ | 138,182 | ||||||||
Enova International, Inc. |
144 | 143,222 | ||||||||||
goeasy Ltd. |
23 | 21,503 | ||||||||||
5.375%, 12/01/2024(a) |
7 | 6,858 | ||||||||||
Hightower Holding LLC |
11 | 10,224 | ||||||||||
Navient Corp. |
87 | 87,436 | ||||||||||
5.625%, 08/01/2033 |
68 | 54,956 | ||||||||||
6.125%, 03/25/2024 |
115 | 115,538 | ||||||||||
7.25%, 09/25/2023 |
35 | 35,971 | ||||||||||
OneMain Finance Corp. |
37 | 38,825 | ||||||||||
SLM Corp. |
57 | 55,706 | ||||||||||
|
|
|||||||||||
899,352 | ||||||||||||
|
|
|||||||||||
Insurance 0.2% |
| |||||||||||
Acrisure LLC/Acrisure Finance, Inc. |
19 | 16,598 | ||||||||||
10.125%, 08/01/2026(a) |
40 | 42,052 | ||||||||||
AssuredPartners, Inc. |
42 | 36,967 | ||||||||||
USI, Inc./NY |
7 | 6,894 | ||||||||||
|
|
|||||||||||
102,511 | ||||||||||||
|
|
|||||||||||
Other Finance 0.5% |
| |||||||||||
Armor Holdco, Inc. |
151 | 143,565 | ||||||||||
Coinbase Global, Inc. |
54 | 43,089 | ||||||||||
Intrum AB |
EUR | 100 | 98,107 | |||||||||
|
|
|||||||||||
284,761 | ||||||||||||
|
|
|||||||||||
REITs 2.3% |
| |||||||||||
ADLER Group SA |
100 | 72,581 | ||||||||||
Aedas Homes Opco Sl |
111 | 111,030 | ||||||||||
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL |
U.S.$ | 146 | 132,328 | |||||||||
5.75%, 05/15/2026(a) |
49 | 47,559 |
34 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Diversified Healthcare Trust |
U.S.$ | 189 | $ | 161,219 | ||||||||
9.75%, 06/15/2025 |
90 | 94,315 | ||||||||||
Hospitality Properties Trust |
25 | 24,503 | ||||||||||
Iron Mountain, Inc. |
198 | 170,517 | ||||||||||
4.875%, 09/15/2029(a) |
69 | 63,278 | ||||||||||
5.25%, 07/15/2030(a) |
25 | 22,947 | ||||||||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance
Co-Issuer |
67 | 61,426 | ||||||||||
SBA Communications Corp. |
46 | 39,439 | ||||||||||
Service Properties Trust |
247 | 246,754 | ||||||||||
Vivion Investments SARL |
EUR | 100 | 96,617 | |||||||||
|
|
|||||||||||
1,344,513 | ||||||||||||
|
|
|||||||||||
3,403,231 | ||||||||||||
|
|
|||||||||||
Utility 0.9% |
| |||||||||||
Electric 0.7% |
| |||||||||||
Calpine Corp. |
U.S.$ | 96 | 89,042 | |||||||||
5.125%, 03/15/2028(a) |
133 | 120,818 | ||||||||||
Vistra Corp. |
28 | 27,253 | ||||||||||
8.00%, 10/15/2026(a)(j) |
29 | 29,179 | ||||||||||
Vistra Operations Co. LLC |
103 | 93,747 | ||||||||||
5.50%, 09/01/2026(a) |
78 | 77,752 | ||||||||||
|
|
|||||||||||
437,791 | ||||||||||||
|
|
|||||||||||
Other Utility 0.2% |
| |||||||||||
Solaris Midstream Holdings LLC |
118 | 121,207 | ||||||||||
|
|
|||||||||||
558,998 | ||||||||||||
|
|
|||||||||||
Total Corporates - Non-Investment Grade |
46,107,533 | |||||||||||
|
|
|||||||||||
CORPORATES - INVESTMENT GRADE 9.9% |
||||||||||||
Industrial 6.5% |
| |||||||||||
Basic 1.1% |
| |||||||||||
ArcelorMittal SA |
25 | 27,365 |
abfunds.com | AB HIGH YIELD PORTFOLIO | 35 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Arconic Corp. |
U.S.$ | 20 | $ | 20,100 | ||||||||
CF Industries, Inc. |
23 | 23,723 | ||||||||||
Freeport-McMoRan, Inc. |
279 | 282,358 | ||||||||||
5.25%, 09/01/2029 |
104 | 104,068 | ||||||||||
5.40%, 11/14/2034 |
99 | 101,282 | ||||||||||
INEOS Finance PLC |
EUR | 120 | 116,740 | |||||||||
|
|
|||||||||||
675,636 | ||||||||||||
|
|
|||||||||||
Capital Goods 0.1% |
| |||||||||||
General Electric Co. |
U.S.$ | 40 | 38,025 | |||||||||
Howmet Aerospace, Inc. |
4 | 4,109 | ||||||||||
|
|
|||||||||||
42,134 | ||||||||||||
|
|
|||||||||||
Communications - Media 0.8% |
| |||||||||||
Magallanes, Inc. |
47 | 45,378 | ||||||||||
4.054%, 03/15/2029(a) |
12 | 11,461 | ||||||||||
4.279%, 03/15/2032(a) |
65 | 60,510 | ||||||||||
Netflix, Inc. |
EUR | 124 | 131,656 | |||||||||
4.375%, 11/15/2026 |
U.S.$ | 25 | 24,805 | |||||||||
4.625%, 05/15/2029 |
EUR | 113 | 124,761 | |||||||||
4.875%, 04/15/2028 |
U.S.$ | 100 | 98,174 | |||||||||
|
|
|||||||||||
496,745 | ||||||||||||
|
|
|||||||||||
Communications - Telecommunications 0.8% |
||||||||||||
Hughes Satellite Systems Corp. |
21 | 20,549 | ||||||||||
T-Mobile USA, Inc. |
80 | 69,213 | ||||||||||
2.875%, 02/15/2031 |
155 | 131,907 | ||||||||||
3.375%, 04/15/2029(a) |
47 | 42,545 | ||||||||||
3.50%, 04/15/2031(a) |
126 | 111,684 | ||||||||||
4.75%, 02/01/2028 |
126 | 124,379 | ||||||||||
|
|
|||||||||||
500,277 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Other 0.3% |
||||||||||||
MDC Holdings, Inc. |
87 | 81,947 | ||||||||||
Toll Brothers Finance Corp. |
93 | 92,544 | ||||||||||
|
|
|||||||||||
174,491 | ||||||||||||
|
|
36 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Consumer Cyclical - Retailers 0.1% |
||||||||||||
Macys Retail Holdings LLC |
U.S.$ | 45 | $ | 42,266 | ||||||||
6.125%, 03/15/2032(a) |
37 | 34,312 | ||||||||||
|
|
|||||||||||
76,578 | ||||||||||||
|
|
|||||||||||
Consumer Non-Cyclical 1.2% |
||||||||||||
BAT International Finance PLC |
116 | 111,749 | ||||||||||
HCA, Inc. |
33 | 33,797 | ||||||||||
5.625%, 09/01/2028 |
35 | 36,174 | ||||||||||
5.875%, 02/15/2026 |
54 | 55,943 | ||||||||||
Newell Brands, Inc. |
25 | 24,994 | ||||||||||
4.45%, 04/01/2026 |
190 | 187,901 | ||||||||||
4.875%, 06/01/2025 |
12 | 12,139 | ||||||||||
Pilgrims Pride Corp. |
105 | 88,997 | ||||||||||
5.875%, 09/30/2027(a) |
136 | 136,949 | ||||||||||
|
|
|||||||||||
688,643 | ||||||||||||
|
|
|||||||||||
Energy 1.1% |
||||||||||||
Cenovus Energy, Inc. |
2 | 2,030 | ||||||||||
6.75%, 11/15/2039 |
1 | 1,649 | ||||||||||
Continental Resources, Inc./OK |
16 | 13,883 | ||||||||||
5.75%, 01/15/2031(a) |
28 | 28,723 | ||||||||||
Energy Transfer LP |
105 | 103,791 | ||||||||||
EQT Corp. |
118 | 113,193 | ||||||||||
6.625%, 02/01/2025 |
70 | 72,904 | ||||||||||
Hess Corp. |
36 | 41,834 | ||||||||||
Marathon Oil Corp. |
34 | 38,060 | ||||||||||
QEP Resources, Inc. |
1 | 515 | ||||||||||
Western Midstream Operating LP |
33 | 32,055 | ||||||||||
4.55%, 02/01/2030 |
49 | 45,144 | ||||||||||
4.65%, 07/01/2026 |
41 | 40,420 | ||||||||||
4.75%, 08/15/2028 |
12 | 11,683 | ||||||||||
5.45%, 04/01/2044 |
26 | 23,861 | ||||||||||
5.75%, 02/01/2050 |
84 | 74,107 | ||||||||||
|
|
|||||||||||
643,852 | ||||||||||||
|
|
abfunds.com | AB HIGH YIELD PORTFOLIO | 37 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Services 0.0% |
||||||||||||
Expedia Group, Inc. |
U.S.$ | 5 | $ | 5,243 | ||||||||
|
|
|||||||||||
Technology 0.5% |
||||||||||||
Broadcom, Inc. |
13 | 12,408 | ||||||||||
4.15%, 04/15/2032(a) |
41 | 38,051 | ||||||||||
CDW LLC/CDW Finance Corp. |
125 | 123,110 | ||||||||||
MSCI, Inc. |
25 | 23,009 | ||||||||||
Nokia Oyj |
64 | 73,862 | ||||||||||
|
|
|||||||||||
270,440 | ||||||||||||
|
|
|||||||||||
Transportation - Airlines 0.5% |
||||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. |
45 | 44,368 | ||||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd. |
234 | 240,560 | ||||||||||
|
|
|||||||||||
284,928 | ||||||||||||
|
|
|||||||||||
3,858,967 | ||||||||||||
|
|
|||||||||||
Financial Institutions 3.4% |
||||||||||||
Banking 0.9% |
||||||||||||
Barclays Bank PLC |
15 | 18,233 | ||||||||||
Citigroup, Inc. |
38 | 38,304 | ||||||||||
Series W |
18 | 16,385 | ||||||||||
Series Y |
46 | 41,175 | ||||||||||
First-Citizens Bank & Trust Co. |
37 | 37,187 | ||||||||||
Goldman Sachs Group, Inc. (The) |
128 | 121,158 | ||||||||||
HSBC Holdings PLC |
203 | 192,751 | ||||||||||
Lloyds Banking Group PLC |
GBP | 8 | 9,378 | |||||||||
Wells Fargo & Co. |
U.S.$ | 111 | 101,458 | |||||||||
|
|
|||||||||||
576,029 | ||||||||||||
|
|
38 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Brokerage 0.1% |
||||||||||||
Charles Schwab Corp. (The) |
U.S.$ | 58 | $ | 58,608 | ||||||||
|
|
|||||||||||
Finance 0.4% |
||||||||||||
Aircastle Ltd. |
2 | 1,750 | ||||||||||
5.25%, 08/11/2025(a) |
148 | 147,713 | ||||||||||
Aviation Capital Group LLC |
2 | 1,785 | ||||||||||
3.50%, 11/01/2027(a) |
18 | 16,528 | ||||||||||
4.125%, 08/01/2025(a) |
16 | 15,608 | ||||||||||
4.375%, 01/30/2024(a) |
36 | 35,854 | ||||||||||
4.875%, 10/01/2025(a) |
6 | 5,970 | ||||||||||
|
|
|||||||||||
225,208 | ||||||||||||
|
|
|||||||||||
Insurance 1.3% |
||||||||||||
ACE Capital Trust II |
20 | 27,035 | ||||||||||
Centene Corp. |
639 | 531,016 | ||||||||||
2.625%, 08/01/2031 |
43 | 35,865 | ||||||||||
3.00%, 10/15/2030 |
66 | 57,255 | ||||||||||
Liberty Mutual Group, Inc. |
55 | 70,328 | ||||||||||
Prudential Financial, Inc. |
20 | 19,677 | ||||||||||
5.625%, 06/15/2043 |
50 | 49,984 | ||||||||||
|
|
|||||||||||
791,160 | ||||||||||||
|
|
|||||||||||
REITs 0.7% |
||||||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance
Co-Issuer, Inc. |
93 | 93,733 | ||||||||||
5.75%, 02/01/2027 |
59 | 59,002 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp. |
21 | 19,293 | ||||||||||
5.00%, 10/15/2027 |
122 | 117,054 | ||||||||||
5.25%, 08/01/2026 |
40 | 39,681 | ||||||||||
Office Properties Income Trust |
104 | 80,608 | ||||||||||
|
|
|||||||||||
409,371 | ||||||||||||
|
|
|||||||||||
2,060,376 | ||||||||||||
|
|
|||||||||||
Total Corporates - Investment Grade |
5,919,343 | |||||||||||
|
|
|||||||||||
abfunds.com | AB HIGH YIELD PORTFOLIO | 39 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
BANK LOANS 4.7% |
||||||||||||
Industrial 4.2% |
||||||||||||
Basic 0.0% |
||||||||||||
Nouryon Finance B.V. |
U.S.$ | 7 | $ | 7,333 | ||||||||
|
|
|||||||||||
Capital Goods 0.3% |
||||||||||||
ACProducts Holdings, Inc. |
98 | 81,554 | ||||||||||
Apex Tool Group, LLC |
45 | 42,882 | ||||||||||
Chariot Buyer LLC |
20 | 19,557 | ||||||||||
Granite US Holdings Corporation |
55 | 54,124 | ||||||||||
|
|
|||||||||||
198,117 | ||||||||||||
|
|
|||||||||||
Communications - Media 0.2% |
||||||||||||
Advantage Sales & Marketing, Inc. |
38 | 36,906 | ||||||||||
Clear Channel Outdoor Holdings, Inc. |
0 | 29 | ||||||||||
4.739% (LIBOR 3 Month + 3.50%), 08/21/2026(k) |
12 | 11,374 | ||||||||||
iHeartCommunications, Inc. (fka Clear Channel Communications, Inc.) |
18 | 17,577 | ||||||||||
Univision Communications, Inc. |
52 | 51,861 | ||||||||||
|
|
|||||||||||
117,747 | ||||||||||||
|
|
|||||||||||
Communications - Telecommunications 0.6% |
||||||||||||
Crown Subsea Communications Holding, Inc. |
56 | 55,839 | ||||||||||
DIRECTV Financing, LLC |
57 | 57,008 |
40 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Intrado Corporation |
U.S.$ | 25 | $ | 23,582 | ||||||||
Proofpoint, Inc. |
120 | 119,887 | ||||||||||
Zacapa SARL |
99 | 97,902 | ||||||||||
|
|
|||||||||||
354,218 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Automotive 0.1% |
||||||||||||
Clarios Global LP |
42 | 41,539 | ||||||||||
|
|
|||||||||||
Consumer Cyclical - Entertainment 0.2% |
||||||||||||
Seaworld Parks & Entertainment, Inc. |
117 | 114,721 | ||||||||||
|
|
|||||||||||
Consumer Cyclical - Other 0.1% |
||||||||||||
Caesars Resort Collection, LLC |
37 | 36,982 | ||||||||||
Flutter Entertainment PLC |
4 | 4,060 | ||||||||||
Golden Nugget Online Gaming, LLC |
1 | 800 | ||||||||||
|
|
|||||||||||
41,842 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Restaurants 0.0% |
||||||||||||
IRB Holding Corp. |
6 | 5,942 | ||||||||||
|
|
|||||||||||
Consumer Cyclical - Retailers 0.1% |
||||||||||||
Great Outdoors Group, LLC |
17 | 16,495 | ||||||||||
PetSmart LLC |
79 | 78,566 | ||||||||||
|
|
|||||||||||
95,061 | ||||||||||||
|
|
|||||||||||
Consumer Non-Cyclical 0.5% |
||||||||||||
Gainwell Acquisition Corp. |
40 | 39,327 |
abfunds.com | AB HIGH YIELD PORTFOLIO | 41 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Global Medical Response, Inc. |
U.S.$ | 16 | $ | 15,472 | ||||||||
Kronos Acquisition Holdings, Inc. |
40 | 36,642 | ||||||||||
LifePoint Health, Inc. (fka Regionalcare Hospital Partners Holdings, Inc.) |
27 | 26,979 | ||||||||||
Padagis LLC |
28 | 28,165 | ||||||||||
U.S. Renal Care, Inc. |
59 | 51,626 | ||||||||||
US Radiology Specialists, Inc. (US Outpatient Imaging Services, Inc.) |
89 | 88,701 | ||||||||||
|
|
|||||||||||
286,912 | ||||||||||||
|
|
|||||||||||
Energy 0.5% |
||||||||||||
CITGO Petroleum Corporation |
35 | 34,387 | ||||||||||
GIP II Blue Holding, L.P. |
210 | 209,312 | ||||||||||
Parkway Generation, LLC |
59 | 59,177 | ||||||||||
|
|
|||||||||||
302,876 | ||||||||||||
|
|
|||||||||||
Other Industrial 0.4% |
||||||||||||
American Tire Distributors, Inc. |
165 | 163,376 | ||||||||||
Dealer Tire, LLC |
20 | 19,511 | ||||||||||
FCG Acquisitions, Inc. |
30 | 29,400 | ||||||||||
Rockwood Service Corporation |
3 | 3,251 | ||||||||||
|
|
|||||||||||
215,538 | ||||||||||||
|
|
42 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Services 0.2% |
||||||||||||
Amentum Government Services Holdings LLC |
U.S.$ | 20 | $ | 19,509 | ||||||||
Garda World Security Corporation |
58 | 57,197 | ||||||||||
Verscend Holding Corp. |
26 | 25,817 | ||||||||||
|
|
|||||||||||
102,523 | ||||||||||||
|
|
|||||||||||
Technology 1.0% |
||||||||||||
Ascend Learning, LLC |
50 | 49,312 | ||||||||||
Banff Guarantor, Inc. |
50 | 49,300 | ||||||||||
Boxer Parent Company, Inc. |
58 | 56,830 | ||||||||||
Endurance International Group Holdings, Inc. |
74 | 70,266 | ||||||||||
FINThrive Software Intermediate Holdings, Inc. |
50 | 48,925 | ||||||||||
Loyalty Ventures, Inc. |
130 | 126,045 | ||||||||||
Peraton Corp. |
33 | 32,451 | ||||||||||
Playtika Holding Corp. |
59 | 58,717 | ||||||||||
Presidio Holdings Inc. |
1 | 701 | ||||||||||
4.740% (LIBOR 3 Month + 3.50%), 01/22/2027(k) |
14 | 14,113 | ||||||||||
Veritas US, Inc. |
83 | 76,083 | ||||||||||
|
|
|||||||||||
582,743 | ||||||||||||
|
|
|||||||||||
2,467,112 | ||||||||||||
|
|
abfunds.com | AB HIGH YIELD PORTFOLIO | 43 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Financial Institutions 0.4% |
||||||||||||
Finance 0.1% |
||||||||||||
Orbit Private Holdings I Ltd. |
U.S.$ | 30 | $ | 29,788 | ||||||||
|
|
|||||||||||
Insurance 0.3% |
||||||||||||
Cross Financial Corp. |
45 | 44,402 | ||||||||||
Hub International Limited |
0 | ** | 168 | |||||||||
4.348% (LIBOR 3 Month + 3.25%), 04/25/2025(k) |
67 | 66,156 | ||||||||||
Jones DesLauriers Insurance Management, Inc. |
CAD | 95 | 71,950 | |||||||||
Sedgwick Claims Management Services, Inc. (Lightning Cayman Merger Sub, Ltd.) |
U.S.$ | 49 | 49,084 | |||||||||
|
|
|||||||||||
231,760 | ||||||||||||
|
|
|||||||||||
261,548 | ||||||||||||
|
|
|||||||||||
Utility 0.1% |
||||||||||||
Electric 0.1% |
||||||||||||
Granite Generation LLC |
43 | 42,086 | ||||||||||
4.756% (LIBOR 3 Month + 3.75%), 09/11/2026(k) |
9 | 8,384 | ||||||||||
|
|
|||||||||||
50,470 | ||||||||||||
|
|
|||||||||||
Total Bank Loans |
2,779,130 | |||||||||||
|
|
|||||||||||
EMERGING MARKETS - CORPORATE BONDS 2.0% |
||||||||||||
Industrial 2.0% |
||||||||||||
Basic 0.3% |
| |||||||||||
Eldorado Gold Corp. |
91 | 87,360 | ||||||||||
First Quantum Minerals Ltd. |
58 | 58,323 | ||||||||||
|
|
|||||||||||
145,683 | ||||||||||||
|
|
|||||||||||
Communications - Telecommunications 0.3% |
|
|||||||||||
Sable International Finance Ltd. |
180 | 174,882 | ||||||||||
|
|
44 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Consumer Cyclical - Other 1.1% |
||||||||||||
Allwyn Entertainment Fin |
EUR | 113 | $ | 114,532 | ||||||||
Melco Resorts Finance Ltd. |
U.S.$ | 236 | 185,260 | |||||||||
Studio City Co., Ltd. |
200 | 186,875 | ||||||||||
Wynn Macau Ltd. |
209 | 180,785 | ||||||||||
|
|
|||||||||||
667,452 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Retailers 0.0% |
| |||||||||||
K201640219 South Africa Ltd. |
ZAR | 1 | 0 | | ||||||||
K2016470219 South Africa Ltd. |
U.S.$ | 17 | 0 | | ||||||||
K2016470260 South Africa Ltd. |
10 | 0 | | |||||||||
|
|
|||||||||||
0 | | |||||||||||
|
|
|||||||||||
Consumer Non-Cyclical 0.0% |
| |||||||||||
Tonon Luxembourg SA |
2 | 0 | | |||||||||
Virgolino de Oliveira Finance SA |
96 | 10 | ||||||||||
|
|
|||||||||||
10 | ||||||||||||
|
|
|||||||||||
Technology 0.3% |
| |||||||||||
CA Magnum Holdings |
200 | 192,000 | ||||||||||
|
|
|||||||||||
1,180,027 | ||||||||||||
|
|
|||||||||||
Utility 0.0% |
||||||||||||
Electric 0.0% |
||||||||||||
Terraform Global Operating LLC |
28 | 27,541 | ||||||||||
|
|
|||||||||||
Total Emerging Markets - Corporate Bonds |
1,207,568 | |||||||||||
|
|
|||||||||||
Shares | ||||||||||||
COMMON STOCKS 1.2% |
||||||||||||
Energy 0.6% |
||||||||||||
Energy Equipment & Services 0.0% |
||||||||||||
Vantage Drilling International(d) |
247 | 3,551 | ||||||||||
|
|
|||||||||||
Oil, Gas & Consumable Fuels 0.6% |
||||||||||||
Berry Corp. |
5,146 | 56,452 | ||||||||||
CHC Group LLC(d) |
468 | 0 | |
abfunds.com | AB HIGH YIELD PORTFOLIO | 45 |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares |
U.S. $ Value | ||||||||||
|
||||||||||||
Civitas Resources, Inc. |
523 | $ | 30,658 | |||||||||
Denbury, Inc.(d) |
679 | 43,442 | ||||||||||
Diamond Offshore Drilling, Inc.(d) |
5,350 | 41,998 | ||||||||||
Diamond Offshore Drilling, Inc.(g) |
1,142 | 8,965 | ||||||||||
Edcon Ltd.(b)(e) |
8,218 | 0 | | |||||||||
Global Partners LP/MA |
1,004 | 26,455 | ||||||||||
Gulfport Energy Corp.(d) |
1,088 | 102,250 | ||||||||||
K201640219 South Africa Ltd. A Shares(b)(e) |
191,574 | 0 | | |||||||||
K201640219 South Africa Ltd. B Shares(b)(e) |
30,276 | 0 | | |||||||||
SandRidge Energy, Inc.(d) |
5 | 93 | ||||||||||
Whiting Petroleum Corp. |
142 | 10,373 | ||||||||||
|
|
|||||||||||
320,686 | ||||||||||||
|
|
|||||||||||
324,237 | ||||||||||||
|
|
|||||||||||
Consumer Discretionary 0.2% |
||||||||||||
Auto Components 0.2% |
||||||||||||
ATD New Holdings, Inc.(b)(d) |
1,009 | 82,907 | ||||||||||
Exide Corp.(b)(e) |
7 | 5,775 | ||||||||||
|
|
|||||||||||
88,682 | ||||||||||||
|
|
|||||||||||
Hotels, Restaurants & Leisure 0.0% |
||||||||||||
Caesars Entertainment, Inc.(d) |
151 | 10,008 | ||||||||||
|
|
|||||||||||
98,690 | ||||||||||||
|
|
|||||||||||
Consumer Staples 0.2% |
||||||||||||
Food & Staples Retailing 0.2% |
||||||||||||
Southeastern Grocers, Inc.(b)(d)(e) |
3,584 | 86,016 | ||||||||||
|
|
|||||||||||
Communication Services 0.1% |
||||||||||||
Diversified Telecommunication |
||||||||||||
Intelsat Emergence SA(b) |
1,932 | 61,099 | ||||||||||
Intelsat Jackson Holdings SA(b)(d)(e) |
402 | 0 | | |||||||||
|
|
|||||||||||
61,099 | ||||||||||||
|
|
|||||||||||
Media 0.0% |
||||||||||||
DISH Network Corp. Class A(d) |
100 | 2,851 | ||||||||||
iHeartMedia, Inc. Class A(d) |
1,045 | 16,710 | ||||||||||
|
|
|||||||||||
19,561 | ||||||||||||
|
|
|||||||||||
80,660 | ||||||||||||
|
|
|||||||||||
Materials 0.1% |
||||||||||||
Containers & Packaging 0.0% |
||||||||||||
Westrock Co. |
6 | 297 | ||||||||||
|
|
|||||||||||
Metals & Mining 0.1% |
||||||||||||
Bis Industries Holdings(b)(e) |
21,027 | 0 | | |||||||||
Neenah Enterprises, Inc.(b)(d)(e) |
4,481 | 68,649 | ||||||||||
|
|
|||||||||||
68,649 | ||||||||||||
|
|
|||||||||||
68,946 | ||||||||||||
|
|
46 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares |
U.S. $ Value | ||||||||||
|
||||||||||||
Industrials 0.0% |
||||||||||||
Construction & Engineering 0.0% |
||||||||||||
WillScot Mobile Mini Holdings Corp.(d) |
508 | $ | 17,831 | |||||||||
|
|
|||||||||||
Information Technology 0.0% |
||||||||||||
Software 0.0% |
||||||||||||
Avaya Holdings Corp.(d) |
1,385 | 12,811 | ||||||||||
Monitronics International, Inc.(d) |
578 | 145 | ||||||||||
|
|
|||||||||||
12,956 | ||||||||||||
|
|
|||||||||||
Total Common Stocks |
689,336 | |||||||||||
|
|
|||||||||||
PREFERRED STOCKS 0.4% |
||||||||||||
Industrial 0.3% |
||||||||||||
Consumer Cyclical - Automotive 0.1% |
| |||||||||||
Exide International Holdings LP
|
39 | 31,395 | ||||||||||
|
|
|||||||||||
Consumer Cyclical - Other 0.0% |
||||||||||||
Hovnanian Enterprises, Inc. |
490 | 9,800 | ||||||||||
|
|
|||||||||||
Energy 0.1% |
||||||||||||
Gulfport Energy Corp. |
4 | 27,200 | ||||||||||
Targa Resources Corp. |
70 | 74,718 | ||||||||||
|
|
|||||||||||
101,918 | ||||||||||||
|
|
|||||||||||
Industrial Conglomerates 0.1% |
| |||||||||||
WESCO International, Inc. |
1,425 | 40,684 | ||||||||||
|
|
|||||||||||
183,797 | ||||||||||||
|
|
|||||||||||
Financial Institutions 0.1% |
||||||||||||
Capital Markets 0.1% |
| |||||||||||
Ladenburg Thalmann Financial Services, Inc. |
2,175 | 33,169 | ||||||||||
|
|
|||||||||||
Total Preferred Stocks |
216,966 | |||||||||||
|
|
abfunds.com | AB HIGH YIELD PORTFOLIO | 47 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
GOVERNMENTS - TREASURIES 0.1% |
||||||||||||
Mexico 0.1% |
| |||||||||||
Mexican Bonos |
MXN | 1,202 | $ | 52,598 | ||||||||
Series M 20 |
480 | 24,033 | ||||||||||
|
|
|||||||||||
Total Governments - Treasuries |
76,631 | |||||||||||
|
|
|||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS 0.1% |
||||||||||||
Risk Share Floating Rate 0.1% |
||||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes |
U.S.$ | 20 | 20,528 | |||||||||
Series 2014-HQ2, Class M3 |
25 | 25,348 | ||||||||||
Federal National Mortgage Association Connecticut Avenue Securities |
5 | 4,950 | ||||||||||
|
|
|||||||||||
50,826 | ||||||||||||
|
|
|||||||||||
Non-Agency Fixed Rate 0.0% |
||||||||||||
Alternative Loan Trust |
4 | 2,447 | ||||||||||
CSMC Mortgage-Backed Trust |
4 | 2,041 | ||||||||||
|
|
|||||||||||
4,488 | ||||||||||||
|
|
|||||||||||
Total Collateralized Mortgage Obligations |
55,314 | |||||||||||
|
|
|||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES 0.1% |
||||||||||||
Non-Agency Fixed Rate CMBS 0.1% |
||||||||||||
Citigroup Commercial Mortgage Trust |
15 | 13,774 |
48 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
GS Mortgage Securities Trust |
U.S.$ | 11 | $ | 5,056 | ||||||||
JPMBB Commercial Mortgage Securities Trust |
29 | 27,420 | ||||||||||
|
|
|||||||||||
Total Commercial Mortgage-Backed Securities |
46,250 | |||||||||||
|
|
|||||||||||
EMERGING MARKETS - TREASURIES 0.0% |
||||||||||||
South Africa 0.0% |
||||||||||||
Republic of South Africa Government Bond |
ZAR | 283 | 18,207 | |||||||||
|
|
|||||||||||
Shares | ||||||||||||
WARRANTS 0.0% |
||||||||||||
Avaya Holdings Corp., expiring 12/15/2022(d) |
1,210 | 484 | ||||||||||
Battalion Oil Corp., expiring 10/08/2022(b)(d)(e) |
9 | 0 | | |||||||||
SandRidge Energy, Inc. A-CW22, expiring 10/03/2022(d) |
1,980 | 119 | ||||||||||
SandRidge Energy, Inc. B-CW22, expiring 10/03/2022(d) |
831 | 33 | ||||||||||
Willscot Corp., expiring 11/29/2022(b)(d)(e) |
787 | 15,578 | ||||||||||
|
|
|||||||||||
Total Warrants |
16,214 | |||||||||||
|
|
|||||||||||
RIGHTS 0.0% |
||||||||||||
Vistra Energy Corp., expiring 12/31/2049(b)(d)
|
3,442 | 4,395 | ||||||||||
|
|
|||||||||||
SHORT-TERM INVESTMENTS 2.1% |
||||||||||||
Investment Companies 2.1% |
||||||||||||
AB Fixed Income Shares, Inc. Government |
1,234,327 | 1,234,327 | ||||||||||
|
|
|||||||||||
Total Investments 98.0% |
58,371,214 | |||||||||||
Other assets less liabilities 2.0% |
1,174,411 | |||||||||||
|
|
|||||||||||
Net Assets 100.0% |
$ | 59,545,625 | ||||||||||
|
|
abfunds.com | AB HIGH YIELD PORTFOLIO | 49 |
PORTFOLIO OF INVESTMENTS (continued)
FUTURES (see Note D)
Description | Number of Contracts |
Expiration Month |
Current Notional |
Value and Unrealized Appreciation/ (Depreciation) |
||||||||||||
Purchased Contracts |
| |||||||||||||||
U.S. Long Bond (CBT) Futures |
4 | June 2022 | $ | 562,750 | $ | (61,625 | ) | |||||||||
U.S. T-Note 5 Yr (CBT) Futures |
16 | June 2022 | 1,802,750 | (79,000 | ) | |||||||||||
U.S. T-Note 10 Yr (CBT) Futures |
16 | June 2022 | 1,906,500 | (115,727 | ) | |||||||||||
Sold Contracts |
| |||||||||||||||
Euro-OAT Futures |
1 | June 2022 | 153,854 | 12,480 | ||||||||||||
|
|
|||||||||||||||
$ | (243,872 | ) | ||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
Counterparty | Contracts to Deliver (000) |
In Exchange For (000) |
Settlement Date |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Brown Brothers Harriman & Co. |
EUR | 185 | USD | 209 | 05/12/2022 | $ | 14,026 | |||||||||||||||||
Brown Brothers Harriman & Co. |
USD | 156 | EUR | 139 | 05/12/2022 | (9,962 | ) | |||||||||||||||||
Brown Brothers Harriman & Co. |
MXN | 1,254 | USD | 61 | 05/19/2022 | (26 | ) | |||||||||||||||||
Brown Brothers Harriman & Co. |
GBP | 215 | USD | 280 | 06/09/2022 | 10,422 | ||||||||||||||||||
Brown Brothers Harriman & Co. |
CAD | 102 | USD | 82 | 07/21/2022 | 2,262 | ||||||||||||||||||
Morgan Stanley Capital Services LLC |
EUR | 3,577 | USD | 4,094 | 05/12/2022 | 319,471 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
$ | 336,193 | |||||||||||||||||||||||
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note D)
Description | Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at April 30, 2022 |
Notional Amount (000) |
Market Value |
Upfront Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||
CDX-NAHY Series 34, 5 Year Index, 06/20/2025* |
5.00 | % | Quarterly | 3.94 | % | USD 255 | $ | 9,037 | $ | (206 | ) | $ | 9,243 | |||||||||||||||
CDX-NAHY Series 38, |
5.00 | Quarterly | 4.63 | USD 304 | 6,330 | 14,278 | (7,948 | ) | ||||||||||||||||||||
iTraxx Europe Crossover |
5.00 | Quarterly | 4.28 | EUR 330 | 12,735 | 21,813 | (9,078 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
$ | 28,102 | $ | 35,885 | $ | (7,783 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
50 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note D)
Rate Type |
||||||||||||||||||||||||||
Notional Amount (000) |
Termination Date |
Payments made by the Fund |
Payments received by the Fund |
Payment Frequency Paid/ Received |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||
USD | 1,770 | 03/06/2023 | 3 Month LIBOR |
2.714% | Quarterly/ Semi-Annual |
$ | 11,261 | $ | 0 | | $ | 11,261 | ||||||||||||||
USD | 2,835 | 09/02/2025 | 2.248% | 3 Month LIBOR | Semi-Annual/ Quarterly |
64,071 | (8,311 | ) | 72,382 | |||||||||||||||||
USD | 961 | 01/15/2026 | 1.978% | 3 Month LIBOR | Semi-Annual/ Quarterly |
30,915 | 5,398 | 25,517 | ||||||||||||||||||
USD | 651 | 02/16/2026 | 1.625% | 3 Month LIBOR | Semi-Annual/ Quarterly |
31,652 | 7,434 | 24,218 | ||||||||||||||||||
USD | 150 | 03/31/2026 | 1.693% | 3 Month LIBOR | Semi-Annual/ Quarterly |
7,398 | 0 | | 7,398 | |||||||||||||||||
USD | 100 | 05/03/2026 | 1.770% | 3 Month LIBOR | Semi-Annual/ Quarterly | 3,996 | 0 | | 3,996 | |||||||||||||||||
USD | 800 | 06/01/2026 | 1.714% | 3 Month LIBOR | Semi-Annual/ Quarterly |
35,606 | 32,362 | 3,244 | ||||||||||||||||||
USD | 4,650 | 04/28/2027 | 3 Month LIBOR | 2.330% | Quarterly/Semi-Annual | (148,051 | ) | 16,658 | (164,709 | ) | ||||||||||||||||
USD | 350 | 05/03/2027 | 2.285% | 3 Month LIBOR | Semi-Annual/ Quarterly |
8,188 | 112 | 8,076 | ||||||||||||||||||
USD | 940 | 03/06/2028 | 2.876% | 3 Month LIBOR | Semi-Annual/ Quarterly |
2,983 | 0 | | 2,983 | |||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||
$ | 48,019 | $ | 53,653 | $ | (5,634 | ) | ||||||||||||||||||||
|
|
|
|
|
|
CREDIT DEFAULT SWAPS (see Note D)
Swap Counterparty & Referenced Obligation |
Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at April 30, 2022 |
Notional Amount (000) |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||||||
Buy Contracts |
||||||||||||||||||||||||||||||||
Credit Suisse International |
|
|||||||||||||||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* |
(5.00 | )% | Monthly | 7.50 | % | USD | 166 | $ | 68,281 | $ | 19,444 | $ | 48,837 | |||||||||||||||||||
Goldman Sachs International |
|
|||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB Series 6, 05/11/2063* |
(3.00 | ) | Monthly | 7.50 | USD | 180 | 43,515 | 17,812 | 25,703 | |||||||||||||||||||||||
Sale Contracts |
||||||||||||||||||||||||||||||||
BNP Paribas SA |
|
|||||||||||||||||||||||||||||||
Altice France SA, 6/20/2024* |
5.00 | Quarterly | 1.95 | EUR | 70 | 5,169 | 2,698 | 2,471 | ||||||||||||||||||||||||
Credit Suisse International |
|
|||||||||||||||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* |
5.00 | Monthly | 7.50 | USD | 27 | (11,001 | ) | (3,091 | ) | (7,910 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* |
5.00 | Monthly | 7.50 | USD | 63 | (26,175 | ) | (6,824 | ) | (19,351 | ) |
abfunds.com | AB HIGH YIELD PORTFOLIO | 51 |
PORTFOLIO OF INVESTMENTS (continued)
Swap Counterparty & Referenced Obligation |
Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at April 30, 2022 |
Notional Amount (000) |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||||||
International Game Technology PLC, 4.750%, 02/15/2023, 06/20/2022* |
5.00 | % | Quarterly | 0.26 | % | EUR | 100 | $ | 1,253 | $ | 1,550 | $ | (297 | ) | ||||||||||||||||||
Deutsche Bank AG |
||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 70 | (17,010 | ) | (4,433 | ) | (12,577 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 236 | (57,153 | ) | (15,289 | ) | (41,864 | ) | |||||||||||||||||||||
Goldman Sachs International |
||||||||||||||||||||||||||||||||
Avis Budget Car |
5.00 | Quarterly | 1.17 | USD | 10 | 661 | 211 | 450 | ||||||||||||||||||||||||
Avis Budget Car |
5.00 | Quarterly | 1.17 | USD | 20 | 1,322 | 661 | 661 | ||||||||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* |
5.00 | Monthly | 7.50 | USD | 150 | (61,797 | ) | (25,295 | ) | (36,502 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (52,935 | ) | $ | (12,556 | ) | $ | (40,379 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
TOTAL RETURN SWAPS (see Note D)
|
| |||||||||||||||||||
Counterparty & Referenced Obligation |
Rate Paid/ |
Payment Frequency |
Current Notional (000) |
Maturity Date |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||
Receive Total Return on Reference Obligation |
| |||||||||||||||||||
Goldman Sachs International |
| |||||||||||||||||||
Markit iBoxx USD Contingent Convertible Liquid Developed Markets AT1 |
|
1 Day SOFR |
|
Maturity | USD 538 | 06/20/2022 | $ | (42,121 | ) | |||||||||||
Morgan Stanley Capital Services LLC iShares iBoxx $ High Yield Corporate Bond ETF |
|
FedFund Effective Minus 2.50% |
|
Maturity | USD 322 | 05/30/2022 | (82 | ) | ||||||||||||
|
|
|||||||||||||||||||
$ | (42,203 | ) | ||||||||||||||||||
|
|
** | Principal amount less than 500. |
52 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
(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 April 30, 2022, the aggregate market value of these securities amounted to $40,168,718 or 67.5% of net assets. |
(b) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(c) | Defaulted matured security. |
(d) | Non-income producing security. |
(e) | Fair valued by the Adviser. |
(f) | Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at April 30, 2022. |
(g) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.12% of net assets as of April 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 |
||||||||||||
Diamond Offshore Drilling, Inc. |
04/23/2021 | $ | 19,989 | $ | 8,965 | 0.02 | % | |||||||||
ESC CB Intelsat Jackson |
0 | | 0 | | 0.00 | % | ||||||||||
Exide International Holdings LP |
11/05/2020 | 29,328 | 31,395 | 0.05 | % | |||||||||||
Exide Technologies (Exchange Priority) |
10/29/2020 | 0 | | 0 | | 0.00 | % | |||||||||
Exide Technologies (First Lien) |
10/29/2020 | 0 | | 0 | | 0.00 | % | |||||||||
K2016470219 South Africa Ltd. |
|
02/05/2020 - 06/30/2021 |
16,398 | 0 | | 0.00 | % | |||||||||
K2016470260 South Africa Ltd. |
|
12/22/2016 - 06/30/2021 |
|
10,323 | 0 | | 0.00 | % | ||||||||
Magnetation LLC/Mag Finance Corp. |
02/19/2015 | 36,767 | 0 | | 0.00 | % | ||||||||||
Terraform Global Operating LLC |
|
02/08/2018 - 06/04/2019 |
|
28,010 | 27,541 | 0.05 | % | |||||||||
Tonon Luxembourg SA |
|
05/03/2019 - 10/31/2020 |
|
4,111 | 0 | | 0.00 | % | ||||||||
Virgolino de Oliveira Finance SA |
02/13/2013 | 96,161 | 10 | 0.00 | % |
(h) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at April 30, 2022. |
(i) | Convertible security. |
(j) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(k) | The stated coupon rate represents the greater of the LIBOR or an alternate base rate such as the CDOR or the LIBOR/CDOR floor rate plus spread at April 30, 2022. |
(l) | Affiliated investments. |
(m) | To obtain a copy of the funds shareholder report, please go to the Securities and Exchange Commissions website at www.sec.gov, or call AB at (800) 227-4618. |
(n) | The rate shown represents the 7-day yield as of period end. |
abfunds.com | AB HIGH YIELD PORTFOLIO | 53 |
PORTFOLIO OF INVESTMENTS (continued)
Currency Abbreviations:
CAD Canadian Dollar
EUR Euro
GBP Great British Pound
MXN Mexican Peso
USD United States Dollar
ZAR South African Rand
Glossary:
CBT Chicago Board of Trade
CDOR Canadian Dealer Offered Rate
CDX-CMBX.NA North American Commercial Mortgage-Backed Index
CDX-NAHY North American High Yield Credit Default Swap Index
CMBS Commercial Mortgage-Backed Securities
ETF Exchange Traded Fund
EURIBOR Euro Interbank Offered Rate
FedFundEffective Federal Funds Effective Rate
LIBOR London Interbank Offered Rate
OAT Obligations Assimilables du Trésor
REIT Real Estate Investment Trust
SOFR Secured Overnight Financing Rate
See notes to financial statements.
54 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
STATEMENT OF ASSETS & LIABILITIES
April 30, 2022 (unaudited)
Assets | ||||
Investments in securities, at value |
$ | 57,136,887 | ||
Affiliated issuers (cost $1,234,327) |
1,234,327 | |||
Cash |
5,570 | |||
Cash collateral due from broker |
188,190 | |||
Foreign currencies, at value (cost $23,925) |
23,541 | |||
Unaffiliated dividends and interest receivable |
852,002 | |||
Unrealized appreciation on forward currency exchange contracts |
346,181 | |||
Receivable for investment securities sold |
173,731 | |||
Market value of credit default swaps (net premiums paid $42,376) |
120,201 | |||
Receivable for capital stock sold |
118,744 | |||
Receivable from Adviser |
11,662 | |||
Receivable for terminated total return swaps |
264 | |||
Affiliated dividends receivable |
221 | |||
|
|
|||
Total assets |
60,211,521 | |||
|
|
|||
Liabilities | ||||
Market value of credit default swaps (net premiums received $54,932) |
173,136 | |||
Payable for capital stock redeemed |
120,593 | |||
Custody and accounting fees payable |
88,793 | |||
Dividends payable |
77,299 | |||
Audit and tax fee payable |
60,654 | |||
Unrealized depreciation on total return swaps |
42,203 | |||
Payable for terminated total return swaps |
14,591 | |||
Unrealized depreciation on forward currency exchange contracts |
9,988 | |||
Payable for variation margin on futures |
7,421 | |||
Payable for variation margin on centrally cleared swaps |
5,307 | |||
Payable for capital gains taxes |
4,319 | |||
Transfer Agent fee payable |
1,967 | |||
Directors fee payable |
1,718 | |||
Distribution fee payable |
241 | |||
Accrued expenses |
57,666 | |||
|
|
|||
Total liabilities |
665,896 | |||
|
|
|||
Net Assets |
$ | 59,545,625 | ||
|
|
|||
Composition of Net Assets | ||||
Capital stock, at par |
$ | 6,624 | ||
Additional paid-in capital |
74,189,905 | |||
Accumulated loss |
(14,650,904 | ) | ||
|
|
|||
$ | 59,545,625 | |||
|
|
Net Asset Value Per Share33 billion shares of capital stock authorized, $.001 par value
Class | Net Assets | Shares Outstanding |
Net Asset Value |
|||||||||
|
||||||||||||
A | $ | 1,115,313 | 124,043 | $ | 8.99 | * | ||||||
|
||||||||||||
Advisor | $ | 58,355,315 | 6,491,347 | $ | 8.99 | |||||||
|
||||||||||||
Z | $ | 74,997 | 8,342 | $ | 8.99 | |||||||
|
* | The maximum offering price per share for Class A shares was $9.39, which reflects a sales charge of 4.25%. |
See notes to financial statements.
abfunds.com | AB HIGH YIELD PORTFOLIO | 55 |
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2022 (unaudited)
Investment Income | ||||||||
Interest (net of foreign taxes withheld of $1,048) |
$ | 1,510,404 | ||||||
Dividends |
||||||||
Unaffiliated issuers |
16,016 | |||||||
Affiliated issuers |
351 | $ | 1,526,771 | |||||
|
|
|||||||
Expenses | ||||||||
Advisory fee (see Note B) |
138,953 | |||||||
Transfer agencyClass A |
500 | |||||||
Transfer agencyAdvisor Class |
38,046 | |||||||
Transfer agencyClass Z |
9 | |||||||
Distribution feeClass A |
979 | |||||||
Audit and tax |
64,996 | |||||||
Custody and accounting |
56,713 | |||||||
Administrative |
38,934 | |||||||
Registration fees |
32,200 | |||||||
Legal |
20,075 | |||||||
Printing |
18,116 | |||||||
Directors fees |
9,491 | |||||||
Miscellaneous |
4,989 | |||||||
|
|
|||||||
Total expenses |
424,001 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Note B) |
(238,323 | ) | ||||||
|
|
|||||||
Net expenses |
185,678 | |||||||
|
|
|||||||
Net investment income |
1,341,093 | |||||||
|
|
|||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain (loss) on: |
||||||||
Investment transactions(a) |
121,945 | |||||||
Forward currency exchange contracts |
78,474 | |||||||
Futures |
(213,886 | ) | ||||||
Swaps |
(74,328 | ) | ||||||
Foreign currency transactions |
26,075 | |||||||
Net change in unrealized appreciation/depreciation on: |
||||||||
Investments(b) |
(5,974,242 | ) | ||||||
Forward currency exchange contracts |
266,199 | |||||||
Futures |
(183,706 | ) | ||||||
Swaps |
(2,918 | ) | ||||||
Foreign currency denominated assets and liabilities |
(3,041 | ) | ||||||
|
|
|||||||
Net loss on investment and foreign currency transactions |
(5,959,428 | ) | ||||||
|
|
|||||||
Net Decrease in Net Assets from Operations |
$ | (4,618,335 | ) | |||||
|
|
(a) | Net of foreign realized capital gains taxes of $166. |
(b) | Net of decrease in accrued foreign capital gains taxes on unrealized gains of $1,580. |
See notes to financial statements.
56 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended April 30, 2022 (unaudited) |
For the Period January 1, 2021 to October 31, 2021(a) |
Year Ended December 31, 2020 |
||||||||||
Increase (Decrease) in Net Assets from Operations | ||||||||||||
Net investment income |
$ | 1,341,093 | $ | 1,969,179 | $ | 2,090,232 | ||||||
Net realized gain (loss) on investment and foreign currency transactions |
(61,720 | ) | 1,151,868 | 129,191 | ||||||||
Net change in unrealized appreciation/depreciation on investments and foreign currency denominated assets and liabilities |
(5,897,708 | ) | (646,735 | ) | 970,654 | |||||||
|
|
|
|
|
|
|||||||
Net increase (decrease) in net assets from operations |
(4,618,335 | ) | 2,474,312 | 3,190,077 | ||||||||
Distributions to Shareholders | ||||||||||||
Class A |
(18,952 | ) | (1,360 | ) | 0 | | ||||||
Advisor Class |
(1,768,407 | ) | (2,142,401 | ) | (2,379,537 | ) | ||||||
Class Z |
(2,273 | ) | (544 | ) | 0 | | ||||||
Capital Stock Transactions | ||||||||||||
Net increase (decrease) |
2,128,359 | 24,744,091 | (2,277,269 | ) | ||||||||
|
|
|
|
|
|
|||||||
Total increase (decrease) |
(4,279,608 | ) | 25,074,098 | (1,466,729 | ) | |||||||
Net Assets | ||||||||||||
Beginning of period |
63,825,233 | 38,751,135 | 40,217,864 | |||||||||
|
|
|
|
|
|
|||||||
End of period |
$ | 59,545,625 | $ | 63,825,233 | $ | 38,751,135 | ||||||
|
|
|
|
|
|
(a) | The Fund changed its fiscal year end from December 31 to October 31. |
See notes to financial statements.
abfunds.com | AB HIGH YIELD PORTFOLIO | 57 |
NOTES TO FINANCIAL STATEMENTS
April 30, 2022 (unaudited)
NOTE A
Significant Accounting Policies
AB Bond Fund, Inc. (the Company) is registered under the Investment Company Act of 1940 as an open-end management investment company. The Company, which is a Maryland corporation, operates as a series company comprised of 10 portfolios currently in operation. Each portfolio is considered to be a separate entity for financial reporting and tax purposes. This report relates only to the AB High Yield Portfolio (the Fund), a diversified portfolio. On April 30, 2021, the Funds name was changed from the AB FlexFee High Yield Portfolio to AB High Yield Portfolio and the fiscal year end changed from December 31 to October 31. The Fund has authorized the issuance of Class A, Class B, Class C, Advisor Class, Class R, Class K, Class I, Class Z, Class T, Class 1 and Class 2 shares. Effective April 30, 2021 the Fund recommenced offering of Class A and Class Z shares. Class B, Class T, Class 1 and Class 2 shares have not been issued, and no shares of Class C, Class R, Class K or Class I were outstanding as of April 30, 2022. 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%. Advisor Class and Class Z shares are sold without an initial or contingent deferred sales charge and are not subject to ongoing distribution expenses. All 11 classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (U.S. GAAP), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Fund.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at fair value as determined in accordance with procedures established by and under the general supervision of the Companys Board of Directors (the Board).
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national
58 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (NASDAQ)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (OTC) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the Adviser) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the Committee) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuers financial statements or other available documents. In addition, the Fund may use fair value
abfunds.com | AB HIGH YIELD PORTFOLIO | 59 |
NOTES TO FINANCIAL STATEMENTS (continued)
pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Funds 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 1quoted prices in active markets for identical investments |
| Level 2other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| Level 3significant unobservable inputs (including the Funds 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.
60 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.
Valuations of mortgage-backed or other asset-backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset-backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.
Bank loan prices are provided by third party pricing services and consist of a composite of the quotes received by the vendor into a consensus price. Certain bank loans are classified as Level 3, as a significant input used in the fair value measurement of these instruments is the market quotes that are received by the vendor and these inputs are not observable.
Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
abfunds.com | AB HIGH YIELD PORTFOLIO | 61 |
NOTES TO FINANCIAL STATEMENTS (continued)
The following table summarizes the valuation of the Funds investments by the above fair value hierarchy levels as of April 30, 2022:
Investments in Securities |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
||||||||||||||||
Corporates Non-Investment Grade |
$ | 0 | | $ | 46,103,742 | # | $ | 3,791 | # | $ | 46,107,533 | |||||
Corporates Investment Grade |
0 | | 5,919,343 | 0 | | 5,919,343 | ||||||||||
Bank Loans |
0 | | 2,597,189 | 181,941 | 2,779,130 | |||||||||||
Emerging Markets Corporate Bonds |
0 | | 1,207,558 | # | 10 | # | 1,207,568 | |||||||||
Common Stocks |
384,890 | 0 | # | 304,446 | # | 689,336 | ||||||||||
Preferred Stocks |
50,484 | 107,887 | 58,595 | 216,966 | ||||||||||||
Governments Treasuries |
0 | | 76,631 | 0 | | 76,631 | ||||||||||
Collateralized Mortgage Obligations |
0 | | 55,314 | 0 | | 55,314 | ||||||||||
Commercial Mortgage-Backed Securities |
0 | | 46,250 | 0 | | 46,250 | ||||||||||
Emerging Markets Treasuries |
0 | | 18,207 | 0 | | 18,207 | ||||||||||
Warrants |
636 | 0 | | 15,578 | # | 16,214 | ||||||||||
Rights |
0 | | 0 | | 4,395 | 4,395 | ||||||||||
Short-Term Investments: |
||||||||||||||||
Investment Companies |
1,234,327 | 0 | | 0 | | 1,234,327 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
1,670,337 | 56,132,121 | 568,756 | 58,371,214 | ||||||||||||
Other Financial Instruments*: |
||||||||||||||||
Assets |
||||||||||||||||
Futures |
12,480 | 0 | | 0 | | 12,480 | | |||||||||
Forward Currency Exchange Contracts |
0 | | 346,181 | 0 | | 346,181 | ||||||||||
Centrally Cleared Credit Default Swaps |
0 | | 28,102 | 0 | | 28,102 | | |||||||||
Centrally Cleared Interest Rate Swaps |
0 | | 196,070 | 0 | | 196,070 | | |||||||||
Credit Default Swaps |
0 | | 120,201 | 0 | | 120,201 | ||||||||||
Liabilities |
||||||||||||||||
Futures |
(256,352 | ) | 0 | | 0 | | (256,352 | ) | ||||||||
Forward Currency Exchange Contracts |
0 | | (9,988 | ) | 0 | | (9,988 | ) | ||||||||
Centrally Cleared Interest Rate Swaps |
0 | | (148,051 | ) | 0 | | (148,051 | ) | ||||||||
Credit Default Swaps |
0 | | (173,136 | ) | 0 | | (173,136 | ) | ||||||||
Total Return Swaps |
0 | | (42,203 | ) | 0 | | (42,203 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 1,426,465 | $ | 56,449,297 | $ | 568,756 | $ | 58,444,518 | ||||||||
|
|
|
|
|
|
|
|
# | The Fund held securities with zero market value at period end. |
* | 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. |
62 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
| Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value. |
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at the rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
4. Taxes
It is the Funds policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
The Fund has a tax year-end of December 31 concurrent with the filing of the Funds tax returns.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Funds 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 Funds financial statements.
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NOTES TO FINANCIAL STATEMENTS (continued)
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts as adjustments to interest income. The Fund accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Fund are borne on a pro-rata basis by each settled class of shares, based on the proportionate interest in the Fund represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each 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.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B
Advisory Fee and Other Transactions with Affiliates
Effective April 30, 2021, under an amended advisory agreement, the Fund pays the Adviser an advisory fee at an annual rate of .45% of the first $2.5 billion, .425% of the next $2.5 billion and .40% in excess of $5 billion of the Funds average daily net assets. Prior to April 30, 2021, the Fund calculated and accrued daily a base fee, at an annualized rate of .40% of the Funds average daily net assets (Base Fee). The prior advisory fee was increased or decreased from the Base Fee by a performance adjustment (Performance Adjustment) that depended on whether, and to what extent, the investment performance of the Advisor Class shares of the Fund (Measuring Class) exceeded, or was exceeded by, the performance of the Markit iBoxx USD Liquid High Yield Index (Index) plus .75% (Index Hurdle) over the Performance Period (as defined below). The Performance Adjustment was calculated and accrued daily, according to a
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NOTES TO FINANCIAL STATEMENTS (continued)
schedule that added or subtracted .002667% of the Funds average daily net assets for each .01% of absolute performance by which the performance of the Measuring Class exceeded or lagged the Index Hurdle for the period from the beginning of the Performance Period through the current business day. The maximum Performance Adjustment (positive or negative) could not exceed an annualized rate of +/- .20% (Maximum Performance Adjustment) of the Funds average daily net assets, which would occur when the performance of the Measuring Class exceeded, or was exceeded by, the Index Hurdle by .75% or more for the Performance Period. On a monthly basis, the Fund paid the Adviser the minimum fee rate of .20% on an annualized basis (Base Fee minus the Maximum Performance Adjustment) applied to the average daily net assets for the month. At the end of the Performance Period, the Fund paid to the Adviser the total advisory fee, less the amount of any minimum fees paid during the Performance Period and any waivers described below. The period over which performance was measured (Performance Period) was initially from February 26, 2018 to December 31, 2019 and thereafter was each 12-month period beginning on the first day in the month of January through December 31 of the same year. In addition, the Adviser had agreed to waive its advisory fee by limiting the Funds accrual of the advisory fee (Base Fee plus Performance Adjustment) on any day to the amount corresponding to the maximum fee rate multiplied by the Funds current net assets if such amount was less than the amount that would have been accrued based on the Funds average daily net assets for the Performance Period. For the period from January 1, 2021 until the implementation of the new advisory fee on April 30, 2021, the Fund paid the minimum fee under the prior advisory fee arrangement (0.20% of the Funds average daily net assets) as a result of a fee waiver by the Adviser.
Effective April 30, 2021, the Adviser has agreed to waive its fees and bear certain expenses to the extent necessary to limit total expenses (other than acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest, interest expense, taxes, extraordinary expenses, and brokerage commissions and other transaction costs) on an annual basis (the Expense Cap) to .85%, .60% and .60% of daily average net assets for the Class A, Advisor Class and Class Z, respectively. For the six months ended April 30, 2022, such reimbursements/ waivers amounted to $198,762. The Expense Cap will remain in effect until January 31, 2023 and then may be continued thereafter from year to year by the Adviser.
Any fees waived and expenses borne by the Adviser between February 26, 2018 and December 31, 2019 are/were subject to repayment by the Fund until the end of the third fiscal year after the fiscal period in which the fee was waived or the expense was borne; such waivers that are subject to
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NOTES TO FINANCIAL STATEMENTS (continued)
repayment amount to $484,978 for the year ended December 31, 2019. Prior to April 30, 2021, the Advisor had agreed to waive its fees and bear certain expenses to the extent necessary to limit total expenses (other than the advisory fee, acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest, interest expense, taxes, extraordinary expenses, and brokerage commissions and other transaction costs) on an annual basis from exceeding .10% of average daily net assets. In any case, no repayment will be made that would cause the Funds total annual expenses (subject to the exclusions set forth in the preceding sentence) to exceed .10% of average daily net assets.
Pursuant to the investment advisory agreement, the Fund may reimburse the Adviser for certain legal and accounting services provided to the Fund by the Adviser. For the six months ended April 30, 2022, the Adviser voluntarily agreed to waive such fees in the amount of $38,934.
The Fund compensates AllianceBernstein Investor Services, Inc. (ABIS), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Fund. ABIS may make payments to intermediaries that provide omnibus account services, sub-accounting services and/or networking services. Such compensation retained by ABIS amounted to $9,519 for the six months ended April 30, 2022.
The Fund may invest in AB Government Money Market Portfolio (the Government Money Market Portfolio) which has a contractual annual advisory fee rate of .20% of the portfolios average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until August 31, 2022. In connection with the investment by the Fund in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Funds pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended April 30, 2022, such waiver amounted to $627.
A summary of the Funds transactions in AB mutual funds for the six months ended April 30, 2022 is as follows:
|
Market Value 10/31/21 (000) |
Purchases at Cost (000) |
Sales Proceeds (000) |
Market Value 4/30/22 (000) |
Dividend Income (000) |
|||||||||||||||
Government Money Market Portfolio |
$ | 2,464 | $ | 17,473 | $ | 18,703 | $ | 1,234 | $ | 0 | * |
* | Amount is less than $500. |
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NOTES TO FINANCIAL STATEMENTS (continued)
NOTE C
Distribution Services Agreement
The Fund has adopted a Distribution Services Agreement (the Agreement) pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement, the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to .25% of the Funds average daily net assets attributable to Class A shares. There are no distribution and servicing fees on Advisor Class and Class Z shares. The fees are accrued daily and paid monthly. The Agreement provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. In accordance with the Agreement, there is no provision for recovery of unreimbursed distribution costs incurred by the Distributor beyond the current fiscal year for Class A shares. The Agreement also provides that the Adviser may use its own resources to finance the distribution of the Funds shares.
NOTE D
Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the six months ended April 30, 2022, were as follows:
Purchases | Sales | |||||||
Investment securities (excluding U.S. government securities) |
$ | 16,798,235 | $ | 15,341,943 | ||||
U.S. government securities |
0 | | 309,621 |
The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation are as follows:
Gross unrealized appreciation |
$ | 1,331,118 | ||
Gross unrealized depreciation |
(6,257,690 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (4,926,572 | ) | |
|
|
1. Derivative Financial Instruments
The Fund may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, investment purposes), or to hedge or adjust the risk profile of its portfolio.
The principal types of derivatives utilized by the Fund, as well as the methods in which they may be used are:
| Forward Currency Exchange Contracts |
The Fund may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange
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NOTES TO FINANCIAL STATEMENTS (continued)
rates on its foreign portfolio holdings, to hedge certain firm purchase and sale commitments denominated in foreign currencies and for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under Currency Transactions.
A forward currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on forward currency exchange contracts. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Fund. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
During the six months ended April 30, 2022, the Fund held forward currency exchange contracts for hedging and non-hedging purposes.
| Futures |
The Fund may buy or sell futures for investment purposes or for the purpose of hedging its portfolio against adverse effects of potential movements in the market. The Fund bears the market risk that arises from changes in the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Fund may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under Currency Transactions.
At the time the Fund enters into futures, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/ counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and
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NOTES TO FINANCIAL STATEMENTS (continued)
variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Use of long futures subjects the Fund to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Fund to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous days settlement price, which could effectively prevent liquidation of unfavorable positions.
During the six months ended April 30, 2022, the Fund held futures for hedging purposes.
| Swaps |
The Fund may enter into swaps to hedge its exposure to interest rates, credit risk or currencies. The Fund may also enter into swaps for non-hedging purposes as a means of gaining market exposures including by making direct investments in foreign currencies, as described below under Currency Transactions or in order to take a long or short position with respect to an underlying referenced asset described below under Total Return Swaps. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Fund in accordance with the terms of the respective swaps to provide value and recourse to the Fund or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Fund, and/or the termination value at the end of the contract. Therefore, the Fund considers the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Funds exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Fund accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/ depreciation of swaps on the statement of assets and liabilities, where
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NOTES TO FINANCIAL STATEMENTS (continued)
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 Fund enters into a centrally cleared swap, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Interest Rate Swaps:
The Fund is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Fund holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, the Fund may enter into
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NOTES TO FINANCIAL STATEMENTS (continued)
interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Fund may elect to pay a fixed rate and receive a floating rate, or, receive a fixed rate and pay a floating rate on a notional amount.
In addition, the Fund may also enter into interest rate swap transactions to preserve a return or spread on a particular investment or portion of its portfolio, or protecting against an increase in the price of securities the Fund anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) computed based on a contractually-based principal (or notional) amount. Interest rate swaps are entered into on a net basis (i.e., the two payment streams are netted out, with the Fund receiving or paying, as the case may be, only the net amount of the two payments).
During the six months ended April 30, 2022, the Fund held interest rate swaps for hedging purposes.
Credit Default Swaps:
The Fund may enter into credit default swaps, including to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults by corporate and sovereign issuers held by the Fund, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. The Fund may purchase credit protection (Buy Contract) or provide credit protection (Sale Contract) on the referenced obligation of the credit default swap. During the term of the swap, the Fund receives/(pays) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Fund is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Fund will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap (the Maximum Payout Amount) and deliver/(take delivery of) the referenced obligation or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront premium received upon entering into the agreement, or net amounts received from settlement of buy protection credit default swaps entered into by the Fund for the same referenced obligation with the same counterparty.
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NOTES TO FINANCIAL STATEMENTS (continued)
Credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If the Fund is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If the Fund is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Fund coupled with the periodic payments previously received may be less than the Maximum Payout Amount it pays to the buyer, resulting in a net loss to the Fund.
Implied credit spreads over U.S. Treasuries of comparable maturity utilized in determining the market value of credit default swaps on issuers as of period end are disclosed in the portfolio of investments. The implied spreads serve as an indicator of the current status of the payment/ performance risk and typically reflect the likelihood of default by the issuer of the referenced obligation. The implied credit spread of a particular reference obligation also reflects the cost of buying/selling protection and may reflect upfront payments required to be made to enter into the agreement. Widening credit spreads typically represent a deterioration of the referenced obligations credit soundness and greater likelihood of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as Defaulted indicates a credit event has occurred for the referenced obligation.
During the six months ended April 30, 2022, the Fund held credit default swaps for hedging and non-hedging purposes.
Total Return Swaps:
The Fund may enter into total return swaps in order to take a long or short position with respect to an underlying referenced asset. The Fund is subject to market price volatility of the underlying referenced asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Fund will receive a payment from or make a payment to the counterparty.
During the six months ended April 30, 2022, the Fund held total return swaps for non-hedging purposes.
The Fund typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (ISDA Master Agreement) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include
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NOTES TO FINANCIAL STATEMENTS (continued)
provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the OTC counterparty certain derivative financial instruments payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Funds net liability, held by the defaulting party, may be delayed or denied.
The Funds ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Fund decline below specific levels (net asset contingent features). If these levels are triggered, the Funds OTC counterparty has the right to terminate such transaction and require the Fund to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty tables below for additional details.
During the six months ended April 30, 2022, the Fund had entered into the following derivatives:
Asset Derivatives | Liability Derivatives | |||||||||||||
Derivative Type |
Statement of Assets and Liabilities Location |
Fair Value | Statement of Assets and Liabilities Location |
Fair Value | ||||||||||
Interest rate |
Receivable/Payable |
$ |
12,480 |
* |
|
Receivable/Payable |
|
$ |
256,352 |
* | ||||
Interest rate contracts |
Receivable/Payable |
|
159,075 |
* |
|
Receivable/Payable |
|
|
164,709 |
* | ||||
Foreign currency |
Unrealized appreciation on forward currency exchange contracts |
|
346,181 |
|
|
Unrealized |
|
|
9,988 |
| ||||
Credit contracts |
Market value of credit default swaps |
120,201 | |
Market value of credit default swaps |
|
173,136 | ||||||||
Credit contracts |
Receivable/Payable for variation margin on centrally cleared swaps |
9,243 | * | |
Receivable/Payable for variation margin on centrally cleared swaps |
|
17,026 | * |
abfunds.com | AB HIGH YIELD PORTFOLIO | 73 |
NOTES TO FINANCIAL STATEMENTS (continued)
Asset Derivatives | Liability Derivatives | |||||||||||||
Derivative Type |
Statement of Assets and Liabilities Location |
Fair Value | Statement of Assets and Liabilities Location |
Fair Value | ||||||||||
Credit contracts |
|
Unrealized depreciation on total return swaps |
|
$ | 42,203 | |||||||||
|
|
|
|
|||||||||||
Total |
$ | 647,180 | $ | 663,414 | ||||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/depreciation on futures and centrally cleared swaps as reported in the portfolio of investments. |
Derivative Type |
Location of Gain |
Realized Gain or (Loss) on Derivatives |
Change in Unrealized Appreciation or (Depreciation) |
|||||||
Interest rate contracts |
Net realized gain/(loss) on swaps; Net change in unrealized appreciation/ depreciation on swaps | $ | 3,532 | $ | 57,097 | |||||
Interest rate contracts |
Net realized gain/(loss) on futures; Net change in unrealized appreciation/ depreciation on futures | (203,808 | ) | (176,531 | ) | |||||
Foreign currency contracts |
Net realized gain/(loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation on forward currency exchange contracts |
78,474 | 266,199 | |||||||
Credit contracts |
Net realized gain/(loss) on swaps; Net change in unrealized appreciation/ depreciation on swaps | (77,860 | ) | (60,015 | ) | |||||
Equity contracts |
Net realized gain/(loss) on futures; Net change in unrealized appreciation/ depreciation on futures |
(10,078 | ) | (7,175 | ) | |||||
|
|
|
|
|||||||
Total |
$ | (209,740 | ) | $ | 79,575 | |||||
|
|
|
|
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NOTES TO FINANCIAL STATEMENTS (continued)
The following table represents the average monthly volume of the Funds derivative transactions during the six months ended April 30, 2022:
Centrally Cleared Credit Default Swaps: |
||||
Average notional amount of sale contracts |
$ | 1,846,181 | ||
Centrally Cleared Interest Rate Swaps |
||||
Average notional amount |
$ | 13,207,000 | ||
Credit Default Swaps: |
||||
Average notional amount of buy contracts |
$ | 360,521 | ||
Average notional amount of sale contracts |
$ | 790,754 | ||
Forward Currency Exchange Contracts: |
||||
Average principal amount of buy contracts |
$ | 117,723 | ||
Average principal amount of sale contracts |
$ | 4,160,007 | ||
Futures: |
||||
Average notional amount of buy contracts |
$ | 4,779,747 | ||
Average notional amount of sale contracts |
$ | 184,145 | ||
Total Return Swaps: |
||||
Average notional amount |
$ | 675,542 |
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Funds derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements (MA) and net of the related collateral received/pledged by the Fund as of April 30, 2022. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the tables.
Counterparty |
Derivative Assets Subject to a MA |
Derivatives Available for Offset |
Cash Collateral Received* |
Security Collateral Received* |
Net Amount of Derivative Assets |
|||||||||||||||
BNP Paribas SA |
$ | 5,169 | $ | 0 | | $ | 0 | | $ | 0 | | $ | 5,169 | |||||||
Brown Brothers Harriman & Co |
26,710 | (9,988 | ) | 0 | | 0 | | 16,722 | ||||||||||||
Credit Suisse International |
69,534 | (37,176 | ) | 0 | | 0 | | 32,358 | ||||||||||||
Goldman Sachs International |
45,498 | (45,498 | ) | 0 | | 0 | | 0 | | |||||||||||
Morgan Stanley Capital Services LLC |
319,471 | (82 | ) | 0 | | 0 | | 319,389 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 466,382 | $ | (92,744 | ) | $ | 0 | | $ | 0 | | $ | 373,638 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
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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 |
|||||||||||||||
Brown Brothers Harriman & Co |
$ | 9,988 | $ | (9,988 | ) | $ | 0 | | $ | 0 | | $ | 0 | | ||||||
Credit Suisse International |
37,176 | (37,176 | ) | 0 | | 0 | | 0 | | |||||||||||
Deutsche Bank AG |
74,163 | 0 | | 0 | | 0 | | 74,163 | ||||||||||||
Goldman Sachs International |
103,918 | (45,498 | ) | 0 | | 0 | | 58,420 | ||||||||||||
Morgan Stanley Capital Services |
82 | (82 | ) | 0 | | 0 | | 0 | | |||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 225,327 | $ | (92,744 | ) | $ | 0 | | $ | 0 | | $ | 132,583 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged may be more than the amount reported due to overcollateralization. |
^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
2. Currency Transactions
The Fund may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Fund may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Fund may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Fund and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Fund may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
76 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE E
Capital Stock
Each class consists of 3,000,000,000 authorized shares. Transactions in capital shares for each class were as follows:
Shares | Amount | |||||||||||||||||||||||||||||||
Six Months Ended April 30, 2022 (unaudited) |
January 1, 2021 to October 31, |
Year Ended December 31, 2020 |
Six Months (unaudited) |
January 1, 2021 to October 31, |
Year Ended December 31, 2020 |
|||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||
Class A* | ||||||||||||||||||||||||||||||||
Shares sold |
108,187 | 15,725 | 0 | | $ | 1,052,354 | $ | 157,857 | $ | 0 | | |||||||||||||||||||||
|
||||||||||||||||||||||||||||||||
Shares issued in reinvestment of dividends |
633 | 90 | 0 | | 5,960 | 899 | 0 | | ||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||
Shares redeemed |
(592 | ) | 0 | | 0 | | (5,433 | ) | 0 | | 0 | | ||||||||||||||||||||
|
||||||||||||||||||||||||||||||||
Net increase |
108,228 | 15,815 | 0 | | $ | 1,052,881 | $ | 158,756 | $ | 0 | | |||||||||||||||||||||
|
||||||||||||||||||||||||||||||||
Advisor Class | ||||||||||||||||||||||||||||||||
Shares sold |
2,146,678 | 3,689,392 | 1,342,319 | $ | 20,776,657 | $ | 36,953,019 | $ | 12,290,493 | |||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||
Shares issued in reinvestment of dividends |
97,596 | 90,586 | 121,319 | 936,575 | 905,458 | 1,122,225 | ||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||
Shares redeemed |
(2,126,481 | ) | (1,335,401 | ) | (1,709,250 | ) | (20,662,388 | ) | (13,332,322 | ) | (15,689,987 | ) | ||||||||||||||||||||
|
||||||||||||||||||||||||||||||||
Net increase (decrease) |
117,793 | 2,444,577 | (245,612 | ) | $ | 1,050,844 | $ | 24,526,155 | $ | (2,277,269 | ) | |||||||||||||||||||||
|
||||||||||||||||||||||||||||||||
Class Z* | ||||||||||||||||||||||||||||||||
Shares sold |
2,395 | 5,880 | 0 | | $ | 24,000 | $ | 59,180 | $ | 0 | | |||||||||||||||||||||
|
||||||||||||||||||||||||||||||||
Shares issued in reinvestment of dividends |
67 | 0 | | 0 | | 634 | 0 | | 0 | | ||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||
Net increase |
2,462 | 5,880 | 0 | | $ | 24,634 | $ | 59,180 | $ | 0 | | |||||||||||||||||||||
|
(a) | The Fund changed its fiscal year end from December 31 to October 31. |
* | Commenced distributions on April 30, 2021. |
NOTE F
Risks Involved in Investing in the Fund
Market RiskThe value of the Funds assets will fluctuate as the bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market.
InterestRate Risk Changes in interest rates will affect the value of investments in fixedincome securities. When interest rates rise, the value of existing investments in fixedincome securities tends to fall and this decrease in value may not be offset by higher income from new
abfunds.com | AB HIGH YIELD PORTFOLIO | 77 |
NOTES TO FINANCIAL STATEMENTS (continued)
investments. Interest rate risk is generally greater for fixedincome securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Credit RiskAn issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
Below Investment-Grade Securities RiskInvestments in fixed-income securities with lower ratings (commonly known as junk bonds) are subject to a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments and negative perceptions of the junk bond market generally and may be more difficult to trade than other types of securities.
Duration RiskDuration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to the full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation RiskThis 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 Funds assets can decline as can the value of the Funds distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Derivatives RiskDerivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, 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 Fund.
Leverage RiskWhen the Fund borrows money or otherwise leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Funds investments. The Fund may create leverage through the use of reverse repurchase arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures or by borrowing money. The
78 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
use of other types of derivative instruments by the Fund, such as options and swaps, may also result in a form of leverage. Leverage may result in higher returns to the Fund than if the Fund were not leveraged, but may also adversely affect returns, particularly if the market is declining.
Foreign (Non-U.S.) RiskInvestments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging Market RiskInvestments in emerging market countries may have more risk because the markets are less developed and less liquid and are subject to increased economic, political, regulatory or other uncertainties.
Currency RiskFluctuations in currency exchange rates may negatively affect the value of the Funds investments in fixed-income securities denominated in foreign currencies or reduce the Funds returns.
Illiquid Investments RiskIlliquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest rate environment, when the value and liquidity of fixed-income securities generally decline.
LIBOR Transition and Associated RiskA Fund may be exposed to debt securities, derivatives or other financial instruments that are tied to 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 LIBORs 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. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserves Alternative Reference Rate Committee (comprised of major derivative market
abfunds.com | AB HIGH YIELD PORTFOLIO | 79 |
NOTES TO FINANCIAL STATEMENTS (continued)
participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.
The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Funds performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Funds 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. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.
Indemnification RiskIn the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Funds maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Fund has not accrued any liability in connection with these indemnification provisions.
Management RiskThe Fund is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE G
Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Fund, participate in a $325 million revolving credit facility (the Facility) intended to provide short-term financing related to redemptions and other
80 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Fund did not utilize the Facility during the six months ended April 30, 2022.
NOTE H
Distributions to Shareholders
The tax character of distributions paid for the year ending October 31, 2022 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal period ended October 31, 2021 and tax years ended December 31, 2020 and December 31, 2019 were as follows:
October 2021 |
December 2020 |
December 2019 |
||||||||||
Distributions paid from: |
||||||||||||
Ordinary income |
$ | 2,144,305 | $ | 2,379,537 | $ | 2,205,237 | ||||||
|
|
|
|
|
|
|||||||
Total taxable distributions paid |
$ | 2,144,305 | $ | 2,379,537 | $ | 2,205,237 | ||||||
|
|
|
|
|
|
As of December 31, 2020, the Funds most recent tax year-end, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed ordinary income |
$ | 189,428 | ||
Accumulated capital and other losses |
(9,990,151 | )(a) | ||
Unrealized appreciation/(depreciation) |
1,321,144 | (b) | ||
|
|
|||
Total accumulated earnings/(deficit) |
$ | (8,479,579 | )(c) | |
|
|
(a) | As of December 31, 2020, the Funds most recent tax year end, the Fund had a net capital loss carryforward of $9,990,151. During the tax year, the Fund utilized $3,705 of capital loss carry forwards to offset current year net realized gains. |
(b) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the recognition for tax purposes of unrealized gains/losses on certain derivative instruments, the tax treatment of callable bonds, the tax treatment of swaps, the tax deferral of losses on wash sales, and the tax treatment of partnership investments. |
(c) | The differences between book-basis and tax-basis components of accumulated earnings/(deficit) are attributable primarily to the accrual of foreign capital gains tax, the tax treatment of defaulted securities, and dividends payable. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of December 31, 2020, the Funds most recent tax year end, the Fund had a net short-term capital loss carryforward of $5,227,619 and a net long-term capital loss carryforward of $4,762,532, which may be carried forward for an indefinite period.
abfunds.com | AB HIGH YIELD PORTFOLIO | 81 |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE I
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 J
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 Funds financial statements through this date.
82 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class A | ||||||||||||||||
Six Months Ended April 30, 2022 |
April 30, 2021(b) |
November 1, |
Year Ended |
|||||||||||||
|
(unaudited |
) | ||||||||||||||
|
|
|||||||||||||||
Net asset value, beginning of period |
$ 9.98 | $ 9.98 | $ 9.71 | $ 9.46 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Income From Investment Operations |
||||||||||||||||
Net investment income(c)(d) |
.20 | .17 | .15 | .46 | ||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(.92 | ) | .05 | (.18 | ) | .25 | ||||||||||
Contributions from Affiliates |
0 | | 0 | | 0 | | .00 | (e) | ||||||||
|
|
|||||||||||||||
Net increase (decrease) in net asset value from operations |
(.72 | ) | .22 | (.03 | ) | .71 | ||||||||||
|
|
|||||||||||||||
Less: Dividends and Distributions |
||||||||||||||||
Dividends from net investment income |
(.27 | ) | (.22 | ) | (.12 | ) | (.42 | ) | ||||||||
Return of capital |
0 | | 0 | | 0 | | (.04 | ) | ||||||||
|
|
|||||||||||||||
Total dividends and distributions |
(.27 | ) | (.22 | ) | (.12 | ) | (.46 | ) | ||||||||
|
|
|||||||||||||||
Net asset value, end of period |
$ 8.99 | $ 9.98 | $ 9.56 | $ 9.71 | ||||||||||||
|
|
|||||||||||||||
Total Return |
||||||||||||||||
Total investment return based on net asset value(f)* |
(7.39 | ) % | 2.23 | % | (.02 | ) % | 7.61 | %+ | ||||||||
Ratios/Supplemental Data |
||||||||||||||||
Net assets, end of period (000s omitted) |
$1,115 | $158 | $3,131 | $5,150 | ||||||||||||
Ratio to average net assets of: |
||||||||||||||||
Expenses, net of waivers/reimbursements(g)(h) |
.85 | %^ | .85 | %^ | .95 | %^ | .95 | % | ||||||||
Expenses, before waivers/reimbursements(g)(h) |
1.64 | %^ | 2.28 | %^ | 3.27 | %^ | 2.64 | % | ||||||||
Net investment income(d) |
4.23 | %^ | 3.43 | %^ | 4.70 | %^ | 4.82 | % | ||||||||
Portfolio turnover rate+++ |
26 | % | 36 | % | 75 | % | 65 | % | ||||||||
Expense ratios exclude the estimated acquired fund fees of affiliated/unaffiliated underlying |
| |||||||||||||||
portfolios |
.00 | %^ | .00 | %^ | .00 | %^ | .01 | % |
See footnote summary on page 86.
abfunds.com | AB HIGH YIELD PORTFOLIO | 83 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2022 (unaudited) |
January 1, 2021 to October 31, 2021(b) |
Year Ended December 31, |
November 1, 2018 to December 31, 2018(i) |
Year Ended October 31, |
||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net asset value, beginning of period |
$ 9.98 | $ 9.86 | $ 9.63 | $ 8.90 | $ 9.36 | $ 9.71 | $ 9.46 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||||||
Net investment income(c)(d) |
.21 | .38 | .50 | .52 | .09 | .50 | .49 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(.92 | ) | .16 | .30 | .77 | (.41 | ) | (.37 | ) | .24 | ||||||||||||||||||
Contributions from Affiliates |
0 | | 0 | | 0 | | 0 | | 0 | | .00 | (e) | .00 | (e) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net increase (decrease) in net asset value from operations |
(.71 | ) | .54 | .80 | 1.29 | (.32 | ) | .13 | .73 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Less: Dividends and Distributions |
||||||||||||||||||||||||||||
Dividends from net investment income |
(.28 | ) | (.42 | ) | (.57 | ) | (.56 | ) | (.14 | ) | (.48 | ) | (.43 | ) | ||||||||||||||
Return of capital |
0 | | 0 | | 0 | | 0 | | 0 | | 0 | | (.05 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total dividends and distributions |
(.28 | ) | (.42 | ) | (.57 | ) | (.56 | ) | (.14 | ) | (.48 | ) | (.48 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net asset value, end of period |
$ 8.99 | $ 9.98 | $ 9.86 | $ 9.63 | $ 8.90 | $ 9.36 | $ 9.71 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total Return |
||||||||||||||||||||||||||||
Total investment return based on net asset value(f)* |
(7.28 | ) % | 5.56 | % | 8.95 | %+ | 14.77 | %+ | (3.45 | ) % | 1.32 | %** | 7.89 | %+ | ||||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$58,356 | $63,608 | $38,751 | $40,218 | $30,509 | $33,990 | $4,185 | |||||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(g)(h) |
.60 | %^ | .51 | %^ | .70 | % | .29 | %++ | .29 | %^++ | .33 | % | .71 | % | ||||||||||||||
Expenses, before waivers/reimbursements(g)(h) |
1.37 | %^ | 1.74 | %^ | 2.17 | % | 1.84 | %++ | 3.25 | %^++ | 2.56 | % | 2.49 | % | ||||||||||||||
Net investment income(d) |
4.34 | %^ | 4.60 | %^ | 5.41 | % | 5.45 | % | 5.73 | %^ | 5.20 | % | 5.11 | % | ||||||||||||||
Portfolio turnover rate+++ |
26 | % | 36 | % | 75 | % | 40 | % | 5 | % | 75 | % | 65 | % | ||||||||||||||
Expense ratios exclude the estimated acquired fund fees of affiliated/unaffiliated underlying |
|
|||||||||||||||||||||||||||
portfolios |
.00 | %^ | .00 | %^ | .00 | % | .01 | % | .01 | %^ | .01 | % | .01 | % |
See footnote summary on page 86.
84 | AB HIGH YIELD PORTFOLIO |
abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class Z | ||||||||||||||||
Six Months April 30, 2022 |
April 30, 2021(a) to October 31 2021(b) |
November 1, 2017 to February 26, 2018(a) |
Year Ended October 31, 2017 |
|||||||||||||
|
|
|||||||||||||||
Net asset value, beginning of period |
$ 9.98 | $ 9.98 | $ 9.70 | $9.45 | ||||||||||||
|
|
|||||||||||||||
Income From Investment Operations |
||||||||||||||||
Net investment income(c)(d) |
.21 | .18 | .16 | .49 | ||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(.92 | ) | .05 | (.18 | ) | .24 | ||||||||||
Contributions from Affiliates |
0 | | 0 | | 0 | | .00 | (e) | ||||||||
|
|
|||||||||||||||
Net increase (decrease) in net asset value from operations |
(.71 | ) | .23 | (.02 | ) | .73 | ||||||||||
|
|
|||||||||||||||
Less: Dividends and Distributions |
||||||||||||||||
Dividends from net investment income |
(.28 | ) | (.23 | ) | (.13 | ) | (.43 | ) | ||||||||
Return of capital |
0 | | 0 | | 0 | | (.05 | ) | ||||||||
|
|
|||||||||||||||
Total dividends and distributions |
(.28 | ) | (.23 | ) | (.13 | ) | (.48 | ) | ||||||||
|
|
|||||||||||||||
Net asset value, end of period |
$ 8.99 | $ 9.98 | $ 9.55 | $ 9.70 | ||||||||||||
|
|
|||||||||||||||
Total Return |
||||||||||||||||
Total investment return based on net asset value(h)* |
(7.28 | ) % | 2.36 | % | .14 | % | 7.91 | %+ | ||||||||
Ratios/Supplemental Data |
||||||||||||||||
Net assets, end of period (000s omitted) |
$75 | $59 | $417 | $499 | ||||||||||||
Ratio to average net assets of: |
||||||||||||||||
Expenses, net of waivers/reimbursements(g)(h) |
.60 | %^ | .60 | %^ | .70 | %^ | .73 | % | ||||||||
Expenses, before waivers/reimbursements(g)(h) |
1.28 | %^ | 1.92 | %^ | 2.78 | %^ | 1.41 | % | ||||||||
Net investment income(d) |
4.38 | %^ | 3.61 | %^ | 5.04 | %^ | 5.12 | % | ||||||||
Portfolio turnover rate+++ |
26 | % | 36 | % | 75 | % | 65 | % | ||||||||
Expense ratios exclude the estimated acquired fund fees of affiliated/unaffiliated underlying |
| |||||||||||||||
portfolios |
.00 | %^ | .00 | %^ | .00 | %^ | .01 | % |
See footnote summary on page 86.
abfunds.com | AB HIGH YIELD PORTFOLIO | 85 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
(a) | Class A and Class Z shares of the Fund were not in operation from February 26, 2018 until April 30, 2021. |
(b) | The Fund changed its fiscal year end from December 31 to October 31. |
(c) | Based on average shares outstanding. |
(d) | Net of expenses waived/reimbursed by the Adviser. |
(e) | Amount is less than $.005. |
(f) | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Total investment 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 for a period of less than one year is not annualized. |
(g) | The expense ratios presented below exclude interest expense: |
Six Months Ended April 30, 2022 (unaudited) |
January 1, 2021 to October 31, 2021(b) |
Year Ended December 31, | November 1, 2018 to December 31, 2018(i) |
Year Ended October 31, | ||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||||||||||||||
Class A |
||||||||||||||||||||||||||||
Net of waivers/ reimbursements |
.85 | %^ | .85 | %^ | N/A | N/A | N/A | .95 | %(a)^ | .95 | % | |||||||||||||||||
Before waivers/ reimbursements |
1.64 | %^ | 2.28 | %^ | N/A | N/A | N/A | 3.27 | %(a)^ | 2.69 | % | |||||||||||||||||
Advisor Class |
||||||||||||||||||||||||||||
Net of waivers/ reimbursements |
.60 | %^ | .51 | %^ | .70 | % | .29 | % | .29 | %^ | .31 | % | .70 | % | ||||||||||||||
Before waivers/ reimbursements |
1.37 | %^ | 1.74 | %^ | 2.17 | % | 1.84 | % | 3.25 | %^ | 2.54 | % | 2.54 | % | ||||||||||||||
Class Z |
||||||||||||||||||||||||||||
Net of waivers/ reimbursements |
.60 | %^ | .60 | %^ | N/A | N/A | N/A | .70 | %(a)^ | .73 | % | |||||||||||||||||
Before waivers/ reimbursements |
1.28 | %^ | 1.92 | %^ | N/A | N/A | N/A | 2.77 | %(a)^ | 1.47 | % |
(h) | In connection with the Funds investments in affiliated underlying portfolios, the Fund incurs no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Fund in an amount equal to the Funds pro rata share of certain acquired fund fees and expenses, and for the year ended December 31, 2019, period ended December 31, 2018, years ended October 31, 2018 and October 31, 2017, such waivers amounted to .01%, .01% (annualized), .01% and .01%, respectively. |
(i) | The Fund changed its fiscal year end from October 31 to December 31. |
^ | Annualized. |
* | Includes the impact of proceeds received and credited to the Fund resulting from class action settlements, which enhanced the Funds performance for the years ended December 31, 2019, October 31, 2018 and October 31, 2017 by .01%, .03% and .07%, respectively. |
** | Includes the impact of reimbursements from the Adviser which enhanced the Funds performance for the year ended October 31, 2018 by .01%. |
+ | 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. |
++ | The advisory fee reflected in the Funds expense ratio may be higher or lower than the Base Fee plus Performance Adjustment due to the different time periods over which the fee is calculated (i.e., the financial reporting vs. the Performance Period). |
+++ | Portfolio turnover is calculated for the Fund as a whole for the full fiscal year or period, as applicable, and is not annualized. |
See notes to financial statements.
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BOARD OF DIRECTORS
Marshall C. Turner, Jr(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and Chief Executive Officer |
Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) |
OFFICERS
Gershon M. Distenfeld(2), Vice President Robert Schwartz(2), Vice President William Smith(2), 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 Brown Brothers Harriman & Co. 50 Post Office Square Boston, MA 02110
Principal Underwriter AllianceBernstein Investments, Inc. 501 Commerce Street Nasvhille, TN 37203
Transfer Agent AllianceBernstein P.O. Box 786003 San Antonio, TX 78278 Toll-Free (800) 221-5672 |
Independent Registered Public Accounting Firm Ernst & Young LLP One Manhattan West New York, NY 10001
Legal Counsel Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
1 | Member of the Audit Committee, the Governance and Nominating Committee and the Independent Directors Committee. |
2 | The day-to-day management of, and investment decisions for, the Funds portfolio are made by the Advisers High Yield Investment Team. Messrs. Distenfeld, Schwartz and Smith are the investment professionals with the most significant responsibility for the day-to-day management of the Funds portfolio. |
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Operation and Effectiveness of the Funds Liquidity Risk Management Program:
In October 2016, the Securities and Exchange Commission (SEC) adopted the open-end fund liquidity rule (the Liquidity Rule). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (LRMP) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Fund to designate an Administrator of the Funds Liquidity Risk Management Program. The Administrator of the Funds LRMP is AllianceBernstein L.P., the Funds 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 Funds Board of Directors/Trustees (the Fund Board) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the funds 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 LRMPs principal objectives include supporting the Funds compliance with limits on investments in illiquid assets and mitigating the risk that the Fund will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Fund classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Funds strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Fund participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Fund is required to maintain a Highly Liquid Investment Minimum (HLIM). The Committee also incorporated the following information when determining the Funds reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Funds 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 Funds LRMP is adequately designed, has been implemented as intended,
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and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, 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 Fund or its ability to timely meet redemptions during the Program Reporting Period.
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Board Consideration of Amendment to the Funds Advisory Agreement
At the Board Meeting held by video conference on November 3-5, 2020, the Adviser presented its recommendation that the Board of Directors (the Board or Directors) of AB Bond Fund, Inc. (the Company) consider and approve an amendment to the Companys then-current Advisory Agreement with the Adviser (the Amended Agreement) in respect of AB FlexFeeTM High Yield Portfolio (the Fund)* to implement an advisory fee with breakpoints at specific asset levels (based on the Funds average daily net assets) and eliminate the performance-based advisory fee. The Adviser cited the following reasons for its recommendation:
| The performance-based fee structure has failed to increase investor demand and attract significant assets for the Fund, making it more difficult for the Fund to achieve economies of scale. The Adviser also observed that the Funds then-current advisory fee structure was not in line with those of peer funds, noting that few other firms had made a substantial effort to launch fulcrum fee funds since implementation of the performance-based fee structure for the Fund in 2018. |
| The methodology used to calculate the performance-based fee is complex, preventing the Fund from being more competitive in the mutual fund marketplace. |
| The performance-based fee structure creates uncertainty for investors in reasonably predicting Fund expenses, due to significant fluctuations in advisory fees and total expense ratios that can result from fund performance fluctuations. This was a particular issue in the qualified plan context, where uncertainty about the amount of future fees has been a concern. |
At the recommendation of the Adviser, the Board, including a majority of the Directors who are not interested persons of the Company (the Independent Directors) as defined in the Investment Company Act of 1940, as amended (1940 Act), approved the Amended Agreement between the Company, on behalf of the Fund, and the Adviser, for an initial two-year period, at the Board Meeting. The Board, including the Independent Directors, also recommended approval of the Amended Agreement by stockholders.
At the Board Meeting, the Board also approved, upon recommendation of the Adviser, (i) changing the Funds name to AB High Yield Portfolio; (ii) changing the benchmark against which the Funds performance is compared in the Funds prospectus and shareholder reports from the Markit iBoxx USD Liquid High Yield Index to the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index, the index used by the Fund
* | Effective April 30, 2021, the Fund changed its name to AB High Yield Portfolio. |
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prior to the implementation of the performance-based fee structure; (iii) changing the Funds fiscal year end from December 31 to October 31, to be consistent with the other fixed-income mutual funds advised by the Adviser with conventional asset-based advisory fees; and (iv) changing the Funds dividend policy to declare dividends daily instead of monthly. The Directors also noted the Advisers intent, in connection with these changes, to offer Class A and Class Z shares in addition to Advisor Class shares. Implementation of the foregoing changes and actions was conditioned upon approval by stockholders of the Amended Agreement and would be effective on or about May 1, 2021.
The Directors also considered that the Fund would not bear the expenses relating to the above-referenced changes, including expenses relating to the special meeting of stockholders called to approve the Amended Agreement and the preparation, printing and mailing of the proxy materials and of all related solicitations, in light of the applicable expense limitation agreement and the Advisers agreement to bear such expenses to the extent not subject to such expense limitation agreement.
At the Board Meeting, the Directors also approved the continuance of the Funds then-current Advisory Agreement for an additional annual term or, if earlier, until such time as the Amended Agreement takes effect.
Prior to their approval of the Amended Agreement and the continuance of the then-current Advisory Agreement, the Directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed Amended Agreement and the proposed continuance of the then-current Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The Directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The Directors also discussed the proposed approvals in private sessions with counsel.
The Directors considered the fact that the Amended Agreement would have terms and conditions substantially identical to those of the then-current Advisory Agreement, except for (i) the absence of the performance-based advisory fee and adoption of a more conventional advisory fee, which would consist of an advisory fee with breakpoints at specific asset levels (based on the Funds average daily net assets) under the Amended Agreement and (ii) the change in the name of the Fund.
The Directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Advisers integrity and competence they have gained from that experience, the Advisers initiative in identifying and raising potential issues with the Directors and its
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responsiveness, frankness and attention to concerns raised by the Directors in the past, including the Advisers willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The Directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund and the money market fund advised by the Adviser in which the Fund invests a portion of its assets.
The Directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the Directors evaluated, among other things, the reasonableness of the then-current and proposed management fees. In connection with their consideration of the then-current management fee, the Directors considered materials presented to them concerning the SECs published guidance on factors that should be considered in connection with fulcrum fee arrangements, including the following factors: (1) the fairness of the fulcrum fee; (2) selection of an appropriate index against which fund performance should be measured; (3) variations in periods used for computing average asset values and performance; (4) length of period over which performance is computed; (5) computation of performance over a rolling period; (6) performance for transitional periods; (7) computation of the performance of the fund and the index with respect to payment of dividends and capital gains distributions; and (8) avoidance of basing significant fee adjustments upon random or insignificant differences. The Directors did not identify any particular information that was all-important or controlling, and different Directors may have attributed different weights to the various factors. The Directors determined that the selection of the Adviser to manage the Fund, and the overall arrangements between the Fund and the Adviser, as provided in the then-current Advisory Agreement and the Amended Agreement, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the Directors considered relevant in the exercise of their business judgment. The material factors and conclusions that formed the basis for the Directors determinations included the following:
Nature, Extent and Quality of Services Provided
The Directors considered the scope and quality of services provided by the Adviser under the then-current Advisory Agreement and to be provided under the Amended Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The Directors noted that the Adviser from time to time reviews the Funds investment strategies and from time to time proposes changes intended to improve the Funds relative or absolute performance for the Directors consideration. They also noted the professional experience and qualifications of the Funds portfolio
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management team and other senior personnel of the Adviser. The Directors also considered that the Amended Agreement, similar to the then-current Advisory Agreement, provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the Directors. The Directors noted that the Adviser had not requested any reimbursements from the Fund in 2020 through the date of the Board Meeting, in the Funds fiscal year ended December 31, 2019, in the two-month fiscal period ended December 31, 2018 and in the fiscal year ended October 31, 2018. The quality of administrative and other services, including the Advisers role in coordinating the activities of the Funds other service providers, also was considered. The Directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the then-current Advisory Agreement and to be provided to the Fund under the Amended Agreement.
Costs of Services to be Provided and Profitability
In connection with their approval of the continuance of the Funds then-current Advisory Agreement the Directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2018 and 2019 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the Directors. The Directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The Directors noted that the profitability information reflected all revenues and expenses of the Advisers relationship with the Fund, including those relating to its subsidiaries that provide transfer agency and distribution services to the Fund. The Directors recognized that it is difficult to make comparisons of the profitability of the then-current Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The Directors focused on the profitability of the Advisers relationship with the Fund before taxes and distribution expenses. The Directors noted that the Fund was not profitable to the Adviser in the periods reviewed. The Directors noted that, due to the performance fee component of the advisory fee under the then-current Advisory Agreement, profitability would tend to be higher with better performance relative to the Funds benchmark index, which they considered to create an appropriate alignment of incentives. The Directors noted that, due to the elimination of the performance fee, profitability in respect of periods after the effective date of the Amended Agreement (if it becomes effective) would no longer be directly affected by investment performance relative to the Funds benchmark index.
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The Adviser agreed to provide the Directors with profitability information in connection with future proposed continuances of the Amended Agreement and the Directors recognized that such information for 2021 and subsequent years would differ from that reviewed previously as a result of the elimination of the performance fee.
Fall-Out Benefits
The Directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund, and the money market fund advised by the Adviser in which the Fund invests. including, but not limited to, benefits relating to 12b-1 fees and sales charges to be received by the Funds principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of Class A shares to be offered with the implementation of the Amended Agreement, and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The Directors recognized that the Funds unprofitability to the Adviser would be exacerbated without these benefits. The Directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the Directors in connection with the Board Meeting, the Directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Board Meeting, the Directors reviewed performance information for the Funds operations prepared by an independent service provider (the 15(c) service provider), showing the performance of the Advisor Class shares of the Fund against a group of similar funds (peer group) and a larger group of similar funds (peer universe), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Advisor Class shares against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year period ended July 31, 2020. Based on their review, the Directors concluded that the Funds investment performance was acceptable. In connection with their consideration of the Amended Agreement, the Directors noted that the Funds performance would have been different had the fee schedule in the Amended Agreement been in effect during such periods.
Management Fees and Other Expenses
The Directors considered the advisory fee rate payable by the Fund to the Adviser under the then-current Advisory Agreement and the proposed advisory fee rate payable by the Fund to the Adviser under the Amended Agreement, and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The Directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees payable by other funds. The Directors considered the
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Funds contractual effective advisory fee rate under the then-current Advisory Agreement against a peer group median. The Directors also compared the Funds proposed contractual effective advisory fee rate under the Amended Agreement with a peer group median. The information reviewed by the Directors showed that its proposed contractual effective advisory fee rate under the Amended Agreement was lower than the peer group median.
The Directors also considered the Advisers fee schedule for other clients utilizing investment strategies similar to those of the Fund. For this purpose, they reviewed the relevant advisory fee information from the Advisers Form ADV and in a report from the Funds Senior Analyst and noted the differences between the Funds fee schedule under the then-current Advisory Agreement and the Amended Agreement, on the one hand, and the Advisers institutional fee schedule and the schedule of fees charged by the Adviser to any offshore funds and for services to any sub-advised funds utilizing investment strategies similar to those of the Fund, on the other. The Directors noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the Directors and that they had previously discussed with the Adviser its policies in respect of such arrangements. The Directors previously discussed these matters with an independent fee consultant.
The Adviser reviewed with the Directors the significantly greater scope of the services it provides to the Fund relative to institutional, offshore fund and sub-advised fund clients. In this regard, the Adviser noted, among other things, that, compared to institutional and offshore or sub-advisory accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions and compliance obligations; (iii) must prepare and file or distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund stockholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the Adviser to institutional, offshore fund and sub-advised fund clients as compared to the Fund, and the different risk profile, the Directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
The Directors noted that the Fund invests in shares of exchange-traded funds (ETFs), subject to the restrictions and limitations of the 1940 Act as these may be varied as a result of exemptive orders issued by the SEC. The Directors also noted that ETFs pay advisory fees pursuant to their
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advisory contracts, and that the Adviser had provided, and they had reviewed, information about the expense ratios of the relevant ETFs. The Directors concluded, based on the Advisers explanation of how it uses ETFs when they are the most cost-effective way to obtain desired exposures, in some cases pending purchases of underlying securities, that the advisory fee for the Fund is for services that are in addition to, rather than duplicative of, the services provided under the advisory contracts of the ETFs.
In connection with their review of the Funds operations under the then-current performance-based advisory fee structure, the Directors also considered the total expense ratio of the Advisor Class shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Advisor Class expense ratio of the Fund was based on the Funds latest fiscal year and the Directors considered the Advisers expense cap for the Fund. The Directors noted that it was likely that the expense ratios of some of the other funds in the Funds category were lowered by waivers or reimbursements by those funds investment advisers, which in some cases might be voluntary or temporary. The Directors view the expense ratio information as relevant to their evaluation of the Advisers services because the Adviser is responsible for coordinating services provided to the Fund by others. Based on their review, the Directors concluded that the Funds expense ratio was acceptable.
With respect to the Funds proposed implementation of an asset-based advisory fee with breakpoints at specific asset levels as provided in the Amended Agreement, the Directors considered the proposed total expense ratio of the Advisor Class shares of the Fund (Class A and Class Z shares will also be offered) in comparison to a peer group and peer universe selected by the 15(c) service provider. The Directors also considered the Advisers proposed expense cap for the Funds Advisor Class shares, with corresponding expense caps for the other classes of shares, for an initial period to end no earlier than April 30, 2022. The Directors noted that it was likely that the expense ratios of some of the other funds in the Funds category were lowered by waivers or reimbursements by those funds investment advisers, which in some cases might be voluntary or temporary. The Directors view expense ratio information as relevant to their evaluation of the Advisers services because the Adviser is responsible for coordinating services provided to the Fund by others. Based on their review, the Directors concluded that the Funds proposed expense ratios were acceptable.
Economies of Scale
The Directors noted that the proposed advisory fee schedule for the Fund in the Amended Agreement, unlike the advisory fee schedule in the then-current Advisory Agreement, contains breakpoints that reduce the fee rates on assets above specified levels. The Directors took into consideration prior presentations by an independent consultant on economies of
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scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The Directors also previously discussed economies of scale with an independent fee consultant. The Directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Board Meeting. The Directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The Directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a funds adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a funds operations. The Directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The Directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the Directors concluded that the Funds stockholders would benefit from a sharing of economies of scale in the event the Funds net assets exceed a breakpoint in the future.
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This page is not part of the Shareholder Report or the Financial Statements.
AB FAMILY OF FUNDS
US EQUITY
CORE
Core Opportunities Fund
Select US Equity Portfolio
Sustainable US Thematic Portfolio1
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
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 Funds 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 Funds 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 August 23, 2021, Sustainable US Thematic Portfolio was named FlexFee US Thematic Portfolio. 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 HIGH YIELD PORTFOLIO
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
HY-0152-0422
APR 04.30.22
SEMI-ANNUAL REPORT
AB INCOME FUND
As of January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, the Funds annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically requested paper copies of the reports. Instead, the reports are made available on a website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.
You may elect to receive all future reports in paper form free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call the Fund at (800) 221 5672. Your election to receive reports in paper form will apply to all funds held in your account with your financial intermediary or, if you invest directly, to all AB Mutual Funds you hold.
Investment Products Offered | Are Not FDIC Insured May Lose Value Are Not Bank Guaranteed |
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Funds prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Funds 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 ABs website at www.abfunds.com, or go to the Securities and Exchange Commissions (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 Funds Form N-PORT reports are available on the Commissions 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.
FROM THE PRESIDENT |
Dear Shareholder,
Were pleased to provide this report for the AB Income Fund (the Fund). Please review the discussion of Fund performance, the market conditions during the reporting period and the Funds investment strategy.
At AB, were striving to help our clients achieve better outcomes by:
+ | Fostering diverse perspectives that give us a distinctive approach to navigating global capital markets |
+ | Applying differentiated investment insights through a connected global research network |
+ | Embracing innovation to design better ways to invest and leading-edge mutual-fund solutions |
Whether youre an individual investor or a multibillion-dollar institution, were putting our knowledge and experience to work for you every day.
For more information about ABs comprehensive range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in AB mutual fundsand for placing your trust in our firm.
Sincerely,
Onur Erzan
President and Chief Executive Officer, AB Mutual Funds
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SEMI-ANNUAL REPORT
June 8, 2022
This report provides managements discussion of fund performance for the AB Income Fund for the semi-annual reporting period ended April 30, 2022.
The investment objective of the Fund is to seek high current income consistent with preservation of capital.
NAV RETURNS AS OF APRIL 30, 2022 (unaudited)
6 Months | 12 Months | |||||||
AB INCOME FUND1 | ||||||||
Class A Shares | -9.64% | -9.21% | ||||||
Class C Shares | -9.97% | -9.77% | ||||||
Advisor Class Shares2 | -9.52% | -8.86% | ||||||
Class Z Shares2 | -9.50% | -8.82% | ||||||
Bloomberg US Aggregate Bond Index | -9.47% | -8.51% |
1 | Includes the impact of proceeds received and credited to the Fund resulting from class-action settlements, which enhanced the performance of all share classes of the Fund for the six- and 12-month periods ended April 30, 2022, by 0.00% and 0.01%, respectively. Also includes the impact of proceeds received by the Fund in connection with a trade-error reimbursement from the Adviser, which enhanced performance for the six- and 12-month periods ended April 30, 2022, by 0.00% and 0.04%, respectively. |
2 | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund, or through other limited or special arrangements approved by the Adviser, such as purchases by shareholders of the Funds Predecessor Fund. |
INVESTMENT RESULTS
The table above shows the Funds performance compared to its benchmark, the Bloomberg US Aggregate Bond Index, for the six- and 12-month periods ended April 30, 2022.
During both periods, all share classes underperformed the benchmark, before sales charges. In the six-month period, an overweight to the five-year part of the curve detracted the most, relative to the benchmark, and was partially offset by underweight positioning on the 20- to 30-year parts of the curve. Sector allocation contributed, mostly from an overweight to US Treasuries, an underweight to investment-grade corporate bonds and off-benchmark exposure to high-yield corporate bonds that exceeded a loss from off-benchmark exposure to emerging-market sovereign bonds. Security selection also added during the period, primarily due to selection within commercial mortgage-backed securities (CMBS) and investment-grade corporate bonds that gained more than losses within high-yield corporate bonds and quasi-sovereign bonds. Off-benchmark country
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allocation to Canada and Australia added to performance, partially offset by a loss from exposure in Russia. Currency decisions did not have a meaningful impact on performance during the period.
During the 12-month period, yield-curve positioning was the largest detractor, due to an overweight on the five-year part of the curve that was a greater loss than underweights to the 20- and 30-year parts of the curve. Country allocation also detracted, the result of off-benchmark allocation to Russia and Brazil. Security selection contributed, mostly due to gains from selection within CMBS, investment-grade corporate bonds and off-benchmark high-yield corporate bonds that were larger than losses among quasi-sovereign and US agency mortgages. Sector allocation added to returns, as an overweight to US Treasuries, an underweight to US agency mortgages and off-benchmark exposure to high-yield corporate bonds and agency risk-sharing transactions exceeded a loss from exposure to emerging-market sovereign bonds. Currency decisions added slightly to performance.
During both periods, the Fund utilized derivatives in the form of futures, interest rate swaptions and interest rate swaps to manage and hedge duration risk and/or to take active yield-curve positioning. Interest rate swaptions and currency options were also used to generate income. Currency forwards were used to hedge foreign currency exposure and to take active currency risk. Credit default swaps were utilized to effectively gain exposure to specific sectors.
MARKET REVIEW AND INVESTMENT STRATEGY
During the six-month period ended April 30, 2022, fixed-income government bond market yields spiked in most markets, which led bond prices to fall on inflation concerns in all regions. Inflation remained elevated and worsened when Russia invaded Ukraine, causing energy and agricultural prices to jump. Major central banks started the process of raising interest rates and ending bond purchases. Relative government bond returns were led by global inflation-linked bonds. Global investment-grade corporate bonds, which typically have longer maturities and are more sensitive to changes in yields than high-yield corporates, trailed global treasuries by a wide margin, except in the eurozone. High-yield corporate bonds also underperformed treasuries, but by a smaller margin. However, high-yield euro-denominated corporates outperformed eurozone treasuries during the period due to ongoing support from the European Central Bank. Emerging-market bonds underperformed the most as the US dollar advanced against most developed- and emerging-market currencies. Securitized assets also underperformed treasuries, but by a lesser extent than investment-grade corporates, given their lower sensitivity to yield changes. Brent crude oil prices rose sharply from supply concerns and increased demand.
The Funds Senior Investment Management Team (the Team) continues to pursue high income, while preserving capital by investing primarily in
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government bonds from both US and non-US issuers as well as corporate bonds, with scope to invest a select amount in below investment-grade bonds. The Team manages the Fund with a core fixed-income strategy through a global, multi-sector approach that seeks an attractive risk/return profile.
INVESTMENT POLICIES
The Fund pursues its objective by investing, under normal circumstances, at least 80% of its net assets in income-producing securities. The Fund also normally invests at least 65% of its total assets in securities of US and foreign governments, their agencies or instrumentalities and repurchase agreements relating to US government securities.
The Fund normally invests at least 65% of its total assets in US dollar-denominated securities. The Fund may also invest up to 35% of its total assets in non-government fixed-income securities, including corporate debt securities, non-government mortgage-backed and other asset-backed securities, certificates of deposit and commercial paper. The Fund may invest up to 35% of its net assets in below investment-grade securities (commonly known as junk bonds). The Fund may invest no more than 25% of its total assets in securities of issuers in any one country other than the US. The Funds investments in foreign securities may include investments in securities of emerging-market countries or of issuers in emerging markets.
The Adviser selects securities for purchase or sale based on its assessment of the securities risks and return characteristics as well as the securities impact on the overall risks and return characteristics of the Fund. In making this assessment, the Adviser takes into account various factors, including the credit quality and sensitivity to interest rates of the securities under consideration and of the Funds other holdings. The Fund may invest in fixed-income securities with any maturity or duration.
The Fund utilizes derivatives, such as options, futures contracts, forwards and swaps to a significant extent, subject to the limits of applicable law. The Fund may, for example, use credit default, interest rate and total return swaps to establish exposure to the fixed-income markets or particular fixed-income securities. Derivatives may provide a more efficient and economical exposure to market segments than direct investments, and may also be a more efficient way to alter the Funds exposure. The Fund may also enter into transactions such as reverse repurchase agreements that are similar to borrowings for investment purposes. The Funds use of derivatives and these borrowing transactions may create aggregate exposure that is substantially in excess of its net assets, effectively leveraging the Fund.
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DISCLOSURES AND RISKS
Benchmark Disclosure
The Bloomberg US Aggregate Bond Index is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The Bloomberg 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 index is not leveraged, whereas the Fund utilizes leverage. An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Fund.
A Word About Risk
Market Risk: The value of the Funds assets will fluctuate as the bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market.
Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
Below Investment-Grade Securities Risk: Investments in fixed-income securities with lower ratings (commonly known as junk bonds) are subject to higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments and negative perceptions of the junk bond market generally and may be more difficult to trade than other types of securities.
Interest-Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
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DISCLOSURES AND RISKS (continued)
Duration Risk: Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to the full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Funds assets can decline, as can the value of the Funds distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging-Market Risk: Investments in emerging-market countries may have more risk because the markets are less developed and less liquid and are subject to increased economic, political, regulatory or other uncertainties.
Leverage Risk: To the extent the Fund uses leveraging techniques, its net asset value (NAV) may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Funds investments.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Funds investments or reduce its returns.
Illiquid Investments Risk: Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest-rate environment, when the value and liquidity of fixed-income securities generally decline.
Mortgage-Related and/or Other Asset-Backed Securities Risk: Investments in mortgage-related and other asset-backed securities are subject to certain additional risks. The value of these securities may be particularly sensitive to changes in interest rates. These risks include extension risk, which is the risk that, in periods of rising interest rates, issuers may delay the payment of principal, and prepayment risk, which is the risk that in periods of falling interest rates, issuers may pay principal sooner than expected, exposing the Fund to a lower rate of return upon reinvestment of principal. Mortgage-backed
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DISCLOSURES AND RISKS (continued)
securities offered by non-governmental issuers and other asset-backed securities may be subject to other risks, such as higher rates of default in the mortgages or assets backing the securities or risks associated with the nature and servicing of mortgages or assets backing the securities.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, 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 Fund.
Active Trading Risk: The Fund expects to engage in active and frequent trading of its portfolio securities and its portfolio turnover rate may greatly exceed 100%. A higher rate of portfolio turnover increases transaction costs, which may negatively affect the Funds return. In addition, a high rate of portfolio turnover may result in substantial short-term gains, which may have adverse tax consequences for Fund shareholders.
Management Risk: The Fund is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Funds prospectus. As with all investments, you may lose money by investing in the Fund.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Fund will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by visiting www.abfunds.com.
All fees and expenses related to the operation of the Fund have been deducted. NAV returns do not reflect sales charges; if sales charges were reflected, the Funds quoted performance would be lower. SEC returns reflect the applicable sales charges for each share class: a 4.25% maximum front-end sales charge for Class A shares and a 1% 1-year contingent deferred sales charge for Class C shares. Returns for the different share classes will vary due to different expenses
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DISCLOSURES AND RISKS (continued)
associated with each class. Performance assumes reinvestment of distributions and does not account for taxes.
The Fund commenced operations on April 22, 2016. The Fund acquired the assets and liabilities of the AllianceBernstein Income Fund, Inc., a closed-end fund (the Predecessor Fund), effective at the close of business on April 21, 2016 (the Reorganization). The Fund has the same investment objective that the Predecessor Fund had and similar investment strategies and policies. In addition, the Fund has higher expenses (including transfer agency and shareholder servicing fees), and a different advisory fee arrangement than the Predecessor Fund had.
Performance information prior to April 22, 2016, shown in this report reflects the historical performance of the Predecessor Fund based on its NAV. Such performance information may not be representative of performance the Fund would have achieved as an open-end fund under its current investment strategies and policies and expense levels.
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HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF APRIL 30, 2022 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) |
SEC Yields1 |
||||||||||
CLASS A SHARES | 4.41% | |||||||||||
1 Year | -9.21% | -13.03% | ||||||||||
5 Years | 1.10% | 0.23% | ||||||||||
Since Inception2 | 2.02% | 1.30% | ||||||||||
CLASS C SHARES | 3.84% | |||||||||||
1 Year | -9.77% | -10.65% | ||||||||||
5 Years | 0.34% | 0.34% | ||||||||||
Since Inception2 | 1.28% | 1.28% | ||||||||||
ADVISOR CLASS SHARES3,4 | 4.88% | |||||||||||
1 Year | -8.86% | -8.86% | ||||||||||
5 Years | 1.35% | 1.35% | ||||||||||
10 Years | 3.11% | 3.11% | ||||||||||
CLASS Z SHARES4 | 4.96% | |||||||||||
1 Year | -8.82% | -8.82% | ||||||||||
Since Inception2 | -1.39% | -1.39% |
The Funds current prospectus fee table shows the Funds total annual operating expense ratios as 0.80%, 1.55%, 0.55% and 0.49% for Class A, Class C, Advisor Class and Class Z shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limit the Funds annual operating expense ratios, exclusive of acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest, interest expense, taxes, extraordinary expenses and brokerage commissions and other transaction costs, to 0.77%, 1.52%, 0.52% and 0.52% for Class A, Class C, Advisor Class and Class Z shares, respectively. These waivers/reimbursements may not be terminated before January 31, 2023. Any fees waived and expenses borne by the Adviser through April 22, 2018, under the expense limitations in effect prior to that date may be reimbursed by the Fund until the end of the third fiscal year after the fiscal period in which the fee was waived or the expense was borne, provided that no reimbursement payment will be made that would cause the Funds total annual operating expenses to exceed the expense limitations. Absent reimbursements or waivers, performance would have been lower. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
1 | SEC yields are calculated based on SEC guidelines for the 30-day period ended April 30, 2022. |
2 | Inception dates: 4/21/2016 for all share classes except Class Z; 11/20/2019 for Class Z shares. |
3 | Performance returns of Advisor Class shares for the periods prior to April 21, 2016, are based on the NAV per share of the Predecessor Fund. |
4 | These share classes are offered at NAV to eligible investors and the SEC returns are the same as the NAV returns. Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund, or through other limited or special arrangements approved by the Adviser, such as purchases by shareholders of the Funds Predecessor Fund. |
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HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2022 (unaudited)
SEC Returns (reflects applicable sales charges) |
||||
CLASS A SHARES | ||||
1 Year | -8.32 | % | ||
5 Years | 1.39 | % | ||
Since Inception1 | 2.01 | % | ||
CLASS C SHARES | ||||
1 Year | -5.90 | % | ||
5 Years | 1.49 | % | ||
Since Inception1 | 1.99 | % | ||
ADVISOR CLASS SHARES2,3 | ||||
1 Year | -4.02 | % | ||
5 Years | 2.53 | % | ||
10 Years | 3.72 | % | ||
CLASS Z SHARES3 | ||||
1 Year | -3.85 | % | ||
Since Inception1 | 0.25 | % |
1 | Inception dates: 4/21/2016 for all share classes except Class Z; 11/20/2019 for Class Z shares. |
2 | Performance returns of Advisor Class shares for the periods prior to April 21, 2016, are based on the NAV per share of the Predecessor Fund. |
3 | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund, or through other limited or special arrangements approved by the Adviser, such as purchases by shareholders of the Funds Predecessor Fund. |
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EXPENSE EXAMPLE
(unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value November 1, 2021 |
Ending Account Value April 30, 2022 |
Expenses Paid |
Annualized |
|||||||||||||
Class A | ||||||||||||||||
Actual |
$ | 1,000 | $ | 903.60 | $ | 3.82 | 0.81 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,020.78 | $ | 4.06 | 0.81 | % | ||||||||
Class C | ||||||||||||||||
Actual |
$ | 1,000 | $ | 900.30 | $ | 7.35 | 1.56 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,017.06 | $ | 7.80 | 1.56 | % | ||||||||
Advisor Class | ||||||||||||||||
Actual |
$ | 1,000 | $ | 904.80 | $ | 2.64 | 0.56 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,022.02 | $ | 2.81 | 0.56 | % | ||||||||
Class Z | ||||||||||||||||
Actual |
$ | 1,000 | $ | 905.00 | $ | 2.46 | 0.52 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,022.22 | $ | 2.61 | 0.52 | % |
* | Expenses are equal to the classes annualized expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
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PORTFOLIO SUMMARY
April 30, 2022 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $3,501.6
1 | All data are as of April 30, 2022. The Funds security type breakdown is expressed as a percentage of total investments and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see Portfolio of Investments section of the report for additional details). Other security type weightings represent 0.4% or less in the following types: Common Stocks, GovernmentsSovereign Bonds, Local GovernmentsUS Municipal Bonds, Preferred Stocks and Warrants. |
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PORTFOLIO SUMMARY (continued)
April 30, 2022 (unaudited)
1 | All data are as of April 30, 2022. The Funds country breakdown is expressed as a percentage of total investments and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see Portfolio of Investments section of the report for additional details). Other country weightings represent 0.4% or less in the following: Angola, Bahrain, Bermuda, Chile, Denmark, Dominican Republic, Ecuador, El Salvador, Finland, Germany, Ghana, Hong Kong, Indonesia, Ireland, Israel, Italy, Ivory Coast, Jamaica, Kazakhstan, Kenya, Kuwait, Lebanon, Macau, Morocco, Netherlands, Nigeria, Norway, Pakistan, Panama, Senegal, South Africa, Spain, Sweden, Switzerland, Turkey, Ukraine and Zambia. |
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PORTFOLIO OF INVESTMENTS
April 30, 2022 (unaudited)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
GOVERNMENTS - TREASURIES 80.6% |
||||||||||||
Australia 2.1% |
||||||||||||
Australia Government Bond |
AUD | 32,075 | $ | 18,834,200 | ||||||||
Series 163 |
95,515 | 55,250,889 | ||||||||||
|
|
|||||||||||
74,085,089 | ||||||||||||
|
|
|||||||||||
Canada 4.7% |
||||||||||||
Canadian Government Bond |
CAD | 225,418 | 162,997,928 | |||||||||
|
|
|||||||||||
United States 73.8% |
||||||||||||
U.S. Treasury Bonds |
U.S.$ | 37,958 | 27,264,232 | |||||||||
1.25%, 05/15/2050 |
33,090 | 22,159,758 | ||||||||||
4.50%, 02/15/2036 |
17,631 | 21,047,006 | ||||||||||
5.50%, 08/15/2028(b)(c)(d) |
161,400 | 184,702,125 | ||||||||||
6.00%, 02/15/2026 |
30,903 | 34,253,712 | ||||||||||
6.125%, 11/15/2027(b) |
321,407 | 372,781,900 | ||||||||||
6.125%, 08/15/2029 |
47,418 | 57,360,962 | ||||||||||
6.25%, 05/15/2030(b) |
122,903 | 152,283,879 | ||||||||||
6.375%, 08/15/2027 |
10,947 | 12,759,747 | ||||||||||
6.50%, 11/15/2026 |
14,840 | 17,042,468 | ||||||||||
6.625%, 02/15/2027(b) |
90,820 | 105,507,065 | ||||||||||
6.875%, 08/15/2025(b) |
66,714 | 74,969,745 | ||||||||||
7.50%, 11/15/2024 |
20,000 | 22,275,000 | ||||||||||
U.S. Treasury Notes
|
48,083 | 44,356,475 | ||||||||||
0.625%, 05/15/2030(b) |
188,174 | 157,595,976 | ||||||||||
1.50%, 08/15/2026(b)(d) |
137,820 | 129,809,118 | ||||||||||
1.50%, 01/31/2027 |
17,818 | 16,693,614 | ||||||||||
1.625%, 10/31/2026(b)(d) |
249,722 | 235,948,554 | ||||||||||
1.625%, 08/15/2029 |
14,595 | 13,372,486 | ||||||||||
1.75%, 11/15/2029(b) |
78,385 | 72,322,410 | ||||||||||
2.125%, 07/31/2024(d) |
279,136 | 275,210,453 | ||||||||||
2.125%, 05/31/2026(b) |
274,370 | 265,839,002 | ||||||||||
2.25%, 11/15/2025(d)(e) |
192,514 | 188,182,337 | ||||||||||
2.375%, 08/15/2024 |
33,381 | 33,047,190 | ||||||||||
2.625%, 02/15/2029 |
9,944 | 9,748,228 | ||||||||||
3.125%, 11/15/2028 |
39,000 | 39,396,094 | ||||||||||
|
|
|||||||||||
2,585,929,536 | ||||||||||||
|
|
|||||||||||
Total Governments - Treasuries |
2,823,012,553 | |||||||||||
|
|
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PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
CORPORATES - INVESTMENT GRADE 13.9% |
||||||||||||
Financial Institutions 8.3% |
||||||||||||
Banking 5.0% |
||||||||||||
AIB Group PLC |
U.S.$ | 5,750 | $ | 5,703,770 | ||||||||
Ally Financial, Inc. |
75 | 89,285 | ||||||||||
Australia & New Zealand Banking Group Ltd. |
200 | 199,286 | ||||||||||
Banco de Credito del Peru S.A.
|
3,765 | 3,422,150 | ||||||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand
|
3,998 | 4,085,456 | ||||||||||
Banco Santander SA |
2,800 | 2,719,920 | ||||||||||
5.179%, 11/19/2025 |
4,000 | 4,078,240 | ||||||||||
Bank of America Corp. |
2,526 | 2,585,563 | ||||||||||
Series X |
6,520 | 6,585,004 | ||||||||||
Series Z |
2,072 | 2,123,904 | ||||||||||
Bank of New York Mellon Corp. (The) |
992 | 992,794 | ||||||||||
Barclays Bank PLC
|
656 | 821,010 | ||||||||||
Barclays PLC |
GBP | 333 | 425,816 | |||||||||
7.25%, 03/15/2023(a)(f) |
1,350 | 1,714,992 | ||||||||||
BBVA Bancomer SA/Texas
|
U.S.$ | 5,343 | 5,105,717 | |||||||||
Citigroup, Inc.
|
3,286 | 2,989,603 | ||||||||||
5.95%, 01/30/2023(f) |
2,055 | 2,057,055 | ||||||||||
Series T |
1,388 | 1,399,090 | ||||||||||
Series U |
2,540 | 2,426,030 | ||||||||||
Series V |
1,811 | 1,648,010 | ||||||||||
Series W |
2,865 | 2,608,009 |
abfunds.com | AB INCOME FUND | 15 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Comerica, Inc. |
U.S.$ | 8,000 | $ | 8,144,880 | ||||||
Credit Agricole SA
|
4,972 | 5,356,882 | ||||||||
Danske Bank A/S
|
200 | 194,182 | ||||||||
4.298%, 04/01/2028(a) |
4,773 | 4,623,319 | ||||||||
5.375%, 01/12/2024(a) |
1,459 | 1,489,172 | ||||||||
First-Citizens Bank & Trust Co. |
1,568 | 1,575,918 | ||||||||
Goldman Sachs Group, Inc. (The) |
760 | 753,396 | ||||||||
HSBC Holdings PLC |
3,659 | 3,471,659 | ||||||||
6.00%, 09/29/2023(a)(f) |
EUR | 558 | 598,781 | |||||||
6.375%, 03/30/2025(f) |
U.S.$ | 1,942 | 1,954,060 | |||||||
ING Groep NV |
6,341 | 6,347,531 | ||||||||
6.75%, 04/16/2024(a)(f) |
3,383 | 3,406,343 | ||||||||
JPMorgan Chase & Co. |
9,095 | 9,068,715 | ||||||||
Series I |
3,123 | 3,084,931 | ||||||||
Series S |
2,998 | 3,064,705 | ||||||||
Series V |
1,561 | 1,539,068 | ||||||||
Morgan Stanley |
3,639 | 3,611,926 | ||||||||
Nationwide Building Society
|
2,000 | 1,943,880 | ||||||||
Nordea Bank Abp
|
8,725 | 8,903,862 | ||||||||
PNC Financial Services Group, Inc. (The) |
1,247 | 1,234,468 | ||||||||
Santander Holdings USA, Inc. |
463 | 456,949 | ||||||||
Societe Generale SA
|
8,825 | 8,797,378 | ||||||||
Standard Chartered PLC |
7,800 | 6,685,068 | ||||||||
3.971%, 03/30/2026(a) |
4,496 | 4,423,210 |
16 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
7.75%, 04/02/2023(a)(f) |
U.S.$ | 265 | $ | 271,074 | ||||||||
Swedbank AB |
8,600 | 8,520,278 | ||||||||||
Truist Financial Corp. |
10,721 | 10,666,752 | ||||||||||
Series Q |
2,924 | 2,888,444 | ||||||||||
UBS Group AG |
3,569 | 3,630,328 | ||||||||||
UniCredit SpA |
591 | 521,333 | ||||||||||
2.569%, 09/22/2026(a) |
3,620 | 3,309,694 | ||||||||||
|
|
|||||||||||
174,318,890 | ||||||||||||
|
|
|||||||||||
Brokerage 0.2% |
||||||||||||
Charles Schwab Corp. (The) |
6,567 | 6,635,822 | ||||||||||
|
|
|||||||||||
Finance 1.3% |
||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
373 | 358,423 | ||||||||||
3.00%, 10/29/2028 |
6,545 | 5,690,485 | ||||||||||
3.875%, 01/23/2028 |
582 | 536,517 | ||||||||||
6.50%, 07/15/2025 |
861 | 893,348 | ||||||||||
Aircastle Ltd. |
1,242 | 1,086,787 | ||||||||||
4.125%, 05/01/2024 |
678 | 674,088 | ||||||||||
4.25%, 06/15/2026 |
163 | 157,398 | ||||||||||
4.40%, 09/25/2023 |
1,716 | 1,722,023 | ||||||||||
5.00%, 04/01/2023 |
140 | 141,238 | ||||||||||
5.25%, 08/11/2025(a) |
5,846 | 5,834,659 | ||||||||||
Aviation Capital Group LLC |
5,809 | 5,119,944 | ||||||||||
3.50%, 11/01/2027(a) |
1,437 | 1,319,525 | ||||||||||
4.125%, 08/01/2025(a) |
1,592 | 1,552,996 | ||||||||||
4.375%, 01/30/2024(a) |
1,694 | 1,687,105 | ||||||||||
4.875%, 10/01/2025(a) |
1,315 | 1,308,464 | ||||||||||
5.50%, 12/15/2024(a) |
4,722 | 4,799,677 | ||||||||||
Huarong Finance Co., Ltd.
|
400 | 378,000 | ||||||||||
Huarong Finance II Co., Ltd.
|
7,507 | 7,431,930 | ||||||||||
Synchrony Financial |
6,262 | 5,994,800 | ||||||||||
|
|
|||||||||||
46,687,407 | ||||||||||||
|
|
abfunds.com | AB INCOME FUND | 17 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Insurance 1.3% |
||||||||||||
ACE Capital Trust II |
U.S.$ | 750 | $ | 1,013,790 | ||||||||
Assicurazioni Generali SpA
|
EUR | 6,630 | 7,394,675 | |||||||||
Credit Agricole Assurances SA
|
3,200 | 3,554,389 | ||||||||||
Fairfax Financial Holdings Ltd. |
U.S.$ | 5,000 | 5,686,900 | |||||||||
Hartford Financial Services Group, Inc. (The) |
3,275 | 2,891,596 | ||||||||||
MetLife Capital Trust IV
|
4,117 | 4,743,690 | ||||||||||
Prudential Financial, Inc. |
4,029 | 3,964,012 | ||||||||||
5.625%, 06/15/2043 |
2,868 | 2,870,811 | ||||||||||
Voya Financial, Inc. |
12,065 | 12,011,069 | ||||||||||
|
|
|||||||||||
44,130,932 | ||||||||||||
|
|
|||||||||||
Other Finance 0.0% |
||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
710 | 693,926 | ||||||||||
|
|
|||||||||||
REITs 0.5% |
||||||||||||
Brixmor Operating Partnership LP |
2,215 | 2,094,349 | ||||||||||
GLP Capital LP/GLP Financing II, Inc. |
886 | 901,239 | ||||||||||
5.375%, 04/15/2026 |
283 | 288,558 | ||||||||||
Office Properties Income Trust |
2,398 | 1,858,642 | ||||||||||
Omega Healthcare Investors, Inc. |
336 | 336,313 | ||||||||||
Realty Income Corp. |
2,588 | 2,499,646 | ||||||||||
Spirit Realty LP |
3,911 | 3,395,217 | ||||||||||
3.40%, 01/15/2030 |
1,800 | 1,642,914 | ||||||||||
STORE Capital Corp. |
1,143 | 1,141,103 | ||||||||||
Trust Fibra Uno
|
4,814 | 4,515,556 |
18 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
VICI Properties LP/VICI Note Co., Inc. |
U.S.$ | 628 | $ | 616,614 | ||||||||
|
|
|||||||||||
19,290,151 | ||||||||||||
|
|
|||||||||||
291,757,128 | ||||||||||||
|
|
|||||||||||
Industrial 4.7% |
||||||||||||
Basic 0.5% |
||||||||||||
Anglo American Capital PLC
|
3,960 | 4,136,467 | ||||||||||
ArcelorMittal SA |
1,180 | 1,283,344 | ||||||||||
Arconic Corp. |
765 | 768,810 | ||||||||||
CF Industries, Inc. |
75 | 72,488 | ||||||||||
Freeport Indonesia PT
|
964 | 958,100 | ||||||||||
Gold Fields Orogen Holdings BVI Ltd. |
1,445 | 1,453,399 | ||||||||||
MEGlobal Canada ULC
|
1,988 | 2,020,056 | ||||||||||
Nexa Resources SA
|
5,600 | 5,376,000 | ||||||||||
Suzano Austria GmbH |
1,304 | 1,131,546 | ||||||||||
5.00%, 01/15/2030 |
2,100 | 1,990,118 | ||||||||||
7.00%, 03/16/2047(a) |
478 | 480,868 | ||||||||||
|
|
|||||||||||
19,671,196 | ||||||||||||
|
|
|||||||||||
Capital Goods 0.1% |
||||||||||||
General Electric Co. |
1,203 | 1,140,179 | ||||||||||
Westinghouse Air Brake Technologies Corp. |
2,060 | 2,069,703 | ||||||||||
|
|
|||||||||||
3,209,882 | ||||||||||||
|
|
|||||||||||
Communications - Media 0.4% |
||||||||||||
Magallanes, Inc.
|
4,364 | 4,062,578 | ||||||||||
Prosus NV |
5,224 | 4,415,586 | ||||||||||
4.027%, 08/03/2050(a) |
1,123 | 774,870 | ||||||||||
Weibo Corp. |
4,574 | 4,460,508 | ||||||||||
|
|
|||||||||||
13,713,542 | ||||||||||||
|
|
abfunds.com | AB INCOME FUND | 19 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Communications - Telecommunications 0.3% |
||||||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC |
U.S.$ | 1,493 | $ | 1,508,753 | ||||||||
5.152%, 03/20/2028(a) |
1,990 | 2,054,078 | ||||||||||
T-Mobile USA, Inc. |
4,934 | 4,268,700 | ||||||||||
3.375%, 04/15/2029 |
4,428 | 4,027,443 | ||||||||||
|
|
|||||||||||
11,858,974 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Automotive 0.1% |
||||||||||||
General Motors Co. |
1,832 | 1,972,221 | ||||||||||
General Motors Financial Co., Inc. |
146 | 149,909 | ||||||||||
Harley-Davidson Financial Services, Inc. |
655 | 608,711 | ||||||||||
|
|
|||||||||||
2,730,841 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Other 0.1% |
||||||||||||
Lennar Corp. |
75 | 75,181 | ||||||||||
PulteGroup, Inc. |
2,868 | 3,103,377 | ||||||||||
|
|
|||||||||||
3,178,558 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Retailers 0.1% |
||||||||||||
Macys Retail Holdings LLC
|
985 | 925,161 | ||||||||||
6.125%, 03/15/2032(a) |
1,510 | 1,400,284 | ||||||||||
|
|
|||||||||||
2,325,445 | ||||||||||||
|
|
|||||||||||
Consumer Non-Cyclical 0.5% |
| |||||||||||
Altria Group, Inc. |
3,205 | 3,190,578 | ||||||||||
BAT Capital Corp. |
7,540 | 7,290,124 | ||||||||||
BAT International Finance PLC |
7,944 | 7,648,165 | ||||||||||
|
|
|||||||||||
18,128,867 | ||||||||||||
|
|
|||||||||||
Energy 1.3% |
| |||||||||||
Cenovus Energy, Inc. |
2,000 | 1,980,440 | ||||||||||
Continental Resources, Inc./OK
|
2,501 | 2,565,576 |
20 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Ecopetrol SA |
U.S.$ | 1,135 | $ | 948,292 | ||||||||
5.875%, 09/18/2023-11/02/2051 |
1,776 | 1,416,413 | ||||||||||
6.875%, 04/29/2030 |
4,658 | 4,593,952 | ||||||||||
Energy Transfer LP |
8,139 | 8,045,320 | ||||||||||
Eni SpA |
1,969 | 1,952,677 | ||||||||||
Hess Corp. |
8,898 | 10,339,921 | ||||||||||
Hunt Oil Co. of Peru LLC Sucursal Del Peru |
1,095 | 1,049,346 | ||||||||||
Oleoducto Central SA
|
1,169 | 1,061,087 | ||||||||||
ONEOK, Inc. |
3,952 | 3,843,518 | ||||||||||
6.35%, 01/15/2031 |
1,880 | 2,052,716 | ||||||||||
Raizen Fuels Finance SA
|
2,218 | 2,219,802 | ||||||||||
Western Midstream Operating LP |
207 | 201,072 | ||||||||||
4.55%, 02/01/2030 |
1,171 | 1,078,842 | ||||||||||
4.65%, 07/01/2026 |
3,058 | 3,014,760 | ||||||||||
4.75%, 08/15/2028 |
490 | 477,059 | ||||||||||
|
|
|||||||||||
46,840,793 | ||||||||||||
|
|
|||||||||||
Services 0.1% |
||||||||||||
Expedia Group, Inc. |
2,340 | 2,091,773 | ||||||||||
|
|
|||||||||||
Technology 0.7% |
||||||||||||
Baidu, Inc. |
797 | 777,960 | ||||||||||
3.425%, 04/07/2030 |
225 | 207,020 | ||||||||||
Broadcom, Inc. |
8,786 | 6,954,822 | ||||||||||
4.00%, 04/15/2029(a) |
761 | 726,344 | ||||||||||
4.15%, 04/15/2032(a) |
2,724 | 2,528,090 | ||||||||||
Entegris Escrow Corp.
|
7,688 | 7,398,854 | ||||||||||
NXP BV/NXP Funding LLC
|
3,499 | 3,621,028 | ||||||||||
5.55%, 12/01/2028(a) |
1,130 | 1,180,002 | ||||||||||
|
|
|||||||||||
23,394,120 | ||||||||||||
|
|
|||||||||||
Transportation - Airlines 0.3% |
||||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. |
1,640 | 1,624,026 |
abfunds.com | AB INCOME FUND | 21 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd. |
U.S.$ | 8,739 | $ | 8,985,736 | ||||||||
|
|
|||||||||||
10,609,762 | ||||||||||||
|
|
|||||||||||
Transportation - Railroads 0.1% |
||||||||||||
Lima Metro Line 2 Finance Ltd.
|
368 | 344,885 | ||||||||||
5.875%, 07/05/2034(a) |
1,627 | 1,660,142 | ||||||||||
|
|
|||||||||||
2,005,027 | ||||||||||||
|
|
|||||||||||
Transportation - Services 0.1% |
||||||||||||
Adani Ports & Special Economic Zone Ltd. |
4,585 | 4,307,894 | ||||||||||
|
|
|||||||||||
164,066,674 | ||||||||||||
|
|
|||||||||||
Utility 0.9% |
||||||||||||
Electric 0.9% |
||||||||||||
Adani Transmission Ltd.
|
3,064 | 2,925,354 | ||||||||||
AES Panama Generation Holdings SRL
|
2,474 | 2,201,860 | ||||||||||
Chile Electricity PEC SpA |
3,169 | 2,426,860 | ||||||||||
Colbun SA |
209 | 181,869 | ||||||||||
ComEd Financing III |
3,462 | 3,671,624 | ||||||||||
Empresa Electrica Cochrane SpA
|
335 | 314,865 | ||||||||||
Empresas Publicas de Medellin ESP
|
3,775 | 3,172,887 | ||||||||||
4.375%, 02/15/2031(a) |
5,315 | 4,380,889 | ||||||||||
Engie Energia Chile SA
|
6,432 | 5,689,506 | ||||||||||
Kallpa Generacion SA
|
2,562 | 2,376,735 | ||||||||||
LLPL Capital Pte Ltd.
|
3,042 | 2,971,501 | ||||||||||
|
|
|||||||||||
30,313,950 | ||||||||||||
|
|
|||||||||||
Total Corporates - Investment Grade |
486,137,752 | |||||||||||
|
|
|||||||||||
CORPORATES - NON-INVESTMENT GRADE 12.6% |
||||||||||||
Industrial 10.1% |
||||||||||||
Basic 0.6% |
||||||||||||
ASP Unifrax Holdings, Inc.
|
277 | 244,286 |
22 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
7.50%, 09/30/2029(a) |
U.S.$ | 280 | $ | 229,354 | ||||||||
Axalta Coating Systems LLC
|
801 | 694,795 | ||||||||||
ERP Iron Ore, LLC
|
118 | 89,745 | ||||||||||
FMG Resources (August 2006) Pty Ltd. |
3,761 | 3,736,554 | ||||||||||
Glatfelter Corp.
|
1,687 | 1,352,654 | ||||||||||
Graham Packaging Co., Inc.
|
454 | 409,440 | ||||||||||
Graphic Packaging International LLC
|
32 | 31,000 | ||||||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc. |
2,965 | 2,854,761 | ||||||||||
INEOS Quattro Finance 1 PLC
|
EUR | 107 | 103,128 | |||||||||
Kleopatra Finco Sarl
|
2,779 | 2,498,694 | ||||||||||
Magnetation LLC/Mag Finance Corp.
|
U.S.$ | 1,407 | 0 | | ||||||||
PIC AU Holdings LLC/PIC AU Holdings Corp. |
1,158 | 1,193,585 | ||||||||||
PMHC II, Inc. |
4,043 | 3,296,581 | ||||||||||
SCIL IV LLC/SCIL USA Holdings LLC
|
3,282 | 2,995,186 | ||||||||||
Valvoline, Inc. |
1,485 | 1,290,718 | ||||||||||
WR Grace Holdings LLC
|
1,111 | 1,044,373 | ||||||||||
|
|
|||||||||||
22,064,854 | ||||||||||||
|
|
|||||||||||
Capital Goods 0.6% |
||||||||||||
ARD Finance SA |
3,692 | 3,128,112 | ||||||||||
Bombardier, Inc.
|
1,178 | 1,146,253 | ||||||||||
7.875%, 04/15/2027(a) |
1,946 | 1,813,302 | ||||||||||
Cleaver-Brooks, Inc.
|
1,258 | 1,198,081 | ||||||||||
Eco Material Technologies, Inc.
|
2,807 | 2,716,166 |
abfunds.com | AB INCOME FUND | 23 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
F-Brasile SpA/F-Brasile US
LLC |
U.S.$ | 2,578 | $ | 2,280,421 | ||||||||
Gates Global LLC/Gates Corp.
|
1,047 | 1,020,825 | ||||||||||
Madison IAQ LLC
|
3,460 | 2,820,696 | ||||||||||
SPX FLOW, Inc. |
2,111 | 1,900,449 | ||||||||||
TK Elevator Holdco GmbH
|
1,008 | 969,998 | ||||||||||
TransDigm, Inc. |
33 | 33,042 | ||||||||||
Triumph Group, Inc.
|
1,309 | 1,260,842 | ||||||||||
7.75%, 08/15/2025 |
362 | 352,175 | ||||||||||
8.875%, 06/01/2024(a) |
1,479 | 1,529,715 | ||||||||||
Trivium Packaging Finance BV
|
EUR | 100 | 101,263 | |||||||||
|
|
|||||||||||
22,271,340 | ||||||||||||
|
|
|||||||||||
Communications - Media 1.2% |
||||||||||||
Advantage Sales & Marketing, Inc. |
U.S.$ | 5,620 | 5,139,883 | |||||||||
Altice Financing SA
|
7,170 | 6,057,073 | ||||||||||
AMC Networks, Inc. |
3,809 | 3,323,581 | ||||||||||
Arches Buyer, Inc.
|
879 | 764,774 | ||||||||||
Banijay Entertainment SASU
|
EUR | 600 | 605,297 | |||||||||
5.375%, 03/01/2025(a) |
U.S.$ | 1,955 | 1,924,698 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.
|
10,147 | 8,434,376 | ||||||||||
4.75%, 02/01/2032(a) |
2,019 | 1,748,171 | ||||||||||
CSC Holdings LLC
|
259 | 202,163 | ||||||||||
5.00%, 11/15/2031(a) |
2,775 | 2,144,076 | ||||||||||
DISH DBS Corp. |
635 | 495,872 | ||||||||||
5.25%, 12/01/2026(a) |
1,789 | 1,645,486 | ||||||||||
5.75%, 12/01/2028(a) |
1,395 | 1,251,259 | ||||||||||
7.75%, 07/01/2026 |
302 | 288,338 | ||||||||||
iHeartCommunications, Inc. |
0 | ** | 351 | |||||||||
8.375%, 05/01/2027 |
147 | 145,953 |
24 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
McGraw-Hill Education, Inc.
|
U.S.$ | 4,782 | $ | 4,275,299 | ||||||||
National CineMedia LLC
|
2,267 | 1,950,799 | ||||||||||
Sinclair Television Group, Inc.
|
2,251 | 1,855,927 | ||||||||||
Sirius XM Radio, Inc.
|
1,010 | 913,272 | ||||||||||
|
|
|||||||||||
43,166,648 | ||||||||||||
|
|
|||||||||||
Communications - Telecommunications 0.3% |
||||||||||||
ESC GCB In Jacks 5.5
|
4,941 | 0 | | |||||||||
Frontier Communications Holdings LLC |
1,042 | 946,813 | ||||||||||
Kaixo Bondco Telecom SA
|
EUR | 4,070 | 3,789,960 | |||||||||
Vmed O2 UK Financing I PLC
|
U.S.$ | 2,829 | 2,440,776 | |||||||||
Zayo Group Holdings, Inc.
|
1,430 | 1,199,184 | ||||||||||
|
|
|||||||||||
8,376,733 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Automotive 0.5% |
||||||||||||
Clarios Global LP/Clarios US Finance Co. |
EUR | 360 | 362,905 | |||||||||
Dealer Tire LLC/DT Issuer LLC
|
U.S.$ | 2,682 | 2,639,222 | |||||||||
Exide Technologies |
2,273 | 0 | | |||||||||
(First Lien) |
933 | 0 | | |||||||||
IHO Verwaltungs GmbH |
EUR | 560 | 570,576 | |||||||||
3.875% (3.875% Cash or 4.625% PIK), 05/15/2027(a)(l) |
623 | 597,767 | ||||||||||
Jaguar Land Rover Automotive PLC
|
U.S.$ | 4,207 | 3,512,593 | |||||||||
5.875%, 01/15/2028(a) |
546 | 470,150 | ||||||||||
7.75%, 10/15/2025(a) |
1,661 | 1,696,412 | ||||||||||
Mclaren Finance PLC
|
6,471 | 6,260,822 | ||||||||||
PM General Purchaser LLC
|
1,509 | 1,441,125 |
abfunds.com | AB INCOME FUND | 25 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Tenneco, Inc. |
U.S.$ | 680 | $ | 651,964 | ||||||||
|
|
|||||||||||
18,203,536 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Entertainment 1.1% |
||||||||||||
Carnival Corp. |
3,341 | 3,008,036 | ||||||||||
5.75%, 03/01/2027(a) |
6,059 | 5,515,508 | ||||||||||
9.875%, 08/01/2027(a) |
1,508 | 1,627,207 | ||||||||||
Cedar Fair LP |
996 | 943,033 | ||||||||||
Cedar Fair LP/Canadas Wonderland Co./Magnum Management Corp./Millennium Op
|
9,553 | 9,603,058 | ||||||||||
Lindblad Expeditions LLC
|
779 | 765,562 | ||||||||||
NCL Corp. Ltd. |
2,194 | 2,016,813 | ||||||||||
Royal Caribbean Cruises Ltd.
|
1,933 | 1,776,272 | ||||||||||
5.50%, 08/31/2026-04/01/2028(a) |
4,699 | 4,317,471 | ||||||||||
10.875%, 06/01/2023(a) |
96 | 100,477 | ||||||||||
11.50%, 06/01/2025(a) |
2,358 | 2,564,136 | ||||||||||
SeaWorld Parks & Entertainment, Inc. |
4,017 | 4,197,765 | ||||||||||
Viking Cruises Ltd.
|
1,057 | 897,478 | ||||||||||
13.00%, 05/15/2025(a) |
888 | 972,751 | ||||||||||
Viking Ocean Cruises Ship VII Ltd.
|
1,376 | 1,219,508 | ||||||||||
VOC Escrow Ltd. |
75 | 67,717 | ||||||||||
|
|
|||||||||||
39,592,792 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Other 0.5% |
||||||||||||
Adams Homes, Inc.
|
2,232 | 2,184,949 | ||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US LLC |
937 | 781,777 | ||||||||||
6.25%, 09/15/2027(a) |
1,846 | 1,731,160 | ||||||||||
Caesars Entertainment, Inc.
|
1,713 | 1,478,953 | ||||||||||
Empire Communities Corp.
|
1,386 | 1,313,484 |
26 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc |
U.S.$ | 1,396 | $ | 1,221,612 | ||||||||
Installed Building Products, Inc.
|
846 | 802,169 | ||||||||||
Marriott Ownership Resorts, Inc.
|
810 | 829,570 | ||||||||||
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp. |
2,392 | 1,909,151 | ||||||||||
5.875%, 09/01/2031(a) |
2,392 | 1,856,096 | ||||||||||
Travel + Leisure Co.
|
717 | 641,192 | ||||||||||
6.625%, 07/31/2026(a) |
2,404 | 2,458,691 | ||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. |
75 | 72,562 | ||||||||||
|
|
|||||||||||
17,281,366 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Restaurants 0.1% |
||||||||||||
1011778 BC ULC/New Red Finance, Inc. |
3,046 | 2,802,320 | ||||||||||
|
|
|||||||||||
Consumer Cyclical - Retailers 0.8% |
||||||||||||
Arko Corp. |
2,345 | 2,078,749 | ||||||||||
Asbury Automotive Group, Inc.
|
830 | 740,003 | ||||||||||
Bath & Body Works, Inc. |
252 | 243,901 | ||||||||||
6.75%, 07/01/2036 |
704 | 679,170 | ||||||||||
6.875%, 11/01/2035 |
2,210 | 2,159,236 | ||||||||||
7.50%, 06/15/2029 |
236 | 243,786 | ||||||||||
9.375%, 07/01/2025(a) |
185 | 208,182 | ||||||||||
Dufry One BV |
EUR | 1,810 | 1,830,866 | |||||||||
FirstCash, Inc.
|
U.S.$ | 3,218 | 2,993,770 | |||||||||
Foundation Building Materials, Inc.
|
1,143 | 937,260 | ||||||||||
Gap, Inc. (The)
|
873 | 710,631 | ||||||||||
3.875%, 10/01/2031(a) |
718 | 574,515 | ||||||||||
Kontoor Brands, Inc.
|
2,225 | 1,944,717 |
abfunds.com | AB INCOME FUND | 27 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Michaels Cos, Inc. (The)
|
U.S.$ | 2,076 | $ | 1,785,028 | ||||||||
7.875%, 05/01/2029(a) |
4,529 | 3,595,256 | ||||||||||
PetSmart, Inc./PetSmart Finance Corp. |
1,480 | 1,472,600 | ||||||||||
Rite Aid Corp. |
2,334 | 2,001,895 | ||||||||||
SRS Distribution, Inc.
|
548 | 483,363 | ||||||||||
Staples, Inc. |
1,090 | 1,040,699 | ||||||||||
10.75%, 04/15/2027(a) |
1,108 | 980,447 | ||||||||||
TPro Acquisition Corp.
|
716 | 748,141 | ||||||||||
|
|
|||||||||||
27,452,215 | ||||||||||||
|
|
|||||||||||
Consumer Non-Cyclical 1.0% |
||||||||||||
AdaptHealth LLC
|
241 | 205,325 | ||||||||||
5.125%, 03/01/2030(a) |
203 | 174,669 | ||||||||||
6.125%, 08/01/2028(a) |
1,265 | 1,200,586 | ||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC |
799 | 748,399 | ||||||||||
4.875%, 02/15/2030(a) |
82 | 74,269 | ||||||||||
Charles River Laboratories International, Inc. |
2,225 | 1,988,438 | ||||||||||
CHS/Community Health Systems, Inc.
|
2,079 | 1,824,094 | ||||||||||
Cidron Aida Finco Sarl
|
EUR | 496 | 471,113 | |||||||||
Emergent BioSolutions, Inc.
|
U.S.$ | 642 | 544,814 | |||||||||
Jazz Securities DAC
|
1,078 | 996,805 | ||||||||||
Legacy LifePoint Health LLC
|
2,195 | 2,031,187 | ||||||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC |
548 | 295,016 | ||||||||||
5.625%, 10/15/2023(a)(j)(n) |
107 | 57,246 | ||||||||||
Mozart Debt Merger Sub, Inc.
|
1,420 | 1,241,520 | ||||||||||
5.25%, 10/01/2029(a) |
2,874 | 2,500,064 | ||||||||||
Option Care Health, Inc.
|
2,412 | 2,165,904 |
28 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Post Holdings, Inc.
|
U.S.$ | 2,625 | $ | 2,385,889 | ||||||||
Radiology Partners, Inc.
|
3,294 | 3,135,130 | ||||||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc. |
3,840 | 3,944,218 | ||||||||||
Sunshine Mid BV |
EUR | 2,077 | 2,209,230 | |||||||||
Triton Water Holdings, Inc.
|
U.S.$ | 1,264 | 1,047,679 | |||||||||
US Acute Care Solutions LLC
|
1,383 | 1,346,586 | ||||||||||
US Foods, Inc. |
3,990 | 3,683,448 | ||||||||||
|
|
|||||||||||
34,271,629 | ||||||||||||
|
|
|||||||||||
Energy 1.6% |
||||||||||||
Athabasca Oil Corp.
|
3,771 | 3,999,334 | ||||||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp. |
2,125 | 2,188,750 | ||||||||||
Callon Petroleum Co.
|
3,229 | 3,334,879 | ||||||||||
Citgo Holding, Inc.
|
737 | 732,291 | ||||||||||
CITGO Petroleum Corp.
|
2,880 | 2,861,914 | ||||||||||
Civitas Resources, Inc.
|
2,069 | 1,971,902 | ||||||||||
7.50%, 04/30/2026 |
55 | 55,052 | ||||||||||
Crescent Energy Finance LLC
|
1,766 | 1,739,492 | ||||||||||
Diamond Foreign Asset Co./Diamond Finance LLC |
87 | 84,947 | ||||||||||
13.00% (9.00% Cash or 13.00 % PIK), 04/22/2027(l) |
76 | 75,733 | ||||||||||
Encino Acquisition Partners Holdings LLC |
1,100 | 1,102,453 | ||||||||||
EnLink Midstream LLC
|
589 | 583,711 | ||||||||||
EnLink Midstream Partners LP |
235 | 231,903 |
abfunds.com | AB INCOME FUND | 29 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Genesis Energy LP/Genesis Energy Finance Corp. |
U.S.$ | 1,149 | $ | 1,077,429 | ||||||||
6.50%, 10/01/2025 |
179 | 171,312 | ||||||||||
7.75%, 02/01/2028 |
4,346 | 4,180,591 | ||||||||||
8.00%, 01/15/2027 |
1,356 | 1,332,229 | ||||||||||
Global Partners LP/GLP Finance Corp. |
1,924 | 1,863,317 | ||||||||||
Gulfport Energy Corp.
|
438 | 44 | ||||||||||
6.375%, 05/15/2025-01/15/2026(j) |
2,545 | 254 | ||||||||||
6.625%, 05/01/2023(j) |
236 | 24 | ||||||||||
8.00%, 05/17/2026 |
42 | 43,196 | ||||||||||
8.00%, 05/17/2026(a) |
943 | 971,260 | ||||||||||
Harbour Energy PLC
|
2,591 | 2,507,285 | ||||||||||
Ithaca Energy North Sea PLC
|
2,194 | 2,238,955 | ||||||||||
ITT Holdings LLC
|
3,258 | 2,883,428 | ||||||||||
Nabors Industries Ltd.
|
1,294 | 1,266,295 | ||||||||||
7.50%, 01/15/2028(a) |
1,372 | 1,320,138 | ||||||||||
New Fortress Energy, Inc.
|
1,881 | 1,849,945 | ||||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp. |
6,150 | 5,796,314 | ||||||||||
Occidental Petroleum Corp. |
38 | 39,036 | ||||||||||
8.00%, 07/15/2025 |
755 | 817,288 | ||||||||||
8.875%, 07/15/2030 |
891 | 1,070,314 | ||||||||||
PBF Holding Co. LLC/PBF Finance Corp. |
2,420 | 2,507,773 | ||||||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. |
1,560 | 1,459,177 | ||||||||||
Sunnova Energy Corp.
|
1,066 | 980,027 | ||||||||||
Transocean Phoenix 2 Ltd.
|
135 | 135,923 | ||||||||||
Transocean, Inc.
|
1,061 | 871,049 | ||||||||||
8.00%, 02/01/2027(a) |
2,513 | 2,004,997 | ||||||||||
Vantage Drilling International
|
3,068 | 0 | | |||||||||
|
|
|||||||||||
56,349,961 | ||||||||||||
|
|
30 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Services 0.9% |
| |||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp. |
U.S.$ | 1,258 | $ | 1,041,008 | ||||||||
9.75%, 07/15/2027(a) |
1,513 | 1,469,607 | ||||||||||
ANGI Group LLC |
458 | 363,730 | ||||||||||
APX Group, Inc. |
5,817 | 4,771,801 | ||||||||||
6.75%, 02/15/2027(a) |
3,506 | 3,474,271 | ||||||||||
Cars.com, Inc. |
2,427 | 2,277,837 | ||||||||||
Garda World Security Corp.
|
3,358 | 3,316,999 | ||||||||||
ION Trading Technologies SARL
|
1,784 | 1,676,371 | ||||||||||
Millennium Escrow Corp.
|
3,319 | 3,076,447 | ||||||||||
Monitronics International, Inc. |
1,835 | 0 | | |||||||||
MPH Acquisition Holdings LLC
|
1,698 | 1,571,261 | ||||||||||
5.75%, 11/01/2028(a)(b) |
4,123 | 3,588,247 | ||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. |
473 | 424,522 | ||||||||||
Verscend Escrow Corp.
|
4,000 | 4,120,000 | ||||||||||
|
|
|||||||||||
31,172,101 | ||||||||||||
|
|
|||||||||||
Technology 0.6% |
||||||||||||
Avaya, Inc. |
3,860 | 3,568,184 | ||||||||||
Cablevision Lightpath LLC
|
1,847 | 1,585,852 | ||||||||||
CommScope, Inc. |
2,381 | 1,995,540 | ||||||||||
8.25%, 03/01/2027(a) |
1,061 | 901,882 | ||||||||||
NCR Corp. |
2,517 | 2,381,535 | ||||||||||
6.125%, 09/01/2029(a) |
366 | 350,544 | ||||||||||
Presidio Holdings, Inc.
|
165 | 157,996 | ||||||||||
8.25%, 02/01/2028(a) |
1,836 | 1,789,255 | ||||||||||
Veritas US, Inc./Veritas Bermuda Ltd. |
6,350 | 5,620,512 | ||||||||||
Virtusa Corp. |
947 | 855,179 | ||||||||||
|
|
|||||||||||
19,206,479 | ||||||||||||
|
|
abfunds.com | AB INCOME FUND | 31 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Transportation - Services 0.3% |
||||||||||||
Albion Financing 1 SARL/Aggreko Holdings, Inc. |
U.S.$ | 2,342 | $ | 2,210,005 | ||||||||
BCP V Modular Services Finance II PLC |
EUR | 264 | 251,987 | |||||||||
BCP V Modular Services Finance PLC
|
2,585 | 2,360,259 | ||||||||||
EC Finance PLC |
869 | 883,657 | ||||||||||
Loxam SAS |
2,338 | 2,360,637 | ||||||||||
PROG Holdings, Inc.
|
U.S.$ | 4,134 | 3,659,789 | |||||||||
|
|
|||||||||||
11,726,334 | ||||||||||||
|
|
|||||||||||
353,938,308 | ||||||||||||
|
|
|||||||||||
Financial Institutions 2.2% |
||||||||||||
Banking 0.9% |
||||||||||||
Ally Financial, Inc. |
5,227 | 4,514,403 | ||||||||||
Banco Bilbao Vizcaya Argentaria SA |
1,800 | 1,748,970 | ||||||||||
Bread Financial Holdings, Inc.
|
3,513 | 3,416,744 | ||||||||||
7.00%, 01/15/2026(a) |
824 | 833,633 | ||||||||||
CaixaBank SA
|
EUR | 2,400 | 2,540,793 | |||||||||
Credit Suisse Group AG
|
U.S.$ | 640 | 622,240 | |||||||||
6.375%, 08/21/2026(a)(f) |
3,961 | 3,748,413 | ||||||||||
7.50%, 07/17/2023-12/11/2023(a)(f) |
7,239 | 7,196,123 | ||||||||||
Discover Financial Services |
2,197 | 2,240,413 | ||||||||||
Intesa Sanpaolo SpA
|
999 | 981,947 | ||||||||||
Societe Generale SA
|
2,015 | 2,093,464 | ||||||||||
|
|
|||||||||||
29,937,143 | ||||||||||||
|
|
|||||||||||
Brokerage 0.2% |
||||||||||||
Advisor Group Holdings, Inc.
|
4,330 | 4,568,150 | ||||||||||
NFP Corp. |
2,285 | 2,021,882 | ||||||||||
|
|
|||||||||||
6,590,032 | ||||||||||||
|
|
32 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Finance 0.3% |
||||||||||||
Aircastle Ltd. |
U.S.$ | 2,825 | $ | 2,513,459 | ||||||||
Castlelake Aviation Finance DAC
|
3,299 | 2,970,123 | ||||||||||
Curo Group Holdings Corp.
|
3,057 | 2,575,736 | ||||||||||
Enova International, Inc.
|
3,418 | 3,411,164 | ||||||||||
Lincoln Financing SARL
|
EUR | 759 | 795,511 | |||||||||
|
|
|||||||||||
12,265,993 | ||||||||||||
|
|
|||||||||||
Insurance 0.3% |
||||||||||||
Acrisure LLC/Acrisure Finance, Inc.
|
U.S.$ | 4,241 | 4,121,277 | |||||||||
10.125%, 08/01/2026(a) |
831 | 873,630 | ||||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer
|
2,948 | 2,790,312 | ||||||||||
Ardonagh Midco 2 PLC |
1,682 | 1,808,741 | ||||||||||
AssuredPartners, Inc.
|
3,179 | 2,798,060 | ||||||||||
|
|
|||||||||||
12,392,020 | ||||||||||||
|
|
|||||||||||
Other Finance 0.4% |
||||||||||||
Altice France Holding SA
|
3,024 | 3,060,923 | ||||||||||
Intrum AB |
EUR | 1,490 | 1,393,735 | |||||||||
3.50%, 07/15/2026(a) |
1,040 | 1,020,315 | ||||||||||
Nordic Aviation Capital
|
U.S.$ | 12,727 | 7,922,770 | |||||||||
|
|
|||||||||||
13,397,743 | ||||||||||||
|
|
|||||||||||
REITs 0.1% |
||||||||||||
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL |
1,820 | 1,649,575 | ||||||||||
5.75%, 05/15/2026(a) |
290 | 281,471 | ||||||||||
Diversified Healthcare Trust |
1,389 | 1,455,603 | ||||||||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance
Co-Issuer |
1,270 | 1,164,336 | ||||||||||
|
|
|||||||||||
4,550,985 | ||||||||||||
|
|
|||||||||||
79,133,916 | ||||||||||||
|
|
abfunds.com | AB INCOME FUND | 33 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Utility 0.3% |
||||||||||||
Electric 0.2% |
||||||||||||
Vistra Corp. |
U.S.$ | 3,399 | $ | 3,308,349 | ||||||||
8.00%, 10/15/2026(a)(f) |
4,113 | 4,138,377 | ||||||||||
|
|
|||||||||||
7,446,726 | ||||||||||||
|
|
|||||||||||
Other Utility 0.1% |
||||||||||||
Solaris Midstream Holdings LLC
|
1,727 | 1,773,940 | ||||||||||
|
|
|||||||||||
9,220,666 | ||||||||||||
|
|
|||||||||||
Total Corporates - Non-Investment Grade |
442,292,890 | |||||||||||
|
|
|||||||||||
MORTGAGE PASS-THROUGHS 8.2% |
||||||||||||
Agency Fixed Rate 30-Year 8.2% |
||||||||||||
Federal Home Loan Mortgage Corp. |
94,569 | 87,196,432 | ||||||||||
4.50%, 02/01/2050 |
3,636 | 3,769,192 | ||||||||||
Federal National Mortgage Association |
2 | 2,388 | ||||||||||
Series 1999 |
6 | 6,936 | ||||||||||
Series 2020 |
6,650 | 6,859,918 | ||||||||||
Government National Mortgage Association |
78,250 | 72,705,252 | ||||||||||
Uniform Mortgage-Backed Security |
110,847 | 104,646,203 | ||||||||||
3.50%, 05/01/2052, TBA |
13,429 | 13,038,510 | ||||||||||
|
|
|||||||||||
Total Mortgage Pass-Throughs |
288,224,831 | |||||||||||
|
|
|||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS 5.9% |
||||||||||||
Risk Share Floating Rate 5.3% |
||||||||||||
Bellemeade Re Ltd. |
785 | 782,364 | ||||||||||
Series 2019-1A, Class M2 |
1,340 | 1,327,776 |
34 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Series 2019-2A, Class M1C |
U.S.$ | 9,029 | $ | 9,000,531 | ||||||
Series 2019-3A, Class M1C |
15,567 | 15,478,380 | ||||||||
Connecticut Avenue Securities Trust |
2,657 | 2,703,689 | ||||||||
Eagle Re Ltd. |
513 | 512,179 | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes |
1,513 | 1,542,901 | ||||||||
Series 2014-DN3, Class M3 |
839 | 847,118 | ||||||||
Series 2014-HQ2, Class M3 |
464 | 474,913 | ||||||||
Series 2015-DN1, Class B |
1,711 | 1,731,984 | ||||||||
Series 2015-DNA2, Class B |
1,482 | 1,482,622 | ||||||||
Series 2015-DNA3, Class B |
2,463 | 2,585,017 | ||||||||
Series 2015-HQA1, Class B |
1,570 | 1,609,159 | ||||||||
Series 2016-DNA1, Class B |
2,220 | 2,381,514 | ||||||||
Series 2017-DNA1, Class M2 |
1,815 | 1,835,292 | ||||||||
Series 2017-DNA2, Class B1 |
5,178 | 5,542,292 |
abfunds.com | AB INCOME FUND | 35 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Series 2017-DNA3, Class B1 |
U.S.$ | 4,550 | $ | 4,731,998 | ||||||
Series 2017-HQA3, Class B1 |
9,090 | 9,385,281 | ||||||||
Series 2018-DNA2, Class B1 |
7,000 | 6,849,514 | ||||||||
Series 2018-HQA1, Class B1 |
4,520 | 4,531,296 | ||||||||
Federal National Mortgage Association Connecticut Avenue Securities |
2,004 | 2,073,244 | ||||||||
Series 2014-C04, Class 1M2 |
2,688 | 2,836,048 | ||||||||
Series 2014-C04, Class 2M2 |
162 | 163,051 | ||||||||
Series 2015-C03, Class 1M2 |
1,057 | 1,077,936 | ||||||||
Series 2015-C04, Class 1M2 |
2,770 | 2,972,026 | ||||||||
Series 2015-C04, Class 2M2 |
1,516 | 1,587,674 | ||||||||
Series 2016-C01, Class 1M2 |
1,373 | 1,468,798 | ||||||||
Series 2016-C01, Class 2M2 |
636 | 672,355 | ||||||||
Series 2016-C02, Class 1M2 |
3,056 | 3,219,787 | ||||||||
Series 2016-C05, Class 2B |
2,738 | 2,975,901 | ||||||||
Series 2016-C05, Class 2M2 |
3,185 | 3,301,545 |
36 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Series 2016-C07, Class 2B |
U.S.$ | 1,188 | $ | 1,248,842 | ||||||
Series 2016-C07, Class 2M2 |
443 | 462,897 | ||||||||
Series 2017-C01, Class 1B1 |
11,579 | 12,799,698 | ||||||||
Series 2017-C02, Class 2B1 |
4,031 | 4,371,492 | ||||||||
Series 2017-C03, Class 1B1 |
7,080 | 7,451,492 | ||||||||
Series 2017-C05, Class 1B1 |
7,280 | 7,279,989 | ||||||||
Series 2017-C07, Class 2B1 |
4,276 | 4,441,478 | ||||||||
Series 2018-C01, Class 1B1 |
8,575 | 8,509,198 | ||||||||
Series 2018-C03, Class 1B1 |
7,250 | 7,228,467 | ||||||||
Home Re Ltd. |
2,000 | 2,016,943 | ||||||||
Series 2020-1, Class M2 |
4,734 | 4,835,925 | ||||||||
JPMorgan Madison Avenue Securities Trust |
402 | 394,326 | ||||||||
Series 2015-CH1, Class M2 |
721 | 728,542 | ||||||||
Mortgage Insurance-Linked Notes |
2,773 | 2,769,339 | ||||||||
PMT Credit Risk Transfer Trust |
1,563 | 1,549,516 |
abfunds.com | AB INCOME FUND | 37 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Series 2019-3R, Class A |
U.S.$ | 464 | $ | 462,489 | ||||||||
Series 2020-1R, Class A |
2,274 | 2,264,875 | ||||||||||
Radnor Re Ltd. |
721 | 713,874 | ||||||||||
Series 2019-1, Class M1B |
2,673 | 2,673,301 | ||||||||||
Series 2019-1, Class M2 |
6,106 | 5,983,865 | ||||||||||
Traingle Re Ltd. |
8,174 | 8,106,197 | ||||||||||
Wells Fargo Credit Risk Transfer Securities Trust |
259 | 237,090 | ||||||||||
|
|
|||||||||||
184,214,020 | ||||||||||||
|
|
|||||||||||
Agency Floating Rate 0.5% |
||||||||||||
Federal Home Loan Mortgage Corp. REMICs |
1,019 | 201,382 | ||||||||||
Series 3856, Class KS |
6,025 | 927,362 | ||||||||||
Series 4248, Class SL |
569 | 67,634 | ||||||||||
Series 4372, Class JS |
3,060 | 461,746 | ||||||||||
Series 4570, Class ST |
1,396 | 212,852 | ||||||||||
Series 4735, Class SA |
6,936 | 1,088,135 |
38 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Series 4763, Class SB |
U.S.$ | 9,636 | $ | 1,832,823 | ||||||
Series 4774, Class BS |
4,841 | 792,263 | ||||||||
Series 4774, Class SL |
6,550 | 1,071,663 | ||||||||
Series 4927, Class SJ |
2,665 | 517,544 | ||||||||
Federal National Mortgage Association REMICs |
2,048 | 321,870 | ||||||||
Series 2014-88, Class BS |
1,579 | 245,965 | ||||||||
Series 2015-90, Class SA |
14,715 | 2,818,237 | ||||||||
Series 2016-69, Class DS |
22,412 | 2,381,300 | ||||||||
Series 2017-49, Class SP |
1,987 | 307,055 | ||||||||
Series 2018-32, Class SB |
3,831 | 600,608 | ||||||||
Series 2018-45, Class SL |
2,766 | 570,333 | ||||||||
Series 2018-57, Class SL |
7,883 | 1,434,779 | ||||||||
Series 2018-58, Class SA |
3,403 | 601,184 | ||||||||
Series 2018-59, Class HS |
8,743 | 1,542,383 | ||||||||
Series 2019-25, Class SA |
3,560 | 520,013 |
abfunds.com | AB INCOME FUND | 39 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Series 2019-60, Class SJ |
U.S.$ | 3,161 | $ | 524,230 | ||||||||
|
|
|||||||||||
19,041,361 | ||||||||||||
|
|
|||||||||||
Non-Agency Fixed Rate 0.1% |
||||||||||||
Alternative Loan Trust |
901 | 627,839 | ||||||||||
CHL Mortgage Pass-Through Trust |
472 | 283,894 | ||||||||||
Series 2007-HY4, Class 1A1 |
171 | 160,057 | ||||||||||
Citigroup Mortgage Loan Trust |
89 | 85,605 | ||||||||||
CSMC Mortgage-Backed Trust |
322 | 169,616 | ||||||||||
Wells Fargo Mortgage Backed Securities Trust |
599 | 584,386 | ||||||||||
|
|
|||||||||||
1,911,397 | ||||||||||||
|
|
|||||||||||
Non-Agency Floating Rate 0.0% |
||||||||||||
First Horizon Alternative Mortgage Securities Trust |
338 | 82,952 | ||||||||||
Lehman XS Trust |
219 | 27,971 | ||||||||||
|
|
|||||||||||
110,923 | ||||||||||||
|
|
|||||||||||
Agency Fixed Rate 0.0% |
||||||||||||
Federal National Mortgage Association REMICs |
489 | 4,129 | ||||||||||
Series 2016-26, Class IO |
413 | 70,957 | ||||||||||
|
|
|||||||||||
75,086 | ||||||||||||
|
|
|||||||||||
Total Collateralized Mortgage Obligations |
205,352,787 | |||||||||||
|
|
40 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
COLLATERALIZED LOAN OBLIGATIONS 4.8% |
||||||||||||
CLO - Floating Rate 4.8% |
| |||||||||||
Ares XXXIV CLO Ltd. |
U.S.$ | 9,437 | $ | 9,248,411 | ||||||||
Balboa Bay Loan Funding Ltd. |
1,935 | 1,909,824 | ||||||||||
Series 2021-1A, Class D |
2,750 | 2,634,115 | ||||||||||
Series 2022-1A, Class D |
7,850 | 7,850,000 | ||||||||||
Ballyrock CLO 15 Ltd. |
2,750 | 2,662,630 | ||||||||||
Black Diamond CLO Ltd. |
5,300 | 5,217,654 | ||||||||||
BlueMountain Fuji US CLO II Ltd. |
3,300 | 3,132,858 | ||||||||||
CBAM Ltd. |
1,996 | 1,969,088 | ||||||||||
CIFC Funding Ltd. |
300 | 293,103 | ||||||||||
Crown Point CLO 11 Ltd. |
2,000 | 1,968,528 | ||||||||||
Dryden 49 Senior Loan Fund |
605 | 583,210 |
abfunds.com | AB INCOME FUND | 41 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Dryden 78 CLO Ltd. |
U.S.$ | 1,480 | $ | 1,456,878 | ||||||
Series 2020-78A, Class D |
6,824 | 6,688,534 | ||||||||
Dryden 98 CLO Ltd. |
4,850 | 4,808,198 | ||||||||
Elevation CLO Ltd. |
4,490 | 4,408,709 | ||||||||
Elmwood CLO VII Ltd. |
4,200 | 4,112,086 | ||||||||
Elmwood CLO VIII Ltd. |
1,000 | 972,540 | ||||||||
Elmwood CLO XII Ltd. |
4,850 | 4,738,654 | ||||||||
Galaxy 30 Clo Ltd. |
6,350 | 6,293,161 | ||||||||
Generate CLO 7 Ltd. |
4,400 | 4,384,789 | ||||||||
GoldenTree Loan Opportunities IX Ltd. |
2,815 | 2,741,568 | ||||||||
Greywolf CLO VI Ltd. |
5,300 | 5,258,983 | ||||||||
Halcyon Loan Advisors Funding Ltd. |
1,826 | 1,794,899 |
42 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Series 2018-1A, Class C |
U.S.$ | 2,000 | $ | 1,851,356 | ||||||
Kayne CLO 7 Ltd. |
2,663 | 2,645,501 | ||||||||
Madison Park Funding LI Ltd. |
3,650 | 3,563,214 | ||||||||
Magnetite XXV Ltd. |
3,000 | 2,965,872 | ||||||||
Marble Point CLO XI Ltd. |
2,400 | 2,388,202 | ||||||||
Northwoods Capital Ltd. |
1,350 | 1,334,100 | ||||||||
OCP CLO Ltd. |
4,750 | 4,603,434 | ||||||||
Octagon Investment Partners 29 Ltd. |
6,571 | 6,410,791 | ||||||||
OZLM Ltd. |
1,000 | 968,828 | ||||||||
Series 2018-18A, Class B |
5,450 | 5,348,020 | ||||||||
Palmer Square CLO Ltd. |
2,400 | 2,331,725 | ||||||||
Regatta XIX Funding Ltd. |
4,423 | 4,380,313 |
abfunds.com | AB INCOME FUND | 43 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Regatta XX Funding Ltd. |
U.S.$ | 3,500 | $ | 3,392,256 | ||||||
Regatta XXIV Funding Ltd. |
7,500 | 7,275,052 | ||||||||
Rockford Tower CLO Ltd. |
4,444 | 4,338,028 | ||||||||
Series 2017-3A, Class A |
1,931 | 1,923,295 | ||||||||
Series 2021-2A, Class D |
950 | 927,744 | ||||||||
Series 2021-3A, Class D |
8,550 | 8,357,659 | ||||||||
Sixth Street CLO XVII Ltd. |
2,400 | 2,355,924 | ||||||||
Sixth Street CLO XX Ltd. |
3,250 | 3,168,581 | ||||||||
Sound Point CLO XIX Ltd. |
7,931 | 7,861,627 | ||||||||
Venture XXVII CLO Ltd. |
1,591 | 1,540,873 | ||||||||
Voya CLO Ltd. |
4,595 | 4,383,593 | ||||||||
|
|
|||||||||
Total Collateralized Loan Obligations |
169,444,408 | |||||||||
|
|
44 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
EMERGING MARKETS - CORPORATE BONDS 3.5% |
||||||||||||
Industrial 2.9% |
||||||||||||
Basic 0.8% |
||||||||||||
Braskem Idesa SAPI
|
U.S.$ | 3,237 | $ | 2,880,930 | ||||||||
7.45%, 11/15/2029(a) |
2,459 | 2,317,607 | ||||||||||
CSN Inova Ventures
|
445 | 442,024 | ||||||||||
CSN Resources SA
|
4,293 | 3,625,707 | ||||||||||
7.625%, 04/17/2026(a) |
766 | 788,789 | ||||||||||
Eldorado Gold Corp.
|
2,385 | 2,289,600 | ||||||||||
First Quantum Minerals Ltd.
|
2,310 | 2,300,327 | ||||||||||
7.25%, 04/01/2023(a) |
560 | 560,420 | ||||||||||
7.50%, 04/01/2025(a) |
410 | 414,100 | ||||||||||
Indika Energy Capital IV Pte Ltd.
|
4,123 | 4,107,539 | ||||||||||
OCP SA |
1,011 | 854,194 | ||||||||||
Sasol Financing USA LLC |
1,467 | 1,455,997 | ||||||||||
Stillwater Mining Co.
|
953 | 869,612 | ||||||||||
4.50%, 11/16/2029(a) |
891 | 786,308 | ||||||||||
Vedanta Resources Finance II PLC
|
4,716 | 4,920,262 | ||||||||||
Volcan Cia Minera SAA
|
2,552 | 2,285,316 | ||||||||||
|
|
|||||||||||
30,898,732 | ||||||||||||
|
|
|||||||||||
Capital Goods 0.3% |
||||||||||||
Cemex SAB de CV
|
2,796 | 2,538,164 | ||||||||||
Embraer Netherlands Finance BV |
4,430 | 4,288,794 | ||||||||||
6.95%, 01/17/2028(a) |
2,058 | 2,061,190 | ||||||||||
IHS Holding Ltd.
|
1,243 | 1,180,850 | ||||||||||
6.25%, 11/29/2028(a) |
410 | 385,400 | ||||||||||
Klabin Austria Gmbh
|
514 | 495,434 | ||||||||||
Odebrecht Holdco Finance Ltd. |
5,578 | 27,892 | ||||||||||
|
|
|||||||||||
10,977,724 | ||||||||||||
|
|
abfunds.com | AB INCOME FUND | 45 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Communications - Media 0.1% |
||||||||||||
Globo Comunicacao e Participacoes SA |
U.S.$ | 2,296 | $ | 1,985,035 | ||||||||
|
|
|||||||||||
Communications - Telecommunications 0.2% |
||||||||||||
C&W Senior Financing DAC
|
247 | 240,148 | ||||||||||
CT Trust |
723 | 670,800 | ||||||||||
Digicel Group Holdings Ltd.
|
87 | 64,232 | ||||||||||
8.00% (5.00% Cash and 3.00% PIK), 04/01/2025(a)(l) |
0 | ** | 1 | |||||||||
10.00% (8.00% Cash and 2.00% PIK), 04/01/2024(l) |
6,112 | 6,046,601 | ||||||||||
Digicel International Finance Ltd./Digicel international Holdings Ltd. |
339 | 330,981 | ||||||||||
|
|
|||||||||||
7,352,763 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Other 0.2% |
||||||||||||
Melco Resorts Finance Ltd.
|
200 | 161,000 | ||||||||||
MGM China Holdings Ltd.
|
895 | 802,591 | ||||||||||
5.375%, 05/15/2024(a) |
569 | 529,881 | ||||||||||
5.875%, 05/15/2026(a) |
598 | 532,893 | ||||||||||
Studio City Co., Ltd.
|
336 | 313,950 | ||||||||||
Studio City Finance Ltd.
|
1,088 | 920,720 | ||||||||||
6.50%, 01/15/2028(a) |
998 | 763,470 | ||||||||||
Wynn Macau Ltd. |
2,168 | 1,875,320 | ||||||||||
5.625%, 08/26/2028(a) |
1,919 | 1,542,396 | ||||||||||
|
|
|||||||||||
7,442,221 | ||||||||||||
|
|
|||||||||||
Consumer Non-Cyclical 0.4% |
||||||||||||
BRF GmbH |
941 | 894,715 | ||||||||||
BRF SA |
4,401 | 3,908,088 | ||||||||||
MARB BondCo PLC |
4,509 | 3,742,132 | ||||||||||
Natura & Co. Luxembourg Holdings SARL |
2,088 | 2,031,206 | ||||||||||
Natura Cosmeticos SA
|
2,828 | 2,527,101 |
46 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Tonon Luxembourg SA |
U.S.$ | 871 | $ | 87 | ||||||||
Ulker Biskuvi Sanayi AS
|
609 | 520,238 | ||||||||||
Virgolino de Oliveira Finance SA
|
4,738 | 474 | ||||||||||
10.875%, 01/13/2020(h)(i)(j)(k)(m) |
750 | 75 | ||||||||||
11.75%, 02/09/2022(h)(i)(j)(k)(m) |
1,690 | 169 | ||||||||||
|
|
|||||||||||
13,624,285 | ||||||||||||
|
|
|||||||||||
Energy 0.7% |
||||||||||||
Gran Tierra Energy, Inc.
|
1,998 | 1,847,371 | ||||||||||
Investment Energy Resources Ltd.
|
1,306 | 1,288,369 | ||||||||||
Kosmos Energy Ltd.
|
1,388 | 1,335,950 | ||||||||||
Leviathan Bond Ltd.
|
4,992 | 4,953,936 | ||||||||||
6.125%, 06/30/2025(a) |
1,763 | 1,743,271 | ||||||||||
Medco Oak Tree Pte Ltd.
|
1,031 | 1,020,690 | ||||||||||
Medco Platinum Road Pte Ltd.
|
3,831 | 3,799,394 | ||||||||||
MV24 Capital BV
|
1,618 | 1,539,652 | ||||||||||
Peru LNG Srl |
3,858 | 3,317,880 | ||||||||||
SEPLAT Energy PLC
|
2,065 | 1,962,576 | ||||||||||
SierraCol Energy Andina LLC
|
1,550 | 1,359,699 | ||||||||||
|
|
|||||||||||
24,168,788 | ||||||||||||
|
|
|||||||||||
Services 0.1% |
||||||||||||
Bidvest Group UK PLC (The)
|
1,667 | 1,525,305 | ||||||||||
StoneCo Ltd. |
736 | 606,878 | ||||||||||
|
|
|||||||||||
2,132,183 | ||||||||||||
|
|
|||||||||||
Technology 0.0% |
||||||||||||
CA Magnum Holdings
|
1,397 | 1,341,120 | ||||||||||
|
|
abfunds.com | AB INCOME FUND | 47 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Transportation - Services 0.1% |
||||||||||||
Acu Petroleo Luxembourg SARL
|
U.S.$ | 2,230 | $ | 2,011,293 | ||||||||
JSW Infrastructure Ltd.
|
583 | 521,712 | ||||||||||
|
|
|||||||||||
2,533,005 | ||||||||||||
|
|
|||||||||||
102,455,856 | ||||||||||||
|
|
|||||||||||
Financial Institutions 0.3% |
||||||||||||
Banking 0.0% |
||||||||||||
Fidelity Bank PLC
|
575 | 574,224 | ||||||||||
|
|
|||||||||||
Insurance 0.1% |
||||||||||||
Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond
Co-Issuer, Inc. |
1,938 | 1,952,858 | ||||||||||
|
|
|||||||||||
Other Finance 0.0% |
||||||||||||
OEC Finance Ltd.
|
3,767 | 115,468 | ||||||||||
5.25%, 12/27/2033(a)(l) |
1,174 | 40,802 | ||||||||||
|
|
|||||||||||
156,270 | ||||||||||||
|
|
|||||||||||
REITs 0.2% |
||||||||||||
Agile Group Holdings Ltd.
|
1,000 | 330,000 | ||||||||||
6.05%, 10/13/2025(a) |
250 | 83,750 | ||||||||||
Central China Real Estate Ltd.
|
1,629 | 580,649 | ||||||||||
7.50%, 07/14/2025(a) |
403 | 133,191 | ||||||||||
7.75%, 05/24/2024(a) |
222 | 74,620 | ||||||||||
7.90%, 11/07/2023(a) |
204 | 78,515 | ||||||||||
China Aoyuan Group Ltd.
|
200 | 45,475 | ||||||||||
5.88%, 03/01/2027(a)(j)(n) |
1,299 | 279,529 | ||||||||||
7.95%, 03/01/2027(a)(j)(n) |
644 | 141,398 | ||||||||||
China SCE Group Holdings Ltd.
|
468 | 299,520 | ||||||||||
6.00%, 02/04/2026(a) |
1,319 | 778,210 | ||||||||||
Kaisa Group Holdings Ltd.
|
480 | 103,140 | ||||||||||
9.95%, 07/23/2025(a) |
1,280 | 269,440 | ||||||||||
11.65%, 06/01/2026(a) |
200 | 41,975 | ||||||||||
KWG Group Holdings Ltd.
|
679 | 244,440 | ||||||||||
6.00%, 08/14/2026(a) |
400 | 142,000 | ||||||||||
7.40%, 01/13/2027(a) |
396 | 138,600 |
48 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Logan Group Co., Ltd.
|
U.S.$ | 200 | $ | 51,000 | ||||||||
Powerlong Real Estate Holdings Ltd.
|
684 | 249,660 | ||||||||||
5.95%, 04/30/2025(a) |
403 | 157,170 | ||||||||||
Ronshine China Holdings Ltd.
|
470 | 77,550 | ||||||||||
7.10%, 01/25/2025(a) |
1,355 | 210,025 | ||||||||||
8.10%, 06/09/2023(a) |
231 | 47,355 | ||||||||||
Seazen Group Ltd.
|
1,145 | 744,250 | ||||||||||
Shimao Group Holdings Ltd.
|
400 | 88,000 | ||||||||||
5.60%, 07/15/2026(a) |
200 | 48,000 | ||||||||||
Sunac China Holdings Ltd.
|
588 | 138,180 | ||||||||||
6.50%, 01/10/2025-01/26/2026(a) |
534 | 118,625 | ||||||||||
6.65%, 08/03/2024(a) |
225 | 50,625 | ||||||||||
7.00%, 07/09/2025(a) |
205 | 45,100 | ||||||||||
Times China Holdings Ltd.
|
234 | 120,510 | ||||||||||
5.75%, 01/14/2027(a) |
887 | 359,235 | ||||||||||
6.20%, 03/22/2026(a) |
380 | 157,700 | ||||||||||
6.60%, 03/02/2023(a) |
200 | 119,000 | ||||||||||
6.75%, 07/08/2025(a) |
434 | 193,130 | ||||||||||
Yango Justice International Ltd.
|
898 | 62,860 | ||||||||||
7.875%, 09/04/2024(a)(j)(n) |
569 | 39,830 | ||||||||||
8.25%, 11/25/2023(a)(j)(n) |
400 | 28,000 | ||||||||||
10.25%, 09/15/2022(j)(n) |
215 | 17,643 | ||||||||||
Yuzhou Group Holdings Co., Ltd.
|
1,068 | 138,840 | ||||||||||
7.70%, 02/20/2025(a)(j)(n) |
200 | 27,000 | ||||||||||
7.85%, 08/12/2026(a)(j)(n) |
250 | 32,500 | ||||||||||
8.375%, 10/30/2024(a)(j)(n) |
308 | 41,580 | ||||||||||
Zhenro Properties Group Ltd.
|
997 | 89,730 | ||||||||||
6.70%, 08/04/2026(a)(j)(n) |
400 | 36,000 | ||||||||||
7.10%, 09/10/2024(a)(j)(n) |
233 | 20,970 | ||||||||||
7.35%, 02/05/2025(a)(j)(n) |
200 | 18,000 | ||||||||||
|
|
|||||||||||
7,292,520 | ||||||||||||
|
|
|||||||||||
9,975,872 | ||||||||||||
|
|
|||||||||||
Utility 0.3% |
| |||||||||||
Electric 0.3% |
| |||||||||||
AES Andes SA |
1,816 | 1,744,495 |
abfunds.com | AB INCOME FUND | 49 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Greenko Wind Projects Mauritius Ltd. |
U.S.$ | 1,925 | $ | 1,878,781 | ||||||
India Clean Energy Holdings
|
2,686 | 2,269,670 | ||||||||
JSW Hydro Energy Ltd.
|
386 | 335,820 | ||||||||
Light Servicos de Eletricidade SA/Light Energia SA |
2,245 | 2,076,737 | ||||||||
Star Energy Geothermal Wayang Windu Ltd. |
761 | 794,672 | ||||||||
Terraform Global Operating LLC
|
289 | 284,263 | ||||||||
|
|
|||||||||
9,384,438 | ||||||||||
|
|
|||||||||
Total Emerging Markets - Corporate Bonds (cost $156,094,129) |
121,816,166 | |||||||||
|
|
|||||||||
BANK LOANS 3.2% |
| |||||||||
Industrial 2.8% |
| |||||||||
Basic 0.0% |
| |||||||||
Nouryon Finance B.V. |
130 | 128,323 | ||||||||
|
|
|||||||||
Capital Goods 0.2% |
| |||||||||
Apex Tool Group, LLC |
3,822 | 3,650,441 | ||||||||
Chariot Buyer LLC |
229 | 224,908 | ||||||||
Granite US Holdings Corporation |
3,546 | 3,512,375 | ||||||||
|
|
|||||||||
7,387,724 | ||||||||||
|
|
|||||||||
Communications - Media 0.1% |
| |||||||||
Advantage Sales & Marketing, Inc. |
1,284 | 1,262,568 | ||||||||
Coral-US Co-Borrower LLC
|
1,550 | 1,532,237 | ||||||||
iHeartCommunications, Inc. (fka Clear Channel Communications, Inc.) |
222 | 219,709 |
50 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Univision Communications, Inc. |
U.S.$ | 920 | $ | 916,210 | ||||||||
|
|
|||||||||||
3,930,724 | ||||||||||||
|
|
|||||||||||
Communications - Telecommunications 0.4% |
||||||||||||
Crown Subsea Communications Holding, Inc. |
3,967 | 3,948,613 | ||||||||||
Directv Financing, LLC |
2,177 | 2,166,295 | ||||||||||
Proofpoint, Inc. |
6,000 | 5,994,360 | ||||||||||
Zacapa SARL |
3,307 | 3,279,721 | ||||||||||
|
|
|||||||||||
15,388,989 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Automotive 0.0% |
||||||||||||
Clarios Global LP |
347 | 340,617 | ||||||||||
|
|
|||||||||||
Consumer Cyclical - Other 0.2% |
||||||||||||
American Tire Distributors, Inc. |
3,369 | 3,335,750 | ||||||||||
Caesars Resort Collection, LLC |
4,494 | 4,470,882 | ||||||||||
Golden Nugget Online Gaming, LLC |
111 | 117,645 | ||||||||||
|
|
|||||||||||
7,924,277 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Restaurants 0.0% |
||||||||||||
IRB Holding Corp. |
553 | 547,175 | ||||||||||
|
|
|||||||||||
Consumer Cyclical - Retailers 0.2% |
||||||||||||
Great Outdoors Group, LLC |
1,195 | 1,181,917 |
abfunds.com | AB INCOME FUND | 51 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
PetSmart LLC |
U.S.$ | 4,337 | $ | 4,291,684 | ||||||||
|
|
|||||||||||
5,473,601 | ||||||||||||
|
|
|||||||||||
Consumer Non-Cyclical 0.4% |
||||||||||||
Global Medical Response, Inc. |
1,137 | 1,127,466 | ||||||||||
Kronos Acquisition Holdings, Inc. |
1,886 | 1,749,683 | ||||||||||
LifePoint Health, Inc. (fka Regionalcare Hospital Partners Holdings, Inc.) |
1,018 | 1,004,972 | ||||||||||
Padagis LLC |
1,336 | 1,333,129 | ||||||||||
U.S. Renal Care, Inc. |
5,901 | 5,207,810 | ||||||||||
US Radiology Specialists, Inc. (US Outpatient Imaging Services, Inc.) |
4,287 | 4,267,491 | ||||||||||
|
|
|||||||||||
14,690,551 | ||||||||||||
|
|
|||||||||||
Energy 0.3% |
| |||||||||||
CITGO Petroleum Corporation |
1,578 | 1,571,992 | ||||||||||
GIP II Blue Holding, L.P. |
3,838 | 2,318,320 | ||||||||||
Parkway Generation, LLC |
4,550 | 4,528,252 | ||||||||||
|
|
|||||||||||
8,418,564 | ||||||||||||
|
|
|||||||||||
Other Industrial 0.1% |
| |||||||||||
Dealer Tire, LLC |
1,300 | 1,297,475 | ||||||||||
KAR Auction Services, Inc. |
197 | 195,935 |
52 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Rockwood Service Corporation |
U.S.$ | 175 | $ | 174,194 | ||||||
|
|
|||||||||
1,667,604 | ||||||||||
|
|
|||||||||
Services 0.1% |
| |||||||||
Amentum Government Services Holdings LLC |
442 | 438,946 | ||||||||
Team Health Holdings, Inc. |
2,607 | 2,422,583 | ||||||||
Verscend Holding Corp. |
1,927 | 1,918,112 | ||||||||
|
|
|||||||||
4,779,641 | ||||||||||
|
|
|||||||||
Technology 0.8% |
| |||||||||
Ascend Learning, LLC |
930 | 917,212 | ||||||||
Banff Guarantor, Inc. |
1,050 | 1,035,300 | ||||||||
Boxer Parent Company, Inc. |
3,403 | 3,357,635 | ||||||||
Endurance International Group Holdings, Inc. |
9,687 | 9,242,854 | ||||||||
FINThrive Software Intermediate Holdings, Inc. |
580 | 567,530 | ||||||||
Loyalty Ventures, Inc. |
4,650 | 4,524,688 | ||||||||
Peraton Corp. |
1,614 | 1,599,329 | ||||||||
Presidio Holdings Inc. |
77 | 75,758 | ||||||||
4.740% (LIBOR 3 Month + 3.50%), 01/22/2027(q) |
1,542 | 1,524,943 |
abfunds.com | AB INCOME FUND | 53 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Veritas US Inc. |
U.S.$ | 5,674 | $ | 5,182,935 | ||||||||
|
|
|||||||||||
28,028,184 | ||||||||||||
|
|
|||||||||||
98,705,974 | ||||||||||||
|
|
|||||||||||
Financial Institutions 0.3% |
||||||||||||
Finance 0.0% |
||||||||||||
Orbit Private Holdings I Ltd. |
379 | 377,314 | ||||||||||
|
|
|||||||||||
Insurance 0.3% |
||||||||||||
Hub International Limited |
7 | 7,113 | ||||||||||
4.348% (LIBOR 3 Month + 3.25%), 04/25/2025(q) |
2,819 | 2,802,542 | ||||||||||
Jones DesLauriers Insurance Management, Inc. |
CAD | 7,686 | 5,833,075 | |||||||||
Sedgwick Claims Management Services, Inc. (Lightning Cayman Merger Sub, Ltd.) |
U.S.$ | 2,220 | 2,206,141 | |||||||||
|
|
|||||||||||
10,848,871 | ||||||||||||
|
|
|||||||||||
11,226,185 | ||||||||||||
|
|
|||||||||||
Utility 0.1% |
||||||||||||
Electric 0.1% |
||||||||||||
Granite Generation LLC |
3,175 | 3,112,869 | ||||||||||
4.756% (LIBOR 3 Month + 3.75%), 11/09/2026(q) |
632 | 620,094 | ||||||||||
|
|
|||||||||||
3,732,963 | ||||||||||||
|
|
|||||||||||
Total Bank Loans |
113,665,122 | |||||||||||
|
|
|||||||||||
EMERGING MARKETS - SOVEREIGNS 3.2% |
||||||||||||
Angola 0.3% |
||||||||||||
Angolan Government International Bond |
6,780 | 6,322,350 | ||||||||||
8.25%, 05/09/2028(a) |
460 | 441,600 | ||||||||||
9.125%, 11/26/2049(a) |
5,850 | 5,165,550 | ||||||||||
|
|
|||||||||||
11,929,500 | ||||||||||||
|
|
54 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Bahrain 0.2% |
||||||||||||
Bahrain Government International Bond |
U.S.$ | 7,434 | $ | 6,661,793 | ||||||||
|
|
|||||||||||
Dominican Republic 0.4% |
||||||||||||
Dominican Republic International Bond |
9,442 | 8,113,038 | ||||||||||
4.875%, 09/23/2032(a) |
3,361 | 2,821,770 | ||||||||||
6.40%, 06/05/2049(a) |
2,287 | 1,930,800 | ||||||||||
|
|
|||||||||||
12,865,608 | ||||||||||||
|
|
|||||||||||
Ecuador 0.3% |
||||||||||||
Ecuador Government International Bond |
626 | 340,968 | ||||||||||
0.50%, 07/31/2040(a) |
1,114 | 602,678 | ||||||||||
1.00%, 07/31/2035(a) |
13,152 | 8,218,180 | ||||||||||
5.00%, 07/31/2030(a) |
2,144 | 1,735,324 | ||||||||||
|
|
|||||||||||
10,897,150 | ||||||||||||
|
|
|||||||||||
Egypt 0.5% |
||||||||||||
Egypt Government International Bond
|
6,333 | 5,905,522 | ||||||||||
6.588%, 02/21/2028(a) |
1,000 | 832,500 | ||||||||||
7.053%, 01/15/2032(a) |
2,597 | 1,999,690 | ||||||||||
7.50%, 01/31/2027(a) |
6,064 | 5,396,960 | ||||||||||
7.625%, 05/29/2032(a) |
5,226 | 4,069,748 | ||||||||||
|
|
|||||||||||
18,204,420 | ||||||||||||
|
|
|||||||||||
El Salvador 0.1% |
||||||||||||
El Salvador Government International Bond |
235 | 86,950 | ||||||||||
7.625%, 02/01/2041(a) |
158 | 59,250 | ||||||||||
8.625%, 02/28/2029(a) |
7,640 | 3,094,200 | ||||||||||
9.50%, 07/15/2052(a) |
210 | 84,000 | ||||||||||
|
|
|||||||||||
3,324,400 | ||||||||||||
|
|
|||||||||||
Ghana 0.3% |
||||||||||||
Ghana Government International Bond |
13,133 | 8,799,110 | ||||||||||
7.75%, 04/07/2029(a) |
2,161 | 1,352,381 | ||||||||||
8.625%, 04/07/2034(a) |
1,769 | 1,063,943 | ||||||||||
8.627%, 06/16/2049(a) |
238 | 136,077 | ||||||||||
8.95%, 03/26/2051(a) |
1,313 | 748,656 | ||||||||||
10.75%, 10/14/2030(a) |
693 | 682,605 | ||||||||||
|
|
|||||||||||
12,782,772 | ||||||||||||
|
|
|||||||||||
Ivory Coast 0.1% |
||||||||||||
Ivory Coast Government International Bond |
EUR | 1,195 | 1,055,650 |
abfunds.com | AB INCOME FUND | 55 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
6.125%, 06/15/2033(a) |
U.S.$ | 1,654 | $ | 1,509,585 | ||||||||
6.375%, 03/03/2028(a) |
1,377 | 1,356,603 | ||||||||||
|
|
|||||||||||
3,921,838 | ||||||||||||
|
|
|||||||||||
Kenya 0.1% |
||||||||||||
Republic of Kenya Government International Bond |
620 | 595,200 | ||||||||||
7.00%, 05/22/2027(a) |
1,680 | 1,491,000 | ||||||||||
|
|
|||||||||||
2,086,200 | ||||||||||||
|
|
|||||||||||
Lebanon 0.0% |
||||||||||||
Lebanon Government International Bond |
1,284 | 144,290 | ||||||||||
6.65%, 04/22/2024(a)(j)(n) |
507 | 59,984 | ||||||||||
6.85%, 03/23/2027(a)(j)(n) |
1,053 | 118,660 | ||||||||||
|
|
|||||||||||
322,934 | ||||||||||||
|
|
|||||||||||
Nigeria 0.4% |
||||||||||||
Nigeria Government International Bond |
5,399 | 4,618,844 | ||||||||||
7.625%, 11/21/2025-11/28/2047(a) |
8,386 | 7,465,093 | ||||||||||
7.696%, 02/23/2038(a) |
1,729 | 1,296,750 | ||||||||||
7.875%, 02/16/2032(a) |
426 | 356,775 | ||||||||||
|
|
|||||||||||
13,737,462 | ||||||||||||
|
|
|||||||||||
Pakistan 0.1% |
||||||||||||
Pakistan Government International Bond |
245 | 199,874 | ||||||||||
7.375%, 04/08/2031(a) |
3,816 | 2,919,660 | ||||||||||
|
|
|||||||||||
3,119,534 | ||||||||||||
|
|
|||||||||||
Senegal 0.3% |
||||||||||||
Senegal Government International Bond |
5,158 | 4,590,620 | ||||||||||
6.75%, 03/13/2048(a) |
6,453 | 5,107,146 | ||||||||||
|
|
|||||||||||
9,697,766 | ||||||||||||
|
|
|||||||||||
Ukraine 0.1% |
||||||||||||
Ukraine Government International Bond |
4,689 | 1,453,590 | ||||||||||
7.375%, 09/25/2032(a) |
3,586 | 1,111,660 | ||||||||||
|
|
|||||||||||
2,565,250 | ||||||||||||
|
|
|||||||||||
Total Emerging Markets - Sovereigns |
112,116,627 | |||||||||||
|
|
|||||||||||
56 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES 2.4% |
||||||||||||
Non-Agency Fixed Rate CMBS 1.8% |
| |||||||||||
Banc of America Commercial Mortgage Trust |
U.S.$ | 372 | $ | 361,879 | ||||||||
BANK |
65,631 | 3,542,941 | ||||||||||
Barclays Commercial Mortgage Trust |
10,832 | 792,914 | ||||||||||
Benchmark Mortgage Trust |
44,184 | 2,606,904 | ||||||||||
CD Mortgage Trust |
13,925 | 519,189 | ||||||||||
CFCRE Commercial Mortgage Trust |
13,034 | 654,766 | ||||||||||
Citigroup Commercial Mortgage Trust |
516 | 512,148 | ||||||||||
Series 2016-C3, Class XA |
32,338 | 1,208,569 | ||||||||||
Commercial Mortgage Trust |
30,966 | 318,279 | ||||||||||
Series 2015-CR27, Class XA |
6,289 | 165,601 | ||||||||||
CSAIL Commercial Mortgage Trust |
960 | 934,972 | ||||||||||
GS Mortgage Securities Trust |
375 | 331,991 | ||||||||||
Series 2011-GC5, Class D |
14,025 | 6,100,671 | ||||||||||
Series 2016-GS3, Class XA |
30,241 | 1,256,465 | ||||||||||
Series 2019-GC39, Class XA |
15,643 | 861,028 | ||||||||||
JPMBB Commercial Mortgage Securities Trust |
1,599 | 1,567,417 |
abfunds.com | AB INCOME FUND | 57 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Series 2014-C24, Class C |
U.S.$ | 5,869 | $ | 5,350,358 | ||||||
JPMDB Commercial Mortgage Securities Trust |
37,084 | 1,930,442 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust |
2,411 | 2,410,242 | ||||||||
Series 2012-C8, Class E |
2,103 | 1,987,334 | ||||||||
Series 2012-LC9, Class E |
7,500 | 6,855,365 | ||||||||
Series 2012-LC9, Class G |
831 | 615,538 | ||||||||
Series 2016-JP2, Class XA |
15,267 | 908,795 | ||||||||
LB-UBS Commercial Mortgage Trust |
632 | 263,082 | ||||||||
LCCM |
36,606 | 2,070,746 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust |
680 | 630,507 | ||||||||
Series 2014-C18, Class C |
4,408 | 4,239,161 | ||||||||
Series 2015-C22, Class XA |
11,575 | 249,827 | ||||||||
UBS Commercial Mortgage Trust |
1,140 | 1,064,818 | ||||||||
Series 2017-C1, Class XA |
6,988 | 423,783 | ||||||||
Series 2019-C16, Class XA |
15,607 | 1,256,914 | ||||||||
Series 2019-C18, Class XA |
43,927 | 2,384,586 | ||||||||
UBS-Barclays Commercial Mortgage Trust |
2,414 | 2,357,159 | ||||||||
Series 2013-C5, Class C |
782 | 733,705 |
58 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Wells Fargo Commercial Mortgage Trust |
U.S.$ | 7,853 | $ | 214,323 | ||||||||
Series 2016-C36, Class XA |
46,126 | 1,923,285 | ||||||||||
Series 2016-LC24, Class XA |
28,017 | 1,542,863 | ||||||||||
Series 2016-LC25, Class XA |
17,532 | 538,718 | ||||||||||
Series 2019-C52, Class XA |
18,979 | 1,567,359 | ||||||||||
WF-RBS Commercial Mortgage Trust |
489 | 380,364 | ||||||||||
Series 2014-LC14, Class C |
134 | 132,151 | ||||||||||
|
|
|||||||||||
63,767,159 | ||||||||||||
|
|
|||||||||||
Non-Agency Floating Rate CMBS 0.6% |
||||||||||||
BFLD Trust |
11,227 | 10,945,445 | ||||||||||
DBWF Mortgage Trust |
1,994 | 1,934,110 | ||||||||||
Great Wolf Trust |
5,005 | 4,841,833 | ||||||||||
Morgan Stanley Capital I Trust |
1,651 | 1,431,011 | ||||||||||
|
|
|||||||||||
19,152,399 | ||||||||||||
|
|
|||||||||||
Agency CMBS 0.0% |
||||||||||||
Government National Mortgage Association |
124 | 172 | ||||||||||
|
|
|||||||||||
Total Commercial Mortgage-Backed Securities |
82,919,730 | |||||||||||
|
|
|||||||||||
abfunds.com | AB INCOME FUND | 59 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
AGENCIES 1.0% |
| |||||||||||
Agency Debentures 1.0% |
| |||||||||||
Federal Home Loan Banks |
U.S.$ | 8,695 | $ | 10,617,854 | ||||||||
Federal Home Loan Mortgage Corp. |
10,400 | 13,134,896 | ||||||||||
6.75%, 03/15/2031 |
4,000 | 5,089,981 | ||||||||||
Series GDIF |
4,606 | 5,758,600 | ||||||||||
|
|
|||||||||||
Total Agencies |
34,601,331 | |||||||||||
|
|
|||||||||||
QUASI-SOVEREIGNS 0.9% |
||||||||||||
Quasi-Sovereign Bonds 0.9% |
||||||||||||
Bahrain 0.1% |
||||||||||||
Oil and Gas Holding Co. BSCC (The)
|
668 | 699,855 | ||||||||||
8.375%, 11/07/2028(a) |
3,912 | 4,279,435 | ||||||||||
|
|
|||||||||||
4,979,290 | ||||||||||||
|
|
|||||||||||
Indonesia 0.1% |
||||||||||||
Indonesia Asahan Aluminium Persero PT
|
2,044 | 2,041,670 | ||||||||||
5.71%, 11/15/2023(a) |
277 | 285,275 | ||||||||||
|
|
|||||||||||
2,326,945 | ||||||||||||
|
|
|||||||||||
Kazakhstan 0.1% |
||||||||||||
KazMunayGas National Co. JSC
|
768 | 747,024 | ||||||||||
5.375%, 04/24/2030(a) |
1,940 | 1,866,862 | ||||||||||
|
|
|||||||||||
2,613,886 | ||||||||||||
|
|
|||||||||||
Mexico 0.5% |
||||||||||||
Comision Federal de Electricidad
|
4,031 | 3,706,757 | ||||||||||
Petroleos Mexicanos |
8,565 | 7,187,662 | ||||||||||
6.49%, 01/23/2027 |
1,455 | 1,392,726 | ||||||||||
6.75%, 09/21/2047 |
8,071 | 5,828,715 | ||||||||||
6.95%, 01/28/2060 |
3,090 | 2,255,700 | ||||||||||
|
|
|||||||||||
20,371,560 | ||||||||||||
|
|
|||||||||||
Ukraine 0.1% |
||||||||||||
NAK Naftogaz Ukraine via Kondor Finance PLC |
2,168 | 607,040 | ||||||||||
State Agency of Roads of Ukraine
|
7,856 | 2,435,360 | ||||||||||
|
|
|||||||||||
3,042,400 | ||||||||||||
|
|
|||||||||||
Total Quasi-Sovereigns |
33,334,081 | |||||||||||
|
|
|||||||||||
60 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
ASSET-BACKED SECURITIES 0.7% |
||||||||||||
Other ABS - Fixed Rate 0.5% |
||||||||||||
Consumer Loan Underlying Bond Certificate Issuer Trust I |
U.S.$ | 262 | $ | 256,125 | ||||||||
Series 2019-36, Class PT |
584 | 573,631 | ||||||||||
Series 2019-43, Class PT |
157 | 154,388 | ||||||||||
Consumer Loan Underlying Bond Credit Trust |
484 | 484,845 | ||||||||||
Marlette Funding Trust |
897 | 894,797 | ||||||||||
Series 2018-4A, Class C |
259 | 259,482 | ||||||||||
Series 2019-2A, Class C |
2,390 | 2,386,095 | ||||||||||
Series 2019-3A, Class C |
3,775 | 3,777,388 | ||||||||||
SoFi Consumer Loan Program LLC |
426 | 420,054 | ||||||||||
SoFi Consumer Loan Program Trust |
1,000 | 994,344 | ||||||||||
Series 2019-3, Class D |
5,378 | 5,387,067 | ||||||||||
Series 2019-4, Class D |
3,000 | 2,982,986 | ||||||||||
|
|
|||||||||||
18,571,202 | ||||||||||||
|
|
|||||||||||
Autos - Fixed Rate 0.2% |
||||||||||||
Flagship Credit Auto Trust |
2,970 | 2,934,304 | ||||||||||
Westlake Automobile Receivables Trust |
2,551 | 2,561,479 | ||||||||||
|
|
|||||||||||
5,495,783 | ||||||||||||
|
|
|||||||||||
Total Asset-Backed Securities |
24,066,985 | |||||||||||
|
|
|||||||||||
abfunds.com | AB INCOME FUND | 61 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
GOVERNMENTS - SOVEREIGN |
||||||||||||
Colombia 0.4% |
||||||||||||
Colombia Government International Bond |
U.S.$ | 864 | $ | 675,972 | ||||||||
3.25%, 04/22/2032 |
8,612 | 6,639,852 | ||||||||||
5.625%, 02/26/2044 |
1,372 | 1,115,007 | ||||||||||
6.125%, 01/18/2041 |
3,473 | 3,085,109 | ||||||||||
7.375%, 09/18/2037 |
790 | 819,033 | ||||||||||
|
|
|||||||||||
12,334,973 | ||||||||||||
|
|
|||||||||||
Mexico 0.1% |
||||||||||||
Mexico Government International Bond |
2,706 | 2,645,115 | ||||||||||
|
|
|||||||||||
Panama 0.1% |
||||||||||||
Panama Notas del Tesoro |
5,330 | 5,256,046 | ||||||||||
|
|
|||||||||||
Peru 0.0% |
| |||||||||||
Peruvian Government International Bond |
247 | 231,069 | ||||||||||
|
|
|||||||||||
Total Governments - Sovereign Bonds |
20,467,203 | |||||||||||
|
|
|||||||||||
Shares | ||||||||||||
COMMON STOCKS 0.4% |
||||||||||||
Energy 0.2% |
||||||||||||
Oil, Gas & Consumable Fuels 0.2% |
||||||||||||
Berry Corp. |
135,161 | 1,482,716 | ||||||||||
Civitas Resources, Inc. |
5,127 | 300,545 | ||||||||||
Denbury, Inc.(j) |
13,032 | 833,787 | ||||||||||
Diamond Offshore Drilling, Inc.(j) |
107,934 | 847,282 | ||||||||||
Diamond Offshore Drilling, Inc.(j)(m) |
22,730 | 178,431 | ||||||||||
Golden Energy Offshore Services AS(j) |
1,497,659 | 196,402 | ||||||||||
Gulfport Energy Corp.(j) |
17,896 | 1,681,866 | ||||||||||
SandRidge Energy, Inc.(j) |
105 | 1,950 | ||||||||||
Vantage Drilling International(j) |
16,001 | 230,014 | ||||||||||
Whiting Petroleum Corp. |
12,942 | 945,413 | ||||||||||
|
|
|||||||||||
6,698,406 | ||||||||||||
|
|
|||||||||||
Consumer Discretionary 0.1% |
||||||||||||
Auto Components 0.1% |
||||||||||||
ATD New Holdings, Inc.(h)(i)(j) |
29,486 | 2,422,776 | ||||||||||
Energy Technology(h)(i)(j) |
497 | 410,025 | ||||||||||
|
|
|||||||||||
2,832,801 | ||||||||||||
|
|
62 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares |
U.S. $ Value | ||||||||||
|
||||||||||||
Internet & Catalog Retail 0.0% |
||||||||||||
GOLO Mobile, Inc.(h)(i)(j) |
30,264 | $ | 0 | | ||||||||
|
|
|||||||||||
2,832,801 | ||||||||||||
|
|
|||||||||||
Consumer Staples 0.1% |
||||||||||||
Food & Staples Retailing 0.1% |
||||||||||||
Southeastern Grocers, Inc.(h)(i)(j) |
71,086 | 1,706,064 | ||||||||||
|
|
|||||||||||
Communication Services 0.0% |
||||||||||||
Diversified Telecommunication Services 0.0% |
||||||||||||
Intelsat Emergence SA(h)(j) |
46,202 | 1,461,139 | ||||||||||
Intelsat Jackson Holdings SA(h)(i)(j) |
9,676 | 0 | | |||||||||
|
|
|||||||||||
1,461,139 | ||||||||||||
|
|
|||||||||||
Media 0.0% |
||||||||||||
iHeartMedia, Inc. Class A(j) |
14,385 | 230,016 | ||||||||||
|
|
|||||||||||
1,691,155 | ||||||||||||
|
|
|||||||||||
Information Technology 0.0% |
||||||||||||
Software 0.0% |
||||||||||||
Monitronics International, Inc.(j) |
68,348 | 17,087 | ||||||||||
Paysafe AG Tracker(h)(i)(j) |
71,679 | 0 | | |||||||||
Paysafe Ltd.(j) |
100,908 | 280,524 | ||||||||||
|
|
|||||||||||
297,611 | ||||||||||||
|
|
|||||||||||
Total Common Stocks |
13,226,037 | |||||||||||
|
|
|||||||||||
Principal Amount (000) |
||||||||||||
LOCAL GOVERNMENTS - US MUNICIPAL BONDS 0.3% |
||||||||||||
United States 0.3% |
||||||||||||
Texas Transportation Commission State Highway Fund |
U.S.$ | 2,560 | 2,745,935 | |||||||||
Wisconsin Public Finance Authority (Catholic Bishop of Chicago (The)) |
6,915 | 6,710,896 | ||||||||||
|
|
|||||||||||
Total Local Governments - US Municipal Bonds |
9,456,831 | |||||||||||
|
|
|||||||||||
abfunds.com | AB INCOME FUND | 63 |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares |
U.S. $ Value | ||||||||||
|
||||||||||||
PREFERRED STOCKS 0.1% |
||||||||||||
Industrial 0.1% |
||||||||||||
Auto Components 0.1% |
||||||||||||
Energy Technology |
3,093 | $ | 2,489,865 | |||||||||
|
|
|||||||||||
Energy 0.0% |
||||||||||||
Gulfport Energy Operating Corp.
|
5 | 34,000 | ||||||||||
Gulfport Energy Corp. |
108 | 734,400 | ||||||||||
|
|
|||||||||||
768,400 | ||||||||||||
|
|
|||||||||||
Total Preferred Stocks |
3,258,265 | |||||||||||
|
|
|||||||||||
WARRANTS 0.0% |
||||||||||||
Avaya Holdings Corp., expiring 12/15/2022(j) |
2,936 | 1,175 | ||||||||||
Encore Automotive Acceptance, expiring 07/05/2031(h)(i) |
13 | 0 | | |||||||||
Flexpath Capital, Inc., expiring 04/15/2031(h)(i)(j) |
17,195 | 0 | | |||||||||
SandRidge Energy, Inc., A-CW22, expiring(j) |
2,566 | 154 | ||||||||||
SandRidge Energy, Inc., B-CW22, expiring 10/04/2022(j) |
1,080 | 43 | ||||||||||
|
|
|||||||||||
Total Warrants |
1,372 | |||||||||||
|
|
|||||||||||
SHORT-TERM INVESTMENTS 0.6% |
||||||||||||
Investment Companies 0.6% |
||||||||||||
AB Fixed Income Shares, Inc. Government Money Market Portfolio Class AB, 0.22%(r)(s)(t) |
20,433,467 | 20,433,467 | ||||||||||
|
|
|||||||||||
Total Investments 142.9% |
5,003,828,438 | |||||||||||
Other assets less liabilities (42.9)% |
(1,502,201,578 | ) | ||||||||||
|
|
|||||||||||
Net Assets 100.0% |
$ | 3,501,626,860 | ||||||||||
|
|
64 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
FUTURES (see Note D)
Description | Number of Contracts |
Expiration Month |
Current Notional |
Value and Unrealized Appreciation/ (Depreciation) |
||||||||||||
Purchased Contracts |
| |||||||||||||||
Long Gilt Futures |
11 | June 2022 | $ | 1,638,257 | $ | (51,906 | ) | |||||||||
U.S. Long Bond (CBT) Futures |
329 | June 2022 | 46,286,187 | (5,072,974 | ) | |||||||||||
U.S. T-Note 5 Yr (CBT) Futures |
1,375 | June 2022 | 154,923,828 | (6,763,539 | ) | |||||||||||
U.S. T-Note 10 Yr (CBT) Futures |
1,269 | June 2022 | 151,209,281 | (9,180,037 | ) | |||||||||||
U.S. Ultra Bond (CBT) Futures |
1,927 | June 2022 | 309,163,063 | (43,889,941 | ) | |||||||||||
Sold Contracts |
||||||||||||||||
Euro Buxl 30 Yr Bond Futures |
16 | June 2022 | 2,886,006 | 499,947 | ||||||||||||
Euro-BOBL Futures |
20 | June 2022 | 2,683,372 | 122,746 | ||||||||||||
Euro-Bund Futures |
52 | June 2022 | 8,425,550 | 673,527 | ||||||||||||
Euro-Schatz Futures |
230 | June 2022 | 26,725,424 | 422,099 | ||||||||||||
U.S. 10 Yr Ultra Futures |
1,137 | June 2022 | 146,673,000 | 12,522,802 | ||||||||||||
U.S. T-Note 2 Yr (CBT) Futures |
910 | June 2022 | 191,839,375 | 3,517,573 | ||||||||||||
U.S. T-Note 5 Yr (CBT) Futures |
4,832 | June 2022 | 544,430,500 | 23,814,014 | ||||||||||||
|
|
|||||||||||||||
$ | (23,385,689 | ) | ||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
Counterparty | Contracts to Deliver (000) |
In Exchange For (000) |
Settlement Date |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Barclays Bank PLC |
USD | 3,786 | EUR | 3,445 | 05/12/2022 | $ | (150,149 | ) | ||||||||||||||||
Citibank, NA |
RUB | 362,709 | USD | 2,585 | 05/06/2022 | (2,490,965 | ) | |||||||||||||||||
Citibank, NA |
USD | 15,795 | RUB | 1,421,587 | 05/06/2022 | 4,100,059 | ||||||||||||||||||
JPMorgan Chase Bank |
EUR | 3,835 | USD | 4,210 | 05/12/2022 | 162,672 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. |
RUB | 1,516,629 | USD | 11,693 | 05/06/2022 | (9,532,245 | ) | |||||||||||||||||
Morgan Stanley Capital Services, Inc. |
USD | 5,667 | RUB | 457,751 | 05/06/2022 | 739,702 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. |
USD | 4,257 | EUR | 3,891 | 05/12/2022 | (150,304 | ) | |||||||||||||||||
Morgan Stanley Capital Services, Inc. |
GBP | 1,138 | USD | 1,487 | 06/09/2022 | 55,696 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. |
AUD | 109,479 | USD | 78,467 | 07/21/2022 | 1,008,230 | ||||||||||||||||||
Standard Chartered Bank |
IDR | 23,323,000 | USD | 1,622 | 07/28/2022 | 30,487 | ||||||||||||||||||
State Street Bank & Trust Co. |
EUR | 181 | USD | 206 | 05/12/2022 | 15,089 | ||||||||||||||||||
UBS AG |
EUR | 38,135 | USD | 43,637 | 05/12/2022 | 3,392,100 | ||||||||||||||||||
UBS AG |
CAD | 222,585 | USD | 177,994 | 07/21/2022 | 4,780,469 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
$ | 1,960,841 | |||||||||||||||||||||||
|
|
abfunds.com | AB INCOME FUND | 65 |
PORTFOLIO OF INVESTMENTS (continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note D)
Description | Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at April 30, 2022 |
Notional Amount (000) |
Market Value |
Upfront Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||
Citigroup Global Markets, Inc. |
|
|||||||||||||||||||||||||||
CDX-NAHY Series 38, 5 Year Index, 06/20/2027* |
5.00 | % | Quarterly | 4.63 | % | USD | 25,100 | $ | 521,474 | $ | 1,247,386 | $ | (725,912 | ) | ||||||||||||||
iTraxxx Xover Series 37, 5 Year Index, 06/20/2027* |
5.00 | Quarterly | 4.28 | EUR | 13,220 | 512,726 | 871,221 | (358,495 | ) | |||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
$ | 1,034,200 | $ | 2,118,607 | $ | (1,084,407 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||||||||||
Notional Amount (000) |
Termination Date |
Payments made by the Fund |
Payments received by the Fund |
Payment Frequency Paid/ Received |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||||
USD | 109,350 | 04/20/2023 | 2.850% | |
3 Month LIBOR |
|
Semi-Annual/ Quarterly |
$ | (443,623 | ) | $ | 0 | | $ | (443,623 | ) | ||||||||||||||
USD | 46,860 | 04/02/2024 | 2.851% | |
3 Month LIBOR |
|
Semi-Annual/ Quarterly |
74,623 | 0 | | 74,623 | |||||||||||||||||||
USD | 30,755 | 02/10/2025 | 2.034% | |
3 Month LIBOR |
|
Semi-Annual/ Quarterly |
738,589 | 0 | | 738,589 | |||||||||||||||||||
USD | 6,010 | 06/09/2025 | 2.491% | |
3 Month LIBOR |
|
Semi-Annual/ Quarterly |
47,450 | 0 | | 47,450 | |||||||||||||||||||
USD | 10,000 | 01/11/2027 | 2.285% | |
3 Month LIBOR |
|
Semi-Annual/ Quarterly |
259,853 | 0 | | 259,853 | |||||||||||||||||||
USD | 11,920 | 04/26/2027 | 2.287% | |
3 Month LIBOR |
|
Semi-Annual/ Quarterly |
403,077 | 0 | | 403,077 | |||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
$ | 1,079,969 | $ | 0 | | $ | 1,079,969 | ||||||||||||||||||||||||
|
|
|
|
|
|
CREDIT DEFAULT SWAPS (see Note D)
Swap Counterparty & Referenced Obligation |
Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at April 30, 2022 |
Notional |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||||||
Barclays Bank PLC |
||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* |
5.00 | % | Monthly | 7.50 | % | USD | 4,600 | $ | (1,896,708 | ) | $ | (108,617 | ) | $ | (1,788,091 | ) | ||||||||||||||||
Citigroup Global Markets, Inc |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 1,435 | (346,534 | ) | (139,096 | ) | (207,438 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* |
5.00 | Monthly | 7.50 | USD | 3,680 | (1,517,367 | ) | (536,692 | ) | (980,675 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 1,114 | (269,023 | ) | (286,487 | ) | 17,464 |
66 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Swap Counterparty & Referenced Obligation |
Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at April 30, 2022 |
Notional |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | % | Monthly | 7.50 | % | USD | 2,090 | $ | (504,730 | ) | $ | (492,704 | ) | $ | (12,026 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 2,786 | (672,898 | ) | (656,865 | ) | (16,033 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 152 | (36,773 | ) | (9,162 | ) | (27,611 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 603 | (145,730 | ) | (65,046 | ) | (80,684 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 1,075 | (259,731 | ) | (163,815 | ) | (95,916 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 938 | (223,708 | ) | (79,410 | ) | (144,298 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 3,050 | (736,584 | ) | (300,464 | ) | (436,120 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 4,692 | (1,133,206 | ) | (544,144 | ) | (589,062 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 4,692 | (1,133,205 | ) | (458,645 | ) | (674,560 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 4,692 | (1,133,206 | ) | (452,011 | ) | (681,195 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 8,968 | (2,166,009 | ) | (855,719 | ) | (1,310,290 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 8,968 | (2,166,009 | ) | (855,719 | ) | (1,310,290 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 8,473 | (2,046,343 | ) | (697,799 | ) | (1,348,544 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 11,261 | (2,719,694 | ) | (1,361,385 | ) | (1,358,309 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 8,975 | (2,167,596 | ) | (537,382 | ) | (1,630,214 | ) | |||||||||||||||||||||
Credit Suisse International |
|
|||||||||||||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 05/11/2063* |
2.00 | Monthly | 7.50 | USD | 499 | (45,061 | ) | (18,840 | ) | (26,221 | ) | |||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 05/11/2063* |
2.00 | Monthly | 7.50 | USD | 1,000 | (90,282 | ) | (38,463 | ) | (51,819 | ) | |||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 05/11/2063* |
2.00 | Monthly | 7.50 | USD | 2,498 | (225,626 | ) | (94,335 | ) | (131,291 | ) | |||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 05/11/2063* |
2.00 | Monthly | 7.50 | USD | 5,720 | (516,579 | ) | (294,434 | ) | (222,145 | ) | |||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 05/11/2063* |
2.00 | Monthly | 7.50 | USD | 13,200 | (1,192,107 | ) | (355,359 | ) | (836,748 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 1,260 | (304,379 | ) | (148,855 | ) | (155,524 | ) |
abfunds.com | AB INCOME FUND | 67 |
PORTFOLIO OF INVESTMENTS (continued)
Swap Counterparty & Referenced Obligation |
Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at April 30, 2022 |
Notional |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | % | Monthly | 7.50 | % | USD | 8,652 | $ | (2,089,631 | ) | $ | (997,309 | ) | $ | (1,092,322 | ) | ||||||||||||||||
Goldman Sachs International |
|
|||||||||||||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 05/11/2063* |
2.00 | Monthly | 7.50 | USD | 20,856 | (1,883,528 | ) | (870,866 | ) | (1,012,662 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* |
5.00 | Monthly | 7.50 | USD | 15,180 | (6,259,135 | ) | (3,269,904 | ) | (2,989,231 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 5,934 | (1,433,052 | ) | (917,150 | ) | (515,902 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 4,027 | (972,517 | ) | (446,479 | ) | (526,038 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 8,283 | (2,000,561 | ) | (1,298,778 | ) | (701,783 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 9,384 | (2,266,411 | ) | (1,417,617 | ) | (848,794 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 11,232 | (2,712,668 | ) | (1,492,008 | ) | (1,220,660 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 8,473 | (2,046,343 | ) | (694,468 | ) | (1,351,875 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 11,175 | (2,699,070 | ) | (1,236,781 | ) | (1,462,289 | ) | |||||||||||||||||||||
JPMorgan Securities, LLC |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* |
5.00 | Monthly | 7.50 | USD | 3,448 | (1,421,772 | ) | (637,635 | ) | (784,137 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* |
5.00 | Monthly | 7.50 | USD | 3,559 | (1,467,672 | ) | (648,710 | ) | (818,962 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 2,815 | (679,923 | ) | (169,403 | ) | (510,520 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 4,236 | (1,023,058 | ) | (347,108 | ) | (675,950 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 8,955 | (2,162,837 | ) | (963,154 | ) | (1,199,683 | ) | |||||||||||||||||||||
Morgan Stanley & Co. International PLC |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 05/11/2063* |
2.00 | Monthly | 7.50 | USD | 258 | (23,289 | ) | (10,091 | ) | (13,198 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 513 | (123,972 | ) | (40,792 | ) | (83,180 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (54,914,527 | ) | $ | (25,009,701 | ) | $ | (29,904,826 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
68 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
REVERSE REPURCHASE AGREEMENTS (see Note D)
Broker | Currency | Principal Amount (000) |
Interest Rate | Maturity | U.S. $ Value at April 30, 2022 |
|||||||||||||||
Barclays Capital, Inc. |
USD | 3,407 | (0.75 | )%* | | $ | 3,411,421 | |||||||||||||
Barclays Capital, Inc. |
USD | 3,625 | (3.00 | )%* | | 3,633,458 | ||||||||||||||
Credit Suisse International |
EUR | 2,473 | (1.00 | )%* | | 2,609,219 | ||||||||||||||
Credit Suisse International |
EUR | 1,334 | (1.50 | )%* | | 1,406,829 | ||||||||||||||
HSBC Securities (USA), Inc. |
USD | 584,473 | 0.08 | % | | 584,533,545 | ||||||||||||||
HSBC Securities (USA), Inc. |
USD | 51,095 | 0.33 | % | | 51,110,272 | ||||||||||||||
JPMorgan Chase Bank |
USD | 38,220 | 0.12 | % | | 38,226,115 | ||||||||||||||
JPMorgan Chase Bank |
USD | 606,570 | 0.36 | % | | 606,833,353 | ||||||||||||||
|
|
|||||||||||||||||||
$ | 1,291,764,212 | |||||||||||||||||||
|
|
* | Interest payment due from counterparty. |
| The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on April 30, 2022. |
The type of underlying collateral and the remaining maturity of open reverse repurchase agreements is as follows:
Overnight and Continuous |
Up to 30 Days | 31-90 Days | Greater than 90 Days |
Total | ||||||||||||||||
Government Treasuries |
$ | 1,282,110,114 | $ | 0 | | $ | 0 | | $ | 0 | | $ | 1,282,110,114 | |||||||
Corporates Non-Investment Grade |
9,654,098 | 0 | | 0 | | 0 | | 9,654,098 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 1,291,764,212 | $ | 0 | | $ | 0 | | $ | 0 | | $ | 1,291,764,212 | |||||||
|
|
|
|
|
|
|
|
|
|
** | 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 April 30, 2022, the aggregate market value of these securities amounted to $1,244,858,514 or 35.6% of net assets. |
(b) | Position, or a portion thereof, has been segregated to collateralize reverse repurchase agreements. |
(c) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open centrally cleared swaps. |
(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) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(g) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at April 30, 2022. |
(h) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(i) | Fair valued by the Adviser. |
abfunds.com | AB INCOME FUND | 69 |
PORTFOLIO OF INVESTMENTS (continued)
(j) | Non-income producing security. |
(k) | Defaulted matured security. |
(l) | Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at April 30, 2022. |
(m) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.31% of net assets as of April 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 |
||||||||||||
Consumer Loan Underlying Bond Certificate Issuer Trust I |
09/27/2018 | $ | 261,660 | $ | 256,125 | 0.01 | % | |||||||||
Consumer Loan Underlying Bond Certificate Issuer Trust I |
09/04/2019 | 583,813 | 573,631 | 0.02 | % | |||||||||||
Consumer Loan Underlying Bond Certificate Issuer Trust I |
10/09/2019 | 157,476 | 154,388 | 0.00 | % | |||||||||||
Diamond Offshore Drilling, Inc. |
04/26/2021 | 467,814 | 178,431 | 0.01 | % | |||||||||||
Digicel Group Holdings Ltd. |
06/19/2020 | 16,194 | 64,232 | 0.00 | % | |||||||||||
Exide Technologies |
10/26/2020 | 0 | | 0 | | 0.00 | % | |||||||||
Exide Technologies |
06/21/2019 | 692,006 | 0 | | 0.00 | % | ||||||||||
Home Re Ltd. |
12/20/2019 | 2,063,759 | 2,016,943 | 0.06 | % | |||||||||||
JPMorgan Madison Avenue Securities Trust |
11/06/2015 | 400,133 | 394,326 | 0.01 | % | |||||||||||
JPMorgan Madison Avenue Securities Trust |
09/18/2015 | 718,516 | 728,542 | 0.02 | % | |||||||||||
Magnetation LLC/Mag Finance Corp. |
02/19/2015 | 861,787 | 0 | | 0.00 | % | ||||||||||
NAK Naftogaz Ukraine via Kondor Finance PLC |
11/04/2019 | 2,168,000 | 607,040 | 0.02 | % | |||||||||||
PMT Credit Risk Transfer Trust Series 2020-1R, Class A
|
02/11/2020 | 2,274,156 | 2,264,875 | 0.06 | % |
70 | AB INCOME FUND |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
144A/Restricted & Illiquid Securities |
Acquisition Date |
Cost | Market Value |
Percentage of Net Assets |
||||||||||||
SoFi Consumer Loan Program LLC |
07/19/2017 | $ | 136,720 | $ | 420,054 | 0.01 | % | |||||||||
State Agency of Roads of Ukraine |
06/17/2021 | 7,856,000 | 2,435,360 | 0.07 | % | |||||||||||
Terraform Global Operating LLC |
02/08/2018 | 289,000 | 284,263 | 0.01 | % | |||||||||||
Tonon Luxembourg SA |
01/16/2013 | 1,804,783 | 87 | 0.00 | % | |||||||||||
Virgolino de Oliveira Finance SA |
06/19/2013 | 3,510,948 | 474 | 0.00 | % | |||||||||||
Virgolino de Oliveira Finance SA |
06/09/2014 | 745,965 | 75 | 0.00 | % | |||||||||||
Virgolino de Oliveira Finance SA |
01/29/2014 | 916,308 | 169 | 0.00 | % | |||||||||||
Wells Fargo Credit Risk Transfer Securities Trust |
09/06/2016 | 260,662 | 237,090 | 0.01 | % |
(n) | Defaulted. |
(o) | Inverse interest only security. |
(p) | IO Interest Only. |
(q) | The stated coupon rate represents the greater of the LIBOR or an alternate base rate such as the CDOR/SOFR or the LIBOR/CDOR/SOFR floor rate plus a spread at April 30, 2022. |
(r) | Affiliated investments. |
(s) | To obtain a copy of the funds shareholder report, please go to the Securities and Exchange Commissions website at www.sec.gov, or call AB at (800) 227-4618. |
(t) | The rate shown represents the 7-day yield as of period end. |
Currency Abbreviations:
AUD Australian Dollar
CAD Canadian Dollar
EUR Euro
GBP Great British Pound
IDR Indonesian Rupiah
RUB Russian Ruble
USD United States Dollar
Glossary:
ABS Asset-Backed Securities
BOBL Bundesobligationen
CBT Chicago Board of Trade
CDOR Canadian Dealer Offered Rate
CDX-CMBX.NA North American Commercial Mortgage-Backed Index
CDX-NAHY North American High Yield Credit Default Swap Index
CLO Collateralized Loan Obligations
CMBS Commercial Mortgage-Backed Securities
JSC Joint Stock Company
LIBOR London Interbank Offered Rate
abfunds.com | AB INCOME FUND | 71 |
PORTFOLIO OF INVESTMENTS (continued)
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.
72 | AB INCOME FUND |
abfunds.com |
STATEMENT OF ASSETS & LIABILITIES
April 30, 2022 (unaudited)
Assets |
| |||
Investments in securities, at value |
| |||
Unaffiliated issuers (cost $5,406,128,076) |
$ | 4,983,394,971 | ||
Affiliated issuers (cost $20,433,467) |
20,433,467 | |||
Cash |
4,254,011 | |||
Cash collateral due from broker |
1,033,000 | |||
Foreign currencies, at value (cost $1,146,677) |
1,131,669 | |||
Interest receivable |
53,553,706 | |||
Unrealized appreciation on forward currency exchange contracts |
14,284,504 | |||
Receivable for investment securities sold |
10,141,437 | |||
Receivable for capital stock sold |
4,622,099 | |||
Affiliated dividends receivable |
1,177 | |||
Other assets |
27,077 | |||
|
|
|||
Total assets |
5,092,877,118 | |||
|
|
|||
Liabilities |
| |||
Payable for reverse repurchase agreements |
1,291,764,212 | |||
Payable for investment securities purchased |
202,415,612 | |||
Market value on credit default swaps (net premiums received $25,009,701) |
54,914,527 | |||
Payable for capital stock repurchased |
21,557,882 | |||
Unrealized depreciation on forward currency exchange contracts |
12,323,663 | |||
Payable for terminated credit default swaps |
2,838,947 | |||
Cash collateral due to broker |
1,260,000 | |||
Advisory fee payable |
1,243,295 | |||
Dividends payable |
941,247 | |||
Payable for variation margin on futures |
506,646 | |||
Foreign capital gains tax payable |
390,033 | |||
Distribution fee payable |
181,062 | |||
Transfer Agent fee payable |
76,132 | |||
Payable for variation margin on centrally cleared swaps |
52,224 | |||
Administrative fee payable |
34,419 | |||
Directors fees payable |
8,163 | |||
Accrued expenses |
742,194 | |||
|
|
|||
Total liabilities |
1,591,250,258 | |||
|
|
|||
Net Assets |
$ | 3,501,626,860 | ||
|
|
|||
Composition of Net Assets | ||||
Capital stock, at par |
$ | 497,986 | ||
Additional paid-in capital |
4,004,759,927 | |||
Accumulated loss |
(503,631,053 | ) | ||
|
|
|||
Net Assets |
$ | 3,501,626,860 | ||
|
|
Net Asset Value Per Share33 billion shares of capital stock authorized, $.001 par value
Class | Net Assets | Shares Outstanding |
Net Asset Value |
|||||||||
|
||||||||||||
A | $ | 209,646,537 | 29,847,533 | $ | 7.02 | * | ||||||
|
||||||||||||
C | $ | 152,492,526 | 21,684,655 | $ | 7.03 | |||||||
|
||||||||||||
Advisor | $ | 3,114,030,933 | 442,832,386 | $ | 7.03 | |||||||
|
||||||||||||
Z | $ | 25,456,864 | 3,621,205 | $ | 7.03 | |||||||
|
* | The maximum offering price per share for Class A shares was $7.33 which reflects a sales charge of 4.25%. |
See notes to financial statements.
abfunds.com | AB INCOME FUND | 73 |
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2022 (unaudited)
Investment Income | ||||||||
Interest |
$ | 76,531,238 | ||||||
Dividends |
||||||||
Unaffiliated issuers |
181,289 | |||||||
Affiliated issuers |
5,841 | |||||||
Other income |
29,055 | $ | 76,747,423 | |||||
|
|
|||||||
Expenses | ||||||||
Advisory fee (see Note B) |
9,067,689 | |||||||
Distribution feeClass A |
306,962 | |||||||
Distribution feeClass C |
884,830 | |||||||
Transfer agencyClass A |
98,497 | |||||||
Transfer agencyClass C |
70,969 | |||||||
Transfer agencyAdvisor Class |
1,507,510 | |||||||
Transfer agencyClass Z |
2,988 | |||||||
Custody and accounting |
164,770 | |||||||
Printing |
121,668 | |||||||
Audit and tax |
73,214 | |||||||
Registration fees |
64,802 | |||||||
Administrative |
46,634 | |||||||
Directors fees |
37,195 | |||||||
Legal |
33,474 | |||||||
Miscellaneous |
48,216 | |||||||
|
|
|||||||
Total expenses before interest expense |
12,529,418 | |||||||
Interest expense |
825,264 | |||||||
Total expenses |
13,354,682 | |||||||
|
|
|||||||
Less: expenses waived and reimbursed by the Adviser (see Note B) |
(384,742 | ) | ||||||
|
|
|||||||
Net expenses |
12,969,940 | |||||||
|
|
|||||||
Net investment income |
63,777,483 | |||||||
|
|
|||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain (loss) on: |
||||||||
Investment transactions(a) |
(36,678,095 | ) | ||||||
Forward currency exchange contracts |
14,700,425 | |||||||
Futures |
10,134,229 | |||||||
Options written |
2,997 | |||||||
Swaps |
(17,828,894 | ) | ||||||
Swaptions written |
(56,399 | ) | ||||||
Foreign currency transactions |
(28,907,991 | ) | ||||||
Net change in unrealized appreciation/depreciation of: |
||||||||
Investments(b) |
(428,249,037 | ) | ||||||
Forward currency exchange contracts |
10,347,401 | |||||||
Futures |
(28,947,061 | ) | ||||||
Swaps |
42,093,017 | |||||||
Swaptions written |
(258,487 | ) | ||||||
Foreign currency denominated assets and liabilities |
(274,394 | ) | ||||||
|
|
|||||||
Net loss on investment and foreign currency transactions |
(463,922,289 | ) | ||||||
|
|
|||||||
Net Decrease in Net Assets from Operations |
$ | (400,144,806 | ) | |||||
|
|
(a) | Net of foreign realized capital gains taxes of $96,801. |
(b) | Net of decrease in accrued foreign capital gains taxes on unrealized gains of $135,628. |
See notes to financial statements.
74 | AB INCOME FUND |
abfunds.com |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
|||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income |
$ | 63,777,483 | $ | 152,778,034 | ||||
Net realized gain (loss) on investment and foreign currency transactions |
(58,633,728 | ) | 50,218,675 | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities |
(405,288,561 | ) | (82,969,291 | ) | ||||
Contributions from Affiliates (see Note B) |
0 | | 1,723,972 | |||||
|
|
|
|
|||||
Net increase (decrease) in net assets from operations |
(400,144,806 | ) | 121,751,390 | |||||
Distributions to Shareholders |
||||||||
Class A |
(3,784,062 | ) | (9,801,938 | ) | ||||
Class C |
(2,060,011 | ) | (5,496,599 | ) | ||||
Advisor Class |
(62,619,339 | ) | (150,065,239 | ) | ||||
Class Z |
(482,335 | ) | (986,960 | ) | ||||
Capital Stock Transactions | ||||||||
Net increase (decrease) |
(672,986,483 | ) | 65,001,121 | |||||
|
|
|
|
|||||
Total increase (decrease) |
(1,142,077,036 | ) | 20,401,775 | |||||
Net Assets | ||||||||
Beginning of period |
4,643,703,896 | 4,623,302,121 | ||||||
|
|
|
|
|||||
End of period |
$ | 3,501,626,860 | $ | 4,643,703,896 | ||||
|
|
|
|
See notes to financial statements.
abfunds.com | AB INCOME FUND | 75 |
STATEMENT OF CASH FLOWS
For the six months ended April 30, 2022 (unaudited)
Cash flows from operating activities | ||||||||
Net decrease in net assets from operations |
$ | (400,144,806 | ) | |||||
Reconciliation of net decrease in net assets from operations to net increase in cash from operating activities | ||||||||
Purchases of long-term investments |
$ | (1,618,330,895 | ) | |||||
Purchases of short-term investments |
(513,056,230 | ) | ||||||
Proceeds from disposition of long-term investments |
2,243,801,826 | |||||||
Proceeds from disposition of short-term investments |
603,795,283 | |||||||
Net realized loss on investment transactions and foreign currency transactions |
58,633,728 | |||||||
Net realized gain on forward currency exchange contracts |
14,700,425 | |||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities |
405,288,561 | |||||||
Net accretion of bond discount and amortization of bond premium |
40,934,114 | |||||||
Increase in receivable for investments sold |
(5,980,483 | ) | ||||||
Decrease in interest receivable |
12,167,688 | |||||||
Increase in affiliated dividends receivable |
(424 | ) | ||||||
Increase in other assets |
(1,100 | ) | ||||||
Decrease in cash collateral due from broker |
1,740,000 | |||||||
Decrease in payable for investments purchased |
(42,100,835 | ) | ||||||
Decrease in cash collateral due to broker |
(1,520,000 | ) | ||||||
Decrease in advisory fee payable |
(552,662 | ) | ||||||
Increase in administrative fee payable |
1,562 | |||||||
Decrease in foreign capital gains tax payable |
(38,827 | ) | ||||||
Increase in transfer Agent fee payable |
7,376 | |||||||
Decrease in distribution fee payable |
(43,830 | ) | ||||||
Increase in Directors fee payable |
1,804 | |||||||
Decrease in accrued expenses |
(87,982 | ) | ||||||
Proceeds from options written, net |
2,997 | |||||||
Payments on swaptions written, net |
(467,961 | ) | ||||||
Payments on swaps, net |
(26,006,412 | ) | ||||||
Payments for exchange-traded derivatives settlements, net |
(14,223,175 | ) | ||||||
|
|
|||||||
Total adjustments |
1,158,664,548 | |||||||
|
|
|||||||
Net cash provided by (used in) operating activities |
758,519,742 | |||||||
Cash flows from financing activities | ||||||||
Redemptions of capital stock, net |
(706,079,820 | ) | ||||||
Cash dividends paid (net of dividend reinvestments) |
(22,897,805 | ) | ||||||
Repayment of reverse repurchase agreements |
(19,343,467 | ) | ||||||
|
|
|||||||
Net cash provided by (used in) financing activities |
(748,321,092 | ) | ||||||
Effect of exchange rate on cash |
(29,182,385 | ) | ||||||
|
|
|||||||
Net decrease in cash |
(18,983,735 | ) | ||||||
Cash at beginning of period |
24,369,415 | |||||||
|
|
|||||||
Cash at end of period |
$ | 5,385,680 | ||||||
|
|
|||||||
Supplemental disclosure of cash flow information | ||||||||
Reinvestment of dividends |
$ | 46,191,894 | ||||||
Interest expense paid during the period |
$ | 602,688 |
In accordance with U.S. GAAP, the Fund has included a Statement of Cash Flows as a result of its significant investments in reverse repurchase agreements throughout the period.
See notes to financial statements.
76 | AB INCOME FUND |
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NOTES TO FINANCIAL STATEMENTS
April 30, 2022 (unaudited)
NOTE A
Significant Accounting Policies
AB Bond Fund, Inc. (the Company) is registered under the Investment Company Act of 1940 as an open-end management investment company. The Company, which is a Maryland corporation, operates as a series company comprised of 10 portfolios currently in operation. Each portfolio is considered to be a separate entity for financial reporting and tax purposes. This report relates only to the AB Income Fund (the Fund), a diversified portfolio. The Fund has authorized the issuance of Class A, Class B, Class C, Advisor Class, Class R, Class K, Class I, Class Z, Class T, Class 1 and Class 2 shares. Class B, Class K, Class R, Class I, Class T, Class 1 and Class 2 shares have not been issued. Class A shares are sold with a front-end sales charge of up to 4.25% for purchases not exceeding $1,000,000. With respect to purchases of $1,000,000 or more, Class A shares redeemed within one year of purchase may be subject to a contingent deferred sales charge of 1%. Class C shares are subject to a contingent deferred sales charge of 1% on redemptions made within the first year after purchase, and 0% after the first year of purchase. 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. All 11 classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (U.S. GAAP), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Fund.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at fair value as determined in accordance with procedures established by and under the general supervision of the Companys Board of Directors (the Board).
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NOTES TO FINANCIAL STATEMENTS (continued)
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (NASDAQ)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (OTC) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the Adviser) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the Committee) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuers financial statements
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NOTES TO FINANCIAL STATEMENTS (continued)
or other available documents. In addition, the Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Funds 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 1quoted prices in active markets for identical investments |
| Level 2other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| Level 3significant unobservable inputs (including the Funds 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.
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NOTES TO FINANCIAL STATEMENTS (continued)
Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.
Valuations of mortgage-backed or other asset-backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset-backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.
Bank loan prices are provided by third party pricing services and consist of a composite of the quotes received by the vendor into a consensus price. Certain bank loans are classified as Level 3, as a significant input used in the fair value measurement of these instruments is the market quotes that are received by the vendor and these inputs are not observable.
Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
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NOTES TO FINANCIAL STATEMENTS (continued)
The following table summarizes the valuation of the Funds investments by the above fair value hierarchy levels as of April 30, 2022:
Investments in |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Governments Treasuries |
$ | 0 | | $ | 2,823,012,553 | $ | 0 | | $ | 2,823,012,553 | ||||||
Corporates Investment Grade |
0 | | 486,137,752 | 0 | | 486,137,752 | ||||||||||
Corporates Non-Investment Grade |
0 | | 434,280,375 | 8,012,515 | (a) | 442,292,890 | ||||||||||
Mortgage Pass-Throughs |
0 | | 288,224,831 | 0 | | 288,224,831 | ||||||||||
Collateralized Mortgage Obligations |
0 | | 205,352,787 | 0 | | 205,352,787 | ||||||||||
Collateralized Loan Obligations |
0 | | 161,594,408 | 7,850,000 | 169,444,408 | |||||||||||
Emerging Markets Corporate Bonds |
0 | | 121,815,448 | 718 | 121,816,166 | |||||||||||
Bank Loans |
0 | | 100,977,528 | 12,687,594 | 113,665,122 | |||||||||||
Emerging Markets Sovereigns |
0 | | 112,116,627 | 0 | | 112,116,627 | ||||||||||
Commercial Mortgage-Backed Securities |
0 | | 82,919,730 | 0 | | 82,919,730 | ||||||||||
Agencies |
0 | | 34,601,331 | 0 | | 34,601,331 | ||||||||||
Quasi-Sovereigns |
0 | | 33,334,081 | 0 | | 33,334,081 | ||||||||||
Asset-Backed Securities |
0 | | 23,646,931 | 420,054 | 24,066,985 | |||||||||||
Governments Sovereign Bonds |
0 | | 20,467,203 | 0 | | 20,467,203 | ||||||||||
Common Stocks |
7,226,033 | 0 | | 6,000,004 | (a) | 13,226,037 | ||||||||||
Local Governments US Municipal Bonds |
0 | | 9,456,831 | 0 | | 9,456,831 | ||||||||||
Preferred Stocks |
0 | | 0 | | 3,258,265 | 3,258,265 | ||||||||||
Warrants |
1,372 | 0 | | 0 | (a) | 1,372 | ||||||||||
Short-Term Investments |
20,433,467 | 0 | | 0 | | 20,433,467 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
27,660,872 | 4,937,938,416 | 38,229,150 | (a) | 5,003,828,438 | |||||||||||
Other Financial Instruments(b): |
||||||||||||||||
Assets: |
||||||||||||||||
Futures |
41,572,708 | 0 | | 0 | | 41,572,708 | (c) | |||||||||
Forward Currency Exchange Contracts |
0 | | 14,284,504 | 0 | | 14,284,504 |
abfunds.com | AB INCOME FUND | 81 |
NOTES TO FINANCIAL STATEMENTS (continued)
Investments in |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Centrally Cleared Credit Default Swaps |
$ | 0 | | $ | 1,034,200 | $ | 0 | | $ | 1,034,200 | (c) | |||||
Centrally Cleared Interest Rate Swaps |
0 | | 1,523,592 | 0 | | 1,523,592 | (c) | |||||||||
Liabilities: |
||||||||||||||||
Futures |
(64,958,397 | ) | 0 | | 0 | | (64,958,397 | )(c) | ||||||||
Forward Currency Exchange Contracts |
0 | | (12,323,663 | ) | 0 | | (12,323,663 | ) | ||||||||
Centrally Cleared Interest Rate Swaps |
0 | | (443,623 | ) | 0 | | (443,623 | )(c) | ||||||||
Credit Default Swaps |
0 | | (54,914,527 | ) | 0 | | (54,914,527 | ) | ||||||||
Reverse Repurchase Agreements |
(1,291,764,212 | ) | 0 | | 0 | | (1,291,764,212 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (1,287,489,029 | ) | $ | 4,887,098,899 | $ | 38,229,150 | (a) | $ | 3,637,839,020 | ||||||
|
|
|
|
|
|
|
|
(a) | The Fund held securities with zero market value at period end. |
(b) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value. |
(c) | Only variation margin receivable/(payable) at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value. |
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
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NOTES TO FINANCIAL STATEMENTS (continued)
4. Taxes
It is the Funds policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Funds 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 Funds financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts as adjustments to interest income. The Fund accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company. Certain prior year amounts have been reclassified to conform to current year presentation.
6. Class Allocations
All income earned and expenses incurred by the Fund are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Fund represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each fund or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital
abfunds.com | AB INCOME FUND | 83 |
NOTES TO FINANCIAL STATEMENTS (continued)
accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B
Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Fund pays the Adviser an advisory fee at an annual rate of .45% of the first $2.5 billion of the Funds average daily net assets, .40% of the excess over $2.5 billion up to $5 billion and .35% in excess of $5 billion, of the Funds average daily net assets. The fee is accrued daily and paid monthly. The Adviser has agreed to waive its fees and bear certain expenses to the extent necessary to limit total operating expenses (excluding acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest, interest expense, taxes, extraordinary expenses, and brokerage commissions and other transaction costs) on an annual basis (the Expense Caps) to .77%, 1.52%, .52%, and .52% of daily average net assets for Class A, Class C, Advisor Class, and Class Z shares, respectively. For the six months ended April 30, 2022, such reimbursement/waivers amounted to $365,789. The Expense Caps may not be terminated by the Adviser before January 31, 2023.
Pursuant to the investment advisory agreement, the Fund may reimburse the Adviser for certain legal and accounting services provided to the Fund by the Adviser. For the six months ended April 30, 2022, the reimbursement for such services amounted to $46,634.
The Fund compensates AllianceBernstein Investor Services, Inc. (ABIS), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Fund. ABIS may make payments to intermediaries that provide omnibus account services, sub-accounting services and/or networking services. Such compensation retained by ABIS amounted to $390,940 for the six months ended April 30, 2022.
AllianceBernstein Investments, Inc. (the Distributor), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Funds shares. The Distributor has advised the Fund that it has retained front-end sales charges of $4,028 from the sale of Class A shares and received $4,094 and $6,265 in contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C shares, respectively, for the six months ended April 30, 2022.
The Fund may invest in AB Government Money Market Portfolio (the Government Money Market Portfolio) which has a contractual annual advisory fee rate of .20% of the portfolios average daily net assets and
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NOTES TO FINANCIAL STATEMENTS (continued)
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 January 31, 2023. In connection with the investment by the Fund in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Funds pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended April 30, 2022, such waiver amounted to $18,953.
A summary of the Funds transactions in AB mutual funds for the six months ended April 30, 2022 is as follows:
Fund |
Market Value 10/31/21 (000) |
Purchases at Cost (000) |
Sales Proceeds (000) |
Market Value 4/30/22 (000) |
Dividend Income (000) |
|||||||||||||||
Government Money Market Portfolio |
$ | 111,173 | $ | 513,055 | $ | 603,795 | $ | 20,433 | $ | 6 |
During the year ended October 31, 2021, the Adviser reimbursed the Fund $1,723,972 for trading losses incurred due to a trade entry error.
NOTE C
Distribution Services Agreement
The Fund has adopted a Distribution Services Agreement (the Agreement) pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement, the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to .25% of the Funds average daily net assets attributable to Class A shares and 1% of the Funds average daily net assets attributable to Class C shares. There are no distribution and servicing fees on the Advisor Class and Class Z shares. The fees are accrued daily and paid monthly. The Agreement provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. Since the commencement of the Funds operations, the Distributor has incurred expenses in excess of the distribution costs reimbursed by the Fund in the amount of $941,195 for Class C shares. While such costs may be recovered from the Fund in future periods so long as the Agreement is in effect, the rate of the distribution and servicing fees payable under the Agreement may not be increased without a shareholder vote. In accordance with the Agreement, there is no provision for recovery of unreimbursed distribution costs incurred by the Distributor beyond the current fiscal year for Class A shares. The Agreement also provides that the Adviser may use its own resources to finance the distribution of the Funds shares.
abfunds.com | AB INCOME FUND | 85 |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE D
Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the six months ended April 30, 2022 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding U.S. government securities) |
$ | 259,304,245 | $ | 643,028,202 | ||||
U.S. government securities |
1,359,121,111 | 1,524,598,858 |
The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation are as follows:
Gross unrealized appreciation |
$ | 77,187,496 | ||
Gross unrealized depreciation |
(551,254,713 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (474,067,217 | ) | |
|
|
1. Derivative Financial Instruments
The Fund may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, investment purposes), or to hedge or adjust the risk profile of its portfolio.
The principal types of derivatives utilized by the Fund, as well as the methods in which they may be used are:
| Futures |
The Fund may buy or sell futures for investment purposes or for the purpose of hedging its portfolio against adverse effects of potential movements in the market. The Fund bears the market risk that arises from changes in the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Fund may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under Currency Transactions.
At the time the Fund enters into futures, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are
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NOTES TO FINANCIAL STATEMENTS (continued)
known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Use of long futures subjects the Fund to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Fund to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous days settlement price, which could effectively prevent liquidation of unfavorable positions.
During the six months ended April 30, 2022, the Fund held futures for hedging and non-hedging purposes.
| Forward Currency Exchange Contracts |
The Fund may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to hedge certain firm purchase and sale commitments denominated in foreign currencies and for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under Currency Transactions.
A forward currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on forward currency exchange contracts. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Fund. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
During the six months ended April 30, 2022, the Fund held forward currency exchange contracts for hedging and non-hedging purposes.
abfunds.com | AB INCOME FUND | 87 |
NOTES TO FINANCIAL STATEMENTS (continued)
| Option Transactions |
For hedging and investment purposes, the Fund may purchase and write (sell) put and call options on U.S. and foreign securities, including government securities, and foreign currencies that are traded on U.S. and foreign securities exchanges and over-the-counter markets. Among other things, the Fund may use options transactions for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under Currency Transactions and may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, for hedging and investment purposes.
The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract. If a put or call option purchased by the Fund were permitted to expire without being sold or exercised, its premium would represent a loss to the Fund. Put and call options purchased are accounted for in the same manner as portfolio securities. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
When the Fund writes an option, the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current market value of the option written. The Funds maximum payment for written put options equates to the number of shares multiplied by the strike price. In certain circumstances maximum payout amounts may be partially offset by recovery values of the respective referenced assets and upfront premium received upon entering into the contract. Premiums received from written options which expire unexercised are recorded by the Fund on the expiration date as realized gains from options written. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium received is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium received is added to the proceeds from the sale of the underlying security or currency in determining whether the Fund has realized a gain or loss. If a put option is exercised, the premium received reduces the cost basis of the security or currency purchased by the Fund. In writing an option, the Fund bears the market risk of an unfavorable change in the price of the security or currency underlying the written option. Exercise of an option written by the Fund could
88 | AB INCOME FUND |
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NOTES TO FINANCIAL STATEMENTS (continued)
result in the Fund selling or buying a security or currency at a price different from the current market value.
The Fund may also invest in options on swap agreements, also called swaptions. A swaption is an option that gives the buyer the right, but not the obligation, to enter into a swap on a future date in exchange for paying a market-based premium. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return on a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. The Funds maximum payment for written put swaptions equates to the notional amount of the underlying swap. In certain circumstances maximum payout amounts may be partially offset by recovery values of the respective referenced assets and upfront premium received upon entering into the contract.
During the six months ended April 30, 2022, the Fund held written swaptions for non-hedging purposes. During the six months ended April 30, 2022, the Fund held written options for non-hedging purposes.
| Swaps |
The Fund may enter into swaps to hedge its exposure to interest rates, credit risk, equity markets or currencies. The Fund may also enter into swaps for non-hedging purposes as a means of gaining market exposures, making direct investments in foreign currencies, as described below under Currency Transactions. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Fund in accordance with the terms of the respective swaps to provide value and recourse to the Fund or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Fund, and/or the termination value at the end of the contract. Therefore, the Fund considers the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Fund and the
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NOTES TO FINANCIAL STATEMENTS (continued)
counterparty and by the posting of collateral by the counterparty to the Fund to cover the Funds exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Fund accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received for swaps are recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the statement of operations.
Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (FCMs) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.
At the time the Fund enters into a centrally cleared swap, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
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NOTES TO FINANCIAL STATEMENTS (continued)
Interest Rate Swaps:
The Fund is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Fund holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, the Fund may enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Fund may elect to pay a fixed rate and receive a floating rate, or, receive a fixed rate and pay a floating rate on a notional amount.
In addition, the Fund may also enter into interest rate swap transactions to preserve a return or spread on a particular investment or portion of its portfolio, or protecting against an increase in the price of securities the Fund anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) computed based on a contractually-based principal (or notional) amount. Interest rate swaps are entered into on a net basis (i.e., the two payment streams are netted out, with the Fund receiving or paying, as the case may be, only the net amount of the two payments).
During the six months ended April 30, 2022, the Fund held interest rate swaps for hedging purposes.
Credit Default Swaps:
The Fund may enter into credit default swaps, including to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults by corporate and sovereign issuers held by the Fund, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. The Fund may purchase credit protection (Buy Contract) or provide credit protection (Sale Contract) on the referenced obligation of the credit default swap. During the term of the swap, the Fund receives/(pays) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Fund is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Fund will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap (the Maximum Payout Amount) and deliver/(take delivery of) the referenced obligation or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront premium received upon entering into the agreement, or net amounts
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NOTES TO FINANCIAL STATEMENTS (continued)
received from settlement of buy protection credit default swaps entered into by the Fund for the same referenced obligations with the same counterparty.
Credit default swaps may involve greater risks than if a Fund had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If the Fund is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If the Fund is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Fund coupled with the periodic payments previously received, may be less than the Maximum Payout Amount it pays to the buyer, resulting in a net loss to the Fund.
Implied credit spreads over U.S. Treasuries of comparable maturity utilized in determining the market value of credit default swaps on issuers as of period end are disclosed in the portfolio of investments. The implied spreads serve as an indicator of the current status of the payment/performance risk and typically reflect the likelihood of default by the issuer of the referenced obligation. The implied credit spread of a particular reference obligation also reflects the cost of buying/selling protection and may reflect upfront payments required to be made to enter into the agreement. Widening credit spreads typically represent a deterioration of the referenced obligations credit soundness and greater likelihood of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as Defaulted indicates a credit event has occurred for the referenced obligation.
During the six months ended April 30, 2022, the Fund held credit default swaps for non-hedging purposes.
The Fund typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (ISDA Master Agreement) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the OTC counterparty certain derivative financial instruments payables and/or receivables with collateral held and/or posted 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 Funds net liability, held by the defaulting party, may be delayed or denied.
The Funds ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of
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NOTES TO FINANCIAL STATEMENTS (continued)
the Fund decline below specific levels (net asset contingent features). If these levels are triggered, the Funds OTC counterparty has the right to terminate such transaction and require the Fund to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty table below for additional details.
During the six months ended April 30, 2022, the Fund had entered into the following derivatives:
Asset Derivatives |
Liability Derivatives |
|||||||||||
Derivative Type |
Statement of |
Fair Value |
Statement of |
Fair Value | ||||||||
Interest rate contracts |
Receivable/Payable for variation margin on futures |
$ |
41,572,708 |
* |
Receivable/Payable for variation margin on futures |
$ |
64,958,397 |
* | ||||
Credit contracts |
Receivable/Payable for variation margin on centrally cleared swaps | 1,084,407 | * | |||||||||
Interest rate contracts |
Receivable/Payable for variation margin on centrally cleared swaps |
|
1,523,592 |
* |
Receivable/Payable for variation margin on centrally cleared swaps |
|
443,623 |
* | ||||
Foreign currency contracts |
Unrealized appreciation on forward currency exchange contracts |
|
14,284,504 |
|
Unrealized depreciation on forward currency exchange contracts |
|
12,323,663 |
| ||||
Credit contracts |
Market value on credit default swaps | 54,914,527 | ||||||||||
|
|
|
|
|||||||||
Total |
$ | 57,380,804 | $ | 133,724,617 | ||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. |
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NOTES TO FINANCIAL STATEMENTS (continued)
Derivative Type |
Location of Gain or (Loss) on 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 | $ | 10,134,229 | $ | (28,947,061 | ) | ||||
Foreign currency contracts |
Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts |
|
14,700,425 |
|
|
10,347,401 |
| |||
Foreign exchange contracts |
Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written |
|
2,997 |
|
|
0 |
| |||
Interest rate contracts |
Net realized gain (loss) on swaptions written; Net change in unrealized appreciation/depreciation of swaptions written | (56,399 | ) | (258,487 | ) | |||||
Interest rate contracts |
Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (2,690,471 | ) | 10,106,353 | ||||||
Credit contracts |
Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (15,138,423 | ) | 31,986,664 | ||||||
|
|
|
|
|||||||
Total |
$ | 6,952,358 | $ | 23,234,870 | ||||||
|
|
|
|
The following table represents the average monthly volume of the Funds derivative transactions during the six months ended April 30, 2022:
Futures: |
||||
Average notional amount of buy contracts |
$ | 637,029,036 | ||
Average notional amount of sale contracts |
$ | 1,132,019,361 | ||
Forward Currency Exchange Contracts: |
||||
Average principal amount of buy contracts |
$ | 96,384,688 | ||
Average principal amount of sale contracts |
$ | 468,201,908 |
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NOTES TO FINANCIAL STATEMENTS (continued)
Options Written: |
||||
Average notional amount |
$ | 2,055,075 | (a) | |
Swaptions Written: |
||||
Average notional amount |
$ | 44,894,200 | (b) | |
Centrally Cleared Interest Rate Swaps: |
||||
Average notional amount |
$ | 214,895,000 | ||
Credit Default Swaps: |
||||
Average notional amount of sale contracts |
$ | 352,886,535 | ||
Centrally Cleared Credit Default Swaps: |
||||
Average notional amount of sale contracts |
$ | 44,327,442 |
(a) | Positions were open for less than one month during the period. |
(b) | Positions were open for four months during the period. |
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Funds derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements (MA) and net of the related collateral received/pledged by the Fund as of April 30, 2022. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
Counterparty |
Derivative Assets Subject to a MA |
Derivatives Available for Offset |
Cash Collateral Received* |
Security Collateral Received* |
Net Amount of Derivative Assets |
|||||||||||||||
Citibank, NA/Citibank, NA/Citigroup Global Markets, Inc |
$ | 4,100,059 | $ | (4,100,059 | ) | $ | 0 | | $ | 0 | | $ | 0 | | ||||||
JPMorgan Chase Bank /JPMorgan Securities, LLC |
162,672 | (162,672 | ) | 0 | | 0 | | 0 | | |||||||||||
Morgan Stanley & Co. International PLC/Morgan Stanley Capital Services, Inc. |
1,803,628 | (1,803,628 | ) | 0 | | 0 | | 0 | | |||||||||||
Standard Chartered Bank |
30,487 | 0 | | 0 | | 0 | | 30,487 | ||||||||||||
State Street Bank & Trust Co. |
15,089 | 0 | | 0 | | 0 | | 15,089 | ||||||||||||
UBS AG |
8,172,569 | 0 | | 0 | | 0 | | 8,172,569 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 14,284,504 | $ | (6,066,359 | ) | $ | 0 | | $ | 0 | | $ | 8,218,145 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
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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 |
|||||||||||||||
Barclays Bank PLC |
$ | 2,046,857 | $ | 0 | | $ | 0 | | $ | (1,982,741 | ) | $ | 64,116 | |||||||
Citibank, NA/Citigroup Global Markets, Inc |
21,869,311 | (4,100,059 | ) | 0 | | (17,769,252 | ) | 0 | | |||||||||||
Credit Suisse International |
4,463,665 | 0 | | 0 | | (4,463,665 | ) | 0 | | |||||||||||
Goldman Sachs International |
22,273,285 | 0 | | (660,000 | ) | (21,613,285 | ) | 0 | | |||||||||||
JPMorgan Chase Bank /JPMorgan Securities, LLC |
6,755,262 | (162,672 | ) | 0 | | (6,592,590 | ) | 0 | | |||||||||||
Morgan Stanley & Co. International PLC/Morgan Stanley Capital Services, Inc. |
9,829,810 | (1,803,628 | ) | 0 | | (8,026,182 | ) | 0 | | |||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 67,238,190 | $ | (6,066,359 | ) | $ | (660,000 | ) | $ | (60,447,715 | ) | $ | 64,116 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged may be more than the amount reported due to over-collateralization. |
^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
2. Currency Transactions
The Fund may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Fund may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Fund may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Fund and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Fund may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
3. TBA and Dollar Rolls
The Fund may invest in TBA mortgage-backed securities. A TBA, or To Be Announced, trade represents a contract for the purchase or sale of mortgage-backed securities to be delivered at a future agree-upon date; however, the specific mortgage pool numbers or the number of pools that will be delivered to fulfill the trade obligation or terms of the contract are
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NOTES TO FINANCIAL STATEMENTS (continued)
unknown at the time of the trade. Mortgage pools (including fixed-rate or variable-rate mortgages) guaranteed by the Government National Mortgage Association, or GNMA, the Federal National Mortgage Association, or FNMA, or the Federal Home Loan Mortgage Corporation, or FHLMC, are subsequently allocated to the TBA transactions.
The Fund may enter into certain TBA transactions known as dollar rolls. Dollar rolls involve sales by the Fund of securities for delivery in the current month and the Funds simultaneously contracting to repurchase substantially similar (same type and coupon) securities on a specified future date. During the roll period, the Fund forgoes principal and interest paid on the securities. The Fund is compensated by the difference between the current sales price and the lower forward price for the future purchase (often referred to as the drop) as well as by the interest earned on the cash proceeds of the initial sale. Dollar rolls involve the risk that the market value of the securities the Fund is obligated to repurchase under the agreement may decline below the repurchase price. Dollar rolls are speculative techniques. For the six months ended April 30, 2022, the Fund earned drop income of $2,243,256 which is included in interest income in the accompanying statement of operations.
4. Reverse Repurchase Agreements
The Fund may enter into reverse repurchase transactions (RVP) in accordance with the terms of a Master Repurchase Agreement (MRA), under which the Fund sells securities and agrees to repurchase them at a mutually agreed upon date and price. At the time the Fund enters into a reverse repurchase agreement, it will establish a segregated account with the custodian containing liquid assets having a value comparable to the repurchase price. Under the MRA and other Master Agreements, the Fund is permitted to offset payables and/or receivables with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund in the event of a default. In the event of a default by a MRA counterparty, the Fund may be considered an unsecured creditor with respect to any excess collateral (collateral with a market value in excess of the repurchase price) held by and/or posted to the counterparty, and as such the return of such excess collateral may be delayed or denied. For the six months ended April 30, 2022, the average amount of reverse repurchase agreements outstanding was $1,321,786,713 and the daily weighted average interest rate was .12%. At April 30, 2022, the Fund had reverse repurchase agreements outstanding in the amount of $1,291,764,212 as reported on the statement of assets and liabilities.
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NOTES TO FINANCIAL STATEMENTS (continued)
The following table presents the Funds RVP liabilities by counterparty net of the related collateral pledged by the Fund as of April 30, 2022:
Counterparty |
RVP Liabilities Subject to a MRA |
Securities Collateral Pledged* |
Net Amount of RVP Liabilities |
|||||||||
Barclays Capital, Inc. |
$ | 7,044,879 | $ | (7,044,879 | ) | $ | 0 | | ||||
Credit Suisse International |
4,016,048 | (4,016,048 | ) | 0 | | |||||||
HSBC Securities (USA), Inc. |
635,643,817 | (633,972,504 | ) | 1,671,313 | ||||||||
JPMorgan Chase Bank |
645,059,468 | (645,059,468 | ) | 0 | | |||||||
|
|
|
|
|
|
|||||||
Total |
$ | 1,291,764,212 | $ | (1,290,092,899 | ) | $ | 1,671,313 | |||||
|
|
|
|
|
|
| Including accrued interest. |
* | The actual collateral pledged may be more than the amount reported due to overcollateralization. |
NOTE E
Capital Stock
Each class consists of 3,000,000,000 authorized shares. Transactions in capital shares for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
|||||||||||||||||||||
|
|
|||||||||||||||||||||||
Class A |
|
|||||||||||||||||||||||
Shares sold |
2,781,852 | 12,693,420 | $ | 21,278,540 | $ | 102,684,240 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends |
333,501 | 794,420 | 2,519,636 | 6,379,937 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares converted from Class C |
66,280 | 356,137 | 498,851 | 2,859,271 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(7,042,152 | ) | (16,512,385 | ) | (53,176,816 | ) | (132,616,025 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net decrease |
(3,860,519 | ) | (2,668,408 | ) | $ | (28,879,789 | ) | $ | (20,692,577 | ) | ||||||||||||||
|
||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||
Shares sold |
525,165 | 3,077,054 | $ | 4,032,557 | $ | 24,874,379 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends |
178,057 | 456,339 | 1,345,579 | 3,671,010 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares converted to Class A |
(66,212 | ) | (355,698 | ) | (498,851 | ) | (2,859,271 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(3,553,917 | ) | (5,920,156 | ) | (26,985,299 | ) | (47,610,467 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net decrease |
(2,916,907 | ) | (2,742,461 | ) | $ | (22,106,014 | ) | $ | (21,924,349 | ) | ||||||||||||||
|
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NOTES TO FINANCIAL STATEMENTS (continued)
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
|||||||||||||||||||||
|
|
|||||||||||||||||||||||
Advisor Class |
|
|||||||||||||||||||||||
Shares sold |
58,162,744 | 167,986,666 | $ | 443,648,423 | $ | 1,352,943,498 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends |
5,540,242 | 12,483,656 | 41,929,539 | 100,377,691 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(146,583,707 | ) | (168,770,779 | ) | (1,106,177,649 | ) | (1,357,710,463 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase (decrease) |
(82,880,721 | ) | 11,699,543 | $ | (620,599,687 | ) | $ | 95,610,726 | ||||||||||||||||
|
||||||||||||||||||||||||
Class Z |
||||||||||||||||||||||||
Shares sold |
508,223 | 2,157,210 | $ | 3,835,643 | $ | 17,350,447 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends |
52,559 | 94,970 | 397,140 | 762,411 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(753,121 | ) | (759,196 | ) | (5,633,776 | ) | (6,105,537 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase (decrease) |
(192,339 | ) | 1,492,984 | $ | (1,400,993 | ) | $ | 12,007,321 | ||||||||||||||||
|
NOTE F
Risks Involved in Investing in the Fund
Market RiskThe value of the Funds assets will fluctuate as the bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market.
Credit RiskAn issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
Below Investment-Grade Securities RiskInvestments in fixed-income securities with lower ratings (commonly known as junk bonds) are subject to a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments and negative perceptions of the junk bond market generally and may be more difficult to trade than other types of securities.
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NOTES TO FINANCIAL STATEMENTS (continued)
Interest-Rate RiskChanges in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Duration RiskDuration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation RiskThis 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 Funds assets can decline as can the value of the Funds distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Foreign (Non-U.S.) RiskInvestments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging Market RiskInvestments in emerging market countries may have more risk because the markets are less developed and less liquid and are subject to increased economic, political, regulatory or other uncertainties.
Leverage RiskWhen the Fund borrows money or otherwise leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Funds investments. The Fund may create leverage through the use of reverse repurchase arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures or by borrowing money. The use of other types of derivative instruments by the Fund, such as options and swaps, may also result in a form of leverage. Leverage may result in higher returns to the Fund than if the Fund were not leveraged, but may also adversely affect returns, particularly if the market is declining.
Currency RiskFluctuations in currency exchange rates may negatively affect the value of the Funds investments or reduce its returns.
Illiquid Investments RiskIlliquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling
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NOTES TO FINANCIAL STATEMENTS (continued)
such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest rate environment, when the value and liquidity of fixed-income securities generally decline.
Mortgage-Related and/or Other Asset-Backed Securities RiskInvestments in mortgage-related and other asset-backed securities are subject to certain additional risks. The value of these securities may be particularly sensitive to changes in interest rates. These risks include extension risk, which is the risk that, in periods of rising interest rates, issuers may delay the payment of principal, and prepayment risk, which is the risk that in periods of falling interest rates, issuers may pay principal sooner than expected, exposing the Fund to a lower rate of return upon reinvestment of principal. Mortgage-backed securities offered by non-governmental issuers and other asset-backed securities may be subject to other risks, such as higher rates of default in the mortgages or assets backing the securities or risks associated with the nature and servicing of mortgages or assets backing the securities.
Derivatives RiskDerivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, 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 Fund.
Active Trading RiskThe Fund expects to engage in active and frequent trading of its portfolio securities and its portfolio turnover rate may greatly exceed 100%. A higher rate of portfolio turnover increases transaction costs, which may negatively affect the Funds return. In addition, a high rate of portfolio turnover may result in substantial short-term gains, which may have adverse tax consequences for Fund shareholders.
LIBOR Transition and Associated RiskA Fund may be exposed to debt securities, derivatives or other financial instruments that are tied to 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 LIBORs 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,
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NOTES TO FINANCIAL STATEMENTS (continued)
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. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserves Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.
The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Funds performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Funds 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. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.
Indemnification RiskIn the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Funds maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Fund has not accrued any liability in connection with these indemnification provisions.
Management RiskThe Fund is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
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NOTES TO FINANCIAL STATEMENTS (continued)
NOTE G
Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Fund, participate in a $325 million revolving credit facility (the Facility) intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Fund did not utilize the Facility during the six months ended April 30, 2022.
NOTE H
Distributions to Shareholders
The tax character of distributions to be paid for the year ending October 31, 2022 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended October 31, 2021 and October 31, 2020 were as follows:
2021 | 2020 | |||||||
Distributions paid from: |
||||||||
Ordinary income |
$ | 166,350,736 | $ | 173,172,422 | ||||
|
|
|
|
|||||
Total taxable distributions paid |
$ | 166,350,736 | $ | 173,172,422 | ||||
|
|
|
|
As of October 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Accumulated capital and other losses |
$ | (25,821,866 | )(a) | |
Unrealized appreciation/(depreciation) |
8,964,995 | (b) | ||
|
|
|||
Total accumulated earnings/(deficit) |
$ | (16,856,871 | )(c) | |
|
|
(a) | As of October 31, 2021, the Fund had a net capital loss carryforward of $6,276,058. During the fiscal year, the Fund utilized $49,285,069 of capital loss carry forwards to offset current year net realized gains. As of October 31, 2021, the cumulative deferred loss on straddles was $19,545,808. |
(b) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the recognition for tax purposes of unrealized gains/losses on certain derivative instruments, the tax treatment of grantor trusts, the tax treatment of callable bonds, the tax treatment of swaps, the tax deferral of losses on wash sales, and the tax treatment of partnership investments. |
(c) | The differences between book-basis and tax-basis components of accumulated earnings/(deficit) are attributable primarily to the accrual of foreign capital gains tax, the tax treatment of defaulted securities, and dividends payable. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of October 31, 2021, the fund had a net long-term capital loss carryforward of $6,276,058, which may be carried forward for an indefinite period.
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NOTES TO FINANCIAL STATEMENTS (continued)
NOTE I
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 J
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 Funds financial statements through this date.
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FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class A | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 7.89 | $ 7.96 | $ 7.98 | $ 7.49 | $ 8.09 | $ 8.08 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.11 | .24 | .26 | .31 | .29 | .36 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(.86 | ) | (.04 | ) | .02 | (c) | .53 | (.50 | ) | .05 | ||||||||||||||
Contributions from Affiliates |
0 | | .00 | (d) | 0 | | .00 | (d) | .00 | (d) | .00 | (d) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(.75 | ) | .20 | .28 | .84 | (.21 | ) | .41 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends and Distributions |
||||||||||||||||||||||||
Dividends from net investment income |
(.12 | ) | (.27 | ) | (.30 | ) | (.30 | ) | (.36 | ) | (.40 | ) | ||||||||||||
Return of capital |
0 | | 0 | | 0 | | (.05 | ) | (.03 | ) | 0 | | ||||||||||||
|
|
|||||||||||||||||||||||
Total dividends and distributions |
(.12 | ) | (.27 | ) | (.30 | ) | (.35 | ) | (.39 | ) | (.40 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 7.02 | $ 7.89 | $ 7.96 | $ 7.98 | $ 7.49 | $ 8.09 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(e)* |
(9.64 | )% | 2.48 | % | 3.55 | % | 11.50 | % | (2.71 | )% | 5.17 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period |
$209,647 | $265,990 | $289,619 | $240,567 | $232,931 | $165,294 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(f) |
.81 | %^ | .79 | % | .78 | % | .77 | % | 1.08 | % | 1.03 | % | ||||||||||||
Expenses, before waivers/reimbursements(f) |
.83 | %^ | .80 | % | .80 | % | .83 | % | 1.16 | % | 1.11 | % | ||||||||||||
Net investment income(b) |
2.84 | %^ | 3.04 | % | 3.24 | % | 4.02 | % | 3.73 | % | 4.42 | % | ||||||||||||
Portfolio turnover rate** |
28 | % | 166 | % | 246 | % | 270 | % | 105 | % | 42 | % |
See footnote summary on page 109.
abfunds.com | AB INCOME FUND | 105 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class C | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 7.90 | $ 7.97 | $ 7.99 | $ 7.50 | $ 8.10 | $ 8.09 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.08 | .18 | .20 | .25 | .23 | .30 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(.86 | ) | (.04 | ) | .02 | (c) | .53 | (.50 | ) | .05 | ||||||||||||||
Contributions from Affiliates |
0 | | .00 | (d) | 0 | | .00 | (d) | .00 | (d) | .00 | (d) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(.78 | ) | .14 | .22 | .78 | (.27 | ) | .35 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends and Distributions |
||||||||||||||||||||||||
Dividends from net investment income |
(.09 | ) | (.21 | ) | (.24 | ) | (.25 | ) | (.30 | ) | (.34 | ) | ||||||||||||
Return of capital |
0 | | 0 | | 0 | | (.04 | ) | (.03 | ) | 0 | | ||||||||||||
|
|
|||||||||||||||||||||||
Total dividends and distributions |
(.09 | ) | (.21 | ) | (.24 | ) | (.29 | ) | (.33 | ) | (.34 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 7.03 | $ 7.90 | $ 7.97 | $ 7.99 | $ 7.50 | $ 8.10 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(e)* |
(9.97 | )% | 1.71 | % | 2.77 | % | 10.65 | % | (3.43 | )% | 4.37 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$152,493 | $194,363 | $217,968 | $164,413 | $82,283 | $62,121 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(f) |
1.56 | %^ | 1.54 | % | 1.53 | % | 1.52 | % | 1.83 | % | 1.78 | % | ||||||||||||
Expenses, before waivers/reimbursements(f) |
1.58 | %^ | 1.55 | % | 1.55 | % | 1.57 | % | 1.92 | % | 1.87 | % | ||||||||||||
Net investment income(b) |
2.08 | %^ | 2.29 | % | 2.49 | % | 3.21 | % | 2.98 | % | 3.68 | % | ||||||||||||
Portfolio turnover rate** |
28 | % | 166 | % | 246 | % | 270 | % | 105 | % | 42 | % |
See footnote summary on page 109.
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FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 7.90 | $ 7.97 | $ 7.99 | $ 7.50 | $ 8.10 | $ 8.09 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.12 | .26 | .27 | .33 | .31 | .41 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(.86 | ) | (.04 | ) | .03 | (c) | .53 | (.50 | ) | .02 | ||||||||||||||
Contributions from Affiliates |
0 | | .00 | (d) | 0 | | .00 | (d) | .00 | (d) | .00 | (d) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(.74 | ) | .22 | .30 | .86 | (.19 | ) | .43 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends and Distributions |
||||||||||||||||||||||||
Dividends from net investment income |
(.13 | ) | (.29 | ) | (.32 | ) | (.31 | ) | (.38 | ) | (.42 | ) | ||||||||||||
Return of capital |
0 | | 0 | | 0 | | (.06 | ) | (.03 | ) | 0 | | ||||||||||||
|
|
|||||||||||||||||||||||
Total dividends and distributions |
(.13 | ) | (.29 | ) | (.32 | ) | (.37 | ) | (.41 | ) | (.42 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 7.03 | $ 7.90 | $ 7.97 | $ 7.99 | $ 7.50 | $ 8.10 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on: |
||||||||||||||||||||||||
Net asset value(e)* |
(9.52 | )% | 2.73 | % | 3.80 | % | 11.76 | % | (2.46 | )% | 5.44 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000,000s omitted) |
$3,114 | $4,152 | $4,097 | $3,562 | $2,222 | $1,806 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(f) |
.56 | %^ | .54 | % | .53 | % | .52 | % | .83 | % | .81 | % | ||||||||||||
Expenses, before waivers/reimbursements(f) |
.58 | %^ | .55 | % | .55 | % | .58 | % | .91 | % | .93 | % | ||||||||||||
Net investment income(b) |
3.08 | %^ | 3.28 | % | 3.48 | % | 4.24 | % | 3.98 | % | 5.11 | % | ||||||||||||
Portfolio turnover rate** |
28 | % | 166 | % | 246 | % | 270 | % | 105 | % | 42 | % |
See footnote summary on page 109.
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FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class Z | ||||||||||||
Six Months (unaudited) |
Year Ended 2021 |
November 20, 2019(g) to October 31, 2020 |
||||||||||
|
|
|||||||||||
Net asset value, beginning of period |
$ 7.90 | $ 7.97 | $ 7.97 | |||||||||
|
|
|||||||||||
Income From Investment Operations |
||||||||||||
Net investment income(a)(b) |
.12 | .27 | .27 | |||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(.86 | ) | (.05 | ) | .03 | (c) | ||||||
|
|
|||||||||||
Net increase (decrease) in net asset value from operations |
(.74 | ) | .22 | .30 | ||||||||
|
|
|||||||||||
Less: Dividends |
||||||||||||
Dividends from net investment income |
(.13 | ) | (.29 | ) | (.30 | ) | ||||||
|
|
|||||||||||
Net asset value, end of period |
$ 7.03 | $ 7.90 | $ 7.97 | |||||||||
|
|
|||||||||||
Total Return |
||||||||||||
Total investment return based on net asset value(e)* |
(9.50 | )% | 2.78 | % | 3.89 | % | ||||||
Ratios/Supplemental Data |
||||||||||||
Net assets, end of period (000s omitted) |
$25,457 | $30,118 | $18,492 | |||||||||
Ratio to average net assets of: |
||||||||||||
Expenses, net of waivers/reimbursements(f) |
.52 | %^ | .49 | % | .48 | %^ | ||||||
Expenses, before waivers/reimbursements(f) |
.52 | %^ | .49 | % | .48 | %^ | ||||||
Net investment income(b) |
3.13 | %^ | 3.32 | % | 3.49 | %^ | ||||||
Portfolio turnover rate** |
28 | % | 166 | % | 246 | % |
See footnote summary on page 109.
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FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
(a) | Based on average shares outstanding. |
(b) | Net of expenses waived/reimbursed by the Adviser. |
(c) | Due to timing of sales and repurchase of capital shares, the net realized and unrealized gain (loss) per share is not in accordance with the Funds change in net realized and unrealized gain (loss) on investment transactions for the period. |
(d) | Amount is less than $.005. |
(e) | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. 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. |
(f) | The expense ratios, excluding interest expense are: |
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Class A |
||||||||||||||||||||||||
Net of waivers/reimbursements |
.77 | %^ | .77 | % | .77 | % | .77 | % | .77 | % | .77 | % | ||||||||||||
Before waivers/reimbursements |
.79 | %^ | .78 | % | .79 | % | .82 | % | .85 | % | .85 | % | ||||||||||||
Class C |
||||||||||||||||||||||||
Net of waivers/reimbursements |
1.52 | %^ | 1.52 | % | 1.52 | % | 1.52 | % | 1.52 | % | 1.52 | % | ||||||||||||
Before waivers/reimbursements |
1.54 | %^ | 1.53 | % | 1.54 | % | 1.57 | % | 1.60 | % | 1.61 | % | ||||||||||||
Advisor Class |
||||||||||||||||||||||||
Net of waivers/reimbursements |
.52 | %^ | .52 | % | .52 | % | .52 | % | .52 | % | .54 | % | ||||||||||||
Before waivers/reimbursements |
.54 | %^ | .53 | % | .54 | % | .57 | % | .60 | % | .65 | % | ||||||||||||
Class Z |
||||||||||||||||||||||||
Net of waivers/reimbursements |
.48 | %^ | .47 | % | .46 | % | N/A | N/A | N/A | |||||||||||||||
Before waivers/reimbursements |
.48 | %^ | .47 | % | .46 | % | N/A | N/A | N/A |
(g) | Commencement of distributions. |
* | Includes the impact of proceeds received by the Fund in connection with a trade-error reimbursement from the Adviser, which enhanced performance by .04% for the year ended October 31, 2021. |
** | The Fund accounts for dollar roll transactions as purchases and sales. |
^ | Annualized. |
See notes to financial statements.
abfunds.com | AB INCOME FUND | 109 |
BOARD OF DIRECTORS
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and Chief Executive Officer |
Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) |
OFFICERS
Scott A. DiMaggio(2), Vice President Gershon M. Distenfeld(2), Vice President Fahd Malik(2), Vice President Matthew S. Sheridan(2), Vice President Emilie D. Wrapp, Secretary |
Michael B. Reyes, Senior Vice President Joseph J. Mantineo, Treasurer and Chief Financial Officer Phyllis J. Clarke, Controller |
Custodian and Accounting Agent State Street Bank and Trust Company State Street Corporation CCB/5 1 Iron Street Boston, MA 02210
Principal Underwriter AllianceBernstein Investments, Inc. 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 |
Independent Registered Public Accounting Firm Ernst & Young LLP One Manhattan West
Legal Counsel Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
1 | Member of the Audit Committee, the Governance and Nominating Committee and the Independent Directors Committee. |
2 | The day-to-day management of, and investment decisions for, the Funds portfolio are made by the Advisers U.S. Investment Grade: Core Fixed Income Investment Team. Messrs. DiMaggio, Distenfeld, Malik and Sheridan are the investment professionals with the most significant responsibility for the day-to-day management of the Funds portfolio. |
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Operation and Effectiveness of the Funds Liquidity Risk Management Program:
In October 2016, the Securities and Exchange Commission (SEC) adopted the open-end fund liquidity rule (the Liquidity Rule). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (LRMP) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Fund to designate an Administrator of the Funds Liquidity Risk Management Program. The Administrator of the Funds LRMP is AllianceBernstein L.P., the Funds 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 Funds Board of Trustees (the Fund Board) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the funds 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 LRMPs principal objectives include supporting the Funds compliance with limits on investments in illiquid assets and mitigating the risk that the Fund will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Fund classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Funds strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Fund participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Fund is required to maintain a Highly Liquid Investment Minimum (HLIM). The Committee also incorporated the following information when determining the Funds reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Funds 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 Funds LRMP is adequately designed, has been implemented as intended,
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and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, 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 Fund or its ability to timely meet redemptions during the Program Reporting Period.
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Information Regarding the Review and Approval of the Funds Advisory Agreement
The disinterested directors (the directors) of AB Bond Fund, Inc. (the Company) unanimously approved the continuance of the Companys Advisory Agreement with the Adviser in respect of AB Income Fund (the Fund) at a meeting held by video conference on November 2-4, 2021 (the Meeting).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Advisers integrity and competence they have gained from that experience, the Advisers initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Advisers willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund and the money market fund advised by the Adviser in which the Fund invests a portion of its assets.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business judgment. The material factors and conclusions that formed the basis for the directors determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment
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research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Funds investment strategies and from time to time proposes changes intended to improve the Funds relative or absolute performance for the directors consideration. They also noted the professional experience and qualifications of the Funds portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Advisory Agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant at the request of the directors. The quality of administrative and other services, including the Advisers role in coordinating the activities of the Funds other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2019 and 2020 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Advisers relationship with the Fund, including those relating to its subsidiaries that provide transfer agency, distribution and brokerage services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Advisers relationship with the Fund before taxes and distribution expenses. The directors concluded that the Advisers level of profitability from its relationship with the Fund was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the money market fund advised by the Adviser in which the Fund invests, including, but not limited to, benefits relating to 12b-1 fees and sales charges received by the Funds
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principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of the Funds shares; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Advisers profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the 15(c) service provider), showing the performance of the Class A Shares of the Fund against a group of similar funds (peer group) and a larger group of similar funds (peer universe), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3- and 5-year periods ended July 31, 2021 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, the directors concluded that the Funds investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees payable by other funds. The directors compared the Funds contractual effective advisory fee rate with a peer group median and noted that it was equal to the median. The directors took into account the impact on the advisory fee rate of the administrative expense reimbursement paid to the Adviser in the latest fiscal year.
The Adviser informed the directors that there were no institutional products managed by the Adviser that utilize investment strategies similar to those of the Fund.
The directors noted that the Fund may invest in shares of exchange-traded funds (ETFs), subject to the restrictions and limitations of the Investment Company Act of 1940 as these may be varied as a result of exemptive orders issued, and rules adopted, by the SEC. The directors also noted that ETFs pay advisory fees pursuant to their advisory contracts, and that the Adviser had provided, and they had reviewed, information about the
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expense ratios of the relevant ETFs. The directors concluded, based on the Advisers explanation of how it uses ETFs when they are the most cost-effective way to obtain desired exposures, in some cases pending purchases of underlying securities, that the advisory fee for the Fund would be for services in addition to, rather than duplicative of, the services provided under the advisory contracts of the ETFs.
In connection with their review of the Funds advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Funds latest fiscal year and the directors considered the Advisers expense cap for the Fund. The directors noted that it was likely that the expense ratios of some of the other funds in the Funds category were lowered by waivers or reimbursements by those funds investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Advisers services because the Adviser is responsible for coordinating services provided to the Fund by others. Based on their review, the directors concluded that the Funds expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedule for the Fund contains breakpoints that reduce the fee rates on assets above specified levels and that the Funds net assets were higher than a breakpoint level. Accordingly, the Funds current effective advisory fee rate reflected a reduction due to the breakpoint and would be further reduced to the extent the net assets of the Fund increase. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a funds adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a funds operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Funds breakpoint arrangements were acceptable and provide a means for sharing any economies of scale.
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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 Portfolio1
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
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 Funds 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 Funds 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 August 23, 2021, Sustainable US Thematic Portfolio was named FlexFee US Thematic Portfolio. Prior to December 1, 2021, Sustainable Thematic Balanced Portfolio was named Conservative Wealth Strategy. |
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AB INCOME FUND
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
IF-0152-0422
APR 04.30.22
SEMI-ANNUAL REPORT
AB MUNICIPAL BOND INFLATION STRATEGY
As of January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, the Funds annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically requested paper copies of the reports. Instead, the reports are made available on a website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.
You may elect to receive all future reports in paper form free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call the Fund at (800) 221 5672. Your election to receive reports in paper form will apply to all funds held in your account with your financial intermediary or, if you invest directly, to all AB Mutual Funds you hold.
Investment Products Offered | Are Not FDIC Insured May Lose Value Are Not Bank Guaranteed |
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Funds prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Funds 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 ABs website at www.abfunds.com, or go to the Securities and Exchange Commissions (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 Funds Form N-PORT reports are available on the Commissions 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.
FROM THE PRESIDENT |
Dear Shareholder,
Were pleased to provide this report for the AB Municipal Bond Inflation Strategy (the Fund). Please review the discussion of Fund performance, the market conditions during the reporting period and the Funds investment strategy.
At AB, were striving to help our clients achieve better outcomes by:
+ | Fostering diverse perspectives that give us a distinctive approach to navigating global capital markets |
+ | Applying differentiated investment insights through a connected global research network |
+ | Embracing innovation to design better ways to invest and leading-edge mutual-fund solutions |
Whether youre an individual investor or a multibillion-dollar institution, were putting our knowledge and experience to work for you every day.
For more information about ABs comprehensive range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in AB mutual fundsand for placing your trust in our firm.
Sincerely,
Onur Erzan
President and Chief Executive Officer, AB Mutual Funds
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SEMI-ANNUAL REPORT
June 17, 2022
This report provides managements discussion of fund performance for the AB Municipal Bond Inflation Strategy for the semi-annual period ended April 30, 2022.
The Funds investment objective is to maximize real after-tax return for investors subject to federal income taxes, without undue risk to principal.
NAV RETURNS AS OF APRIL 30, 2022 (unaudited)
6 Months | 12 Months | |||||||
AB MUNICIPAL BOND INFLATION STRATEGY1 | ||||||||
Class 1 Shares2 | -1.93% | 0.65% | ||||||
Class 2 Shares2 | -1.88% | 0.75% | ||||||
Class A Shares | -2.00% | 0.49% | ||||||
Class C Shares | -2.35% | -0.23% | ||||||
Advisor Class Shares3 | -1.88% | 0.73% | ||||||
Bloomberg 1-10 Year TIPS Index | -1.96% | 1.52% |
1 | Includes the impact of proceeds received by the Fund in connection with a trade-error reimbursement from the Adviser, which enhanced performance for the six- and 12-month periods ended April 30, 2022, by 0.00% and 0.03%, respectively. |
2 | Class 1 shares are only available to Bernstein Global Wealth Management private client accounts. Class 2 shares are only available to large Bernstein Global Wealth Management private client accounts and the Advisers institutional clients or through other limited arrangements. |
3 | Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
INVESTMENT RESULTS
The table above shows the Funds performance compared to its benchmark, the Bloomberg 1-10 Year Treasury Inflation-Protected Securities (TIPS) Index, for the six- and 12-month periods ended April 30, 2022.
Except for Class A and Class C, all share classes of the Fund outperformed the benchmark for the six-month period; all share classes underperformed for the 12-month period, before fees. The Fund invests primarily in municipal bonds and uses tax-efficient hedges for inflation protection. During the six-month period, the Funds overweight to municipals, including municipal credit, detracted. The use of Consumer Price Index (CPI) swaps, a more tax-efficient way of achieving inflation protection, contributed to absolute performance.
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For the 12-month period, the Funds overweight to municipals, including municipal credit, detracted. An allocation to CPI swaps contributed. Underweights to the intermediate and long parts of the yield curve contributed.
During both periods, the Fund utilized derivatives in the form of CPI swaps for hedging purposes, which added to absolute performance. Interest rate swaps were used for hedging purposes and credit default swaps were used for investment purposes, which had no material impact on performance.
MARKET REVIEW AND INVESTMENT STRATEGY
Yields rose toward the end of both the six- and 12-month periods ended April 30, 2022. During the 12-month period, the yield on a 10-Year AAA municipal bond rose to 2.72% from 0.99% and the yield on the 10-Year US Treasury rose to 2.89% from 1.65%. While demand for income remained strong during the first half of the 12-month reporting period, demand weakened during the first quarter of 2022 and into the second quarter, as investors pulled approximately $48 billion from the municipal market as of April 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 95 basis points (b.p.) during the 12-month period and 67 b.p. during the six-month period. Credit spreads were relatively unchanged during the 12-month period, but widened modestly during the six-month period.
The Funds Senior Investment Management Team continues to focus on real after-tax return by investing in municipal bonds that generate income exempt from federal income taxes. In seeking to manage volatility and interest-rate risk, the Team focuses on intermediate-term bonds and seeks to provide inflation protection by entering into inflation swap agreements or investing in other inflation-protected instruments.
The Fund may purchase municipal securities that are insured under policies issued by certain insurance companies. Historically, insured municipal securities typically received a higher credit rating, which meant that the issuer of the securities paid a lower interest rate. As a result of declines in the credit quality and associated downgrades of most bond insurers, insurance has less value than it did in the past. The market now values insured municipal securities primarily based on the credit quality of the issuer of the security with little value given to the insurance feature. In purchasing such insured securities, the Adviser evaluates the risk and return of municipal securities through its own research. If an insurance companys rating is downgraded or the company becomes insolvent, the prices of municipal securities insured by the insurance company may decline. As of April 30, 2022, the Funds percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity were 3.43% and 0.32%, respectively.
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INVESTMENT POLICIES
The Fund seeks real after-tax return for investors subject to federal income taxes. Real return is the rate of return after adjusting for inflation. The Fund pursues its objective by investing principally in high-quality, predominantly investment-grade, municipal securities that pay interest exempt from federal taxation. As a fundamental policy, the Fund will invest at least 80% of its net assets in municipal securities. These securities may be subject to the federal alternative minimum tax for some taxpayers.
The Fund will invest at least 80% of its total assets in fixed-income securities rated A or better or the equivalent by one or more nationally recognized statistical rating organizations (or deemed to be of comparable credit quality by the Adviser). The Fund may invest up to 20% of its total assets in below investment-grade fixed-income securities (junk bonds). If the rating of a fixed-income security falls below investment-grade, the Fund will not be obligated to sell the security and may continue to hold it if, in the Advisers opinion, the investment is appropriate under the circumstances.
The Fund may invest in fixed-income securities with any maturity and duration.
To provide inflation protection, the Fund will typically enter into inflation swaps. The Fund may use other inflation-indexed instruments. Payments to the Fund pursuant to swaps will result in taxable income, either ordinary income or capital gains, rather than income exempt from federal income taxation. It is expected that the Funds primary use of derivatives will be for the purpose of inflation protection.
The Fund may also invest in forward commitments; zero-coupon municipal securities and variable-, floating- and inverse-floating-rate municipal securities; certain types of mortgage-related securities; and derivatives, such as options, futures contracts, forwards and swaps.
The Fund may utilize leverage for investment purposes through the use of tender option bond (TOB) transactions. The Adviser considers the impact of TOB transactions, swaps and other derivatives in making its assessments of the Funds risks. The resulting exposures to markets, sectors, issuers or specific securities will be continuously monitored by the Adviser.
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DISCLOSURES AND RISKS
Benchmark Disclosure
The Bloomberg 1-10 Year TIPS Index is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The Bloomberg 1-10 Year TIPS Index represents the performance of inflation-protected securities issued by the US Treasury. An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Fund.
A Word About Risk
Market Risk: The value of the Funds assets will fluctuate as the bond market fluctuates. The value of the Funds investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market.
Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security. Investments in fixed-income securities with lower ratings tend to have a higher probability that an issuer will default or fail to meet its payment obligations.
Municipal Market Risk: This is the risk that special factors may adversely affect the value of municipal securities and have a significant effect on the yield or value of the Funds investments in municipal securities. These factors include economic conditions, political or legislative changes, public health crises, uncertainties related to the tax status of municipal securities, or the rights of investors in these securities. To the extent that the Fund invests more of its assets in a particular states municipal securities, the Fund is vulnerable to events adversely affecting that state, including economic, political and regulatory occurrences, court decisions, terrorism, public health crises (including the occurrence of a contagious disease or illness) and catastrophic natural disasters, such as hurricanes, fires or earthquakes. For example, the novel coronavirus (COVID-19) pandemic has significantly stressed the financial resources of many issuers of municipal securities, which could impair any such issuers ability to meet its financial obligations when due and adversely impact the value of its securities held by the Fund. As the full effects of the COVID-19 pandemic on
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DISCLOSURES AND RISKS (continued)
state and local economies and on issuers of municipal securities are still uncertain, the financial difficulties of issuers of municipal securities may continue or worsen, adversely affecting the performance of the Fund. The Funds investments in certain municipal securities with principal and interest payments that are made from the revenues of a specific project or facility, and not general tax revenues, may have increased risks. Factors affecting the project or facility, such as local business or economic conditions, could have a significant effect on the projects ability to make payments of principal and interest on these securities.
Congress has previously considered making changes to the municipal securities provisions of the Internal Revenue Code that could change the US federal income tax treatment of certain types of municipal securities.
Interest-Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Duration Risk: Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Funds assets can decline as can the value of the Funds distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, 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 Fund.
Leverage Risk: To the extent the Fund uses leveraging techniques, such as TOB transactions, its net asset value (NAV) may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Funds investments.
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DISCLOSURES AND RISKS (continued)
Illiquid Investments Risk: Illiquid investments risk exists when certain investments are or become more difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest-rate environment, when the value and liquidity of fixed-income securities generally go down.
Management Risk: The Fund is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Funds prospectus. As with all investments, you may lose money by investing in the Fund.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Fund will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by visiting www.abfunds.com. For Class 1 shares, go to www.bernstein.com and click on Investments, found in the footer, then Mutual Fund InformationMutual Fund Performance at a Glance.
All fees and expenses related to the operation of the Fund have been deducted. NAV returns do not reflect sales charges; if sales charges were reflected, the Funds quoted performance would be lower. SEC returns reflect the applicable sales charges for each share class: a 3.00% maximum front-end sales charge for Class A shares and a 1% 1-year contingent deferred sales charge for Class C shares. Class 1 and 2 shares do not carry sales charges. Returns for the different share classes will vary due to different expenses associated with each class. Performance assumes reinvestment of distributions and does not account for taxes.
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 7 |
HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF APRIL 30, 2022 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) |
SEC Yields1 |
Taxable Equivalent Yields2 |
|||||||||||||
CLASS 1 SHARES3 | 1.85% | 2.85% | ||||||||||||||
1 Year | 0.65% | 0.65% | ||||||||||||||
5 Years | 3.02% | 3.02% | ||||||||||||||
10 Years | 2.01% | 2.01% | ||||||||||||||
CLASS 2 SHARES3 | 1.96% | 3.02% | ||||||||||||||
1 Year | 0.75% | 0.75% | ||||||||||||||
5 Years | 3.14% | 3.14% | ||||||||||||||
10 Years | 2.11% | 2.11% | ||||||||||||||
CLASS A SHARES | 1.62% | 2.49% | ||||||||||||||
1 Year | 0.49% | -2.48% | ||||||||||||||
5 Years | 2.88% | 2.25% | ||||||||||||||
10 Years | 1.84% | 1.52% | ||||||||||||||
CLASS C SHARES | 0.93% | 1.43% | ||||||||||||||
1 Year | -0.23% | -1.22% | ||||||||||||||
5 Years | 2.12% | 2.12% | ||||||||||||||
10 Years4 | 1.09% | 1.09% | ||||||||||||||
ADVISOR CLASS SHARES5 | 1.92% | 2.95% | ||||||||||||||
1 Year | 0.73% | 0.73% | ||||||||||||||
5 Years | 3.13% | 3.13% | ||||||||||||||
10 Years | 2.11% | 2.11% |
The Funds current prospectus fee table shows the Funds total annual operating expense ratios as 0.66%, 0.56%, 0.84%, 1.59% and 0.59% for Class 1, Class 2, Class A, Class C and Advisor Class shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limit the Funds total annual operating expense ratios (excluding extraordinary expenses, interest expense, and acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest) to 0.60%, 0.50%, 0.75%, 1.50% and 0.50% for Class 1, Class 2, Class A, Class C and Advisor Class shares, respectively. These waivers/reimbursements may not be terminated prior to January 31, 2023, and may be extended by the Adviser for additional one-year terms. Absent reimbursements or waivers, performance would have been lower. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
1 | SEC yields are calculated based on SEC guidelines for the 30-day period ended April 30, 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 | Class 1 shares are only available to Bernstein Global Wealth Management private client accounts. Class 2 shares are only available to large Bernstein Global Wealth Management private client accounts and the Advisers institutional clients or through other limited arrangements. |
4 | Assumes conversion of Class C shares into Class A shares after eight years. |
5 | This share class is offered at NAV to eligible investors and the SEC returns are the same as the NAV returns. Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
8 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2022 (unaudited)
SEC Returns (reflects applicable sales charges) |
||||
CLASS 1 SHARES1 | ||||
1 Year | 3.27% | |||
5 Years | 3.36% | |||
10 Years | 2.21% | |||
CLASS 2 SHARES1 | ||||
1 Year | 3.37% | |||
5 Years | 3.48% | |||
10 Years | 2.31% | |||
CLASS A SHARES | ||||
1 Year | 0.02% | |||
5 Years | 2.58% | |||
10 Years | 1.72% | |||
CLASS C SHARES | ||||
1 Year | 1.36% | |||
5 Years | 2.45% | |||
10 Years2 | 1.29% | |||
ADVISOR CLASS SHARES3 | ||||
1 Year | 3.34% | |||
5 Years | 3.47% | |||
10 Years | 2.31% |
1 | Class 1 shares are only available to Bernstein Global Wealth Management private client accounts. Class 2 shares are only available to large Bernstein Global Wealth Management private client accounts and the Advisers institutional clients or through other limited arrangements. |
2 | Assumes conversion of Class C shares into Class A shares after eight years. |
3 | Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 9 |
EXPENSE EXAMPLE
(unaudited)
As a shareholder of a mutual fund, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
10 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
EXPENSE EXAMPLE (continued)
Beginning Account Value November 1, 2021 |
Ending Account Value April 30, 2022 |
Expenses Paid During Period* |
Annualized Expense Ratio* |
|||||||||||||
Class A | ||||||||||||||||
Actual |
$ | 1,000 | $ | 980.00 | $ | 3.68 | 0.75 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,021.08 | $ | 3.76 | 0.75 | % | ||||||||
Class C | ||||||||||||||||
Actual |
$ | 1,000 | $ | 976.50 | $ | 7.35 | 1.50 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,017.36 | $ | 7.50 | 1.50 | % | ||||||||
Advisor Class | ||||||||||||||||
Actual |
$ | 1,000 | $ | 981.20 | $ | 2.46 | 0.50 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,022.32 | $ | 2.51 | 0.50 | % | ||||||||
Class 1 | ||||||||||||||||
Actual |
$ | 1,000 | $ | 980.70 | $ | 2.95 | 0.60 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,021.82 | $ | 3.01 | 0.60 | % | ||||||||
Class 2 | ||||||||||||||||
Actual |
$ | 1,000 | $ | 981.20 | $ | 2.46 | 0.50 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,022.32 | $ | 2.51 | 0.50 | % |
* | Expenses are equal to the classes annualized expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 11 |
PORTFOLIO SUMMARY
April 30, 2022 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $2,628.8
1 | All data are as of April 30, 2022. The Funds quality rating breakdown is expressed as a percentage of the Funds total investments in municipal securities and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see Portfolio of Investments section of the report for additional details). The quality ratings are determined by using the S&P Global Ratings (S&P), Moodys Investors Services, Inc. (Moodys) and Fitch Ratings, Ltd. (Fitch). The Fund considers the credit ratings issued by S&P, Moodys 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 issuers 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. |
12 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS
April 30, 2022 (unaudited)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
MUNICIPAL OBLIGATIONS 95.8% |
| |||||||
Long-Term Municipal Bonds 88.1% |
| |||||||
Alabama 0.6% |
| |||||||
Alabama Special Care Facilities Financing Authority-Birmingham AL |
$ | 3,905 | $ | 4,170,570 | ||||
Black Belt Energy Gas District |
5,000 | 5,081,462 | ||||||
Infirmary Health System Special Care Facilities Financing Authority of Mobile |
2,110 | 2,237,987 | ||||||
Series 2021 |
1,675 | 1,683,919 | ||||||
Tuscaloosa County Industrial Development Authority |
1,468 | 1,409,519 | ||||||
|
|
|||||||
14,583,457 | ||||||||
|
|
|||||||
American Samoa 0.1% |
| |||||||
American Samoa Economic Development Authority |
1,335 | 1,455,866 | ||||||
Series 2018 |
295 | 331,025 | ||||||
7.125%, 09/01/2038(a) |
280 | 330,259 | ||||||
|
|
|||||||
2,117,150 | ||||||||
|
|
|||||||
Arizona 1.5% |
| |||||||
Arizona Industrial Development Authority |
500 | 456,440 | ||||||
Arizona Industrial Development Authority |
935 | 957,289 | ||||||
5.00%, 11/01/2031-11/01/2033 |
2,350 | 2,570,921 |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 13 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Arizona Industrial Development Authority |
$ | 1,800 | $ | 1,805,670 | ||||
5.00%, 02/01/2026-02/01/2031 |
4,750 | 5,320,474 | ||||||
Arizona State University |
3,220 | 3,256,662 | ||||||
City of Glendale AZ |
4,000 | 3,425,798 | ||||||
City of Phoenix Civic Improvement Corp. |
1,995 | 2,007,155 | ||||||
City of Phoenix Civic Improvement Corp. |
3,945 | 4,253,186 | ||||||
City of Tempe AZ |
2,400 | 2,005,754 | ||||||
Maricopa County Special Health Care District |
4,595 | 4,623,072 | ||||||
Salt River Project Agricultural Improvement & Power District |
2,750 | 3,136,408 | ||||||
State of Arizona Lottery Revenue |
5,000 | 5,668,037 | ||||||
|
|
|||||||
39,486,866 | ||||||||
|
|
|||||||
Arkansas 0.4% |
| |||||||
University of Arkansas |
9,335 | 9,335,000 | ||||||
|
|
14 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
California 9.9% |
| |||||||
California Community Housing Agency |
$ | 3,315 | $ | 2,667,250 | ||||
California Community Housing Agency |
1,000 | 796,416 | ||||||
California Health Facilities Financing Authority |
1,760 | 1,995,006 | ||||||
California Housing Finance Agency |
984 | 984,331 | ||||||
Series 2021-2 |
2,500 | 149,651 | ||||||
California Infrastructure & Economic Development Bank |
25,000 | 24,773,990 | ||||||
California Pollution Control Financing Authority |
250 | 167,510 | ||||||
California State Public Works Board |
10,000 | 10,238,162 | ||||||
California State Public Works Board |
2,995 | 3,345,895 | ||||||
California State University |
1,000 | 803,839 | ||||||
City of Los Angeles Department of Airports |
2,410 | 2,603,163 |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 15 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Series 2021-A |
$ | 4,000 | $ | 4,399,121 | ||||
CMFA Special Finance Agency VII |
1,000 | 779,441 | ||||||
CMFA Special Finance Agency VIII Elan Huntington Beach |
1,500 | 1,152,504 | ||||||
CSCDA Community Improvement Authority |
6,500 | 5,379,816 | ||||||
CSCDA Community Improvement Authority |
2,000 | 1,576,890 | ||||||
CSCDA Community Improvement Authority |
2,000 | 1,611,134 | ||||||
CSCDA Community Improvement Authority |
1,500 | 1,085,714 | ||||||
CSCDA Community Improvement Authority |
3,500 | 2,944,850 | ||||||
CSCDA Community Improvement Authority |
2,300 | 1,944,677 | ||||||
CSCDA Community Improvement Authority |
1,000 | 780,377 |
16 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
CSCDA Community Improvement Authority |
$ | 2,000 | $ | 1,639,954 | ||||
Golden State Tobacco Securitization Corp. |
1,075 | 1,076,780 | ||||||
Los Angeles County Metropolitan Transportation Authority |
5,880 | 6,094,962 | ||||||
Los Angeles Department of Water & Power |
10,000 | 11,243,951 | ||||||
Orange County Transportation Authority |
3,505 | 3,716,284 | ||||||
Sacramento County Water Financing Authority |
5,000 | 4,451,682 | ||||||
San Diego County Regional Airport Authority |
30,550 | 30,120,207 | ||||||
5.00%, 07/01/2030-07/01/2033 |
9,385 | 10,350,375 | ||||||
San Francisco Intl Airport |
13,235 | 14,565,975 | ||||||
San Joaquin Hills Transportation Corridor Agency |
5,000 | 5,531,240 | ||||||
State of California |
4,250 | 4,412,575 | ||||||
Series 2017 |
7,635 | 7,767,273 | ||||||
Series 2020 |
21,205 | 24,229,233 | ||||||
Series 2021 |
25,345 | 26,244,627 | ||||||
5.00%, 09/01/2023-12/01/2035 |
16,570 | 17,995,856 | ||||||
Series 2022 |
8,640 | 8,765,709 |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 17 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
University of California |
$ | 12,000 | $ | 12,927,711 | ||||
|
|
|||||||
261,314,131 | ||||||||
|
|
|||||||
Colorado 2.5% |
| |||||||
Arapahoe County School District No. 5 Cherry Creek |
2,655 | 2,789,699 | ||||||
Centerra Metropolitan District No. 1 |
1,510 | 1,537,412 | ||||||
City & County of Denver Co. Airport System Revenue |
13,395 | 13,596,934 | ||||||
Series 2018-A |
18,255 | 19,871,948 | ||||||
Colorado Health Facilities Authority |
2,600 | 2,895,063 | ||||||
Colorado Health Facilities Authority |
2,890 | 3,154,570 | ||||||
Colorado Health Facilities Authority |
1,525 | 1,696,276 | ||||||
Colorado Health Facilities Authority |
1,445 | 1,431,716 | ||||||
Denver City & County School District No. 1 |
4,730 | 4,940,378 | ||||||
Series 2021 |
6,785 | 7,721,858 | ||||||
Denver Urban Renewal Authority |
1,640 | 1,669,246 |
18 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
E-470 Public Highway Authority |
$ | 2,000 | $ | 1,959,769 | ||||
Johnstown Plaza Metropolitan District |
2,000 | 1,721,856 | ||||||
Sterling Ranch Community Authority Board |
1,050 | 893,639 | ||||||
Vauxmont Metropolitan District |
260 | 275,066 | ||||||
|
|
|||||||
66,155,430 | ||||||||
|
|
|||||||
Connecticut 2.5% |
| |||||||
City of New Haven CT |
1,920 | 2,146,110 | ||||||
Connecticut State Health & Educational Facilities Authority |
5,500 | 5,337,045 | ||||||
Connecticut State Health & Educational Facilities Authority |
10,105 | 10,029,614 | ||||||
Series 2022 |
8,000 | 7,508,294 | ||||||
State of Connecticut |
5,035 | 5,223,446 | ||||||
Series 2014-A |
2,230 | 2,326,665 | ||||||
Series 2014-F |
1,275 | 1,351,939 | ||||||
Series 2015-B |
7,170 | 7,677,020 | ||||||
Series 2016-A |
2,160 | 2,318,524 | ||||||
Series 2018-B |
1,440 | 1,611,352 |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 19 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
State of Connecticut Clean Water Fund State Revolving Fund |
$ | 4,360 | $ | 4,465,077 | ||||
State of Connecticut Special Tax Revenue |
6,000 | 6,711,863 | ||||||
Series 2021-D |
6,435 | 6,615,944 | ||||||
University of Connecticut |
1,795 | 1,983,975 | ||||||
|
|
|||||||
65,306,868 | ||||||||
|
|
|||||||
District of Columbia 1.3% |
| |||||||
District of Columbia |
1,180 | 1,332,773 | ||||||
District of Columbia |
15,265 | 16,482,285 | ||||||
Metropolitan Washington Airports Authority Aviation Revenue |
8,565 | 9,140,409 | ||||||
Series 2021-A |
2,500 | 2,477,472 | ||||||
5.00%, 10/01/2036 |
1,695 | 1,867,309 | ||||||
Washington Metropolitan Area Transit Authority |
2,450 | 2,526,047 | ||||||
|
|
|||||||
33,826,295 | ||||||||
|
|
|||||||
Florida 5.2% |
| |||||||
Align Affordable Housing Bond Fund LP |
2,500 | 1,815,762 | ||||||
Capital Trust Agency, Inc. |
300 | 300,490 | ||||||
Central Florida Expressway Authority |
13,255 | 14,821,288 |
20 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
AGM Series 2021-D |
$ | 8,685 | $ | 9,903,288 | ||||
Citizens Property Insurance, Inc. |
7,315 | 7,335,702 | ||||||
City of Jacksonville FL |
6,140 | 6,228,641 | ||||||
5.00%, 10/01/2026 (Pre-refunded/ETM) |
4,050 | 4,108,469 | ||||||
City of South Miami Health Facilities Authority, Inc. |
4,500 | 4,812,530 | ||||||
County of Broward FL Airport System Revenue |
16,215 | 15,716,786 | ||||||
Series 2019-C |
2,600 | 2,474,769 | ||||||
County of Miami-Dade FL |
1,500 | 1,521,655 | ||||||
County of Miami-Dade FL |
18,500 | 19,467,679 | ||||||
County of Miami-Dade Seaport Department |
8,000 | 7,955,244 | ||||||
County of Osceola FL Transportation Revenue |
595 | 385,992 | ||||||
Florida Development Finance Corp. |
7,635 | 7,615,099 | ||||||
Series 2022-A |
2,000 | 1,801,675 | ||||||
5.00%, 06/15/2042 |
2,550 | 2,619,070 | ||||||
Florida Municipal Power Agency |
1,500 | 1,557,039 |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 21 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Series 2021 |
$ | 500 | $ | 458,051 | ||||
Florida State Board of Education |
6,000 | 7,000,276 | ||||||
Greater Orlando Aviation Authority |
4,420 | 4,933,290 | ||||||
5.00%, 10/01/2033 |
4,000 | 4,255,866 | ||||||
Mid-Bay Bridge Authority |
1,000 | 1,054,431 | ||||||
Orange County Health Facilities Authority |
1,000 | 948,847 | ||||||
Palm Beach County Health Facilities Authority |
375 | 363,368 | ||||||
Polk County Industrial Development Authority |
1,000 | 1,063,050 | ||||||
State of Florida Department of Transportation Turnpike System Revenue |
2,810 | 2,826,335 | ||||||
Village Community Development District No. 13 |
4,215 | 3,760,370 | ||||||
|
|
|||||||
137,105,062 | ||||||||
|
|
|||||||
Georgia 3.4% |
| |||||||
Augusta Development Authority |
9,555 | 9,983,157 | ||||||
Cobb County Kennestone Hospital Authority |
1,650 | 1,757,767 |
22 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Georgia State Road & Tollway Authority |
$ | 8,810 | $ | 9,995,597 | ||||
Main Street Natural Gas, Inc. |
4,000 | 3,988,254 | ||||||
Main Street Natural Gas, Inc. |
2,075 | 2,113,415 | ||||||
Main Street Natural Gas, Inc. |
9,370 | 9,524,134 | ||||||
Series 2018-C |
6,850 | 6,976,112 | ||||||
Series 2021-A |
37,825 | 38,846,475 | ||||||
Richmond County Board of Education |
3,400 | 3,534,114 | ||||||
State of Georgia |
2,380 | 2,674,879 | ||||||
|
|
|||||||
89,393,904 | ||||||||
|
|
|||||||
Guam 0.2% |
| |||||||
Territory of Guam |
145 | 149,405 | ||||||
Territory of Guam |
3,970 | 4,176,038 | ||||||
Series 2021-F |
500 | 527,930 | ||||||
|
|
|||||||
4,853,373 | ||||||||
|
|
|||||||
Hawaii 0.4% |
| |||||||
City & County of Honolulu HI |
3,595 | 4,095,135 | ||||||
Series 2022-A |
1,500 | 1,636,180 |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 23 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
State of Hawaii Airports System Revenue |
$ | 4,010 | $ | 4,380,252 | ||||
|
|
|||||||
10,111,567 | ||||||||
|
|
|||||||
Illinois 3.1% |
| |||||||
Chicago Board of Education |
1,200 | 1,278,690 | ||||||
Series 2019-B |
500 | 529,478 | ||||||
Series 2022-B |
5,800 | 5,286,784 | ||||||
Chicago Housing Authority |
8,760 | 9,440,196 | ||||||
Chicago OHare International Airport |
5,000 | 5,250,504 | ||||||
Series 2016-C |
5,000 | 5,337,769 | ||||||
Series 2017-B |
1,475 | 1,583,762 | ||||||
Series 2018-A |
1,000 | 1,062,675 | ||||||
Chicago OHare International Airport |
2,500 | 2,551,880 | ||||||
5.50%, 01/01/2025 |
2,250 | 2,295,117 | ||||||
County of Cook IL |
2,560 | 2,600,651 | ||||||
Illinois Finance Authority |
1,630 | 1,702,533 | ||||||
Illinois Finance Authority |
800 | 843,899 | ||||||
Illinois Finance Authority |
7,000 | 8,204,735 |
24 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Illinois Finance Authority |
$ | 9,375 | $ | 8,581,934 | ||||
Illinois State Toll Highway Authority |
1,080 | 1,204,949 | ||||||
State of Illinois |
1,670 | 1,715,141 | ||||||
Series 2014 |
4,180 | 4,299,364 | ||||||
Series 2017-B |
5,050 | 5,293,506 | ||||||
Series 2017-D |
7,950 | 8,329,390 | ||||||
Series 2018-A |
2,785 | 2,873,233 | ||||||
Series 2018-B |
1,730 | 1,784,809 | ||||||
|
|
|||||||
82,050,999 | ||||||||
|
|
|||||||
Indiana 1.1% |
| |||||||
Indiana Finance Authority |
2,380 | 1,766,763 | ||||||
Indiana Finance Authority |
9,955 | 11,486,785 | ||||||
Indiana Finance Authority |
5,000 | 4,932,962 | ||||||
Indiana Finance Authority |
1,210 | 1,191,371 | ||||||
Indiana Finance Authority |
1,000 | 873,816 |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 25 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Indiana Finance Authority |
$ | 8,150 | $ | 7,341,597 | ||||
Indiana Finance Authority |
495 | 426,678 | ||||||
|
|
|||||||
28,019,972 | ||||||||
|
|
|||||||
Iowa 1.2% |
| |||||||
Iowa Finance Authority |
8,000 | 8,006,302 | ||||||
Iowa Finance Authority |
2,250 | 2,395,226 | ||||||
Series 2022 |
5,000 | 4,978,654 | ||||||
Iowa Finance Authority |
5,200 | 5,993,084 | ||||||
Iowa Higher Education Loan Authority |
2,275 | 2,249,431 | ||||||
Iowa Tobacco Settlement Authority |
3,515 | 3,545,340 | ||||||
5.00%, 06/01/2031 |
900 | 991,867 | ||||||
Series 2021-B |
2,000 | 1,893,908 | ||||||
PEFA, Inc. |
2,360 | 2,490,489 | ||||||
|
|
|||||||
32,544,301 | ||||||||
|
|
|||||||
Kansas 0.2% |
| |||||||
Kansas Development Finance Authority |
6,000 | 6,667,480 | ||||||
|
|
26 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Kentucky 3.0% |
| |||||||
City of Ashland KY |
$ | 650 | $ | 713,468 | ||||
City of Henderson KY |
1,150 | 1,123,434 | ||||||
Kentucky Municipal Power Agency |
4,875 | 4,968,545 | ||||||
Kentucky Public Energy Authority |
7,260 | 7,433,928 | ||||||
Kentucky Public Energy Authority |
20,000 | 20,603,130 | ||||||
Series 2019-C |
9,015 | 9,192,832 | ||||||
Series 2022-A |
18,485 | 18,822,262 | ||||||
Kentucky Turnpike Authority |
2,275 | 2,288,562 | ||||||
Louisville and Jefferson County Metropolitan Sewer District |
15,000 | 15,092,937 | ||||||
|
|
|||||||
80,239,098 | ||||||||
|
|
|||||||
Louisiana 1.2% |
| |||||||
City of New Orleans LA |
12,255 | 13,899,324 | ||||||
Jefferson Sales Tax District |
1,800 | 1,993,996 | ||||||
Parish of St. James LA |
340 | 359,952 | ||||||
6.10%, 06/01/2038-12/01/2040(a) |
845 | 959,561 |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 27 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
State of Louisiana Gasoline & Fuels Tax Revenue |
$ | 2,860 | $ | 2,860,000 | ||||
5.00%, 05/01/2027 |
6,225 | 6,242,753 | ||||||
Series 2022-A |
4,960 | 4,938,976 | ||||||
|
|
|||||||
31,254,562 | ||||||||
|
|
|||||||
Maryland 4.2% |
| |||||||
County of Baltimore MD |
12,555 | 13,176,991 | ||||||
County of Montgomery MD |
5,925 | 6,564,741 | ||||||
County of Prince Georges MD |
10,000 | 11,203,457 | ||||||
Maryland Economic Development Corp. |
19,565 | 20,409,509 | ||||||
Maryland Health & Higher Educational Facilities Authority |
500 | 486,688 | ||||||
State of Maryland |
13,990 | 14,031,708 | ||||||
Series 2017-B |
5,790 | 6,130,611 | ||||||
Series 2020-B |
9,315 | 10,607,007 | ||||||
Series 2021-A |
3,265 | 3,820,604 | ||||||
Series 2022-C |
11,500 | 12,576,353 | ||||||
Series 2022-D |
4,500 | 4,884,491 | ||||||
Washington Suburban Sanitary Commission |
2,615 | 2,622,900 | ||||||
Series 2020 |
4,140 | 4,221,072 | ||||||
|
|
|||||||
110,736,132 | ||||||||
|
|
28 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Massachusetts 2.3% |
| |||||||
Commonwealth of Massachusetts |
$ | 2,450 | $ | 2,547,186 | ||||
Series 2020-B |
7,380 | 7,791,408 | ||||||
Series 2022-B |
15,260 | 15,716,492 | ||||||
CIFGNA Series 2007-A |
3,275 | 3,111,868 | ||||||
Massachusetts Bay Transportation Authority Sales Tax Revenue |
3,520 | 3,648,575 | ||||||
Massachusetts Clean Water Trust (The) |
3,240 | 3,260,264 | ||||||
5.99% (CPI + 0.99%), 08/01/2023 |
2,275 | 2,321,035 | ||||||
Series 2021-2 |
1,645 | 1,672,197 | ||||||
Massachusetts Development Finance Agency |
1,655 | 1,843,602 | ||||||
Massachusetts Port Authority |
11,280 | 12,371,927 | ||||||
Massachusetts School Building Authority |
2,475 | 2,496,220 | ||||||
Massachusetts Water Resources Authority |
2,865 | 2,890,709 | ||||||
|
|
|||||||
59,671,483 | ||||||||
|
|
|||||||
Michigan 1.3% |
| |||||||
City of Detroit MI |
1,055 | 1,106,641 |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 29 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
City of Detroit MI Sewage Disposal System Revenue |
$ | 2,605 | $ | 2,520,500 | ||||
Detroit City School District |
3,860 | 4,428,080 | ||||||
Michigan Finance Authority |
2,735 | 3,003,503 | ||||||
Michigan Finance Authority |
10,545 | 11,080,379 | ||||||
Michigan Finance Authority |
1,785 | 1,934,411 | ||||||
Michigan Finance Authority |
1,250 | 1,376,221 | ||||||
Michigan Strategic Fund |
9,090 | 9,622,541 | ||||||
|
|
|||||||
35,072,276 | ||||||||
|
|
|||||||
Minnesota 0.1% |
| |||||||
City of Minneapolis MN/St. Paul Housing & Redevelopment Authority |
25 | 25,000 | ||||||
County of Hennepin MN |
2,035 | 2,253,464 | ||||||
|
|
|||||||
2,278,464 | ||||||||
|
|
30 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Mississippi 0.1% |
| |||||||
Mississippi Development Bank |
$ | 1,000 | $ | 1,092,961 | ||||
Mississippi Hospital Equipment & Facilities Authority |
1,500 | 1,576,731 | ||||||
|
|
|||||||
2,669,692 | ||||||||
|
|
|||||||
Missouri 0.9% |
| |||||||
Health & Educational Facilities Authority of the State of Missouri |
11,975 | 12,440,465 | ||||||
Howard Bend Levee District |
255 | 265,981 | ||||||
Lees Summit Industrial Development Authority |
1,675 | 1,715,706 | ||||||
Missouri State Environmental Improvement & Energy Resources Authority |
9,785 | 9,998,205 | ||||||
|
|
|||||||
24,420,357 | ||||||||
|
|
|||||||
Montana 0.1% |
| |||||||
Montana Facility Finance Authority |
3,275 | 3,562,681 | ||||||
|
|
|||||||
Nebraska 0.6% |
| |||||||
Central Plains Energy Project |
15,000 | 15,392,137 | ||||||
|
|
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 31 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Nevada 2.1% |
| |||||||
City of Sparks NV |
$ | 360 | $ | 353,574 | ||||
Clark County School District |
10,085 | 10,539,954 | ||||||
5.00%, 06/15/2027-06/15/2028 |
8,780 | 9,741,463 | ||||||
Series 2021-B |
20,225 | 22,656,673 | ||||||
BAM Series 2020-B |
4,305 | 4,752,147 | ||||||
Tahoe-Douglas Visitors Authority |
1,200 | 1,211,138 | ||||||
5.00%, 07/01/2029-07/01/2035 |
5,465 | 5,749,509 | ||||||
|
|
|||||||
55,004,458 | ||||||||
|
|
|||||||
New Hampshire 0.1% |
| |||||||
New Hampshire Business Finance Authority |
1,506 | 1,552,515 | ||||||
|
|
|||||||
New Jersey 3.7% |
| |||||||
County of Monmouth NJ |
2,685 | 3,067,443 | ||||||
Federal Home Loan Mortgage Corp. Enhanced Receipt |
12,363 | 12,126,572 | ||||||
New Jersey Economic Development Authority |
1,150 | 1,211,755 | ||||||
New Jersey Economic Development Authority |
3,810 | 4,129,225 | ||||||
New Jersey Economic Development Authority |
1,365 | 1,384,893 |
32 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
New Jersey Educational Facilities Authority |
$ | 2,135 | $ | 2,187,780 | ||||
5.00%, 07/01/2034-07/01/2038 |
3,190 | 3,630,092 | ||||||
New Jersey Transportation Trust Fund Authority |
4,390 | 4,712,294 | ||||||
Series 2018-A |
26,170 | 28,066,575 | ||||||
New Jersey Transportation Trust Fund Authority |
2,960 | 3,105,293 | ||||||
Series 2020-A |
1,140 | 1,224,183 | ||||||
New Jersey Turnpike Authority |
1,600 | 1,634,221 | ||||||
5.00%, 01/01/2023 |
200 | 204,091 | ||||||
Series 2014-A |
4,785 | 5,006,324 | ||||||
Series 2014-C |
1,590 | 1,622,521 | ||||||
Series 2017-A |
7,300 | 7,921,312 | ||||||
Series 2020-D |
4,375 | 4,756,007 | ||||||
Series 2021-B |
1,000 | 933,688 | ||||||
1.713%, 01/01/2029 |
1,350 | 1,169,206 | ||||||
Tobacco Settlement Financing Corp./NJ |
4,750 | 5,115,524 | ||||||
Series 2018-B |
3,175 | 3,313,360 | ||||||
|
|
|||||||
96,522,359 | ||||||||
|
|
|||||||
New Mexico 0.0% |
| |||||||
Winrock Town Center Tax Increment Development District No. 1 |
1,035 | 931,982 | ||||||
|
|
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 33 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
New York 7.6% |
| |||||||
City of New York NY |
$ | 3,220 | $ | 3,223,057 | ||||
Series 2020-A |
3,940 | 4,300,178 | ||||||
Series 2020-B |
3,000 | 3,332,903 | ||||||
Series 2020-C |
6,920 | 7,780,098 | ||||||
Series 2021-A |
2,000 | 2,005,436 | ||||||
5.00%, 08/01/2033 |
2,000 | 2,282,410 | ||||||
Series 2021-D |
3,120 | 2,800,055 | ||||||
Series 2021-F |
2,500 | 2,677,670 | ||||||
County of Monroe NY |
4,070 | 4,542,703 | ||||||
Metropolitan Transportation Authority |
4,065 | 4,139,363 | ||||||
5.00%, 11/15/2025 (Pre-refunded/ETM) |
5,000 | 5,091,468 | ||||||
Series 2012-F |
3,635 | 3,686,289 | ||||||
Series 2013-A |
2,300 | 2,370,059 | ||||||
Series 2013-E |
8,510 | 8,872,295 | ||||||
Series 2016-A |
1,130 | 1,190,090 | ||||||
Series 2016-B |
1,370 | 1,470,841 | ||||||
Series 2017-B |
3,600 | 3,809,338 | ||||||
Series 2017-C |
4,020 | 4,337,842 | ||||||
Series 2020-A |
5,120 | 5,571,425 | ||||||
Series 2020-E |
1,000 | 1,033,697 | ||||||
5.00%, 11/15/2028 |
4,000 | 4,339,878 | ||||||
Series 2021-D |
2,090 | 2,073,763 |
34 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue |
$ | 6,830 | $ | 6,938,064 | ||||
New York State Dormitory Authority |
6,565 | 6,834,899 | ||||||
Series 2021 |
2,000 | 1,612,575 | ||||||
2.252%, 03/15/2032 |
2,000 | 1,674,615 | ||||||
Series 2021-E |
52,730 | 59,155,499 | ||||||
Series 2022-A |
5,000 | 5,007,123 | ||||||
New York State Environmental Facilities Corp. |
800 | 823,120 | ||||||
New York State Thruway Authority |
2,000 | 2,008,362 | ||||||
5.00%, 03/15/2025 |
2,225 | 2,372,175 | ||||||
New York Transportation Development Corp. |
9,255 | 9,774,464 | ||||||
Series 2020 |
1,500 | 1,476,792 | ||||||
New York Transportation Development Corp. |
3,850 | 4,021,687 | ||||||
New York Transportation Development Corp. |
345 | 355,583 | ||||||
Port Authority of New York & New Jersey |
1,025 | 1,123,866 | ||||||
Suffolk Tobacco Asset Securitization Corp. |
4,510 | 4,919,933 |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 35 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Triborough Bridge & Tunnel Authority |
$ | 4,740 | $ | 5,108,175 | ||||
Series 2021-A |
2,945 | 2,845,523 | ||||||
2.591%, 05/15/2036 |
2,000 | 1,685,278 | ||||||
2.917%, 05/15/2040 |
1,000 | 834,789 | ||||||
|
|
|||||||
199,503,380 | ||||||||
|
|
|||||||
North Carolina 1.0% |
| |||||||
City of Charlotte NC Water & Sewer System Revenue |
2,230 | 2,243,587 | ||||||
Fayetteville State University |
655 | 704,419 | ||||||
State of North Carolina |
2,995 | 3,001,731 | ||||||
State of North Carolina |
6,710 | 7,160,471 | ||||||
Series 2019 |
6,690 | 7,507,016 | ||||||
Series 2021 |
1,175 | 1,310,814 | ||||||
State of North Carolina |
3,255 | 3,255,000 | ||||||
|
|
|||||||
25,183,038 | ||||||||
|
|
|||||||
North Dakota 0.0% |
| |||||||
County of Grand Forks ND |
425 | 260,696 | ||||||
7.00%, 12/15/2043(a) |
440 | 262,649 | ||||||
|
|
|||||||
523,345 | ||||||||
|
|
|||||||
Ohio 1.4% |
| |||||||
American Municipal Power, Inc. |
5,000 | 5,360,044 |
36 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Series 2019 |
$ | 1,425 | $ | 1,604,331 | ||||
Series 2021 |
2,760 | 2,825,078 | ||||||
5.00%, 02/15/2034 |
1,680 | 1,894,423 | ||||||
Buckeye Tobacco Settlement Financing Authority |
1,000 | 973,389 | ||||||
City of Chillicothe OH |
3,385 | 3,639,585 | ||||||
City of Cleveland OH Airport System Revenue |
2,585 | 2,658,776 | ||||||
City of Cleveland OH Income Tax Revenue |
7,585 | 8,508,984 | ||||||
Series 2017-B2 |
1,485 | 1,670,181 | ||||||
County of Cuyahoga OH |
5,600 | 5,951,300 | ||||||
Ohio Air Quality Development Authority |
235 | 235,197 | ||||||
Ohio Water Development Authority Water Pollution Control Loan Fund |
420 | 420,352 | ||||||
Series 2016-B |
825 | 825,691 | ||||||
|
|
|||||||
36,567,331 | ||||||||
|
|
|||||||
Oklahoma 0.0% |
| |||||||
Oklahoma Development Finance Authority |
500 | 491,587 | ||||||
|
|
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 37 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Oregon 0.7% |
| |||||||
Deschutes County Hospital Facilities Authority |
$ | 1,000 | $ | 1,010,306 | ||||
Oregon Health & Science University |
4,750 | 5,380,842 | ||||||
Port of Portland OR Airport Revenue |
8,500 | 8,422,565 | ||||||
Tri-County Metropolitan Transportation District of Oregon |
1,960 | 2,070,345 | ||||||
5.00%, 10/01/2029 |
1,910 | 2,138,210 | ||||||
|
|
|||||||
19,022,268 | ||||||||
|
|
|||||||
Other 0.2% |
| |||||||
Federal Home Loan Mortgage Corp. |
3,790 | 3,435,462 | ||||||
Federal Home Loan Mortgage Corp. Multifamily VRD Certificates |
2,491 | 2,152,853 | ||||||
|
|
|||||||
5,588,315 | ||||||||
|
|
|||||||
Pennsylvania 4.1% |
| |||||||
Allegheny County Airport Authority |
8,170 | 7,973,429 | ||||||
5.00%, 01/01/2035 |
5,205 | 5,658,002 | ||||||
Berks County Municipal Authority (The) |
1,000 | 999,960 | ||||||
Bucks County Industrial Development Authority |
4,500 | 4,805,098 | ||||||
City of Philadelphia PA |
12,990 | 14,323,595 |
38 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
City of Philadelphia PA Airport Revenue |
$ | 3,035 | $ | 3,296,462 | ||||
City of Philadelphia PA Water & Wastewater Revenue |
2,135 | 2,351,727 | ||||||
Commonwealth of Pennsylvania |
3,600 | 3,762,009 | ||||||
Hospitals & Higher Education Facilities Authority of Philadelphia (The) |
10,000 | 9,843,204 | ||||||
Lancaster County Hospital Authority/PA |
1,410 | 1,384,251 | ||||||
5.00%, 03/01/2033 |
1,600 | 1,629,378 | ||||||
Montgomery County Higher Education and Health Authority |
1,500 | 1,657,693 | ||||||
Series 2022 |
12,600 | 12,624,790 | ||||||
Moon Industrial Development Authority |
1,690 | 1,723,691 | ||||||
Pennsylvania Economic Development Financing Authority |
5,000 | 5,000,017 | ||||||
Pennsylvania Higher Educational Facilities Authority |
2,000 | 1,966,642 |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 39 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Pennsylvania Turnpike Commission |
$ | 3,005 | $ | 3,350,987 | ||||
Series 2017-B |
7,580 | 8,234,139 | ||||||
Series 2019 |
4,250 | 4,428,908 | ||||||
Series 2021-B |
2,000 | 2,006,256 | ||||||
5.00%, 12/01/2034-12/01/2035 |
2,850 | 3,208,121 | ||||||
Philadelphia Authority for Industrial Development |
1,000 | 1,029,667 | ||||||
School District of Philadelphia (The) |
5,000 | 5,358,896 | ||||||
|
|
|||||||
106,616,922 | ||||||||
|
|
|||||||
Puerto Rico 0.4% |
| |||||||
Commonwealth of Puerto Rico |
4,405 | 2,649,307 | ||||||
4.00%, 07/01/2033-07/01/2046 |
14 | 12,614 | ||||||
5.25%, 07/01/2023 |
1,503 | 1,521,350 | ||||||
5.375%, 07/01/2025 |
3 | 3,338 | ||||||
5.625%, 07/01/2027-07/01/2029 |
1,116 | 1,196,359 | ||||||
5.75%, 07/01/2031 |
3 | 3,341 | ||||||
Series 2022-C |
20 | 10,481 | ||||||
Puerto Rico Electric Power Authority |
970 | 1,006,608 | ||||||
Puerto Rico Highway & Transportation Authority |
790 | 823,074 | ||||||
AGC Series 2007-N |
2,105 | 2,202,675 | ||||||
AGM Series 2007-C |
100 | 104,659 | ||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue |
1,024 | 961,664 | ||||||
|
|
|||||||
10,495,470 | ||||||||
|
|
40 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Rhode Island 0.1% |
| |||||||
Rhode Island Health and Educational Building Corp. |
$ | 3,435 | $ | 3,625,948 | ||||
|
|
|||||||
South Carolina 1.0% |
| |||||||
County of Richland SC |
13,020 | 14,741,666 | ||||||
South Carolina Jobs-Economic Development Authority |
1,000 | 855,331 | ||||||
South Carolina Public Service Authority |
2,535 | 2,698,156 | ||||||
Series 2016-B |
5,040 | 5,396,540 | ||||||
Series 2016-C |
930 | 996,817 | ||||||
Series 2021-B |
1,975 | 1,979,614 | ||||||
|
|
|||||||
26,668,124 | ||||||||
|
|
|||||||
Tennessee 1.0% |
| |||||||
Bristol Industrial Development Board |
1,410 | 1,388,267 | ||||||
City of Pigeon Forge TN |
4,545 | 4,779,993 | ||||||
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board
|
5,095 | 5,722,014 | ||||||
Metropolitan Government of Nashville & Davidson County TN |
2,385 | 2,399,217 |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 41 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Tennessee Energy Acquisition Corp. |
$ | 8,770 | $ | 9,536,528 | ||||
Wilson County Health & Educational Facilities Board |
1,000 | 805,116 | ||||||
4.25%, 12/01/2024 |
1,000 | 953,680 | ||||||
|
|
|||||||
25,584,815 | ||||||||
|
|
|||||||
Texas 7.2% |
| |||||||
Board of Regents of the University of Texas System |
6,225 | 6,288,476 | ||||||
Central Texas Regional Mobility Authority |
7,400 | 8,106,229 | ||||||
Series 2021-C |
5,000 | 5,292,879 | ||||||
City of Austin TX Water & Wastewater System Revenue |
2,885 | 3,308,723 | ||||||
City of Houston TX |
6,680 | 7,345,553 | ||||||
City of Houston TX Airport System Revenue |
3,000 | 2,982,723 | ||||||
Series 2021-A |
9,860 | 9,758,801 | ||||||
5.00%, 07/01/2028-07/01/2033 |
4,905 | 5,395,531 | ||||||
City of Houston TX Airport System Revenue |
2,465 | 2,532,414 | ||||||
City of Houston TX Combined Utility System Revenue |
1,100 | 1,155,992 | ||||||
Series 2019-B |
1,015 | 1,055,157 | ||||||
Series 2020-C |
4,330 | 4,407,601 |
42 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
AGM Series 1998 |
$ | 8,265 | $ | 8,182,233 | ||||
City of San Antonio TX Electric & Gas Systems Revenue |
6,220 | 6,995,901 | ||||||
Conroe Local Government Corp. |
905 | 922,492 | ||||||
Dallas Area Rapid Transit |
5,250 | 5,450,845 | ||||||
Fort Worth Independent School District |
5,250 | 5,770,259 | ||||||
Harris County Cultural Education Facilities Finance Corp. |
2,000 | 1,980,229 | ||||||
Harris County Flood Control District |
7,790 | 8,193,268 | ||||||
Hidalgo County Regional Mobility Authority |
1,750 | 1,661,939 | ||||||
5.00%, 12/01/2033 |
750 | 805,459 | ||||||
Series 2022-B |
1,000 | 909,818 | ||||||
Lewisville Independent School District |
4,725 | 4,946,941 | ||||||
Lower Colorado River Authority |
800 | 901,763 | ||||||
Series 2022 |
15,000 | 16,574,106 |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 43 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
New Hope Cultural Education Facilities Finance Corp. |
$ | 900 | $ | 462,884 | ||||
7.50%, 11/15/2036-11/15/2037 |
260 | 230,282 | ||||||
New Hope Cultural Education Facilities Finance Corp. |
1,825 | 1,525,302 | ||||||
New Hope Cultural Education Facilities Finance Corp. |
1,000 | 1,051,411 | ||||||
Newark Higher Education Finance Corp. |
1,690 | 1,525,034 | ||||||
North Texas Tollway Authority |
3,000 | 3,048,200 | ||||||
Series 2021-B |
1,080 | 1,144,471 | ||||||
Port Authority of Houston of Harris County Texas |
1,065 | 1,185,839 | ||||||
Port Beaumont Navigation District |
240 | 217,291 | ||||||
Series 2021 |
550 | 504,736 | ||||||
San Antonio Water System |
9,505 | 10,881,535 | ||||||
Spring Independent School District |
1,430 | 1,597,639 | ||||||
State of Texas |
2,355 | 2,456,171 | ||||||
5.00%, 08/01/2026-08/01/2029 |
7,970 | 8,822,424 |
44 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Series 2021-B |
$ | 2,340 | $ | 2,634,369 | ||||
Tarrant County Cultural Education Facilities Finance Corp. |
13,405 | 14,741,750 | ||||||
Tarrant County Cultural Education Facilities Finance Corp. |
1,105 | 386,750 | ||||||
Texas Water Development Board |
10,410 | 10,937,900 | ||||||
University of North Texas System |
4,860 | 5,592,631 | ||||||
|
|
|||||||
189,871,951 | ||||||||
|
|
|||||||
Utah 0.9% |
| |||||||
City of Salt Lake City UT Airport Revenue |
18,795 | 18,500,418 | ||||||
5.00%, 07/01/2033 |
4,000 | 4,404,236 | ||||||
Military Installation Development Authority |
1,000 | 830,420 | ||||||
|
|
|||||||
23,735,074 | ||||||||
|
|
|||||||
Virginia 2.0% |
| |||||||
Fairfax County Economic Development Authority |
820 | 945,656 | ||||||
Halifax County Industrial Development Authority |
5,000 | 4,877,563 | ||||||
Hampton Roads Transportation Accountability Commission |
2,685 | 2,944,157 |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 45 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Virginia Commonwealth Transportation Board |
$ | 4,305 | $ | 4,310,523 | ||||
5.00%, 05/15/2029 (Pre-refunded/ETM) |
2,250 | 2,252,887 | ||||||
Virginia Small Business Financing Authority |
20,285 | 22,218,305 | ||||||
Virginia Small Business Financing Authority |
5,000 | 5,001,127 | ||||||
Virginia Small Business Financing Authority |
9,750 | 9,567,291 | ||||||
|
|
|||||||
52,117,509 | ||||||||
|
|
|||||||
Washington 4.9% |
| |||||||
City of Seattle WA Municipal Light & Power Revenue |
4,080 | 4,339,638 | ||||||
City of Seattle WA Water System Revenue |
4,020 | 4,163,143 | ||||||
Energy Northwest |
19,925 | 21,457,099 | ||||||
Series 2021 |
10,000 | 10,060,434 | ||||||
Series 2021-A |
1,000 | 1,027,641 | ||||||
Port of Seattle WA |
4,820 | 4,956,452 | ||||||
Series 2019 |
3,000 | 3,273,936 | ||||||
Series 2021 |
2,000 | 1,948,487 | ||||||
5.00%, 08/01/2022-08/01/2023 |
10,285 | 10,417,441 | ||||||
Spokane County School District No. 81 Spokane |
5,000 | 4,937,351 |
46 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
State of Washington |
$ | 13,325 | $ | 14,193,106 | ||||
Series 2021-A |
2,570 | 2,929,383 | ||||||
Series 2021-C |
6,385 | 7,277,863 | ||||||
Series 2021-D |
4,380 | 5,019,939 | ||||||
Series 2021-F |
3,165 | 3,623,614 | ||||||
Series 2021-R |
15,880 | 16,020,918 | ||||||
University of Washington |
7,235 | 8,417,748 | ||||||
Series 2022-B |
2,500 | 2,236,856 | ||||||
Washington State Convention Center Public Facilities District |
1,600 | 1,544,997 | ||||||
Washington State Housing Finance Commission |
987 | 900,563 | ||||||
|
|
|||||||
128,746,609 | ||||||||
|
|
|||||||
West Virginia 0.1% |
| |||||||
City of South Charleston WV |
1,185 | 973,640 | ||||||
Tobacco Settlement Finance Authority/WV |
2,600 | 2,437,547 | ||||||
West Virginia Economic Development Authority |
265 | 266,215 | ||||||
|
|
|||||||
3,677,402 | ||||||||
|
|
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 47 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Wisconsin 2.2% |
| |||||||
St. Croix Chippewa Indians of Wisconsin |
$ | 1,000 | $ | 804,771 | ||||
State of Wisconsin |
11,850 | 13,245,310 | ||||||
Series 2023-1 |
4,300 | 4,695,853 | ||||||
UMA Education, Inc. |
2,535 | 2,645,530 | ||||||
Wisconsin Department of Transportation |
5,500 | 5,687,141 | ||||||
5.00%, 07/01/2024 (Pre-refunded/ETM) |
6,500 | 6,716,673 | ||||||
Wisconsin Housing & Economic Development Authority |
280 | 257,721 | ||||||
Series 2022-A |
1,285 | 1,177,126 | ||||||
Wisconsin Public Finance Authority |
2,000 | 2,053,904 | ||||||
5.50%, 02/01/2042(a) |
3,100 | 2,897,319 | ||||||
Wisconsin Public Finance Authority |
1,975 | 2,119,834 | ||||||
Wisconsin Public Finance Authority |
5,000 | 4,852,420 | ||||||
Wisconsin Public Finance Authority |
1,375 | 1,338,379 | ||||||
Wisconsin Public Finance Authority |
3,000 | 3,104,099 |
48 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Wisconsin Public Finance Authority |
$ | 1,220 | $ | 1,236,985 | ||||
Wisconsin Public Finance Authority |
915 | 901,281 | ||||||
Wisconsin Public Finance Authority |
1,500 | 1,379,123 | ||||||
Wisconsin Public Finance Authority |
1,725 | 1,909,080 | ||||||
|
|
|||||||
57,022,549 | ||||||||
|
|
|||||||
Total Long-Term Municipal Bonds |
2,317,221,688 | |||||||
|
|
|||||||
Short-Term Municipal Notes 7.7% |
| |||||||
Arizona 0.4% |
| |||||||
Arizona Health Facilities Authority |
8,300 | 8,300,000 | ||||||
Arizona Industrial Development Authority |
3,300 | 3,300,000 | ||||||
|
|
|||||||
11,600,000 | ||||||||
|
|
|||||||
California 1.5% |
| |||||||
Abag Finance Authority for Nonprofit Corps. |
1,565 | 1,565,000 | ||||||
Series 2009-D |
1,800 | 1,800,000 | ||||||
City of Los Angeles CA |
13,070 | 13,225,336 | ||||||
Southern California Public Power Authority |
8,800 | 8,800,000 |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 49 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
State of California |
$ | 14,600 | $ | 14,600,000 | ||||
|
|
|||||||
39,990,336 | ||||||||
|
|
|||||||
Colorado 0.3% |
| |||||||
Colorado Health Facilities Authority |
3,850 | 3,850,000 | ||||||
0.40%, 12/01/2052(g) |
2,650 | 2,650,000 | ||||||
|
|
|||||||
6,500,000 | ||||||||
|
|
|||||||
District of Columbia 0.7% |
| |||||||
District of Columbia |
2,500 | 2,500,000 | ||||||
District of Columbia |
7,700 | 7,700,000 | ||||||
District of Columbia |
4,640 | 4,640,000 | ||||||
Series 2017-A |
3,000 | 3,000,000 | ||||||
|
|
|||||||
17,840,000 | ||||||||
|
|
|||||||
Florida 0.4% |
| |||||||
Florida Keys Aqueduct Authority |
9,370 | 9,370,000 | ||||||
Halifax Hospital Medical Center |
1,685 | 1,685,000 | ||||||
|
|
|||||||
11,055,000 | ||||||||
|
|
|||||||
Illinois 0.3% |
| |||||||
Illinois Development Finance Authority |
2,565 | 2,565,000 |
50 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Illinois Finance Authority |
$ | 1,300 | $ | 1,300,000 | ||||
Illinois Finance Authority |
1,450 | 1,450,000 | ||||||
Illinois Finance Authority |
1,075 | 1,075,000 | ||||||
Village of Brookfield IL |
2,350 | 2,350,000 | ||||||
|
|
|||||||
8,740,000 | ||||||||
|
|
|||||||
Indiana 0.1% |
| |||||||
Indiana Municipal Power Agency |
1,380 | 1,380,000 | ||||||
|
|
|||||||
Louisiana 0.3% |
| |||||||
Louisiana Public Facilities Authority |
5,250 | 5,250,000 | ||||||
Louisiana Public Facilities Authority |
2,280 | 2,280,000 | ||||||
|
|
|||||||
7,530,000 | ||||||||
|
|
|||||||
Massachusetts 0.3% |
| |||||||
Massachusetts Development Finance Agency |
1,800 | 1,800,000 | ||||||
Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue |
6,040 | 6,040,000 | ||||||
|
|
|||||||
7,840,000 | ||||||||
|
|
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 51 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Minnesota 0.5% |
| |||||||
City of Minneapolis MN |
$ | 2,750 | $ | 2,750,000 | ||||
City of Minneapolis MN/St. Paul Housing & Redevelopment Authority |
1,000 | 1,000,000 | ||||||
Series 2009-B |
9,005 | 9,005,000 | ||||||
|
|
|||||||
12,755,000 | ||||||||
|
|
|||||||
New Jersey 0.6% |
| |||||||
New Jersey Health Care Facilities Financing Authority |
1,145 | 1,145,000 | ||||||
New Jersey Health Care Facilities Financing Authority |
5,000 | 5,000,000 | ||||||
Series 2009-C |
8,600 | 8,600,000 | ||||||
|
|
|||||||
14,745,000 | ||||||||
|
|
|||||||
New York 0.9% |
| |||||||
Build NYC Resource Corp. |
4,725 | 4,725,000 | ||||||
New York City Health and Hospitals Corp. |
11,000 | 11,000,000 | ||||||
New York State Housing Finance Agency |
4,025 | 4,025,000 | ||||||
Triborough Bridge & Tunnel Authority |
1,415 | 1,415,000 |
52 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Trust for Cultural Resources of The City of New York (The) |
$ | 2,785 | $ | 2,785,000 | ||||
|
|
|||||||
23,950,000 | ||||||||
|
|
|||||||
Ohio 0.0% |
| |||||||
Columbus Regional Airport Authority |
965 | 965,000 | ||||||
|
|
|||||||
Oregon 0.3% |
| |||||||
Clackamas County Hospital Facility Authority |
1,750 | 1,750,000 | ||||||
Series 2008-B |
3,450 | 3,450,000 | ||||||
Oregon State Facilities Authority |
2,100 | 2,100,000 | ||||||
|
|
|||||||
7,300,000 | ||||||||
|
|
|||||||
Texas 0.2% |
| |||||||
Austin Independent School District |
4,880 | 4,924,276 | ||||||
|
|
|||||||
Washington 0.7% |
| |||||||
Port of Tacoma WA |
18,000 | 18,000,000 | ||||||
Washington State Housing Finance Commission |
1,080 | 1,080,000 | ||||||
|
|
|||||||
19,080,000 | ||||||||
|
|
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 53 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Wisconsin 0.2% |
| |||||||
Wisconsin Health & Educational Facilities Authority |
$ | 6,225 | $ | 6,225,000 | ||||
|
|
|||||||
Total Short-Term Municipal Notes |
202,419,612 | |||||||
|
|
|||||||
Total Municipal Obligations |
2,519,641,300 | |||||||
|
|
|||||||
CORPORATES - INVESTMENT |
||||||||
Industrial 0.8% |
| |||||||
Capital Goods 0.1% |
| |||||||
Caterpillar Financial Services Corp. |
2,500 | 2,481,475 | ||||||
John Deere Capital Corp. |
1,435 | 1,429,834 | ||||||
|
|
|||||||
3,911,309 | ||||||||
|
|
|||||||
Consumer Cyclical - Automotive 0.2% |
| |||||||
General Motors Financial Co., Inc. |
5,000 | 4,985,350 | ||||||
|
|
|||||||
Consumer Non-Cyclical 0.4% |
| |||||||
Baylor Scott & White Holdings |
1,000 | 909,640 | ||||||
1.777%, 11/15/2030 |
1,000 | 839,580 | ||||||
Sutter Health |
1,000 | 809,780 | ||||||
Ochsner LSU Health System of North Louisiana |
2,300 | 1,900,674 | ||||||
UPMC |
5,600 | 5,583,368 | ||||||
|
|
|||||||
10,043,042 | ||||||||
|
|
|||||||
Services 0.1% |
| |||||||
Hackensack Meridian Health, Inc. |
1,790 | 1,403,754 | ||||||
|
|
|||||||
Total Corporates Investment Grade |
20,343,455 | |||||||
|
|
54 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES 0.3% |
||||||||
Agency CMBS 0.3% |
| |||||||
California Housing Finance Agency |
$ | 4,965 | $ | 5,037,294 | ||||
Series 2021-3, Class A |
1,988 | 1,902,652 | ||||||
Federal Home Loan Mortgage Corp. |
993 | 824,869 | ||||||
Washington State Housing Finance Commission |
988 | 53,539 | ||||||
|
|
|||||||
Total Commercial Mortgage-Backed Securities |
7,818,354 | |||||||
|
|
|||||||
CORPORATES - NON-INVESTMENT GRADE 0.3% |
||||||||
Industrial 0.3% |
| |||||||
Banks 0.0% |
| |||||||
UMB Financial Corp. |
29 | 28,740 | ||||||
|
|
|||||||
Communications - Media 0.1% |
| |||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
1,933 | 1,536,194 | ||||||
DISH DBS Corp. |
959 | 882,069 | ||||||
5.75%, 12/01/2028(a) |
996 | 893,372 | ||||||
|
|
|||||||
3,311,635 | ||||||||
|
|
|||||||
Consumer Non-Cyclical 0.1% |
| |||||||
Mozart Debt Merger Sub, Inc. |
2,000 | 1,748,620 | ||||||
|
|
|||||||
Transportation - Airlines 0.1% |
| |||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd. |
650 | 644,221 | ||||||
5.75%, 04/20/2029(a) |
575 | 554,754 | ||||||
United Airlines, Inc. |
600 | 578,160 | ||||||
4.625%, 04/15/2029(a) |
275 | 252,665 | ||||||
|
|
|||||||
2,029,800 | ||||||||
|
|
|||||||
Total Corporates Non-Investment Grade |
7,118,795 | |||||||
|
|
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 55 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
GOVERNMENTS - TREASURIES 0.2% |
| |||||||
United States 0.2% |
| |||||||
U.S. Treasury Notes |
$ | 5,000 | $ | 4,901,563 | ||||
|
|
|||||||
COLLATERALIZED MORTGAGE OBLIGATIONS 0.0% |
||||||||
Risk Share Floating Rate 0.0% |
| |||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes |
115 | 117,414 | ||||||
Series 2014-DN3, Class M3 |
41 | 41,812 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities |
64 | 64,174 | ||||||
Series 2015-C02, Class 1M2 |
66 | 67,042 | ||||||
Series 2017-C01, Class 1M2 |
259 | 268,497 | ||||||
Series 2017-C03, Class 1M2 |
346 | 354,882 | ||||||
|
|
|||||||
Total Collateralized Mortgage Obligations |
913,821 | |||||||
|
|
|||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS 1.3% |
| |||||||
Investment Companies 1.3% |
| |||||||
AB Fixed Income Shares, Inc. Government Money Market Portfolio Class AB, 0.22%(k)(l)(m) |
34,272,537 | 34,272,537 | ||||||
|
|
|||||||
Total Investments 98.7% |
2,595,009,825 | |||||||
Other assets less liabilities 1.3% |
33,831,525 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 2,628,841,350 | ||||||
|
|
56 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
CENTRALLY CLEARED INFLATION (CPI) SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||||||||||
Notional Amount (000) |
Termination Date |
Payments made by the Fund |
Payments received by the Fund |
Payment Paid/ Received |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||||
USD | 15,000 | 04/29/2024 | 2.765% | CPI# | Maturity | $ | 1,355,210 | $ | 0 | | $ | 1,355,210 | ||||||||||||||||||
USD | 30,000 | 08/06/2024 | 2.815% | CPI# | Maturity | 2,265,378 | 0 | | 2,265,378 | |||||||||||||||||||||
USD | 20,000 | 11/02/2024 | 3.310% | CPI# | Maturity | 1,020,856 | 0 | | 1,020,856 | |||||||||||||||||||||
USD | 25,000 | 11/19/2024 | 3.695% | CPI# | Maturity | 981,660 | 0 | | 981,660 | |||||||||||||||||||||
USD | 40,000 | 11/24/2024 | 3.469% | CPI# | Maturity | 1,845,201 | 0 | | 1,845,201 | |||||||||||||||||||||
USD | 5,345 | 01/15/2025 | 2.565% | CPI# | Maturity | 564,478 | 0 | | 564,478 | |||||||||||||||||||||
USD | 2,673 | 01/15/2025 | 2.585% | CPI# | Maturity | 280,151 | 0 | | 280,151 | |||||||||||||||||||||
USD | 2,672 | 01/15/2025 | 2.613% | CPI# | Maturity | 277,103 | 0 | | 277,103 | |||||||||||||||||||||
USD | 148,000 | 01/15/2026 | 3.508% | CPI# | Maturity | 9,161,697 | 0 | | 9,161,697 | |||||||||||||||||||||
USD | 135,000 | 01/15/2026 | 3.580% | CPI# | Maturity | 7,849,402 | 0 | | 7,849,402 | |||||||||||||||||||||
USD | 10,000 | 04/01/2026 | 2.508% | CPI# | Maturity | 1,100,129 | 0 | | 1,100,129 | |||||||||||||||||||||
USD | 30,000 | 08/06/2026 | 2.689% | CPI# | Maturity | 2,555,255 | 0 | | 2,555,255 | |||||||||||||||||||||
USD | 25,000 | 10/04/2026 | 2.725% | CPI# | Maturity | 1,827,106 | 0 | | 1,827,106 | |||||||||||||||||||||
USD | 25,000 | 11/24/2026 | 3.176% | CPI# | Maturity | 1,249,631 | 0 | | 1,249,631 | |||||||||||||||||||||
USD | 74,000 | 01/15/2028 | 3.232% | CPI# | Maturity | 4,985,767 | 0 | | 4,985,767 | |||||||||||||||||||||
USD | 19,310 | 01/15/2028 | 1.230% | CPI# | Maturity | 3,983,643 | 0 | | 3,983,643 | |||||||||||||||||||||
USD | 14,770 | 01/15/2028 | 0.735% | CPI# | Maturity | 3,583,152 | 0 | | 3,583,152 | |||||||||||||||||||||
USD | 25,000 | 10/04/2028 | 2.661% | CPI# | Maturity | 1,959,521 | 0 | | 1,959,521 | |||||||||||||||||||||
USD | 12,000 | 08/29/2029 | 1.748% | CPI# | Maturity | 2,231,497 | 0 | | 2,231,497 | |||||||||||||||||||||
USD | 4,825 | 01/15/2030 | 1.572% | CPI# | Maturity | 977,867 | 0 | | 977,867 | |||||||||||||||||||||
USD | 4,825 | 01/15/2030 | 1.587% | CPI# | Maturity | 971,100 | 0 | | 971,100 | |||||||||||||||||||||
USD | 1,670 | 01/15/2030 | 1.714% | CPI# | Maturity | 316,156 | 0 | | 316,156 | |||||||||||||||||||||
USD | 1,670 | 01/15/2030 | 1.731% | CPI# | Maturity | 313,468 | 0 | | 313,468 | |||||||||||||||||||||
USD | 7,850 | 01/15/2031 | 2.782% | CPI# | Maturity | 772,711 | 0 | | 772,711 | |||||||||||||||||||||
USD | 6,150 | 01/15/2031 | 2.680% | CPI# | Maturity | 668,575 | 0 | | 668,575 | |||||||||||||||||||||
USD | 15,000 | 12/02/2035 | 2.074% | CPI# | Maturity | 2,947,109 | 0 | | 2,947,109 | |||||||||||||||||||||
USD | 25,000 | 04/01/2036 | 2.438% | CPI# | Maturity | 3,524,768 | 0 | | 3,524,768 | |||||||||||||||||||||
USD | 32,000 | 04/29/2036 | 2.503% | CPI# | Maturity | 4,152,384 | 0 | | 4,152,384 | |||||||||||||||||||||
USD | 10,000 | 05/01/2036 | 2.510% | CPI# | Maturity | 1,285,441 | 0 | | 1,285,441 | |||||||||||||||||||||
USD | 30,000 | 08/03/2036 | 2.488% | CPI# | Maturity | 3,525,079 | 0 | | 3,525,079 | |||||||||||||||||||||
USD | 20,000 | 08/06/2036 | 2.440% | CPI# | Maturity | 2,469,357 | 0 | | 2,469,357 | |||||||||||||||||||||
USD | 40,000 | 10/04/2036 | 2.510% | CPI# | Maturity | 4,103,124 | 0 | | 4,103,124 | |||||||||||||||||||||
USD | 35,000 | 11/02/2036 | 2.638% | CPI# | Maturity | 2,919,084 | 0 | | 2,919,084 | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
$ | 78,023,060 | $ | 0 | | $ | 78,023,060 | ||||||||||||||||||||||||
|
|
|
|
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 57 |
PORTFOLIO OF INVESTMENTS (continued)
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||||||||||
Notional Amount (000) |
Termination Date |
Payments made by the Fund |
Payments received by the Fund |
Payment Paid/ Received |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||||
USD | 30,000 | 07/22/2023 | 0.275% | |
3 Month LIBOR |
|
Semi-Annual/ Quarterly |
$ | 879,992 | $ | 0 | | $ | 879,992 | ||||||||||||||||
USD | 55,000 | 01/15/2024 | |
1 Day SOFR |
|
0.876% | Annual | (1,524,757 | ) | 0 | | (1,524,757 | ) | |||||||||||||||||
USD | 37,000 | 01/15/2027 | |
1 Day SOFR |
|
2.484% | Annual | (354,302 | ) | 0 | | (354,302 | ) | |||||||||||||||||
USD | 15,000 | 07/22/2031 | 1.227% | |
3 Month LIBOR |
|
Semi-Annual/ Quarterly |
2,101,515 | 0 | | 2,101,515 | |||||||||||||||||||
USD | 70,000 | 04/15/2032 | 1.254% | |
1 Day SOFR |
|
Annual | 8,772,535 | 0 | | 8,772,535 | |||||||||||||||||||
USD | 55,000 | 04/15/2032 | 2.677% | |
1 Day SOFR |
|
Annual | 55,931 | 0 | | 55,931 | |||||||||||||||||||
USD | 37,000 | 04/15/2032 | 2.316% | |
1 Day SOFR |
|
Annual | 1,183,475 | 0 | | 1,183,475 | |||||||||||||||||||
USD | 20,000 | 04/15/2032 | 1.658% | |
1 Day SOFR |
|
Annual | 1,797,189 | 0 | | 1,797,189 | |||||||||||||||||||
USD | 20,000 | 04/15/2032 | 1.862% | |
1 Day SOFR |
|
Annual | 1,438,610 | 0 | | 1,438,610 | |||||||||||||||||||
USD | 13,000 | 07/22/2036 | 1.440% | |
3 Month LIBOR |
|
Semi-Annual/ Quarterly |
2,318,193 | 0 | | 2,318,193 | |||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
$ | 16,668,381 | $ | 0 | | $ | 16,668,381 | ||||||||||||||||||||||||
|
|
|
|
|
|
CREDIT DEFAULT SWAPS (see Note D)
Swap Counterparty & Referenced Obligation |
Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at April 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 | 65 | $ | (15,639 | ) | $ | (6,113 | ) | $ | (9,526 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 561 | (135,531 | ) | (68,345 | ) | (67,186 | ) | |||||||||||||||||||||
Credit Suisse International |
||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 38 | (9,066 | ) | (4,434 | ) | (4,632 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 36 | (8,612 | ) | (3,397 | ) | (5,215 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 442 | (106,748 | ) | (42,161 | ) | (64,587 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 664 | (160,462 | ) | (61,749 | ) | (98,713 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 1,141 | (275,596 | ) | (133,886 | ) | (141,710 | ) | |||||||||||||||||||||
Goldman Sachs International |
||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 217 | (52,355 | ) | (26,291 | ) | (26,064 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 576 | (139,157 | ) | (51,977 | ) | (87,180 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (903,166 | ) | $ | (398,353 | ) | $ | (504,813 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
58 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
INFLATION (CPI) SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||||||||||
Swap Counterparty |
Notional Amount (000) |
Termination Date |
Payments made by the Fund |
Payments received by the Fund |
Payment Frequency Paid/ Received |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||
Bank of America, NA | USD | 86,000 | 01/15/2027 | 3.600% | CPI# | Maturity | $ | 4,236,140 | $ | 0 | | $ | 4,236,140 | |||||||||||||||||
Bank of America, NA | USD | 25,000 | 02/02/2032 | 2.403% | CPI# | Maturity | 3,232,899 | 0 | | 3,232,899 | ||||||||||||||||||||
Barclays Bank PLC | USD | 16,700 | 10/05/2022 | 2.765% | CPI# | Maturity | (400,375 | ) | 0 | | (400,375 | ) | ||||||||||||||||||
Barclays Bank PLC | USD | 25,000 | 08/07/2024 | 2.573% | CPI# | Maturity | 780,154 | 0 | | 780,154 | ||||||||||||||||||||
Barclays Bank PLC | USD | 19,000 | 05/05/2025 | 2.125% | CPI# | Maturity | 2,277,309 | 0 | | 2,277,309 | ||||||||||||||||||||
Barclays Bank PLC | USD | 5,400 | 03/06/2027 | 2.695% | CPI# | Maturity | (3,336 | ) | 0 | | (3,336 | ) | ||||||||||||||||||
Barclays Bank PLC | USD | 20,000 | 06/06/2032 | 2.145% | CPI# | Maturity | 3,429,849 | 0 | | 3,429,849 | ||||||||||||||||||||
Barclays Bank PLC | USD | 14,000 | 09/01/2032 | 2.128% | CPI# | Maturity | 2,491,325 | 0 | | 2,491,325 | ||||||||||||||||||||
Barclays Bank PLC | USD | 22,000 | 08/29/2033 | 2.368% | CPI# | Maturity | 2,974,891 | 0 | | 2,974,891 | ||||||||||||||||||||
Citibank, NA | USD | 9,000 | 06/29/2022 | 2.398% | CPI# | Maturity | (100,783 | ) | 0 | | (100,783 | ) | ||||||||||||||||||
Citibank, NA | USD | 5,400 | 07/19/2022 | 2.400% | CPI# | Maturity | (23,496 | ) | 0 | | (23,496 | ) | ||||||||||||||||||
Citibank, NA | USD | 4,000 | 08/10/2022 | 2.550% | CPI# | Maturity | (57,477 | ) | 0 | | (57,477 | ) | ||||||||||||||||||
Citibank, NA | USD | 15,500 | 12/07/2022 | 2.748% | CPI# | Maturity | (371,817 | ) | 0 | | (371,817 | ) | ||||||||||||||||||
Citibank, NA | USD | 47,000 | 05/24/2023 | 2.533% | CPI# | Maturity | 368,593 | 0 | | 368,593 | ||||||||||||||||||||
Citibank, NA | USD | 30,000 | 10/29/2023 | 2.524% | CPI# | Maturity | 729,837 | 0 | | 729,837 | ||||||||||||||||||||
Citibank, NA | USD | 30,000 | 09/19/2024 | 2.070% | CPI# | Maturity | 3,792,889 | 0 | | 3,792,889 | ||||||||||||||||||||
Citibank, NA | USD | 25,000 | 07/03/2025 | 2.351% | CPI# | Maturity | 2,597,255 | 0 | | 2,597,255 | ||||||||||||||||||||
Citibank, NA | USD | 15,800 | 02/08/2028 | 2.940% | CPI# | Maturity | (571,435 | ) | 0 | | (571,435 | ) | ||||||||||||||||||
Citibank, NA | USD | 12,000 | 11/05/2033 | 2.273% | CPI# | Maturity | 1,826,043 | 0 | | 1,826,043 | ||||||||||||||||||||
Citibank, NA | USD | 13,000 | 02/15/2041 | 2.744% | CPI# | Maturity | 526,177 | 0 | | 526,177 | ||||||||||||||||||||
Deutsche Bank AG | USD | 25,000 | 09/02/2025 | 1.880% | CPI# | Maturity | 3,581,322 | 0 | | 3,581,322 | ||||||||||||||||||||
Goldman Sachs International | USD | 57,000 | 04/15/2024 | 4.308% | CPI# | Maturity | 2,491,242 | 0 | | 2,491,242 | ||||||||||||||||||||
Goldman Sachs International | USD | 59,000 | 01/15/2027 | 4.353% | CPI# | Maturity | 61,032 | 0 | | 61,032 | ||||||||||||||||||||
Goldman Sachs International | USD | 39,000 | 01/15/2027 | 3.534% | CPI# | Maturity | 2,083,987 | 0 | | 2,083,987 | ||||||||||||||||||||
Goldman Sachs International | USD | 37,000 | 01/15/2027 | 4.193% | CPI# | Maturity | 559,513 | 0 | | 559,513 | ||||||||||||||||||||
Goldman Sachs International | USD | 28,000 | 01/15/2027 | 4.215% | CPI# | Maturity | 280,253 | 0 | | 280,253 | ||||||||||||||||||||
Goldman Sachs International | USD | 18,000 | 04/15/2032 | 2.994% | CPI# | Maturity | 1,280,673 | 0 | | 1,280,673 | ||||||||||||||||||||
Goldman Sachs International | USD | 14,000 | 02/15/2041 | 2.380% | CPI# | Maturity | 1,494,104 | 0 | | 1,494,104 | ||||||||||||||||||||
Goldman Sachs International | USD | 7,000 | 02/15/2041 | 2.413% | CPI# | Maturity | 706,843 | 0 | | 706,843 | ||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 19,000 | 08/17/2022 | 2.523% | CPI# | Maturity | (159,830 | ) | 0 | | (159,830 | ) |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 59 |
PORTFOLIO OF INVESTMENTS (continued)
Rate Type | ||||||||||||||||||||||||||||||||||||
Swap Counterparty |
Notional Amount (000) |
Termination Date |
Payments made by the Fund |
Payments received by the Fund |
Payment Frequency Paid/ Received |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 200,000 | 01/18/2023 | 3.793% | CPI# | Maturity | $ | 7,793,836 | $ | 0 | | $ | 7,793,836 | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 150,000 | 01/18/2023 | 3.825% | CPI# | Maturity | 5,797,305 | 0 | | 5,797,305 | ||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 100,000 | 01/18/2023 | 3.788% | CPI# | Maturity | 3,901,848 | 0 | | 3,901,848 | ||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 1,400 | 06/30/2026 | 2.890% | CPI# | Maturity | (67,713 | ) | 0 | | (67,713 | ) | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 3,300 | 07/21/2026 | 2.935% | CPI# | Maturity | (194,473 | ) | 0 | | (194,473 | ) | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 2,400 | 10/03/2026 | 2.485% | CPI# | Maturity | 78,393 | 0 | | 78,393 | ||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 5,400 | 11/14/2026 | 2.488% | CPI# | Maturity | 170,698 | 0 | | 170,698 | ||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 4,850 | 12/23/2026 | 2.484% | CPI# | Maturity | 171,399 | 0 | | 171,399 | ||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 13,000 | 03/01/2027 | 2.279% | CPI# | Maturity | 1,585,690 | 0 | | 1,585,690 | ||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 45,000 | 01/15/2028 | 3.861% | CPI# | Maturity | 940,638 | 0 | | 940,638 | ||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 21,350 | 02/20/2028 | 2.899% | CPI# | Maturity | (583,255 | ) | 0 | | (583,255 | ) | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 12,000 | 03/26/2028 | 2.880% | CPI# | Maturity | (260,247 | ) | 0 | | (260,247 | ) | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 10,000 | 07/03/2028 | 2.356% | CPI# | Maturity | 1,182,993 | 0 | | 1,182,993 | ||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 25,000 | 11/05/2028 | 2.234% | CPI# | Maturity | 3,307,832 | 0 | | 3,307,832 | ||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 18,000 | 04/17/2030 | 2.378% | CPI# | Maturity | 2,179,238 | 0 | | 2,179,238 | ||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 29,000 | 04/15/2032 | 2.944% | CPI# | Maturity | 2,226,701 | 0 | | 2,226,701 | ||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 24,000 | 11/17/2032 | 2.183% | CPI# | Maturity | 4,024,963 | 0 | | 4,024,963 | ||||||||||||||||||||||||||
Morgan Stanley Capital Services LLC | USD | 10,000 | 04/16/2023 | 2.690% | CPI# | Maturity | (84,545 | ) | 0 | | (84,545 | ) | ||||||||||||||||||||||||
Morgan Stanley Capital Services LLC | USD | 5,000 | 08/15/2026 | 2.885% | CPI# | Maturity | (237,400 | ) | 0 | | (237,400 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
$ | 72,047,682 | $ | 0 | | $ | 72,047,682 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
60 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
INTEREST RATE SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||||||||||
Swap Counterparty |
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) |
||||||||||||||||||||||
Citibank, NA | USD | 11,075 | 10/09/2029 | 1.125% | SIFMA* | Quarterly | $ | 1,000,947 | $ | 0 | | $ | 1,000,947 |
* | 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 April 30, 2022, the aggregate market value of these securities amounted to $108,172,660 or 4.1% of net assets. |
(b) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at April 30, 2022. |
(c) | When-Issued or delayed delivery security. |
(d) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(e) | Non-income producing security. |
(f) | Defaulted. |
(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) | IO Interest Only. |
(i) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(j) | Fair valued by the Adviser. |
(k) | Affiliated investments. |
(l) | The rate shown represents the 7-day yield as of period end. |
(m) | To obtain a copy of the funds shareholder report, please go to the Securities and Exchange Commissions website at www.sec.gov, or call AB at (800) 227-4618. |
As of April 30, 2022, the Funds percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 3.4% and 0.3%, respectively.
Glossary:
AGC Assured Guaranty Corporation
AGM Assured Guaranty Municipal
BAM Build American Mutual
CCRC Congregate Care Retirement Center
CDX-CMBX.NA North American Commercial Mortgage-Backed Index
CIFGNA CIFG Assurance North America Inc.
CMBS Commercial Mortgage-Backed Securities
COP Certificate of Participation
CPI Consumer Price Index
ETM Escrowed to Maturity
FHLMC Federal Home Loan Mortgage Corporation
LIBOR London Interbank Offered Rate
MUNIPSA SIFMA Municipal Swap Index
NATL National Interstate Corporation
OSF Order of St. Francis
SOFR Secured Overnight Financing Rate
SRF State Revolving Fund
UPMC University of Pittsburgh Medical Center
XLCA XL Capital Assurance Inc.
See notes to financial statements.
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 61 |
STATEMENT OF ASSETS & LIABILITIES
April 30, 2022 (unaudited)
Assets | ||||
Investments in securities, at value |
||||
Unaffiliated issuers (cost $2,722,333,973) |
$ | 2,560,737,288 | ||
Affiliated issuers (cost $34,272,537) |
34,272,537 | |||
Cash |
82,694 | |||
Cash collateral due from broker |
44,758,661 | |||
Unrealized appreciation on inflation swaps |
75,163,864 | |||
Interest receivable |
29,151,107 | |||
Receivable for capital stock sold |
15,399,024 | |||
Unrealized appreciation on interest rate swaps |
1,000,947 | |||
Receivable for variation margin on centrally cleared swaps |
540,681 | |||
Receivable for investment securities sold |
115,118 | |||
Affiliated dividends receivable |
4,647 | |||
|
|
|||
Total assets |
2,761,226,568 | |||
|
|
|||
Liabilities | ||||
Payable for investment securities purchased |
67,516,855 | |||
Cash collateral due to broker |
52,109,666 | |||
Payable for capital stock redeemed |
7,411,235 | |||
Unrealized depreciation on inflation swaps |
3,116,182 | |||
Advisory fee payable |
996,204 | |||
Market value on credit default swaps (net premiums received $398,353) |
903,166 | |||
Distribution fee payable |
169,766 | |||
Administrative fee payable |
31,420 | |||
Transfer Agent fee payable |
6,024 | |||
Directors fees payable |
1,238 | |||
Accrued expenses |
123,462 | |||
|
|
|||
Total liabilities |
132,385,218 | |||
|
|
|||
Net Assets |
$ | 2,628,841,350 | ||
|
|
|||
Composition of Net Assets | ||||
Capital stock, at par |
$ | 244,711 | ||
Additional paid-in capital |
2,649,172,503 | |||
Accumulated loss |
(20,575,864 | ) | ||
|
|
|||
Net Assets |
$ | 2,628,841,350 | ||
|
|
Net Asset Value Per Share30 billion shares of capital stock authorized, $.001 par value
Class | Net Assets | Shares Outstanding |
Net Asset Value |
|||||||||
|
||||||||||||
A | $ | 411,277,406 | 38,222,747 | $ | 10.76 | * | ||||||
|
||||||||||||
C | $ | 29,151,800 | 2,713,019 | $ | 10.75 | |||||||
|
||||||||||||
Advisor | $ | 1,233,613,856 | 114,560,361 | $ | 10.77 | |||||||
|
||||||||||||
1 | $ | 644,462,921 | 60,231,992 | $ | 10.70 | |||||||
|
||||||||||||
2 | $ | 310,335,367 | 28,983,108 | $ | 10.71 | |||||||
|
* | The maximum offering price per share for Class A shares was $11.09 which reflects a sales charge of 3.00%. |
See notes to financial statements.
62 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2022 (unaudited)
Investment Income | ||||||||
Interest |
$ | 21,870,159 | ||||||
DividendsAffiliated issuers |
26,396 | $ | 21,896,555 | |||||
|
|
|||||||
Expenses | ||||||||
Advisory fee (see Note B) |
6,194,208 | |||||||
Distribution feeClass A |
543,903 | |||||||
Distribution feeClass C |
129,100 | |||||||
Distribution feeClass 1 |
307,426 | |||||||
Transfer agencyClass A |
50,803 | |||||||
Transfer agencyClass C |
3,120 | |||||||
Transfer agencyAdvisor Class |
137,447 | |||||||
Transfer agencyClass 1 |
16,629 | |||||||
Transfer agencyClass 2 |
7,176 | |||||||
Registration fees |
131,460 | |||||||
Custody and accounting |
88,607 | |||||||
Administrative |
46,755 | |||||||
Audit and tax |
42,242 | |||||||
Printing |
27,738 | |||||||
Legal |
25,968 | |||||||
Directors fees |
20,659 | |||||||
Miscellaneous |
15,365 | |||||||
|
|
|||||||
Total expenses |
7,788,606 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Note B) |
(666,686 | ) | ||||||
|
|
|||||||
Net expenses |
7,121,920 | |||||||
|
|
|||||||
Net investment income |
14,774,635 | |||||||
|
|
|||||||
Realized and Unrealized Gain (Loss) on Investment Transactions | ||||||||
Net realized loss on: |
||||||||
Investment transactions |
(56,898 | ) | ||||||
Swaps |
(3,832,129 | ) | ||||||
Net change in unrealized appreciation/depreciation of: |
||||||||
Investments |
(206,585,632 | ) | ||||||
Swaps |
139,833,528 | |||||||
|
|
|||||||
Net loss on investment transactions |
(70,641,131 | ) | ||||||
|
|
|||||||
Net Decrease in Net Assets from Operations |
$ | (55,866,496 | ) | |||||
|
|
See notes to financial statements.
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 63 |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
|||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income |
$ | 14,774,635 | $ | 22,742,956 | ||||
Net realized loss on investment transactions |
(3,889,027 | ) | (490,330 | ) | ||||
Net change in unrealized appreciation/depreciation of investments |
(66,752,104 | ) | 81,627,277 | |||||
Contributions from Affiliates (see Note B) |
0 | | 555,677 | |||||
|
|
|
|
|||||
Net increase (decrease) in net assets from operations |
(55,866,496 | ) | 104,435,580 | |||||
Distributions to Shareholders |
| |||||||
Class A |
(2,002,054 | ) | (3,352,419 | ) | ||||
Class C |
(26,711 | ) | (95,535 | ) | ||||
Advisor Class |
(6,535,342 | ) | (6,909,813 | ) | ||||
Class 1 |
(3,351,128 | ) | (8,721,933 | ) | ||||
Class 2 |
(1,526,032 | ) | (4,212,452 | ) | ||||
Capital Stock Transactions |
| |||||||
Net increase |
682,375,198 | 943,374,359 | ||||||
|
|
|
|
|||||
Total increase |
613,067,435 | 1,024,517,787 | ||||||
Net Assets |
| |||||||
Beginning of period |
2,015,773,915 | 991,256,128 | ||||||
|
|
|
|
|||||
End of period |
$ | 2,628,841,350 | $ | 2,015,773,915 | ||||
|
|
|
|
See notes to financial statements.
64 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS
April 30, 2022 (unaudited)
NOTE A
Significant Accounting Policies
AB Bond Fund, Inc. (the Company) is registered under the Investment Company Act of 1940 as an open-end management investment company. The Company, which is a Maryland corporation, operates as a series company comprised of 10 portfolios currently in operation. Each portfolio is considered to be a separate entity for financial reporting and tax purposes. This report relates only to the AB Municipal Bond Inflation Strategy (the Fund), a diversified portfolio. The Fund offers Class A, Class C, Advisor Class, Class 1 and Class 2 shares. Class 1 shares are sold only to the private clients of Sanford C. Bernstein & Co. LLC by its registered representatives. Class B, Class R, Class K, Class I and Class T shares have been authorized but currently are not offered. Class A shares are sold with a front-end sales charge of up to 3% for purchases not exceeding $500,000. With respect to purchases of $500,000 or more, Class A shares redeemed within one year of purchase may be subject to a contingent deferred sales charge of 1%. Class C shares are subject to a contingent deferred sales charge of 1% on redemptions made within the first year after purchase, and 0% after the first year of purchase. 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 2 shares are sold without an initial or contingent deferred sales charge and are not subject to ongoing distribution expenses. Class 1 shares are sold without an initial or contingent deferred sales charge, but are subject to ongoing distribution expenses. All 10 classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (U.S. GAAP), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Fund.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at fair value as determined in
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 65 |
NOTES TO FINANCIAL STATEMENTS (continued)
accordance with procedures established by and under the general supervision of the Companys Board of Directors (the Board).
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (NASDAQ)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (OTC) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the Adviser) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the Committee) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. 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.
66 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
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 issuers financial statements or other available documents. In addition, the Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Funds 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 1quoted prices in active markets for identical investments |
| Level 2other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| Level 3significant unobservable inputs (including the Funds 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
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 67 |
NOTES TO FINANCIAL STATEMENTS (continued)
modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rates, coupon rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3.
Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
The following table summarizes the valuation of the Funds investments by the above fair value hierarchy levels as of April 30, 2022:
Investments in |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
||||||||||||||||
Long-Term Municipal Bonds |
$ | 0 | | $ | 2,317,221,688 | $ | 0 | | $ | 2,317,221,688 | ||||||
Short-Term Municipal Notes |
0 | | 202,419,612 | 0 | | 202,419,612 | ||||||||||
Corporates Investment Grade |
0 | | 20,343,455 | 0 | | 20,343,455 | ||||||||||
Commercial Mortgage-Backed Securities |
0 | | 7,818,354 | 0 | | 7,818,354 | ||||||||||
Corporates Non-Investment Grade |
0 | | 7,090,055 | 28,740 | 7,118,795 | |||||||||||
Governments Treasuries |
0 | | 4,901,563 | 0 | | 4,901,563 | ||||||||||
Collateralized Mortgage Obligations |
0 | | 913,821 | 0 | | 913,821 | ||||||||||
Short-Term Investments |
34,272,537 | 0 | | 0 | | 34,272,537 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
34,272,537 | 2,560,708,548 | 28,740 | 2,595,009,825 | ||||||||||||
Other Financial Instruments(a): |
||||||||||||||||
Assets: |
||||||||||||||||
Centrally Cleared Inflation (CPI) Swaps |
0 | | 78,023,060 | 0 | | 78,023,060 | (b) | |||||||||
Centrally Cleared Interest Rate Swaps |
0 | | 18,547,440 | 0 | | 18,547,440 | (b) | |||||||||
Inflation (CPI) Swaps |
0 | | 75,163,864 | 0 | | 75,163,864 | ||||||||||
Interest Rate Swaps |
0 | | 1,000,947 | 0 | | 1,000,947 |
68 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Investments in |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Liabilities: |
| |||||||||||||||
Centrally Cleared Interest Rate Swaps |
$ | 0 | | $ | (1,879,059 | ) | $ | 0 | | $ | (1,879,059 | )(b) | ||||
Credit Default Swaps |
0 | | (903,166 | ) | 0 | | (903,166 | ) | ||||||||
Inflation (CPI) Swaps |
0 | | (3,116,182 | ) | 0 | | (3,116,182 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 34,272,537 | $ | 2,727,545,452 | $ | 28,740 | $ | 2,761,846,729 | ||||||||
|
|
|
|
|
|
|
|
(a) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value. |
(b) | Only variation margin receivable/(payable) at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value. |
3. Taxes
It is the Funds policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Funds 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 Funds financial statements.
4. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes original issue and market discounts as adjustments to interest income. The Fund accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
5. Class Allocations
All income earned and expenses incurred by the Fund are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Fund represented by the net assets of such class,
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 69 |
NOTES TO FINANCIAL STATEMENTS (continued)
except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each fund or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
6. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B
Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Fund pays the Adviser an advisory fee at an annual rate of .50% of the first $2.5 billion, .45% of the next $2.5 billion and .40% in excess of $5 billion, of the Funds average daily net assets. The fee is accrued daily and paid monthly. The Adviser has agreed to waive its fees and bear certain expenses to the extent necessary to limit total operating expenses (excluding extraordinary expenses, interest expense, and acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest) on an annual basis (the Expense Caps) to .75%, 1.50%, .50%, .60% and .50% of the daily average net assets for the Class A, Class C, Advisor Class, Class 1 and Class 2 shares, respectively. This fee waiver and/or expense reimbursement agreement will remain in effect until January 31, 2023 and then may be extended by the Adviser for additional one-year terms. For the six months ended April 30, 2022, such reimbursements/waivers amounted to $613,350.
Pursuant to the investment advisory agreement, the Fund may reimburse the Adviser for certain legal and accounting services provided to the Fund by the Adviser. For the six months ended April 30, 2022, the reimbursement for such services amounted to $46,755.
The Fund compensates AllianceBernstein Investor Services, Inc. (ABIS), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Fund. ABIS may make payments to intermediaries that provide omnibus account services, sub-accounting services and/or networking services. Such compensation retained by ABIS amounted to $70,240 for the six months ended April 30, 2022.
70 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
AllianceBernstein Investments, Inc. (the Distributor), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Funds shares. The Distributor has advised the Fund that it has retained front-end sales charges of $-0- from the sale of Class A shares and received $136,483 and $2,080 in contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C shares, respectively, for the six months ended April 30, 2022.
The Fund may invest in AB Government Money Market Portfolio (the Government Money Market Portfolio) which has a contractual annual advisory fee rate of .20% of the portfolios 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 January 31, 2023. In connection with the investment by the Fund in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Funds pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended April 30, 2022, such waiver amounted to $53,336.
A summary of the Funds transactions in AB mutual funds for the six months ended April 30, 2022 is as follows:
Fund |
Market Value 10/31/21 (000) |
Purchases at Cost (000) |
Sales Proceeds (000) |
Market Value 4/30/22 (000) |
Dividend Income (000) |
|||||||||||||||
Government Money Market Portfolio |
$ | 63,364 | $ | 790,247 | $ | 819,338 | $ | 34,273 | $ | 26 |
NOTE C
Distribution Services Agreement
The Fund has adopted a Distribution Services Agreement (the Agreement) pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement, the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to .30% of the Funds average daily net assets attributable to Class A shares, 1% of the Funds average daily net assets attributable to Class C shares and .10% of the Funds average daily net assets attributable to Class 1 shares. There are no distribution and servicing fees on the Advisor Class and Class 2 shares. Payments under the Agreement in respect of Class A shares are currently limited to an annual rate of .25% of Class A shares average daily net assets. The fees are accrued daily and paid monthly. The Agreement provides that the Distributor will use such payments in their entirety for
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 71 |
NOTES TO FINANCIAL STATEMENTS (continued)
distribution assistance and promotional activities. Since the commencement of the Funds operations, the Distributor has incurred expenses in excess of the distribution costs reimbursed by the Fund in the amount of $558,922 and $1,795,187 for Class C and Class 1 shares, respectively. While such costs may be recovered from the Fund in future periods so long as the Agreement is in effect, the rate of the distribution and servicing fees payable under the Agreement may not be increased without a shareholder vote. In accordance with the Agreement, there is no provision for recovery of unreimbursed distribution costs incurred by the Distributor beyond the current fiscal year for Class A shares. The Agreement also provides that the Adviser may use its own resources to finance the distribution of the Funds shares.
NOTE D
Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the six months ended April 30, 2022 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding U.S. government securities) |
$ | 836,266,813 | $ | 111,978,507 | ||||
U.S. government securities |
2,599,953 | 811,006 |
The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation are as follows:
Gross unrealized appreciation |
$ | 178,953,171 | ||
Gross unrealized depreciation |
(173,314,599 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 5,638,572 | ||
|
|
1. Derivative Financial Instruments
The Fund may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, investment purposes), or to hedge or adjust the risk profile of its portfolio.
The principal type of derivative utilized by the Fund, as well as the methods in which they may be used are:
| Swaps |
The Fund may enter into swaps to hedge its exposure to interest rates or credit risk. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are
72 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Fund in accordance with the terms of the respective swaps to provide value and recourse to the Fund or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Fund, and/or the termination value at the end of the contract. Therefore, the Fund considers the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Funds exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Fund accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received for swaps are recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the statement of operations.
Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (FCMs) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.
At the time the Fund enters into a centrally cleared swap, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected.
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 73 |
NOTES TO FINANCIAL STATEMENTS (continued)
Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Interest Rate Swaps:
The Fund is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Fund holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, the Fund may enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Fund may elect to pay a fixed rate and receive a floating rate, or, receive a fixed rate and pay a floating rate on a notional amount.
In addition, the Fund may also enter into interest rate swap transactions to preserve a return or spread on a particular investment or portion of its portfolio, or protecting against an increase in the price of securities the Fund anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) computed based on a contractually-based principal (or notional) amount. Interest rate swaps are entered into on a net basis (i.e., the two payment streams are netted out, with the Fund receiving or paying, as the case may be, only the net amount of the two payments).
During the six months ended April 30, 2022, the Fund held interest rate swaps for hedging purposes.
Inflation (CPI) Swaps:
Inflation swap agreements are contracts in which one party agrees to pay the cumulative percentage increase in a price index (the Consumer Price Index with respect to CPI swaps) over the term of the swap (with some lag on the inflation index), and the other pays a compounded fixed rate. Inflation swaps may be used to protect the
74 | AB MUNICIPAL BOND INFLATION STRATEGY |
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NOTES TO FINANCIAL STATEMENTS (continued)
net asset value, or NAV, of a Fund against an unexpected change in the rate of inflation measured by an inflation index since the value of these agreements is expected to increase if there are unexpected inflation increases.
During the six months ended April 30, 2022, the Fund held inflation (CPI) swaps for hedging purposes.
Credit Default Swaps:
The Fund may enter into credit default swaps, including to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults by corporate and sovereign issuers held by the Fund, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. The Fund may purchase credit protection (Buy Contract) or provide credit protection (Sale Contract) on the referenced obligation of the credit default swap. During the term of the swap, the Fund receives/(pays) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Fund is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Fund will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap (the Maximum Payout Amount) and deliver/(take delivery of) the referenced obligation or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront premium received upon entering into the agreement, or net amounts received from settlement of buy protection credit default swaps entered into by the Fund for the same referenced obligations with the same counterparty.
Credit default swaps may involve greater risks than if a Fund had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If the Fund is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If the Fund is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Fund coupled with the periodic payments previously received, may be less than the Maximum Payout Amount it pays to the buyer, resulting in a net loss to the Fund.
Implied credit spreads over U.S. Treasuries of comparable maturity utilized in determining the market value of credit default swaps on issuers as of period end are disclosed in the portfolio of investments.
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NOTES TO FINANCIAL STATEMENTS (continued)
The implied spreads serve as an indicator of the current status of the payment/performance risk and typically reflect the likelihood of default by the issuer of the referenced obligation. The implied credit spread of a particular reference obligation also reflects the cost of buying/selling protection and may reflect upfront payments required to be made to enter into the agreement. Widening credit spreads typically represent a deterioration of the referenced obligations credit soundness and greater likelihood of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as Defaulted indicates a credit event has occurred for the referenced obligation.
During the six months ended April 30, 2022, the Fund held credit default swaps for non-hedging purposes.
The Fund typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (ISDA Master Agreement) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the OTC counterparty certain derivative financial instruments payables and/or receivables with collateral held and/or posted 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 Funds net liability, held by the defaulting party, may be delayed or denied.
The Funds ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Fund decline below specific levels (net asset contingent features). If these levels are triggered, the Funds OTC counterparty has the right to terminate such transaction and require the Fund to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty table below for additional details.
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NOTES TO FINANCIAL STATEMENTS (continued)
During the six months ended April 30, 2022, the Fund had entered into the following derivatives:
Asset Derivatives |
Liability Derivatives |
|||||||||||
Derivative Type |
Statement of |
Fair Value | Statement of |
Fair Value | ||||||||
Interest rate contracts |
Receivable/Payable for variation margin on centrally cleared swaps |
$ |
96,570,500 |
* |
Receivable/Payable for variation margin on centrally cleared swaps |
$ |
1,879,059 |
* | ||||
Interest rate contracts |
Unrealized appreciation on interest rate swaps |
|
1,000,947 |
|
||||||||
Interest rate contracts |
Unrealized appreciation on inflation swaps |
|
75,163,864 |
|
Unrealized depreciation on inflation swaps |
|
3,116,182 |
| ||||
Credit contracts |
Market value on credit default swaps |
|
903,166 |
| ||||||||
|
|
|
|
|||||||||
Total |
$ | 172,735,311 | $ | 5,898,407 | ||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. |
Derivative Type |
Location of |
Realized Gain or (Loss) on Derivatives |
Change in Unrealized Appreciation or (Depreciation) |
|||||||
Interest rate contracts |
Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | $ | (3,897,929 | ) | $ | 139,662,489 | ||||
Credit contracts |
Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 65,800 | 171,039 | |||||||
|
|
|
|
|||||||
Total |
$ | (3,832,129 | ) | $ | 139,833,528 | |||||
|
|
|
|
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 77 |
NOTES TO FINANCIAL STATEMENTS (continued)
The following table represents the average monthly volume of the Funds derivative transactions during the six months ended April 30, 2022:
Interest Rate Swaps: |
||||
Average notional amount |
$ | 17,403,571 | ||
Inflation Swaps: |
||||
Average notional amount |
$ | 967,928,571 | ||
Centrally Cleared Interest Rate Swaps: |
||||
Average notional amount |
$ | 202,342,857 | ||
Centrally Cleared Inflation Swaps: |
||||
Average notional amount |
$ | 809,900,000 | ||
Credit Default Swaps: |
||||
Average notional amount of sale contracts |
$ | 3,921,227 |
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Funds derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements (MA) and net of the related collateral received/pledged by the Fund as of April 30, 2022. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
Counterparty |
Derivative Assets Subject to a MA |
Derivatives Available for Offset |
Cash Collateral Received* |
Security Collateral Received* |
Net Amount of Derivative Assets |
|||||||||||||||
Bank of America, NA |
$ | 7,469,039 | $ | 0 | | $ | 0 | | $ | (7,469,039 | ) | $ | 0 | | ||||||
Barclays Bank PLC |
11,953,528 | (403,711 | ) | (11,228,500 | ) | 0 | | 321,317 | ||||||||||||
Citibank, NA/Citigroup Global Markets, Inc. |
10,841,741 | (1,276,178 | ) | (9,454,166 | ) | (93,873 | ) | 17,524 | ||||||||||||
Deutsche Bank AG |
3,581,322 | 0 | | (3,240,000 | ) | 0 | | 341,322 | ||||||||||||
Goldman Sachs International |
8,957,647 | (191,512 | ) | (470,000 | ) | (8,296,135 | ) | 0 | | |||||||||||
JPMorgan Chase Bank, NA |
33,361,534 | (1,265,518 | ) | (27,717,000 | ) | 0 | | 4,379,016 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 76,164,811 | $ | (3,136,919 | ) | $ | (52,109,666 | ) | $ | (15,859,047 | ) | $ | 5,059,179 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
78 | AB MUNICIPAL BOND INFLATION STRATEGY |
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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 |
|||||||||||||||
Barclays Bank PLC |
$ | 403,711 | $ | (403,711 | ) | $ | 0 | | $ | 0 | | $ | 0 | | ||||||
Citibank, NA/Citigroup Global Markets, Inc. |
1,276,178 | (1,276,178 | ) | 0 | | 0 | | 0 | | |||||||||||
Credit Suisse International |
560,484 | 0 | | 0 | | (560,484 | ) | 0 | | |||||||||||
Goldman Sachs International |
191,512 | (191,512 | ) | 0 | | 0 | | 0 | | |||||||||||
JPMorgan Chase Bank, NA |
1,265,518 | (1,265,518 | ) | 0 | | 0 | | 0 | | |||||||||||
Morgan Stanley Capital Services LLC |
321,945 | 0 | | 0 | | (321,945 | ) | 0 | | |||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 4,019,348 | $ | (3,136,919 | ) | $ | 0 | | $ | (882,429 | ) | $ | 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 E
Capital Stock
Each class consists of 3,000,000,000 authorized shares. Transactions in capital shares for Class A, Class C, Advisor Class, Class 1 and Class 2 were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
|||||||||||||||||||||
|
|
|||||||||||||||||||||||
Class A |
|
|||||||||||||||||||||||
Shares sold |
16,907,997 | 26,407,533 | $ | 186,375,671 | $ | 286,981,285 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends |
112,929 | 200,012 | 1,245,092 | 2,153,486 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares converted from Class C |
3,765 | 137,753 | 41,016 | 1,489,456 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(11,854,695 | ) | (7,132,735 | ) | (129,372,118 | ) | (77,134,430 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase |
5,169,996 | 19,612,563 | $ | 58,289,661 | $ | 213,489,797 | ||||||||||||||||||
|
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 79 |
NOTES TO FINANCIAL STATEMENTS (continued)
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
|||||||||||||||||||||
|
|
|||||||||||||||||||||||
Class C |
|
|||||||||||||||||||||||
Shares sold |
1,134,557 | 1,415,025 | $ | 12,474,180 | $ | 15,365,751 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends |
1,944 | 7,049 | 21,426 | 75,748 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares converted to Class A |
(3,769 | ) | (137,881 | ) | (41,016 | ) | (1,489,456 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(242,925 | ) | (112,864 | ) | (2,634,770 | ) | (1,219,898 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase |
889,807 | 1,171,329 | $ | 9,819,820 | $ | 12,732,145 | ||||||||||||||||||
|
||||||||||||||||||||||||
Advisor Class |
|
|||||||||||||||||||||||
Shares sold |
73,714,094 | 63,621,228 | $ | 811,481,509 | $ | 693,291,421 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends |
390,809 | 446,488 | 4,304,096 | 4,831,370 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(35,383,805 | ) | (6,255,946 | ) | (385,870,461 | ) | (67,976,037 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase |
38,721,098 | 57,811,770 | $ | 429,915,144 | $ | 630,146,754 | ||||||||||||||||||
|
||||||||||||||||||||||||
Class 1 |
|
|||||||||||||||||||||||
Shares sold |
14,871,323 | 12,539,527 | $ | 162,517,128 | $ | 135,703,463 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends |
230,491 | 601,091 | 2,524,507 | 6,424,253 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(5,522,233 | ) | (5,865,521 | ) | (60,023,082 | ) | (62,849,375 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase |
9,579,581 | 7,275,097 | $ | 105,018,553 | $ | 79,278,341 | ||||||||||||||||||
|
||||||||||||||||||||||||
Class 2 |
|
|||||||||||||||||||||||
Shares sold |
9,665,959 | 3,793,264 | $ | 105,386,382 | $ | 41,218,325 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends |
102,383 | 297,652 | 1,122,249 | 3,180,510 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(2,494,696 | ) | (3,422,732 | ) | (27,176,611 | ) | (36,671,513 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase |
7,273,646 | 668,184 | $ | 79,332,020 | $ | 7,727,322 | ||||||||||||||||||
|
NOTE F
Risks Involved in Investing in the Fund
Market RiskThe value of the Funds assets will fluctuate as the bond market fluctuates. The value of the Funds investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market.
Credit RiskAn issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling
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NOTES TO FINANCIAL STATEMENTS (continued)
to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security. Investments in fixed-income securities with lower ratings tend to have a higher probability that an issuer will default or fail to meet its payment obligations.
Municipal Market RiskThis 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 Funds investments in municipal securities. These factors include economic conditions, political or legislative changes, public health crises, uncertainties related to the tax status of municipal securities, or the rights of investors in these securities. To the extent that the Fund invests more of its assets in a particular states municipal securities, the Fund is vulnerable to events adversely affecting that state, including economic, political and regulatory occurrences, court decisions, terrorism, public health crises (including the occurrence of a contagious disease or illness) and catastrophic natural disasters, such as hurricanes, fires or earthquakes. For example, the novel coronavirus (COVID-19) pandemic has significantly stressed the financial resources of many issuers of municipal securities, which could impair any such issuers ability to meet its financial obligations when due and adversely impact the value of its securities held by the Fund. As the full effects of the COVID-19 pandemic on state and local economies and on issuers of municipal securities are still uncertain, the financial difficulties of issuers of municipal securities may continue or worsen, adversely affecting the performance of the Fund. The Funds investments in certain municipal securities with principal and interest payments that are made from the revenues of a specific project or facility, and not general tax revenues, may have increased risks. Factors affecting the project or facility, such as local business or economic conditions, could have a significant effect on the projects ability to make payments of principal and interest on these securities.
Congress has previously considered making changes to the municipal securities provisions of the Internal Revenue Code that could change the U.S. federal income tax treatment of certain types of municipal securities.
Interest-Rate RiskChanges in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 81 |
NOTES TO FINANCIAL STATEMENTS (continued)
Duration RiskDuration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation RiskThis 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 Funds assets can decline as can the value of the Funds distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Derivatives RiskDerivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, 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 Fund.
Leverage RiskWhen the Fund borrows money or otherwise leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Funds investments. The Fund may create leverage through the use of reverse repurchase arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures or by borrowing money. The use of other types of derivative instruments by the Fund, such as options and swaps, may also result in a form of leverage. Leverage may result in higher returns to the Fund than if the Fund were not leveraged, but may also adversely affect returns, particularly if the market is declining.
Illiquid Investments RiskIlliquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest rate environment, when the value and liquidity of fixed-income securities generally go down.
LIBOR Transition and Associated RiskA Fund may be exposed to debt securities, derivatives or other financial instruments that are tied to 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.
82 | AB MUNICIPAL BOND INFLATION STRATEGY |
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NOTES TO FINANCIAL STATEMENTS (continued)
The FCA and LIBORs 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. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserves Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.
The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Funds performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Funds 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. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.
Indemnification RiskIn the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Funds maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Fund has not accrued any liability in connection with these indemnification provisions.
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 83 |
NOTES TO FINANCIAL STATEMENTS (continued)
Management RiskThe Fund is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE G
Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Fund, participate in a $325 million revolving credit facility (the Facility) intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Fund did not utilize the Facility during the six months ended April 30, 2022.
NOTE H
Distributions to Shareholders
The tax character of distributions to be paid for the year ending October 31, 2022 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended October 31, 2021 and October 31, 2020 were as follows:
2021 | 2020 | |||||||
Distributions paid from: |
||||||||
Ordinary income |
$ | 1,319,862 | $ | 1,229,449 | ||||
|
|
|
|
|||||
Total taxable distributions |
$ | 1,319,862 | $ | 1,229,449 | ||||
Tax-exempt distributions |
21,972,290 | 22,688,350 | ||||||
|
|
|
|
|||||
Total distributions paid |
$ | 23,292,152 | $ | 23,917,799 | ||||
|
|
|
|
As of October 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed tax-exempt income |
$ | 195,296 | ||
Accumulated capital and other losses |
(24,842,412 | )(a) | ||
Unrealized appreciation/(depreciation) |
73,379,015 | (b) | ||
|
|
|||
Total accumulated earnings/(deficit) |
$ | 48,731,899 | ||
|
|
(a) | As of October 31, 2021, the Fund had a net capital loss carryforward of $24,842,412. |
(b) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the tax treatment of swaps. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital
84 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of October 31, 2021, the Fund had a net short-term capital loss carryforward of $7,409,262 and a net long-term capital loss carryforward of $17,433,150, which may be carried forward for an indefinite period.
NOTE I
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 J
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 Funds financial statements through this date.
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 85 |
FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class A | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 11.03 | $ 10.30 | $ 10.24 | $ 10.02 | $ 10.28 | $ 10.29 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.06 | .16 | .22 | .24 | .22 | .19 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions |
(.28 | ) | .75 | .07 | (c) | .21 | (.26 | ) | (.01 | ) | ||||||||||||||
Contributions from Affiliates |
0 | | .00 | (d) | 0 | | 0 | | 0 | | 0 | | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(.22 | ) | .91 | .29 | .45 | (.04 | ) | .18 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends |
||||||||||||||||||||||||
Dividends from net investment income |
(.05 | ) | (.18 | ) | (.23 | ) | (.23 | ) | (.22 | ) | (.19 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 10.76 | $ 11.03 | $ 10.30 | $ 10.24 | $ 10.02 | $ 10.28 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(e) |
(2.00 | )% | 8.89 | % | 2.85 | % | 4.58 | % | (.42 | )% | 1.75 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$411,277 | $364,599 | $138,454 | $54,316 | $75,127 | $58,270 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements |
.75 | %^ | .75 | % | .75 | % | .75 | % | .75 | % | .75 | % | ||||||||||||
Expenses, before waivers/reimbursements |
.80 | %^ | .84 | % | .85 | % | .86 | % | .86 | % | .86 | % | ||||||||||||
Net investment income(b) |
1.01 | %^ | 1.51 | % | 2.14 | % | 2.32 | % | 2.13 | % | 1.90 | % | ||||||||||||
Portfolio turnover rate |
5 | % | 10 | % | 29 | % | 12 | % | 15 | % | 9 | % |
See footnote summary on page 90.
86 | AB MUNICIPAL BOND INFLATION STRATEGY |
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FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class C | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 11.02 | $ 10.29 | $ 10.22 | $ 10.01 | $ 10.26 | $ 10.27 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.02 | .08 | .14 | .16 | .14 | .12 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions |
(.28 | ) | .74 | .08 | (c) | .20 | (.25 | ) | (.02 | ) | ||||||||||||||
Contributions from Affiliates |
0 | | .01 | 0 | | 0 | | 0 | | 0 | | |||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(.26 | ) | .83 | .22 | .36 | (.11 | ) | .10 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends |
||||||||||||||||||||||||
Dividends from net investment income |
(.01 | ) | (.10 | ) | (.15 | ) | (.15 | ) | (.14 | ) | (.11 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 10.75 | $ 11.02 | $ 10.29 | $ 10.22 | $ 10.01 | $ 10.26 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(e) |
(2.35 | )% | 8.12 | % | 2.16 | % | 3.63 | % | (1.09 | )% | .99 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$29,152 | $20,086 | $6,710 | $7,717 | $10,681 | $12,693 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements |
1.50 | %^ | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | ||||||||||||
Expenses, before waivers/reimbursements |
1.56 | %^ | 1.59 | % | 1.61 | % | 1.61 | % | 1.61 | % | 1.61 | % | ||||||||||||
Net investment income(b) |
.28 | %^ | .75 | % | 1.43 | % | 1.57 | % | 1.37 | % | 1.15 | % | ||||||||||||
Portfolio turnover rate |
5 | % | 10 | % | 29 | % | 12 | % | 15 | % | 9 | % |
See footnote summary on page 90.
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 87 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 11.04 | $ 10.31 | $ 10.24 | $ 10.03 | $ 10.29 | $ 10.30 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.07 | .18 | .25 | .26 | .24 | .22 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions |
(.28 | ) | .75 | .07 | (c) | .21 | (.26 | ) | (.02 | ) | ||||||||||||||
Contributions from Affiliates |
0 | | .01 | 0 | | 0 | | 0 | | 0 | | |||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(.21 | ) | .94 | .32 | .47 | (.02 | ) | .20 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends |
||||||||||||||||||||||||
Dividends from net investment income |
(.06 | ) | (.21 | ) | (.25 | ) | (.26 | ) | (.24 | ) | (.21 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 10.77 | $ 11.04 | $ 10.31 | $ 10.24 | $ 10.03 | $ 10.29 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(e) |
(1.88 | )% | 9.14 | % | 3.19 | % | 4.76 | % | (.17 | )% | 2.00 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$1,233,614 | $837,132 | $185,829 | $205,541 | $226,145 | $199,635 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements |
.50 | %^ | .50 | % | .50 | % | .50 | % | .50 | % | .50 | % | ||||||||||||
Expenses, before waivers/reimbursements |
.56 | %^ | .59 | % | .60 | % | .61 | % | .61 | % | .61 | % | ||||||||||||
Net investment income(b) |
1.27 | %^ | 1.70 | % | 2.43 | % | 2.57 | % | 2.37 | % | 2.15 | % | ||||||||||||
Portfolio turnover rate |
5 | % | 10 | % | 29 | % | 12 | % | 15 | % | 9 | % |
See footnote summary on page 90.
88 | AB MUNICIPAL BOND INFLATION STRATEGY |
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FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class 1 | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 10.97 | $ 10.25 | $ 10.19 | $ 9.98 | $ 10.25 | $ 10.26 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.06 | .18 | .23 | .25 | .23 | .21 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions |
(.27 | ) | .74 | .07 | (c) | .22 | (.26 | ) | (.01 | ) | ||||||||||||||
Contributions from Affiliates |
0 | | .00 | (d) | 0 | | 0 | | 0 | | 0 | | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(.21 | ) | .92 | .30 | .47 | (.03 | ) | .20 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends |
||||||||||||||||||||||||
Dividends from net investment income |
(.06 | ) | (.20 | ) | (.24 | ) | (.26 | ) | (.24 | ) | (.21 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 10.70 | $ 10.97 | $ 10.25 | $ 10.19 | $ 9.98 | $ 10.25 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(e) |
(1.93 | )% | 9.01 | % | 3.04 | % | 4.72 | % | (.32 | )% | 1.94 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$644,463 | $555,642 | $444,500 | $498,857 | $485,386 | $424,291 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements |
.60 | %^ | .60 | % | .60 | % | .60 | % | .60 | % | .60 | % | ||||||||||||
Expenses, before waivers/reimbursements |
.64 | %^ | .66 | % | .67 | % | .67 | % | .67 | % | .67 | % | ||||||||||||
Net investment income(b) |
1.17 | %^ | 1.72 | % | 2.33 | % | 2.47 | % | 2.27 | % | 2.05 | % | ||||||||||||
Portfolio turnover rate |
5 | % | 10 | % | 29 | % | 12 | % | 15 | % | 9 | % |
See footnote summary on page 90.
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 89 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class 2 | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 10.98 | $ 10.25 | $ 10.19 | $ 9.99 | $ 10.25 | $ 10.26 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.07 | .20 | .24 | .26 | .24 | .22 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions |
(.27 | ) | .74 | .07 | (c) | .21 | (.25 | ) | (.01 | ) | ||||||||||||||
Contributions from Affiliates |
0 | | .00 | (d) | 0 | | 0 | | 0 | | 0 | | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(.20 | ) | .94 | .31 | .47 | (.01 | ) | .21 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends |
||||||||||||||||||||||||
Dividends from net investment income |
(.07 | ) | (.21 | ) | (.25 | ) | (.27 | ) | (.25 | ) | (.22 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 10.71 | $ 10.98 | $ 10.25 | $ 10.19 | $ 9.99 | $ 10.25 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(e) |
(1.88 | )% | 9.21 | % | 3.14 | % | 4.73 | % | (.12 | )% | 2.04 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$310,335 | $238,315 | $215,763 | $238,306 | $231,109 | $213,880 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements |
.50 | %^ | .50 | % | .50 | % | .50 | % | .50 | % | .50 | % | ||||||||||||
Expenses, before waivers/reimbursements |
.54 | %^ | .56 | % | .57 | % | .57 | % | .57 | % | .57 | % | ||||||||||||
Net investment income(b) |
1.28 | %^ | 1.84 | % | 2.43 | % | 2.57 | % | 2.37 | % | 2.14 | % | ||||||||||||
Portfolio turnover rate. |
5 | % | 10 | % | 29 | % | 12 | % | 15 | % | 9 | % |
(a) | Based on average shares outstanding. |
(b) | Net of expenses waived/reimbursed by the Adviser. |
(c) | Due to timing of sales and repurchase of capital shares, the net realized and unrealized gain (loss) per share is not in accordance with the Funds change in net realized and unrealized gain (loss) on investment transactions for the period. |
(d) | Amount is less than $.005. |
(e) | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Initial sales charges or contingent deferred sales charges are not reflected in the calculation of total investment return. Total return does not reflect the deduction of taxes that a shareholder would pay on portfolio distributions or the redemption of portfolio shares. Total investment return calculated for a period of less than one year is not annualized. |
^ | Annualized. |
See notes to financial statements.
90 | AB MUNICIPAL BOND INFLATION STRATEGY |
abfunds.com |
BOARD OF DIRECTORS
Marshall C. Turner, Jr.(1), Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and Chief Executive Officer |
Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) |
OFFICERS
Terrance T. Hults(2), Vice President Matthew J. Norton(2), Vice President Andrew D. Potter(2), Vice President Emilie D. Wrapp, Secretary |
Michael B. Reyes, Senior 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 Boston, MA 02210
Principal Underwriter 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 |
Independent Registered Public Accounting Firm Ernst & Young LLP One Manhattan West New York, NY 10001
Legal Counsel Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
1 | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
2 | The day-to-day management of, and investment decisions for, the Funds portfolio are made by the Advisers Municipal Bond Investment Team. Messrs. Hults, Norton and Potter are the investment professionals with the most significant responsibility for the day-to-day management of the Funds portfolio. |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 91 |
Operation and Effectiveness of the Funds Liquidity Risk Management Program:
In October 2016, the Securities and Exchange Commission (SEC) adopted the open-end fund liquidity rule (the Liquidity Rule). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (LRMP) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Fund to designate an Administrator of the Funds Liquidity Risk Management Program. The Administrator of the Funds LRMP is AllianceBernstein L.P., the Funds 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 Funds Board of Trustees (the Fund Board) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the funds 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 LRMPs principal objectives include supporting the Funds compliance with limits on investments in illiquid assets and mitigating the risk that the Fund will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Fund classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Funds strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Fund participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Fund is required to maintain a Highly Liquid Investment Minimum (HLIM). The Committee also incorporated the following information when determining the Funds reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Funds 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 Funds LRMP is adequately designed, has been implemented as intended,
92 | AB MUNICIPAL BOND INFLATION STRATEGY |
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and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, 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 Fund or its ability to timely meet redemptions during the Program Reporting Period.
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 93 |
Information Regarding the Review and Approval of the Funds Advisory Agreement
The disinterested directors (the directors) of AB Bond Fund, Inc. (the Company) unanimously approved the continuance of the Companys Advisory Agreement with the Adviser in respect of AB Municipal Bond Inflation Strategy (the Fund) at a meeting held by video conference on November 2-4, 2021 (the Meeting).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Advisers integrity and competence they have gained from that experience, the Advisers initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Advisers willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund and the money market fund advised by the Adviser in which the Fund invests a portion of its assets.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business
94 | AB MUNICIPAL BOND INFLATION STRATEGY |
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judgment. The material factors and conclusions that formed the basis for the directors determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Funds investment strategies and from time to time proposes changes intended to improve the Funds relative or absolute performance for the directors consideration. They also noted the professional experience and qualifications of the Funds portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Advisory Agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant at the request of the directors. The quality of administrative and other services, including the Advisers role in coordinating the activities of the Funds other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2019 and 2020 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Advisers relationship with the Fund, including those relating to its subsidiaries that provide transfer agency and distribution services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Advisers relationship with the Fund before taxes and distribution
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 95 |
expenses. The directors concluded that the Advisers level of profitability from its relationship with the Fund was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the money market fund advised by the Adviser in which the Fund invests, including, but not limited to, benefits relating to 12b-1 fees and sales charges received by the Funds principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of the Funds shares; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Advisers profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the 15(c) service provider), showing the performance of the Class A Shares of the Fund against a group of similar funds (peer group) and a larger group of similar funds (peer universe), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended July 31, 2021 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, the directors concluded that the Funds investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees payable by other funds. The directors compared the Funds contractual effective advisory fee rate with a peer group median and noted that it was above the median. The directors took into account the impact on the advisory fee rate of the administrative expense reimbursement paid to the Adviser in the latest fiscal year.
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The Adviser informed the directors that there were no institutional products managed by the Adviser that utilize investment strategies similar to those of the Fund.
In connection with their review of the Funds advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Funds latest fiscal year and the directors considered the Advisers expense cap for the Fund. The directors noted that it was likely that the expense ratios of some of the other funds in the Funds category were lowered by waivers or reimbursements by those funds investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Advisers services because the Adviser is responsible for coordinating services provided to the Fund by others. The directors noted that the Funds expense ratio was above the medians. After reviewing and discussing the Advisers explanations of the reasons for this, the directors concluded that the Funds expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedule for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a funds adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a funds operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Funds shareholders would benefit from a sharing of economies of scale in the event the Funds net assets exceed a breakpoint in the future.
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 97 |
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 Portfolio1
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
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 Funds 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 Funds 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 August 23, 2021, Sustainable US Thematic Portfolio was named FlexFee US Thematic Portfolio. 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 MUNICIPAL BOND INFLATION STRATEGY
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
MBIS-0152-0422
APR 04.30.22
SEMI-ANNUAL REPORT
AB SHORT DURATION INCOME PORTFOLIO
As of January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, the Funds annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically requested paper copies of the reports. Instead, the reports are made available on a website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.
You may elect to receive all future reports in paper form free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call the Fund at (800) 221 5672. Your election to receive reports in paper form will apply to all funds held in your account with your financial intermediary or, if you invest directly, to all AB Mutual Funds you hold.
Investment Products Offered | Are Not FDIC Insured May Lose Value Are Not Bank Guaranteed |
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Funds prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Funds 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 ABs website at www.abfunds.com, or go to the Securities and Exchange Commissions (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 Funds Form N-PORT reports are available on the Commissions 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.
FROM THE PRESIDENT |
Dear Shareholder,
Were pleased to provide this report for the AB Short Duration Income Portfolio (the Fund). Please review the discussion of Fund performance, the market conditions during the reporting period and the Funds investment strategy.
At AB, were striving to help our clients achieve better outcomes by:
+ | Fostering diverse perspectives that give us a distinctive approach to navigating global capital markets |
+ | Applying differentiated investment insights through a connected global research network |
+ | Embracing innovation to design better ways to invest and leading-edge mutual-fund solutions |
Whether youre an individual investor or a multibillion-dollar institution, were putting our knowledge and experience to work for you every day.
For more information about ABs comprehensive range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in AB mutual fundsand for placing your trust in our firm.
Sincerely,
Onur Erzan
President and Chief Executive Officer, AB Mutual Funds
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 1 |
SEMI-ANNUAL REPORT
June 7, 2022
This report provides managements discussion of fund performance for the AB Short Duration Income Portfolio for the semi-annual reporting period ended April 30, 2022.
The Funds investment objective is to seek high current income consistent with preservation of capital.
NAV RETURNS AS OF APRIL 30, 2022 (unaudited)
6 Months | 12 Months | |||||||
AB SHORT DURATION INCOME PORTFOLIO | ||||||||
Class A Shares | -5.37% | -5.41% | ||||||
Class C Shares | -5.75% | -6.17% | ||||||
Advisor Class Shares1 | -5.28% | -5.13% | ||||||
Bloomberg 1-5 Year US Government/Credit Index | -4.62% | -5.04% |
1 | Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
INVESTMENT RESULTS
The table above shows the Funds performance compared to its benchmark, the Bloomberg 1-5 Year US Government/Credit Index, for the six- and 12-month periods ended April 30, 2022.
During both periods, all share classes of the Fund underperformed the benchmark, before sales charges. Over the six-month period, country and yield-curve positioning detracted most, relative to the benchmark, mainly from yield-curve exposure in the US and off-benchmark exposure to the eurozone and Russia, partially offset by gains from duration overweights in Canada, Australia and New Zealand. Security selection also hampered results, as losses within sovereign bonds were partially offset by selection gains among energy, electric and consumer noncyclical. Industry allocation was a small contributor to performance, mostly due to beneficial off-benchmark exposure to commercial mortgage-backed securities (CMBS) and an overweight to US Treasuries that exceeded losses including high-yield credit default swaps. Currency decisions were a minor contributor during the period.
In the 12-month period, country and yield-curve positioning detracted from returns, due to a duration underweight in the US, along with off-benchmark exposures in Russia, Australia and New Zealand that were partially offset by exposure to Canada. Industry allocation contributed the most to returns, as
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gains from off-benchmark exposures to CMBS and collateralized mortgage obligations were greater than losses from an off-benchmark allocation to conventional mortgage-backed securities. Security selection also added to performance, as selection mostly within energy, finance and consumer cyclical, along with smaller gains in other industries, outweighed a loss from selection in sovereign bonds. Currency decisions were a minor contributor to results.
During both periods, the Fund utilized derivatives in the form of interest rate swaps, futures and interest rate swaptions to manage and hedge duration risk and to take active yield-curve positioning. Interest rate swaptions were also used to generate income. Currency forwards were used to hedge foreign currency exposure. Credit default swaps were utilized to effectively gain exposure to specific sectors. Total return swaps were used to take active credit risk.
MARKET REVIEW AND INVESTMENT STRATEGY
During the six-month period ended April 30, 2022, fixed-income government bond market yields spiked in most markets, which led bond prices to fall on inflation concerns in all regions. Inflation remained elevated and worsened when Russia invaded Ukraine, causing energy and agricultural prices to jump. Major central banks started the process of raising interest rates and ending bond purchases. Relative government bond returns were led by global inflation-linked bonds. Global investment-grade corporate bonds, which typically have longer maturities and are more sensitive to changes in yields than high-yield corporates, trailed global treasuries by a wide margin, except in the eurozone. High-yield corporate bonds also underperformed treasuries, but by a smaller margin. However, high-yield euro-denominated corporates outperformed eurozone treasuries during the period due to ongoing support from the European Central Bank. Emerging-market bonds underperformed the most as the US dollar advanced against most developed- and emerging-market currencies. Securitized assets also underperformed treasuries, but by a lesser extent than investment-grade corporates, given their lower sensitivity to yield changes. Brent crude oil prices rose sharply from supply concerns and increased demand.
The Funds Senior Investment Management Team (the Team) continues to pursue high income, while preserving capital by investing primarily in government bonds from both US and non-US issuers as well as corporate bonds, with scope to invest a select amount in below investment-grade bonds. The Team manages the Fund with a core fixed-income strategy through a global, multi-sector approach that seeks an attractive risk/return profile.
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 3 |
INVESTMENT POLICIES
The Fund pursues its objective by investing, under normal circumstances, primarily in income-producing securities. The Fund also normally invests at least 65% of its total assets in securities of US and foreign governments and their agencies and instrumentalities (including mortgage-backed securities), derivatives related to such securities, and repurchase agreements relating to US government securities. Under normal circumstances, the Fund will maintain a dollar-weighted average duration of less than three years, although it may invest in securities of any duration or maturity.
The Fund may invest in non-government fixed-income securities, including corporate debt securities, non-government mortgage-backed and other asset-backed securities, certificates of deposit and commercial paper. The Fund may invest up to 35% of its net assets in below investment-grade securities (commonly known as junk bonds). The Funds investments in foreign securities may include both government and corporate securities, and securities of emerging-market countries or of issuers in emerging markets.
The Adviser selects securities for purchase or sale based on its assessment of the securities risks and return characteristics as well as the securities impact on the overall risks and return characteristics of the Fund. In making this assessment, the Adviser takes into account various factors, including the credit quality and sensitivity to interest rates of the securities under consideration and of the Funds other holdings.
The Fund may utilize derivatives, such as options, futures contracts, forwards and swaps. The Fund may, for example, use interest rate futures contracts and swaps to establish exposure to the fixed-income markets or particular fixed-income securities. Derivatives may provide a more efficient and economical exposure to market segments than direct investments, and may also be a more efficient way to alter the Funds exposure. The Fund may also enter into transactions such as reverse repurchase agreements that are similar to borrowings for investment purposes. The Funds use of derivatives and these borrowing transactions may create aggregate exposure that is substantially in excess of its net assets, effectively leveraging the Fund.
The Adviser may hedge the foreign currency exposure resulting from the Funds security positions, and may take long or short positions in currencies, through the use of currency-related derivatives.
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DISCLOSURES AND RISKS
Benchmark Disclosure
The Bloomberg 1-5 Year US Government/Credit Index is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The Bloomberg 1-5 Year US Government/Credit Index is a broad-based benchmark that measures the nonsecuritized component of the Bloomberg US Aggregate Index. It includes investment-grade, US dollar-denominated, fixed-rate Treasuries and government-related and corporate securities that have a remaining maturity of greater than or equal to one year and less than five years. An investor cannot invest directly in an index or average, and their results are not indicative of the performance for any specific investment, including the Fund.
A Word About Risk
Market Risk: The value of the Funds assets will fluctuate as the bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market.
Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
Below Investment-Grade Securities Risk: Investments in fixed-income securities with lower ratings (commonly known as junk bonds) are subject to a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments and negative perceptions of the junk bond market generally and may be more difficult to trade than other types of securities.
Interest-Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 5 |
DISCLOSURES AND RISKS (continued)
Duration Risk: Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Funds assets can decline as can the value of the Funds distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Mortgage-Related and/or Other Asset-Backed Securities Risk: Investments in mortgage-related and other asset-backed securities are subject to certain additional risks. The value of these securities may be particularly sensitive to changes in interest rates. These risks include extension risk, which is the risk that, in periods of rising interest rates, issuers may delay the payment of principal, and prepayment risk, which is the risk that in periods of falling interest rates, issuers may pay principal sooner than expected, exposing the Fund to a lower rate of return upon reinvestment of principal. Mortgage-backed securities offered by non-governmental issuers and other asset-backed securities may be subject to other risks, such as higher rates of default in the mortgages or assets backing the securities or risks associated with the nature and servicing of mortgages or assets backing the securities.
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging-Market Risk: Investments in emerging-market countries may have more risk because the markets are less developed and less liquid and are subject to increased economic, political, regulatory or other uncertainties.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, 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 Fund.
Leverage Risk: To the extent the Fund uses leveraging techniques, its net asset value (NAV) may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Funds investments.
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DISCLOSURES AND RISKS (continued)
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Funds investments or reduce its returns.
Illiquid Investments Risk: Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest-rate environment, when the value and liquidity of fixed-income securities generally decline.
Active Trading Risk: The Fund expects to engage in active and frequent trading of its portfolio securities and its portfolio turnover rate may greatly exceed 100%. A higher rate of portfolio turnover increases transaction costs, which may negatively affect the Funds return. In addition, a high rate of portfolio turnover may result in substantial short-term gains, which may have adverse tax consequences for Fund shareholders.
Management Risk: The Fund is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Funds prospectus. As with all investments, you may lose money by investing in the Fund.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Fund will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by visiting www.abfunds.com.
All fees and expenses related to the operation of the Fund have been deducted. NAV returns do not reflect sales charges; if sales charges were reflected, the Funds quoted performance would be lower. SEC returns reflect the applicable sales charges for each share class: a 4.25% maximum front-end sales charge for Class A shares and a 1% 1-year contingent deferred sales charge for Class C shares. Effective on March 7, 2022, the maximum sales charge for purchases of
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 7 |
DISCLOSURES AND RISKS (continued)
Class A shares 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
AVERAGE ANNUAL RETURNS AS OF APRIL 30, 2022 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) |
SEC Yields1 |
||||||||||
CLASS A SHARES | 3.50% | |||||||||||
1 Year | -5.41% | -7.53% | ||||||||||
Since Inception2 | 1.44% | 0.76% | ||||||||||
CLASS C SHARES | 2.74% | |||||||||||
1 Year | -6.17% | -7.08% | ||||||||||
Since Inception2 | 0.61% | 0.61% | ||||||||||
ADVISOR CLASS SHARES3 | 3.75% | |||||||||||
1 Year | -5.13% | -5.13% | ||||||||||
Since Inception2 | 1.59% | 1.59% |
The Funds current prospectus fee table shows the Funds total annual operating expense ratios as 1.26%, 2.19% and 1.18% for Class A, Class C and Advisor Class shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limited the Funds total annual operating expense ratios, exclusive of acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest, interest expense, taxes, extraordinary expenses and brokerage commissions and other transaction costs, to 0.65%, 1.45% and 0.45% for Class A, Class C and Advisor Class shares, respectively. These waivers/reimbursements may not be terminated before January 31, 2023. Any fees waived and expenses borne by the Adviser may be reimbursed by the Fund until the end of the third fiscal year after the fiscal period in which the fee was waived or the expense was borne, provided that no reimbursement payment will be made that would cause the Funds total operating expenses to exceed the applicable expense limitations. Absent reimbursements or waivers, performance would have been lower. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
1 | SEC yields are calculated based on SEC guidelines for the 30-day period ended April 30, 2022. |
2 | Inception date: 12/12/2018. |
3 | This share class is offered at NAV to eligible investors and the SEC returns are the same as the NAV returns. Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of and certain other persons associated with, the Adviser and its affiliates or the Fund. |
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 9 |
HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2022 (unaudited)
SEC Returns (reflects applicable sales charges) |
||||
CLASS A SHARES | ||||
1 Year | -5.11% | |||
Since Inception1 | 1.32% | |||
CLASS C SHARES | ||||
1 Year | -4.63% | |||
Since Inception1 | 1.18% | |||
ADVISOR CLASS SHARES2 | ||||
1 Year | -2.73% | |||
Since Inception1 | 2.17% |
1 | Inception date: 12/12/2018. |
2 | Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of and certain other persons associated with, the Adviser and its affiliates or the Fund. |
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EXPENSE EXAMPLE
(unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value November 1, 2021 |
Ending Account Value April 30, 2022 |
Expenses Paid During Period* |
Annualized Expense Ratio* |
|||||||||||||
Class A | ||||||||||||||||
Actual |
$ | 1,000 | $ | 946.30 | $ | 3.33 | 0.69 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,021.37 | $ | 3.46 | 0.69 | % | ||||||||
Class C | ||||||||||||||||
Actual |
$ | 1,000 | $ | 942.50 | $ | 7.18 | 1.49 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,017.41 | $ | 7.45 | 1.49 | % | ||||||||
Advisor Class | ||||||||||||||||
Actual |
$ | 1,000 | $ | 947.20 | $ | 2.37 | 0.49 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,022.36 | $ | 2.46 | 0.49 | % |
* | Expenses are equal to the Funds annualized expense ratio (interest expense incurred) multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Funds operating expenses are borne by the Adviser or its affiliates. |
** | Assumes 5% annual return before expenses. |
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 11 |
PORTFOLIO SUMMARY
April 30, 2022 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $51.8
1 | All data are as of April 30, 2022. The Funds security type breakdown is expressed as a percentage of total investments and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see Portfolio of Investments section of the report for additional details). |
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PORTFOLIO OF INVESTMENTS
April 30, 2022 (unaudited)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
GOVERNMENTS - TREASURIES 88.6% |
| |||||||||||
Australia 1.4% |
| |||||||||||
Australia Government Bond |
AUD | 1,155 | $ | 733,235 | ||||||||
|
|
|||||||||||
Spain 0.7% |
| |||||||||||
Spain Government Bond |
EUR | 356 | 364,956 | |||||||||
|
|
|||||||||||
United States 86.5% |
| |||||||||||
U.S. Treasury Bonds |
U.S.$ | 2,177 | 2,445,954 | |||||||||
U.S. Treasury Notes |
784 | 656,684 | ||||||||||
1.50%, 08/15/2026(c) |
4,662 | 4,391,210 | ||||||||||
1.50%, 01/31/2027 |
1,035 | 970,040 | ||||||||||
1.625%, 10/31/2026(c) |
4,590 | 4,336,360 | ||||||||||
1.625%, 08/15/2029(b)(c) |
2,047 | 1,875,289 | ||||||||||
2.00%, 08/15/2025(c) |
2,662 | 2,585,592 | ||||||||||
2.125%, 07/31/2024-05/31/2026(c) |
10,790 | 10,516,425 | ||||||||||
2.25%, 11/15/2024 |
7,287 | 7,178,637 | ||||||||||
2.25%, 11/15/2025(c) |
2,792 | 2,728,691 | ||||||||||
2.375%, 08/15/2024 |
2,061 | 2,040,588 | ||||||||||
2.875%, 08/15/2028 |
743 | 739,484 | ||||||||||
3.125%, 11/15/2028(c) |
4,298 | 4,341,551 | ||||||||||
|
|
|||||||||||
44,806,505 | ||||||||||||
|
|
|||||||||||
Total Governments - Treasuries |
45,904,696 | |||||||||||
|
|
|||||||||||
CORPORATES - NON-INVESTMENT GRADE 11.3% |
||||||||||||
Industrial 10.5% |
| |||||||||||
Basic 0.3% |
| |||||||||||
ASP Unifrax Holdings, Inc. |
10 | 8,819 | ||||||||||
Kleopatra Finco Sarl |
EUR | 100 | 89,913 | |||||||||
WR Grace Holdings LLC |
U.S.$ | 72 | 67,682 | |||||||||
|
|
|||||||||||
166,414 | ||||||||||||
|
|
|||||||||||
Capital Goods 0.7% |
| |||||||||||
Bombardier, Inc. |
24 | 23,581 | ||||||||||
Cleaver-Brooks, Inc. |
7 | 6,667 |
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 13 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Eco Material Technologies, Inc. |
U.S.$ | 92 | $ | 89,023 | ||||||||
Gates Global LLC/Gates Corp. |
61 | 59,475 | ||||||||||
LSB Industries, Inc. |
34 | 33,301 | ||||||||||
Renk AG/Frankfurt am Main |
EUR | 100 | 104,486 | |||||||||
Tervita Corp. |
U.S.$ | 14 | 15,608 | |||||||||
TransDigm, Inc. |
35 | 36,440 | ||||||||||
Triumph Group, Inc. |
13 | 13,446 | ||||||||||
|
|
|||||||||||
382,027 | ||||||||||||
|
|
|||||||||||
Communications - Media 1.0% |
| |||||||||||
Altice Financing SA |
200 | 168,564 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
26 | 22,719 | ||||||||||
5.125%, 05/01/2027(a) |
59 | 57,486 | ||||||||||
DISH DBS Corp. |
8 | 7,972 | ||||||||||
5.25%, 12/01/2026(a) |
32 | 29,433 | ||||||||||
5.75%, 12/01/2028(a) |
32 | 28,703 | ||||||||||
5.875%, 11/15/2024 |
53 | 51,634 | ||||||||||
McGraw-Hill Education, Inc. |
56 | 50,066 | ||||||||||
Sirius XM Radio, Inc. |
56 | 51,590 | ||||||||||
4.00%, 07/15/2028(a) |
28 | 25,319 | ||||||||||
|
|
|||||||||||
493,486 | ||||||||||||
|
|
|||||||||||
Communications - Telecommunications 0.1% |
||||||||||||
Consolidated Communications, Inc. |
35 | 28,629 | ||||||||||
Frontier Communications Holdings LLC |
10 | 9,087 | ||||||||||
|
|
|||||||||||
37,716 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Automotive 0.3% |
| |||||||||||
Jaguar Land Rover Automotive PLC |
EUR | 116 | 119,988 | |||||||||
Meritor, Inc. |
U.S.$ | 5 | 5,177 | |||||||||
Tenneco, Inc. |
26 | 26,258 | ||||||||||
|
|
|||||||||||
151,423 | ||||||||||||
|
|
14 | AB SHORT DURATION INCOME PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Consumer Cyclical - Entertainment 1.7% |
||||||||||||
Boyne USA, Inc. |
U.S.$ | 16 | $ | 14,901 | ||||||||
Carnival Corp. |
36 | 32,412 | ||||||||||
5.75%, 03/01/2027(a) |
62 | 56,439 | ||||||||||
10.50%, 02/01/2026(a) |
107 | 117,585 | ||||||||||
Cedar Fair LP/Canadas Wonderland Co./Magnum Management Corp./Millennium Op |
159 | 159,833 | ||||||||||
Lindblad Expeditions LLC |
28 | 27,517 | ||||||||||
Mattel, Inc. |
102 | 104,302 | ||||||||||
NCL Corp., Ltd. |
33 | 30,335 | ||||||||||
Royal Caribbean Cruises Ltd. |
108 | 108,297 | ||||||||||
5.375%, 07/15/2027(a) |
42 | 38,595 | ||||||||||
5.50%, 08/31/2026(a) |
31 | 28,892 | ||||||||||
10.875%, 06/01/2023(a) |
23 | 24,073 | ||||||||||
11.50%, 06/01/2025(a) |
47 | 51,109 | ||||||||||
SeaWorld Parks & Entertainment, Inc. |
20 | 20,900 | ||||||||||
Viking Cruises Ltd. |
12 | 10,189 | ||||||||||
13.00%, 05/15/2025(a) |
16 | 17,527 | ||||||||||
Viking Ocean Cruises Ship VII Ltd. |
14 | 12,408 | ||||||||||
|
|
|||||||||||
855,314 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Other 0.9% |
| |||||||||||
Adams Homes, Inc. |
13 | 12,726 | ||||||||||
Boyd Gaming Corp. |
3 | 3,131 | ||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US LLC |
125 | 117,224 | ||||||||||
Empire Communities Corp. |
143 | 135,518 | ||||||||||
Five Point Operating Co. LP/Five Point Capital Corp. |
85 | 84,511 | ||||||||||
Forestar Group, Inc. |
41 | 36,875 | ||||||||||
Marriott Ownership Resorts, Inc. |
12 | 12,290 |
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 15 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Shea Homes LP/Shea Homes Funding Corp. |
U.S.$ | 11 | $ | 9,805 | ||||||||
Taylor Morrison Communities, Inc. |
15 | 14,892 | ||||||||||
Travel + Leisure Co. |
20 | 20,455 | ||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. |
33 | 31,928 | ||||||||||
|
|
|||||||||||
479,355 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Restaurants 0.0% |
||||||||||||
1011778 BC ULC/New Red Finance, Inc. |
17 | 15,640 | ||||||||||
|
|
|||||||||||
Consumer Cyclical - Retailers 0.4% |
| |||||||||||
Bath & Body Works, Inc. |
6 | 6,752 | ||||||||||
Dufry One BV |
EUR | 100 | 101,153 | |||||||||
Hanesbrands, Inc. |
U.S.$ | 35 | 34,690 | |||||||||
Michaels Cos, Inc. (The) |
73 | 62,768 | ||||||||||
Rite Aid Corp. |
12 | 10,292 | ||||||||||
Staples, Inc. |
15 | 14,322 | ||||||||||
|
|
|||||||||||
229,977 | ||||||||||||
|
|
|||||||||||
Consumer Non-Cyclical 1.0% |
| |||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC |
||||||||||||
3.50%, 02/15/2023(a) |
154 | 153,783 | ||||||||||
5.875%, 02/15/2028(a) |
87 | 84,560 | ||||||||||
Charles River Laboratories International, Inc. |
32 | 28,598 | ||||||||||
Legacy LifePoint Health LLC |
114 | 105,492 | ||||||||||
Par Pharmaceutical, Inc. |
24 | 21,913 | ||||||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc. |
7 | 7,190 | ||||||||||
RP Escrow Issuer LLC |
39 | 36,649 | ||||||||||
US Acute Care Solutions LLC |
81 | 78,867 | ||||||||||
|
|
|||||||||||
517,052 | ||||||||||||
|
|
16 | AB SHORT DURATION INCOME PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Energy 1.5% |
| |||||||||||
Athabasca Oil Corp. |
U.S.$ | 50 | $ | 53,027 | ||||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp. |
177 | 182,310 | ||||||||||
Callon Petroleum Co. |
28 | 28,918 | ||||||||||
CITGO Petroleum Corp. |
33 | 32,793 | ||||||||||
Civitas Resources, Inc. |
59 | 56,231 | ||||||||||
Crescent Energy Finance LLC |
38 | 37,430 | ||||||||||
Genesis Energy LP/Genesis Energy Finance Corp. |
||||||||||||
7.75%, 02/01/2028 |
15 | 14,429 | ||||||||||
8.00%, 01/15/2027 |
29 | 28,492 | ||||||||||
Nabors Industries Ltd. |
15 | 14,679 | ||||||||||
Nabors Industries, Inc. |
62 | 63,329 | ||||||||||
New Fortress Energy, Inc. |
100 | 98,349 | ||||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp. |
58 | 54,664 | ||||||||||
PBF Holding Co. LLC/PBF Finance Corp. |
40 | 41,451 | ||||||||||
Range Resources Corp. |
3 | 3,007 | ||||||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. |
40 | 37,415 | ||||||||||
Sunnova Energy Corp. |
25 | 22,984 | ||||||||||
Transocean, Inc. |
23 | 18,350 | ||||||||||
|
|
|||||||||||
787,858 | ||||||||||||
|
|
|||||||||||
Other Industrial 0.0% |
| |||||||||||
Avient Corp. |
16 | 16,153 | ||||||||||
|
|
|||||||||||
Services 1.4% |
| |||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp. |
57 | 55,091 |
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 17 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
APX Group, Inc. |
U.S.$ | 53 | $ | 52,520 | ||||||||
Block, Inc. |
81 | 73,973 | ||||||||||
Garda World Security Corp. |
59 | 53,692 | ||||||||||
Millennium Escrow Corp. |
50 | 46,346 | ||||||||||
MPH Acquisition Holdings LLC |
78 | 67,883 | ||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. |
||||||||||||
3.375%, 08/31/2027(a) |
168 | 143,936 | ||||||||||
6.25%, 01/15/2028(a) |
82 | 73,596 | ||||||||||
Sabre GLBL, Inc. |
84 | 89,740 | ||||||||||
WASH Multifamily Acquisition, Inc. |
15 | 14,608 | ||||||||||
ZipRecruiter, Inc. |
63 | 58,931 | ||||||||||
|
|
|||||||||||
730,316 | ||||||||||||
|
|
|||||||||||
Technology 0.6% |
| |||||||||||
Avaya, Inc. |
81 | 74,876 | ||||||||||
NCR Corp. |
105 | 100,140 | ||||||||||
Presidio Holdings, Inc. |
||||||||||||
4.875%, 02/01/2027(a) |
56 | 53,623 | ||||||||||
8.25%, 02/01/2028(a) |
2 | 1,949 | ||||||||||
Veritas US, Inc./Veritas Bermuda Ltd. |
60 | 53,107 | ||||||||||
Virtusa Corp. |
10 | 9,030 | ||||||||||
|
|
|||||||||||
292,725 | ||||||||||||
|
|
|||||||||||
Transportation - Airlines 0.2% |
| |||||||||||
Air Canada |
12 | 11,095 | ||||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd. |
24 | 23,235 | ||||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd. |
41 | 42,751 | ||||||||||
|
|
|||||||||||
77,081 | ||||||||||||
|
|
|||||||||||
Transportation - Services 0.4% |
| |||||||||||
EC Finance PLC |
EUR | 100 | 101,687 |
18 | AB SHORT DURATION INCOME PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Loxam SAS |
EUR | 100 | $ | 100,968 | ||||||||
PROG Holdings, Inc. |
U.S.$ | 30 | 26,559 | |||||||||
|
|
|||||||||||
229,214 | ||||||||||||
|
|
|||||||||||
5,461,751 | ||||||||||||
|
|
|||||||||||
Financial Institutions 0.5% |
| |||||||||||
Banking 0.1% |
| |||||||||||
Bread Financial Holdings, Inc. |
||||||||||||
4.75%, 12/15/2024(a) |
35 | 34,041 | ||||||||||
7.00%, 01/15/2026(a) |
7 | 7,082 | ||||||||||
|
|
|||||||||||
41,123 | ||||||||||||
|
|
|||||||||||
Brokerage 0.1% |
| |||||||||||
Advisor Group Holdings, Inc. |
52 | 54,860 | ||||||||||
|
|
|||||||||||
Finance 0.2% |
| |||||||||||
Castlelake Aviation Finance DAC |
62 | 55,820 | ||||||||||
Curo Group Holdings Corp. |
53 | 44,656 | ||||||||||
|
|
|||||||||||
100,476 | ||||||||||||
|
|
|||||||||||
REITs 0.1% |
| |||||||||||
Diversified Healthcare Trust |
36 | 37,726 | ||||||||||
|
|
|||||||||||
234,185 | ||||||||||||
|
|
|||||||||||
Utility 0.3% |
| |||||||||||
Electric 0.2% |
| |||||||||||
Calpine Corp. |
8 | 7,267 | ||||||||||
Vistra Operations Co. LLC |
68 | 67,073 | ||||||||||
|
|
|||||||||||
74,340 | ||||||||||||
|
|
|||||||||||
Other Utility 0.1% |
| |||||||||||
Solaris Midstream Holdings LLC |
72 | 73,957 | ||||||||||
|
|
|||||||||||
148,297 | ||||||||||||
|
|
|||||||||||
Total Corporates - Non-Investment Grade |
5,844,233 | |||||||||||
|
|
|||||||||||
CORPORATES - INVESTMENT GRADE 10.0% |
||||||||||||
Financial Institutions 6.7% |
| |||||||||||
Banking 5.5% |
| |||||||||||
Banco de Credito del Peru S.A. |
119 | 108,164 |
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 19 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Banco Santander SA |
U.S.$ | 200 | $ | 194,280 | ||||||||
Bank of America Corp. |
150 | 152,377 | ||||||||||
Series X |
134 | 135,336 | ||||||||||
BNP Paribas SA |
200 | 201,200 | ||||||||||
Credit Agricole SA |
200 | 215,482 | ||||||||||
Danske Bank A/S |
200 | 193,728 | ||||||||||
Deutsche Bank AG/New York NY |
150 | 125,432 | ||||||||||
First-Citizens Bank & Trust Co. |
15 | 15,076 | ||||||||||
HSBC Holdings PLC |
200 | 201,242 | ||||||||||
JPMorgan Chase & Co. |
128 | 127,630 | ||||||||||
Series S |
150 | 153,337 | ||||||||||
Morgan Stanley |
51 | 50,621 | ||||||||||
Nordea Bank Abp |
200 | 204,100 | ||||||||||
PNC Financial Services Group, Inc. (The) |
12 | 11,879 | ||||||||||
Standard Chartered PLC |
200 | 196,762 | ||||||||||
Swedbank AB |
200 | 198,146 | ||||||||||
Truist Financial Corp. |
150 | 148,176 | ||||||||||
UBS Group AG |
200 | 203,414 | ||||||||||
|
|
|||||||||||
2,836,382 | ||||||||||||
|
|
|||||||||||
Finance 0.9% |
| |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
150 | 124,703 |
20 | AB SHORT DURATION INCOME PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Aircastle Ltd. |
U.S.$ | 5 | $ | 4,375 | ||||||||
4.125%, 05/01/2024 |
8 | 7,954 | ||||||||||
4.25%, 06/15/2026 |
2 | 1,931 | ||||||||||
4.40%, 09/25/2023 |
16 | 16,056 | ||||||||||
5.00%, 04/01/2023 |
3 | 3,027 | ||||||||||
5.25%, 08/11/2025(a) |
52 | 51,899 | ||||||||||
Aviation Capital Group LLC |
158 | 145,083 | ||||||||||
Synchrony Financial |
150 | 122,280 | ||||||||||
|
|
|||||||||||
477,308 | ||||||||||||
|
|
|||||||||||
REITs 0.3% |
| |||||||||||
Office Properties Income Trust |
180 | 139,514 | ||||||||||
VICI Properties LP/VICI Note Co., Inc. |
31 | 30,438 | ||||||||||
|
|
|||||||||||
169,952 | ||||||||||||
|
|
|||||||||||
3,483,642 | ||||||||||||
|
|
|||||||||||
Industrial 3.0% |
| |||||||||||
Basic 0.0% |
| |||||||||||
Arconic Corp. |
15 | 15,075 | ||||||||||
|
|
|||||||||||
Communications - Media 0.4% |
| |||||||||||
Netflix, Inc. |
216 | 214,311 | ||||||||||
|
|
|||||||||||
Communications - Telecommunications 0.2% |
||||||||||||
T-Mobile USA, Inc. |
66 | 57,101 | ||||||||||
3.375%, 04/15/2029 |
60 | 54,572 | ||||||||||
|
|
|||||||||||
111,673 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Other 0.3% |
| |||||||||||
Las Vegas Sands Corp. |
150 | 129,304 | ||||||||||
|
|
|||||||||||
Consumer Non-Cyclical 0.8% |
| |||||||||||
BAT International Finance PLC |
116 | 111,680 | ||||||||||
Newell Brands, Inc. |
26 | 25,713 | ||||||||||
4.875%, 06/01/2025 |
7 | 7,081 | ||||||||||
Pilgrims Pride Corp. |
250 | 251,745 | ||||||||||
|
|
|||||||||||
396,219 | ||||||||||||
|
|
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 21 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Energy 0.5% |
| |||||||||||
Cenovus Energy, Inc. |
U.S.$ | 16 | $ | 16,613 | ||||||||
Continental Resources, Inc./OK |
41 | 42,059 | ||||||||||
Ecopetrol SA |
15 | 12,532 | ||||||||||
5.375%, 06/26/2026 |
55 | 54,185 | ||||||||||
5.875%, 11/02/2051 |
7 | 5,302 | ||||||||||
6.875%, 04/29/2030 |
45 | 44,381 | ||||||||||
EQT Corp. |
31 | 34,340 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. |
46 | 41,797 | ||||||||||
Western Midstream Operating LP |
5 | 4,857 | ||||||||||
4.55%, 02/01/2030 |
20 | 18,426 | ||||||||||
|
|
|||||||||||
274,492 | ||||||||||||
|
|
|||||||||||
Technology 0.8% |
| |||||||||||
Broadcom, Inc. |
22 | 17,636 | ||||||||||
4.00%, 04/15/2029(a) |
46 | 43,905 | ||||||||||
4.30%, 11/15/2032 |
150 | 140,835 | ||||||||||
Entegris Escrow Corp. |
112 | 107,788 | ||||||||||
Take-Two Interactive Software, Inc. |
56 | 55,698 | ||||||||||
Workday, Inc. |
35 | 33,513 | ||||||||||
|
|
|||||||||||
399,375 | ||||||||||||
|
|
|||||||||||
1,540,449 | ||||||||||||
|
|
|||||||||||
Utility 0.3% |
| |||||||||||
Electric 0.3% |
| |||||||||||
Chile Electricity PEC SpA |
200 | 153,162 | ||||||||||
|
|
|||||||||||
Total Corporates - Investment Grade |
5,177,253 | |||||||||||
|
|
|||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS 7.8% |
||||||||||||
Risk Share Floating Rate 7.3% |
| |||||||||||
Bellemeade Re Ltd. |
71 | 70,674 |
22 | AB SHORT DURATION INCOME PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Series 2019-1A, Class M2 |
U.S.$ | 152 | $ | 150,564 | ||||||
Series 2019-4A, Class M2 |
150 | 145,902 | ||||||||
Series 2022-1, Class M1B |
193 | 192,250 | ||||||||
Connecticut Avenue Securities Trust |
3 | 2,929 | ||||||||
Series 2019-R03, Class 1M2 |
4 | 4,480 | ||||||||
Eagle Re Ltd. |
150 | 147,536 | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes |
106 | 109,035 | ||||||||
Series 2017-DNA1, Class M2 |
175 | 176,470 | ||||||||
Series 2019-DNA3, Class M2 |
8 | 8,118 | ||||||||
Series 2019-DNA4, Class M2 |
5 | 4,821 | ||||||||
Series 2020-DNA1, Class M2 |
41 | 40,659 | ||||||||
Series 2021-DNA5, Class M2 |
77 | 76,258 | ||||||||
Series 2021-DNA6, Class M2 |
150 | 144,602 | ||||||||
Series 2021-DNA7, Class M2 |
225 | 217,727 | ||||||||
Series 2022-DNA2, Class M1B |
144 | 141,410 | ||||||||
Series 2022-HQA1, Class M1B |
20 | 20,323 |
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 23 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Federal National Mortgage Association Connecticut Avenue Securities |
U.S.$ | 101 | $ | 106,249 | ||||||||
Series 2015-C02, Class 1M2 |
21 | 21,621 | ||||||||||
Series 2015-C03, Class 1M2 |
26 | 26,111 | ||||||||||
Series 2015-C04, Class 2M2 |
3 | 3,434 | ||||||||||
Series 2016-C01, Class 1M2 |
81 | 86,269 | ||||||||||
Series 2016-C01, Class 2M2 |
13 | 13,363 | ||||||||||
Series 2016-C04, Class 1B |
118 | 126,328 | ||||||||||
Series 2016-C05, Class 2M2 |
97 | 100,331 | ||||||||||
Series 2017-C02, Class 2B1 |
24 | 26,027 | ||||||||||
Series 2017-C05, Class 1M2 |
44 | 44,566 | ||||||||||
Series 2018-C01, Class 1B1 |
180 | 178,619 | ||||||||||
Series 2021-R02, Class 2M2 |
230 | 218,764 | ||||||||||
Home Re Ltd. |
150 | 153,230 | ||||||||||
Series 2021-1, Class M1B |
250 | 248,447 | ||||||||||
Mortgage Insurance-Linked Notes |
31 | 30,476 |
24 | AB SHORT DURATION INCOME PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Oaktown Re II Ltd. |
U.S.$ | 31 | $ | 30,942 | ||||||||
Oaktown Re III Ltd. |
150 | 149,267 | ||||||||||
PMT Credit Risk Transfer Trust |
33 | 32,850 | ||||||||||
Series 2019-3R, Class A |
18 | 18,203 | ||||||||||
Radnor Re Ltd. |
96 | 95,779 | ||||||||||
Series 2020-1, Class M1C |
150 | 143,052 | ||||||||||
Traingle Re Ltd. |
120 | 120,282 | ||||||||||
Series 2021-3, Class M1A |
137 | 135,564 | ||||||||||
|
|
|||||||||||
3,763,532 | ||||||||||||
|
|
|||||||||||
Agency Fixed Rate 0.4% |
||||||||||||
Federal Home Loan Mortgage Corp. REMICs |
555 | 95,642 | ||||||||||
Federal Home Loan Mortgage Corp. REMICs |
84 | 21,010 | ||||||||||
Federal National Mortgage Association REMICs |
171 | 8,521 | ||||||||||
Series 2016-26, Class IO |
188 | 32,349 | ||||||||||
Series 2016-31, Class IO |
246 | 44,700 | ||||||||||
Series 2016-64, Class BI |
32 | 4,909 | ||||||||||
|
|
|||||||||||
207,131 | ||||||||||||
|
|
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 25 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Agency Floating Rate 0.1% |
||||||||||||
Federal Home Loan Mortgage Corp. REMICs |
U.S.$ | 102 | $ | 15,417 | ||||||||
Series 4906, Class SA |
100 | 14,908 | ||||||||||
Federal National Mortgage Association REMICs |
91 | 6,094 | ||||||||||
Series 2012-17, Class SE |
71 | 13,369 | ||||||||||
Series 2019-25, Class SA |
52 | 7,537 | ||||||||||
Series 2019-42, Class SQ |
44 | 7,530 | ||||||||||
|
|
|||||||||||
64,855 | ||||||||||||
|
|
|||||||||||
Total Collateralized Mortgage Obligations |
4,035,518 | |||||||||||
|
|
|||||||||||
GOVERNMENTS - SOVEREIGN AGENCIES 7.3% |
||||||||||||
Canada 7.3% |
||||||||||||
Canada Housing Trust No. 1 |
CAD | 5,065 | 3,798,563 | |||||||||
|
|
|||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES 5.6% |
||||||||||||
Non-Agency Fixed Rate CMBS 4.8% |
||||||||||||
BAMLL Commercial Mortgage Securities Trust |
U.S.$ | 100 | 89,569 | |||||||||
BANK |
2,077 | 233,823 | ||||||||||
Series 2020-BN29, Class XA |
989 | 84,672 | ||||||||||
Barclays Commercial Mortgage Trust |
988 | 72,357 |
26 | AB SHORT DURATION INCOME PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
BBCMS Mortgage Trust |
U.S.$ | 1,427 | $ | 76,237 | ||||||||
CD Mortgage Trust |
1,527 | 67,613 | ||||||||||
CFCRE Commercial Mortgage Trust |
87 | 4,351 | ||||||||||
Series 2017-C8, Class XA |
281 | 16,422 | ||||||||||
Citigroup Commercial Mortgage Trust |
852 | 37,741 | ||||||||||
Commercial Mortgage Trust |
100 | 97,836 | ||||||||||
Series 2014-CR16, Class D |
100 | 93,555 | ||||||||||
Series 2016-DC2, Class XA |
2,563 | 73,682 | ||||||||||
GS Mortgage Securities Trust |
100 | 41,559 | ||||||||||
Series 2016-GS3, Class XA |
1,303 | 54,139 | ||||||||||
Series 2017-GS5, Class XA |
1,466 | 50,742 | ||||||||||
Series 2017-GS7, Class XA |
3,392 | 141,254 | ||||||||||
Series 2019-GC39, Class XA |
4,660 | 256,483 | ||||||||||
JPMBB Commercial Mortgage Securities Trust |
75 | 44,250 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust |
100 | 94,500 | ||||||||||
Series 2012-LC9, Class G |
100 | 74,097 | ||||||||||
Series 2013-LC11, Class B |
110 | 108,404 | ||||||||||
UBS Commercial Mortgage Trust |
71 | 66,551 |
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 27 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Series 2017-C1, Class XA |
U.S.$ | 1,067 | $ | 64,735 | ||||||||
Series 2017-C2, Class XA |
2,432 | 100,736 | ||||||||||
Series 2018-C14, Class XA |
970 | 49,489 | ||||||||||
Series 2018-C15, Class XA |
746 | 38,398 | ||||||||||
Series 2019-C18, Class XA |
1,273 | 69,114 | ||||||||||
UBS-Barclays Commercial Mortgage Trust |
81 | 64,757 | ||||||||||
Wells Fargo Commercial Mortgage Trust |
827 | 45,534 | ||||||||||
Series 2018-C48, Class XA |
822 | 42,193 | ||||||||||
Series 2019-C52, Class XA |
941 | 77,734 | ||||||||||
WF-RBS Commercial Mortgage Trust |
60 | 55,464 | ||||||||||
Series 2011-C4, Class E |
25 | 19,437 | ||||||||||
|
|
|||||||||||
2,507,428 | ||||||||||||
|
|
|||||||||||
Non-Agency Floating Rate CMBS 0.8% |
| |||||||||||
BFLD |
59 | 57,677 | ||||||||||
Series 2019-DPLO, Class E |
10 | 9,749 | ||||||||||
CLNY Trust |
120 | 116,695 | ||||||||||
Great Wolf Trust |
45 | 43,533 | ||||||||||
Morgan Stanley Capital I Trust |
133 | 115,278 |
28 | AB SHORT DURATION INCOME PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Starwood Retail Property Trust |
U.S.$ | 89 | $ | 62,157 | ||||||||
|
|
|||||||||||
405,089 | ||||||||||||
|
|
|||||||||||
Total Commercial Mortgage-Backed Securities |
2,912,517 | |||||||||||
|
|
|||||||||||
COLLATERALIZED LOAN OBLIGATIONS 4.2% |
||||||||||||
CLO - Floating Rate 4.2% |
||||||||||||
Ballyrock CLO 15 Ltd. |
250 | 242,057 | ||||||||||
Dryden 98 CLO Ltd. |
250 | 247,845 | ||||||||||
Galaxy 30 CLO Ltd. |
250 | 247,762 | ||||||||||
New Mountain CLO 3 Ltd. |
250 | 239,261 | ||||||||||
Palmer Square CLO Ltd. |
250 | 242,888 | ||||||||||
PPM CLO 5 Ltd. |
250 | 239,795 | ||||||||||
Regatta XXIV Funding Ltd. |
250 | 242,502 | ||||||||||
Rockford Tower CLO Ltd. |
250 | 244,143 | ||||||||||
Sixth Street CLO XVII Ltd. |
250 | 245,409 | ||||||||||
|
|
|||||||||||
Total Collateralized Loan Obligations |
2,191,662 | |||||||||||
|
|
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 29 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
EMERGING MARKETS - SOVEREIGNS 3.2% |
||||||||||||
Angola 0.4% |
||||||||||||
Angolan Government International Bond |
U.S.$ | 200 | $ | 212,750 | ||||||||
|
|
|||||||||||
Dominican Republic 0.4% |
||||||||||||
Dominican Republic International Bond |
182 | 182,660 | ||||||||||
|
|
|||||||||||
Ecuador 0.1% |
||||||||||||
Ecuador Government International Bond |
97 | 78,302 | ||||||||||
|
|
|||||||||||
Egypt 0.4% |
||||||||||||
Egypt Government International Bond |
212 | 197,690 | ||||||||||
|
|
|||||||||||
El Salvador 0.1% |
||||||||||||
El Salvador Government International Bond |
24 | 11,400 | ||||||||||
8.625%, 02/28/2029(a) |
90 | 36,450 | ||||||||||
|
|
|||||||||||
47,850 | ||||||||||||
|
|
|||||||||||
Ghana 0.3% |
||||||||||||
Ghana Government International Bond |
200 | 134,000 | ||||||||||
|
|
|||||||||||
Ivory Coast 0.6% |
||||||||||||
Ivory Coast Government International Bond |
EUR | 100 | 94,372 | |||||||||
6.375%, 03/03/2028(a) |
U.S.$ | 200 | 197,037 | |||||||||
|
|
|||||||||||
291,409 | ||||||||||||
|
|
|||||||||||
Lebanon 0.0% |
||||||||||||
Lebanon Government International Bond |
16 | 1,903 | ||||||||||
|
|
|||||||||||
Nigeria 0.3% |
||||||||||||
Nigeria Government International Bond |
200 | 171,100 | ||||||||||
|
|
|||||||||||
Senegal 0.2% |
||||||||||||
Senegal Government International Bond |
EUR | 100 | 99,034 | |||||||||
|
|
|||||||||||
South Africa 0.3% |
||||||||||||
Republic of South Africa Government International Bond |
U.S.$ | 200 | 182,225 | |||||||||
|
|
30 | AB SHORT DURATION INCOME PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Ukraine 0.1% |
||||||||||||
Ukraine Government International Bond |
U.S.$ | 100 | $ | 32,581 | ||||||||
|
|
|||||||||||
Total Emerging Markets - Sovereigns |
1,631,504 | |||||||||||
|
|
|||||||||||
BANK LOANS 2.1% |
||||||||||||
Industrial 1.8% |
||||||||||||
Capital Goods 0.2% |
||||||||||||
ACProducts Holdings, Inc. |
101 | 84,025 | ||||||||||
Chariot Buyer LLC |
10 | 9,779 | ||||||||||
|
|
|||||||||||
93,804 | ||||||||||||
|
|
|||||||||||
Communications - Media 0.1% |
||||||||||||
Coral-US Co-Borrower LLC
|
30 | 29,656 | ||||||||||
Univision Communications, Inc. |
9 | 8,644 | ||||||||||
|
|
|||||||||||
38,300 | ||||||||||||
|
|
|||||||||||
Communications - Telecommunications 0.2% |
||||||||||||
Crown Subsea Communications Holding, Inc. |
40 | 39,885 | ||||||||||
Directv Financing, LLC |
29 | 28,504 | ||||||||||
Zacapa SARL |
43 | 43,077 | ||||||||||
|
|
|||||||||||
111,466 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Entertainment 0.3% |
||||||||||||
Seaworld Parks & Entertainment, Inc. |
142 | 140,091 | ||||||||||
|
|
|||||||||||
Consumer Cyclical - Other 0.1% |
||||||||||||
American Tire Distributors, Inc. |
60 | 59,707 | ||||||||||
|
|
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 31 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Consumer Non-Cyclical 0.2% |
||||||||||||
Kronos Acquisition Holdings, Inc. |
U.S.$ | 40 | $ | 36,642 | ||||||||
Padagis LLC |
28 | 28,165 | ||||||||||
U.S. Renal Care, Inc. |
27 | 24,092 | ||||||||||
|
|
|||||||||||
88,899 | ||||||||||||
|
|
|||||||||||
Energy 0.2% |
||||||||||||
GIP II Blue Holding, L.P. |
55 | 54,460 | ||||||||||
Parkway Generation, LLC |
59 | 59,030 | ||||||||||
|
|
|||||||||||
113,490 | ||||||||||||
|
|
|||||||||||
Other Industrial 0.0% |
||||||||||||
Rockwood Service Corporation |
3 | 3,013 | ||||||||||
|
|
|||||||||||
Services 0.0% |
||||||||||||
Amentum Government Services Holdings LLC |
3 | 2,926 | ||||||||||
Team Health Holdings, Inc. |
19 | 18,012 | ||||||||||
|
|
|||||||||||
20,938 | ||||||||||||
|
|
|||||||||||
Technology 0.5% |
||||||||||||
Ascend Learning, LLC |
30 | 29,588 | ||||||||||
Banff Guarantor, Inc. |
10 | 9,860 | ||||||||||
Boxer Parent Company, Inc. |
27 | 26,688 | ||||||||||
Endurance International Group Holdings, Inc. |
89 | 84,514 |
32 | AB SHORT DURATION INCOME PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
FINThrive Software Intermediate Holdings, Inc. |
U.S.$ | 20 | $ | 19,570 | ||||||||
Loyalty Ventures, Inc. |
81 | 79,219 | ||||||||||
Peraton Corp. |
19 | 19,269 | ||||||||||
Presidio Holdings Inc. |
0 | ** | 436 | |||||||||
4.740% (LIBOR 3 Month + 3.50%), 01/22/2027(j) |
9 | 8,792 | ||||||||||
|
|
|||||||||||
277,936 | ||||||||||||
|
|
|||||||||||
947,644 | ||||||||||||
|
|
|||||||||||
Financial Institutions 0.2% |
||||||||||||
Finance 0.1% |
||||||||||||
Orbit Private Holdings I Ltd. |
30 | 29,788 | ||||||||||
|
|
|||||||||||
Insurance 0.1% |
||||||||||||
Cross Financial Corp. |
50 | 49,336 | ||||||||||
Sedgwick Claims Management Services, Inc. (Lightning Cayman Merger Sub, Ltd.) |
11 | 10,613 | ||||||||||
|
|
|||||||||||
59,949 | ||||||||||||
|
|
|||||||||||
89,737 | ||||||||||||
|
|
|||||||||||
Utility 0.1% |
||||||||||||
Electric 0.1% |
||||||||||||
Granite Generation LLC |
4 | 4,118 | ||||||||||
4.756% (LIBOR 1 Month + 3.75%), 11/09/2026(j) |
21 | 20,674 | ||||||||||
|
|
|||||||||||
24,792 | ||||||||||||
|
|
|||||||||||
Total Bank Loans |
1,062,173 | |||||||||||
|
|
|||||||||||
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 33 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
ASSET-BACKED SECURITIES 1.0% |
||||||||||||
Autos - Fixed Rate 0.5% |
||||||||||||
ACMAT |
U.S.$ | 100 | $ | 100,003 | ||||||||
Exeter Automobile Receivables Trust |
115 | 117,199 | ||||||||||
Series 2019-1A, Class E |
40 | 40,668 | ||||||||||
Westlake Automobile Receivables Trust |
14 | 14,058 | ||||||||||
|
|
|||||||||||
271,928 | ||||||||||||
|
|
|||||||||||
Other ABS - Fixed Rate 0.5% |
||||||||||||
Consumer Loan Underlying Bond Certificate Issuer Trust I |
1 | 1,295 | ||||||||||
Series 2019-HP1, Class B |
96 | 95,952 | ||||||||||
Consumer Loan Underlying Bond CLUB Credit Trust |
5 | 4,796 | ||||||||||
Marlette Funding Trust |
20 | 19,713 | ||||||||||
SoFi Consumer Loan Program Trust |
100 | 98,497 | ||||||||||
|
|
|||||||||||
220,253 | ||||||||||||
|
|
|||||||||||
Total Asset-Backed Securities |
492,181 | |||||||||||
|
|
|||||||||||
EMERGING MARKETS - CORPORATE BONDS 0.7% |
||||||||||||
Industrial 0.7% |
||||||||||||
Basic 0.2% |
||||||||||||
Eldorado Gold Corp. |
28 | 26,880 | ||||||||||
Volcan Cia Minera SAA |
60 | 53,730 | ||||||||||
|
|
|||||||||||
80,610 | ||||||||||||
|
|
34 | AB SHORT DURATION INCOME PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Capital Goods 0.3% |
||||||||||||
Embraer Netherlands Finance BV |
U.S.$ | 146 | $ | 141,346 | ||||||||
|
|
|||||||||||
Consumer Non-Cyclical 0.0% |
||||||||||||
Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL |
11 | 10,395 | ||||||||||
|
|
|||||||||||
Energy 0.2% |
||||||||||||
Leviathan Bond Ltd. |
59 | 58,550 | ||||||||||
6.125%, 06/30/2025(a) |
23 | 22,722 | ||||||||||
6.50%, 06/30/2027(a) |
30 | 29,434 | ||||||||||
|
|
|||||||||||
110,706 | ||||||||||||
|
|
|||||||||||
Total Emerging Markets - Corporate Bonds |
343,057 | |||||||||||
|
|
|||||||||||
QUASI-SOVEREIGNS 0.3% |
||||||||||||
Quasi-Sovereign Bonds 0.3% |
||||||||||||
Mexico 0.2% |
||||||||||||
Petroleos Mexicanos |
101 | 89,339 | ||||||||||
6.49%, 01/23/2027 |
22 | 21,058 | ||||||||||
|
|
|||||||||||
110,397 | ||||||||||||
|
|
|||||||||||
Ukraine 0.1% |
| |||||||||||
State Agency of Roads of Ukraine |
200 | 62,000 | ||||||||||
|
|
|||||||||||
Total Quasi-Sovereigns |
172,397 | |||||||||||
|
|
|||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS 4.0% |
||||||||||||
Investment Companies 4.0% |
||||||||||||
AB Fixed Income Shares, Inc. Government Money Market Portfolio Class AB, 0.22%(m)(n)(o) |
2,093,754 | 2,093,754 | ||||||||||
|
|
|||||||||||
Total Investments 146.1% |
75,659,508 | |||||||||||
Other assets less liabilities (46.1)% |
(23,861,809 | ) | ||||||||||
|
|
|||||||||||
Net Assets 100.0% |
$ | 51,797,699 | ||||||||||
|
|
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 35 |
PORTFOLIO OF INVESTMENTS (continued)
FUTURES (see Note D)
Description | Number of Contracts |
Expiration Month |
Current Notional |
Value and Unrealized Appreciation/ (Depreciation) |
||||||||||
Sold Contracts |
| |||||||||||||
10 Yr Mini Japan Government Bond Futures |
3 | June 2022 | $ | 345,529 | $ | 3,067 | ||||||||
Canadian 10 Yr Bond Futures |
10 | June 2022 | 983,614 | 76,893 | ||||||||||
Euro-BOBL Futures |
5 | June 2022 | 670,843 | 30,695 | ||||||||||
Euro-Schatz Futures |
3 | June 2022 | 348,592 | 5,509 | ||||||||||
U.S. Ultra Bond (CBT) Futures |
13 | June 2022 | 1,677,000 | 138,263 | ||||||||||
U.S. T-Note 2 Yr (CBT) Futures |
21 | June 2022 | 4,427,063 | 51,583 | ||||||||||
U.S. T-Note 10 Yr (CBT) Futures |
78 | June 2022 | 9,294,187 | 564,173 | ||||||||||
|
|
|||||||||||||
$ | 870,183 | |||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
Counterparty | Contracts to Deliver (000) |
In Exchange For (000) |
Settlement Date |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||
BNP Paribas SA |
AUD | 1,069 | USD | 766 | 07/21/2022 | $ | 9,611 | |||||||||||
Citibank, NA |
RUB | 20,191 | USD | 144 | 05/06/2022 | (138,665 | ) | |||||||||||
Citibank, NA |
USD | 171 | RUB | 15,400 | 05/06/2022 | 44,416 | ||||||||||||
Citibank, NA |
EUR | 1,413 | USD | 1,617 | 05/12/2022 | 125,620 | ||||||||||||
JPMorgan Chase Bank, NA |
USD | 58 | RUB | 4,791 | 05/06/2022 | 8,795 | ||||||||||||
Morgan Stanley Capital Services, Inc. |
USD | 2,296 | NZD | 3,385 | 06/10/2022 | (110,184 | ) | |||||||||||
Standard Chartered Bank |
NZD | 3,463 | USD | 2,357 | 06/10/2022 | 121,320 | ||||||||||||
State Street Bank & Trust Co. |
USD | 127 | EUR | 114 | 05/12/2022 | (6,169 | ) | |||||||||||
State Street Bank & Trust Co. |
USD | 80 | CAD | 100 | 07/21/2022 | (2,198 | ) | |||||||||||
UBS AG |
CAD | 5,070 | USD | 4,055 | 07/21/2022 | 108,896 | ||||||||||||
|
|
|||||||||||||||||
$ | 161,442 | |||||||||||||||||
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note D)
Description |
Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at April 30, 2022 |
Notional |
Market Value |
Upfront Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||||||
Sale Contracts |
||||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. |
||||||||||||||||||||||||||||||||
CDX-NAHY Series 38, 5 Year Index, 06/20/2027* |
5.00 | % | Quarterly | 4.63 | % | USD | 2,205 | $ | 45,843 | $ | 96,928 | $ | (51,085 | ) | ||||||||||||||||||
iTraxxx Xover Series 37, 5 Year Index, 06/20/2027* |
5.00 | Quarterly | 4.28 | EUR | 1,560 | 60,504 | 102,805 | (42,301 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | 106,347 | $ | 199,733 | $ | (93,386 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
36 | AB SHORT DURATION INCOME PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note D)
Rate Type |
||||||||||||||||||||||||||
Notional Amount (000) |
Termination Date |
Payments made by the Fund |
Payments received by the Fund |
Payment Frequency Paid/ Received |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||
CAD | 680 | 05/22/2024 | 3 Month CDOR | 1.985% | Semi-Annual | $ | (8,519 | ) | $ | 0 | | $ | (8,519 | ) | ||||||||||||
USD | 260 | 05/24/2024 | 2.206% | 3 Month LIBOR | Semi-Annual/ Quarterly |
2,097 | 0 | | 2,097 | |||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||
$ | (6,422 | ) | $ | 0 | | $ | (6,422 | ) | ||||||||||||||||||
|
|
|
|
|
|
CREDIT DEFAULT SWAPS (see Note D)
Swap Counterparty & Referenced Obligation |
Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at April 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 | 469 | $ | (113,320 | ) | $ | (167,399 | ) | $ | 54,079 | |||||||||||||||||
CDX-CMBX.NA.BBB- |
3.00 | Monthly | 7.50 | USD | 9 | (2,267 | ) | (2,414 | ) | 147 | ||||||||||||||||||||||
CDX-CMBX.NA.BBB- |
3.00 | Monthly | 7.50 | USD | 17 | (4,080 | ) | (4,023 | ) | (57 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- |
3.00 | Monthly | 7.50 | USD | 18 | (4,307 | ) | (4,204 | ) | (103 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- |
3.00 | Monthly | 7.50 | USD | 24 | (5,892 | ) | (5,752 | ) | (140 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- |
3.00 | Monthly | 7.50 | USD | 23 | (5,440 | ) | (1,855 | ) | (3,585 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- |
3.00 | Monthly | 7.50 | USD | 34 | (8,159 | ) | (2,768 | ) | (5,391 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- |
3.00 | Monthly | 7.50 | USD | 50 | (12,012 | ) | (2,978 | ) | (9,034 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- |
3.00 | Monthly | 7.50 | USD | 74 | (17,905 | ) | (4,407 | ) | (13,498 | ) | |||||||||||||||||||||
Credit Suisse International |
|
|||||||||||||||||||||||||||||||
CDX-CMBX.NA.A |
2.00 | Monthly | 7.50 | USD | 317 | (28,610 | ) | (9,684 | ) | (18,926 | ) | |||||||||||||||||||||
Goldman Sachs International |
|
|||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- |
3.00 | Monthly | 7.50 | USD | 23 | (5,439 | ) | (1,846 | ) | (3,593 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- |
3.00 | Monthly | 7.50 | USD | 146 | (35,356 | ) | (30,632 | ) | (4,724 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- |
3.00 | Monthly | 7.50 | USD | 375 | (90,657 | ) | (45,081 | ) | (45,576 | ) | |||||||||||||||||||||
JPMorgan Securities, LLC |
|
|||||||||||||||||||||||||||||||
CDX-CMBX.NA.BB |
5.00 | Monthly | 7.50 | USD | 180 | (74,351 | ) | (33,996 | ) | (40,355 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- |
3.00 | Monthly | 7.50 | USD | 11 | (2,720 | ) | (923 | ) | (1,797 | ) | |||||||||||||||||||||
Morgan Stanley & Co. International PLC |
|
|||||||||||||||||||||||||||||||
CDX-CMBX.NA.A |
2.00 | Monthly | 7.50 | USD | 352 | (31,829 | ) | (34,636 | ) | 2,807 | ||||||||||||||||||||||
CDX-CMBX.NA.BBB- |
3.00 | Monthly | 7.50 | USD | 3 | (680 | ) | (165 | ) | (515 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (443,024 | ) | $ | (352,763 | ) | $ | (90,261 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 37 |
PORTFOLIO OF INVESTMENTS (continued)
TOTAL RETURN SWAPS (see Note D)
Counterparty & |
Rate Paid/ Received |
Payment Frequency |
Current Notional (000) |
Maturity Date |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||
Receive Total Return on Reference Obligation |
||||||||||||||||||||||||
Goldman Sachs International Markit iBoxx USD |
|
1 Day SOFR |
|
Maturity | USD | 139 | 06/20/2022 | $ | (10,892 | ) |
REVERSE REPURCHASE AGREEMENTS (see Note D)
Broker | Interest Rate | Maturity | U.S. $ Value at April 30, 2022 |
|||||||||
HSBC Securities (USA), Inc. |
0.31 | % | | $ | 23,885,829 | |||||||
HSBC Securities (USA), Inc. |
0.31 | % | | 859,589 | ||||||||
|
|
|||||||||||
$ | 24,745,418 | |||||||||||
|
|
| The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on April 30, 2022. |
The type of underlying collateral and the remaining maturity of open reverse repurchase agreements on the statements of assets and liabilities is as follows:
Overnight and Continuous |
Up to 30 Days | 31-90 Days | Greater than 90 Days |
Total | ||||||||||||||||
Governments Treasuries |
$ | 24,745,418 | $ | 0 | $ | 0 | $ | 0 | $ | 24,745,418 |
** | 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 April 30, 2022, the aggregate market value of these securities amounted to $21,068,464 or 40.7% of net assets. |
(b) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(c) | Position, or a portion thereof, has been segregated to collateralize reverse repurchase agreements. |
(d) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(e) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at April 30, 2022. |
(f) | IO Interest Only. |
(g) | Inverse interest only security. |
(h) | Defaulted. |
(i) | Non-income producing security. |
(j) | The stated coupon rate represents the greater of the LIBOR or the LIBOR floor rate plus a spread at April 30, 2022. |
(k) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
38 | AB SHORT DURATION INCOME PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
(l) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.12% of net assets as of April 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 |
||||||||||||
Consumer Loan Underlying Bond Certificate Issuer Trust I |
10/09/2019 | $ | 1,328 | $ | 1,295 | 0.00 | % | |||||||||
State Agency of Roads of Ukraine |
06/24/2021 | 200,000 | 62,000 | 0.12 | % |
(m) | Affiliated investments. |
(n) | To obtain a copy of the funds shareholder report, please go to the Securities and Exchange Commissions website at www.sec.gov, or call AB at (800) 227-4618. |
(o) | The rate shown represents the 7-day yield as of period end. |
Currency Abbreviations:
AUD Australian Dollar
CAD Canadian Dollar
EUR Euro
NZD New Zealand Dollar
RUB Russian Ruble
USD United States Dollar
Glossary:
BOBL Bundesobligationen
CBT Chicago Board of Trade
CDOR Canadian Dealer Offered Rate
CDX-CMBX.NA North American Commercial Mortgage-Backed Index
CDX-NAHY North American High Yield Credit Default Swap Index
CLO Collateralized Loan Obligations
IBOXHY iBoxx $ Liquid High Yield Index
LIBOR London Interbank Offered Rate
REIT Real Estate Investment Trust
REMICs Real Estate Mortgage Investment Conduits
SOFR Secured Overnight Financing Rate
See notes to financial statements.
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 39 |
STATEMENT OF ASSETS & LIABILITIES
April 30, 2022 (unaudited)
Assets |
| |||
Investments in securities, at value |
||||
Unaffiliated issuers (cost $78,996,537) |
$ | 73,565,754 | ||
Affiliated issuers (cost $2,093,754) |
2,093,754 | |||
Cash |
31,326 | |||
Cash collateral due from broker |
562,538 | |||
Foreign currencies, at value (cost $10,637) |
10,580 | |||
Unaffiliated interest and dividends receivable |
660,695 | |||
Unrealized appreciation on forward currency exchange contracts |
418,658 | |||
Receivable for investment securities sold |
117,166 | |||
Receivable for variation margin on futures |
28,013 | |||
Receivable for capital stock sold |
16,439 | |||
Receivable due from Adviser |
14,155 | |||
Affiliated dividends receivable |
109 | |||
|
|
|||
Total assets |
77,519,187 | |||
|
|
|||
Liabilities |
| |||
Payable for reverse repurchase agreements |
24,745,418 | |||
Market value on credit default swaps (net premiums received $352,763) |
443,024 | |||
Unrealized depreciation on forward currency exchange contracts |
257,216 | |||
Dividends payable |
51,027 | |||
Payable for capital stock redeemed |
48,152 | |||
Payable for investment securities purchased |
31,524 | |||
Payable for variation margin on centrally cleared swaps |
26,610 | |||
Unrealized depreciation on total return swaps |
10,892 | |||
Foreign capital gains tax payable |
2,121 | |||
Directors fees payable |
1,799 | |||
Distribution fee payable |
1,227 | |||
Accrued expenses |
102,478 | |||
|
|
|||
Total liabilities |
25,721,488 | |||
|
|
|||
Net Assets |
$ | 51,797,699 | ||
|
|
|||
Composition of Net Assets |
| |||
Capital stock, at par |
$ | 5,658 | ||
Additional paid-in capital |
56,702,032 | |||
Accumulated loss |
(4,909,991 | ) | ||
|
|
|||
Net Assets |
$ | 51,797,699 | ||
|
|
Net Asset Value Per Share33 billion shares of capital stock authorized, $.001 par value
Class | Net Assets | Shares Outstanding |
Net Asset Value |
|||||||||
|
||||||||||||
A | $ | 4,143,181 | 452,181 | $ | 9.16 | * | ||||||
|
||||||||||||
C | $ | 579,667 | 63,319 | $ | 9.15 | |||||||
|
||||||||||||
Advisor | $ | 47,074,851 | 5,142,743 | $ | 9.15 | |||||||
|
* | The maximum offering price per share for Class A shares was $9.37 which reflects a sales charge of 2.25%. |
See notes to financial statements.
40 | AB SHORT DURATION INCOME PORTFOLIO |
abfunds.com |
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2022 (unaudited)
Investment Income | ||||||||
Interest |
$ | 717,772 | ||||||
DividendsAffiliated issuers |
151 | |||||||
Other income |
177 | $ | 718,100 | |||||
|
|
|||||||
Expenses | ||||||||
Advisory fee (see Note B) |
104,120 | |||||||
Distribution feeClass A |
4,855 | |||||||
Distribution feeClass C |
3,430 | |||||||
Transfer agencyClass A |
1,474 | |||||||
Transfer agencyClass C |
223 | |||||||
Transfer agencyAdvisor Class |
16,576 | |||||||
Custody and accounting |
52,398 | |||||||
Administrative |
44,271 | |||||||
Audit and tax |
31,404 | |||||||
Registration fees |
26,158 | |||||||
Legal |
15,320 | |||||||
Printing |
13,371 | |||||||
Directors fees |
9,494 | |||||||
Miscellaneous |
5,002 | |||||||
|
|
|||||||
Total expenses before interest expense |
328,096 | |||||||
Interest expense |
12,893 | |||||||
|
|
|||||||
Total expenses |
340,989 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Note B) |
(186,193 | ) | ||||||
|
|
|||||||
Net expenses |
154,796 | |||||||
|
|
|||||||
Net investment income |
563,304 | |||||||
|
|
|||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain (loss) on: |
||||||||
Investment transactions(a) |
(879,976 | ) | ||||||
Forward currency exchange contracts |
252,807 | |||||||
Futures |
1,216,617 | |||||||
Swaps |
(92,482 | ) | ||||||
Swaptions written |
(1,757 | ) | ||||||
Foreign currency transactions |
(507,172 | ) | ||||||
Net change in unrealized appreciation/depreciation of: |
||||||||
Investments(b) |
(4,659,759 | ) | ||||||
Forward currency exchange contracts |
481,596 | |||||||
Futures |
451,332 | |||||||
Swaps |
41,249 | |||||||
Swaptions written |
(1,433 | ) | ||||||
Foreign currency denominated assets and liabilities |
(5,943 | ) | ||||||
|
|
|||||||
Net loss on investment and foreign currency transactions |
(3,704,921 | ) | ||||||
|
|
|||||||
Net Decrease in Net Assets from Operations |
$ | (3,141,617 | ) | |||||
|
|
(a) | Net of foreign realized capital gains taxes of $894. |
(b) | Net of decrease in accrued foreign capital gains taxes on unrealized gains of $799. |
See notes to financial statements.
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 41 |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
|||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income |
$ | 563,304 | $ | 1,292,348 | ||||
Net realized gain (loss) on investment and foreign currency transactions |
(11,963 | ) | 1,280,893 | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities |
(3,692,958 | ) | (1,507,315 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in net assets from operations |
(3,141,617 | ) | 1,065,926 | |||||
Distributions to Shareholders |
||||||||
Class A |
(116,857 | ) | (40,601 | ) | ||||
Class C |
(13,147 | ) | (14,065 | ) | ||||
Advisor Class |
(1,284,684 | ) | (1,504,066 | ) | ||||
Capital Stock Transactions | ||||||||
Net increase (decrease) |
(6,496,642 | ) | 20,561,741 | |||||
|
|
|
|
|||||
Total increase (decrease) |
(11,052,947 | ) | 20,068,935 | |||||
Net Assets | ||||||||
Beginning of period |
62,850,646 | 42,781,711 | ||||||
|
|
|
|
|||||
End of period |
$ | 51,797,699 | $ | 62,850,646 | ||||
|
|
|
|
See notes to financial statements.
42 | AB SHORT DURATION INCOME PORTFOLIO |
abfunds.com |
STATEMENT OF CASH FLOWS
For the Six Months Ended April 30, 2022 (unaudited)
Cash flows from operating activities | ||||||||
Net decrease in net assets from operations |
$ | (3,141,617 | ) | |||||
Reconciliation of net decrease in net assets from operations to net increase in cash from operating activities | ||||||||
Purchases of long-term investments |
$ | (15,476,181 | ) | |||||
Purchases of short-term investments |
(15,271,387 | ) | ||||||
Proceeds from disposition of long-term investments |
27,045,082 | |||||||
Proceeds from disposition of short-term investments |
13,580,787 | |||||||
Net realized loss on investment transactions and foreign currency transactions |
11,963 | |||||||
Net realized gain on forward currency exchange contracts |
252,807 | |||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities |
3,692,958 | |||||||
Net accretion of bond discount and amortization of bond premium |
777,566 | |||||||
Increase in receivable for investments sold |
(112,314 | ) | ||||||
Decrease in interest receivable |
77,665 | |||||||
Increase in affiliated dividends receivable |
(101 | ) | ||||||
Increase in receivable due from Adviser |
(14,155 | ) | ||||||
Increase in cash collateral due from broker |
(22,757 | ) | ||||||
Decrease in payable for investments purchased |
(675,507 | ) | ||||||
Decrease in advisory fee payable |
(20,642 | ) | ||||||
Increase in foreign capital gains tax payable |
95 | |||||||
Decrease in Transfer Agent fee payable |
(1,452 | ) | ||||||
Decrease in distribution fee payable |
(259 | ) | ||||||
Increase in Directors fee payable |
143 | |||||||
Decrease in accrued expenses |
(34,584 | ) | ||||||
Payments on swaptions written, net |
(4,329 | ) | ||||||
Payments on swaps, net |
(105,035 | ) | ||||||
Proceeds for exchange-traded derivatives settlements, net |
1,478,711 | |||||||
|
|
|||||||
Total adjustments |
15,179,074 | |||||||
|
|
|||||||
Net cash provided by (used in) operating activities |
12,037,457 | |||||||
Cash flows from financing activities | ||||||||
Redemptions of capital stock, net |
(7,161,041 | ) | ||||||
Cash dividends paid (net of dividend reinvestments) |
(698,928 | ) | ||||||
Repayment of reverse repurchase agreements |
(3,762,111 | ) | ||||||
|
|
|||||||
Net cash provided by (used in) financing activities |
(11,622,080 | ) | ||||||
Effect of exchange rate on cash |
(513,115 | ) | ||||||
|
|
|||||||
Net decrease in cash |
(97,738 | ) | ||||||
Cash at beginning of period |
139,644 | |||||||
|
|
|||||||
Cash at end of period |
$ | 41,906 | ||||||
|
|
|||||||
Supplemental disclosure of cash flow information | ||||||||
Reinvestment of dividends |
$ | 723,722 | ||||||
Interest expense paid during the period |
$ | 13,086 |
In accordance with U.S. GAAP, the Fund has included a Statement of Cash Flows as a result of its significant investments in reverse repurchase agreements throughout the period.
See notes to financial statements.
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 43 |
NOTES TO FINANCIAL STATEMENTS
April 30, 2022 (unaudited)
NOTE A
Significant Accounting Policies
AB Bond Fund, Inc. (the Company) is registered under the Investment Company Act of 1940 as an open-end management investment company. The Company, which is a Maryland corporation, operates as a series company comprised of ten portfolios currently in operation. Each portfolio is considered to be a separate entity for financial reporting and tax purposes. This report relates only to the AB Short Duration Income Portfolio (the Fund), a non-diversified portfolio. The Fund has authorized the issuance of Class A, Class B, Class C, Advisor Class, Class R, Class K, Class I, Class Z, Class T, Class 1 and Class 2 shares. Class B, Class R, Class K, Class I, Class Z, Class T, Class 1 and Class 2 shares have not been issued. Effective March 7, 2022, the maximum sales charge for purchases of Class A shares was reduced from 4.25% to 2.25% and purchases in amounts of $500,000 or more, or by certain group retirement plans, may have been subject to a 1%, 18-month contingent deferred sales charge, which may have been subject to waiver in certain circumstances. Prior to March 7, 2022, purchases of 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 shares are sold without any initial or contingent deferred sales charge and are not subject to ongoing distribution expenses. All 11 classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (U.S. GAAP), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Fund.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily
44 | AB SHORT DURATION INCOME PORTFOLIO |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
available or are deemed unreliable, at fair value as determined in accordance with procedures established by and under the general supervision of the Companys Board of Directors (the Board).
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (NASDAQ)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (OTC) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the Adviser) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the Committee) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. 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 issuers financial statements or other available documents. In addition, the Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Funds 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 1quoted prices in active markets for identical investments |
| Level 2other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| Level 3significant unobservable inputs (including the Funds 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
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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 value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset-backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.
Bank loan prices are provided by third party pricing services and consist of a composite of the quotes received by the vendor into a consensus price. Certain bank loans are classified as Level 3, as a significant input used in the fair value measurement of these instruments is the market quotes that are received by the vendor and these inputs are not observable.
Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate
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NOTES TO FINANCIAL STATEMENTS (continued)
issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
The following table summarizes the valuation of the Funds investments by the above fair value hierarchy levels as of April 30, 2022:
Investments in Securities: |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Governments Treasuries |
$ | 0 | | $ | 45,904,696 | $ | 0 | | $ | 45,904,696 | ||||||
Corporates Non-Investment Grade |
0 | | 5,844,233 | 0 | | 5,844,233 | ||||||||||
Corporates Investment Grade |
0 | | 5,177,253 | 0 | | 5,177,253 | ||||||||||
Collateralized Mortgage Obligations |
0 | | 4,035,518 | 0 | | 4,035,518 | ||||||||||
Governments Sovereign Agencies |
0 | | 3,798,563 | 0 | | 3,798,563 | ||||||||||
Commercial Mortgage-Backed Securities |
0 | | 2,912,517 | 0 | | 2,912,517 | ||||||||||
Collateralized Loan Obligations |
0 | | 2,191,662 | 0 | | 2,191,662 | ||||||||||
Emerging Markets Sovereigns |
0 | | 1,631,504 | 0 | | 1,631,504 | ||||||||||
Bank Loans |
0 | | 1,009,916 | 52,257 | 1,062,173 | |||||||||||
Asset-Backed Securities |
0 | | 492,181 | 0 | | 492,181 | ||||||||||
Emerging Markets Corporate Bonds |
0 | | 343,057 | 0 | | 343,057 | ||||||||||
Quasi-Sovereigns |
0 | | 172,397 | 0 | | 172,397 | ||||||||||
Short-Term Investments |
2,093,754 | 0 | | 0 | | 2,093,754 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
2,093,754 | 73,513,497 | 52,257 | 75,659,508 | ||||||||||||
Other Financial Instruments(a): |
||||||||||||||||
Assets: |
||||||||||||||||
Futures |
870,183 | 0 | | 0 | | 870,183 | (b) | |||||||||
Forward Currency Exchange Contracts |
0 | | 418,658 | 0 | | 418,658 | ||||||||||
Centrally Cleared Credit Default Swaps |
0 | | 106,347 | 0 | | 106,347 | (b) | |||||||||
Centrally Cleared Interest Rate Swaps |
0 | | 2,097 | 0 | | 2,097 | (b) | |||||||||
Liabilities: |
||||||||||||||||
Forward Currency Exchange Contracts |
0 | | (257,216 | ) | 0 | | (257,216 | ) | ||||||||
Centrally Cleared Interest Rate Swaps |
0 | | (8,519 | ) | 0 | | (8,519 | )(b) | ||||||||
Credit Default Swaps |
0 | | (443,024 | ) | 0 | | (443,024 | ) | ||||||||
Total Return Swaps |
0 | | (10,892 | ) | 0 | | (10,892 | ) | ||||||||
Reverse Repurchase Agreements |
(24,745,418 | ) | 0 | | 0 | | (24,745,418 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (21,781,481 | ) | $ | 73,320,948 | $ | 52,257 | $ | 51,591,724 | |||||||
|
|
|
|
|
|
|
|
(a) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value. |
(b) | Only variation margin receivable/(payable) at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value. |
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NOTES TO FINANCIAL STATEMENTS (continued)
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
4. Taxes
It is the Funds policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Funds 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 two tax years) and has concluded that no provision for income tax is required in the Funds financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts as
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NOTES TO FINANCIAL STATEMENTS (continued)
adjustments to interest income. The Fund accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Fund are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Fund represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each fund or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
8. Repurchase Agreements
It is the Funds policy that its custodian or designated subcustodian take control of securities as collateral under repurchase agreements and to determine on a daily basis that the value of such securities are sufficient to cover the value of the repurchase agreements. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of collateral by the Fund may be delayed or limited.
NOTE B
Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Fund pays the Adviser an advisory fee at an annual rate of .35% of the first $2.5 billion of the Funds average daily net assets and .30% of the excess over $2.5 billion of the Funds average daily net assets. The fee is accrued daily and paid monthly. The Adviser has agreed to waive its fees and bear certain expenses to the extent necessary to limit total operating expenses (excluding acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest, interest expense, taxes, extraordinary expenses, and brokerage commissions and other transaction costs), on an annual basis (the Expense Caps) to .65%,
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1.45% and .45% of daily average net assets for Class A, Class C, and Advisor Class shares, respectively. For the six months ended April 30, 2022, such reimbursement/waivers amounted to $141,671. The Expense Caps may not be terminated by the Adviser before January 31, 2023. Any fees waived and expenses borne by the Adviser through January 20, 2021 may be reimbursed by Fund until the end of the third fiscal year after the fiscal period in which the fee was waived or the expense was borne; such waivers that are subject to repayment amounted to $265,740, $306,046 and $63,883 for the years ended October 31, 2019, October 31, 2020 and October 31, 2021, respectively. In any case, no reimbursement payment will be made that would cause the Funds total annual operating expenses to exceed the Expense Caps net fee percentage set forth above.
Pursuant to the investment advisory agreement, the Fund may reimburse the Adviser for certain legal and accounting services provided to the Fund by the Adviser. For the six months ended April 30, 2022, the Adviser voluntarily agreed to waive such fees in the amount of $44,271.
The Fund compensates AllianceBernstein Investor Services, Inc. (ABIS), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Fund. ABIS may make payments to intermediaries that provide omnibus account services, sub-accounting services and/or networking services. Such compensation retained by ABIS amounted to $9,007 for the six months ended April 30, 2022.
AllianceBernstein Investments, Inc. (the Distributor), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Funds shares. The Distributor has advised the Fund that it has retained front-end sales charges of $1 from the sale of Class A shares and received $0 and $18 in contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C shares, respectively, for the six months ended April 30, 2022.
The Fund may invest in AB Government Money Market Portfolio (the Government Money Market Portfolio) which has a contractual annual advisory fee rate of .20% of the portfolios 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 January 31, 2023. In connection with the investment by the Fund in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Funds pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as
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NOTES TO FINANCIAL STATEMENTS (continued)
an acquired fund fee and expense. For the six months ended April 30, 2022, such waiver amounted to $251.
A summary of the Funds transactions in AB mutual funds for the six months ended April 30, 2022 is as follows:
Fund |
Market Value 10/31/21 (000) |
Purchases at Cost (000) |
Sales Proceeds (000) |
Market Value 4/30/22 (000) |
Dividend Income (000) |
|||||||||||||||
Government Money Market Portfolio |
$ | 395 | $ | 15,272 | $ | 13,573 | $ | 2,094 | $ | 0 | * |
* | Amount is less than $500. |
NOTE C
Distribution Services Agreement
The Fund has adopted a Distribution Services Agreement (the Agreement) pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement, the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to .25% of the Funds average daily net assets attributable to Class A shares and 1% of the Funds average daily net assets attributable to Class C shares. There are no distribution and servicing fees on the Advisor Class shares. Payments under the Agreement in respect of Class A shares are currently limited to an annual rate of .20% of Class A shares average daily net assets. The fees are accrued daily and paid monthly. The Agreement provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. Since the commencement of the Funds operations, the Distributor has incurred expenses in excess of the distribution costs reimbursed by the Fund in the amount of $575 for Class C shares. While such costs may be recovered from the Fund in future periods so long as the Agreement is in effect, the rate of the distribution and servicing fees payable under the Agreement may not be increased without a shareholder vote. In accordance with the Agreement, there is no provision for recovery of unreimbursed distribution costs incurred by the Distributor beyond the current fiscal year for Class A shares. The Agreement also provides that the Adviser may use its own resources to finance the distribution of the Funds shares.
NOTE D
Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the six months ended April 30, 2022 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding U.S. government securities) |
$ | 5,141,658 | $ | 13,909,756 | ||||
U.S. government securities |
10,358,474 | 11,863,952 |
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The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation are as follows:
Gross unrealized appreciation |
$ | 1,462,747 | ||
Gross unrealized depreciation |
(6,062,866 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (4,600,119 | ) | |
|
|
1. Derivative Financial Instruments
The Fund may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, investment purposes), or to hedge or adjust the risk profile of its portfolio.
The principal types of derivatives utilized by the Fund, as well as the methods in which they may be used are:
| Futures |
The Fund may buy or sell futures for investment purposes or for the purpose of hedging its portfolio against adverse effects of potential movements in the market. The Fund bears the market risk that arises from changes in the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Fund may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under Currency Transactions.
At the time the Fund enters into futures, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
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NOTES TO FINANCIAL STATEMENTS (continued)
Use of long futures subjects the Fund to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Fund to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous days settlement price, which could effectively prevent liquidation of unfavorable positions.
During the six months ended April 30, 2022, the Fund held futures for hedging and non-hedging purposes.
| Forward Currency Exchange Contracts |
The Fund may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to hedge certain firm purchase and sale commitments denominated in foreign currencies and for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under Currency Transactions.
A forward currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on forward currency exchange contracts. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Fund. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
During the six months ended April 30, 2022, the Fund held forward currency exchange contracts for hedging and non-hedging purposes.
| Option Transactions |
For hedging and investment purposes, the Fund may purchase and write (sell) put and call options on U.S. and foreign securities, including government securities, and foreign currencies that are traded on U.S. and foreign securities exchanges and over-the-counter markets. Among other things, the Fund may use options transactions for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under Currency Transactions and may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, for hedging and investment purposes.
The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund
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bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract. If a put or call option purchased by the Fund were permitted to expire without being sold or exercised, its premium would represent a loss to the Fund. Put and call options purchased are accounted for in the same manner as portfolio securities. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
When the Fund writes an option, the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current market value of the option written. The Funds maximum payment for written put options equates to the number of shares multiplied by the strike price. In certain circumstances maximum payout amounts may be partially offset by recovery values of the respective referenced assets and upfront premium received upon entering into the contract. Premiums received from written options which expire unexercised are recorded by the Fund on the expiration date as realized gains from options written. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium received is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium received is added to the proceeds from the sale of the underlying security or currency in determining whether the Fund has realized a gain or loss. If a put option is exercised, the premium received reduces the cost basis of the security or currency purchased by the Fund. In writing an option, the Fund bears the market risk of an unfavorable change in the price of the security or currency underlying the written option. Exercise of an option written by the Fund could result in the Fund selling or buying a security or currency at a price different from the current market value.
The Fund may also invest in options on swap agreements, also called swaptions. A swaption is an option that gives the buyer the right, but not the obligation, to enter into a swap on a future date in exchange for paying a market-based premium. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return on a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. The Funds maximum payment for written put swaptions equates to the notional amount of the underlying swap. In certain circumstances maximum payout amounts
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NOTES TO FINANCIAL STATEMENTS (continued)
may be partially offset by recovery values of the respective referenced assets and upfront premium received upon entering into the contract.
During the six months ended April 30, 2022, the Fund held written swaptions for hedging and non-hedging purposes.
| Swaps |
The Fund may enter into swaps to hedge its exposure to interest rates, credit risk, equity markets or currencies. The Fund may also enter into swaps for non-hedging purposes as a means of gaining market exposures, making direct investments in foreign currencies, as described below under Currency Transactions. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Fund in accordance with the terms of the respective swaps to provide value and recourse to the Fund or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Fund, and/or the termination value at the end of the contract. Therefore, the Fund considers the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Funds exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Fund accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received for 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.
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NOTES TO FINANCIAL STATEMENTS (continued)
Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (FCMs) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.
At the time the Fund enters into a centrally cleared swap, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Interest Rate Swaps:
The Fund is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Fund holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, the Fund may enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Fund may elect to pay a fixed rate and receive a floating rate, or, receive a fixed rate and pay a floating rate on a notional amount.
In addition, the Fund may also enter into interest rate swap transactions to preserve a return or spread on a particular investment or portion of its portfolio, or protecting against an increase in the price of securities the Fund anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) computed based on
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NOTES TO FINANCIAL STATEMENTS (continued)
a contractually-based principal (or notional) amount. Interest rate swaps are entered into on a net basis (i.e., the two payment streams are netted out, with the Fund receiving or paying, as the case may be, only the net amount of the two payments).
During the six months ended April 30, 2022, the Fund held interest rate swaps for hedging and non-hedging purposes.
Credit Default Swaps:
The Fund may enter into credit default swaps, including to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults by corporate and sovereign issuers held by the Fund, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. The Fund may purchase credit protection (Buy Contract) or provide credit protection (Sale Contract) on the referenced obligation of the credit default swap. During the term of the swap, the Fund receives/(pays) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Fund is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Fund will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap (the Maximum Payout Amount) and deliver/(take delivery of) the referenced obligation or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront premium received upon entering into the agreement, or net amounts received from settlement of buy protection credit default swaps entered into by the Fund for the same referenced obligations with the same counterparty.
Credit default swaps may involve greater risks than if a Fund had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If the Fund is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If the Fund is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Fund coupled with the periodic payments previously received, may be less than the Maximum Payout Amount it pays to the buyer, resulting in a net loss to the Fund.
Implied credit spreads over U.S. Treasuries of comparable maturity utilized in determining the market value of credit default swaps on issuers as of period end are disclosed in the portfolio of investments.
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The implied spreads serve as an indicator of the current status of the payment/performance risk and typically reflect the likelihood of default by the issuer of the referenced obligation. The implied credit spread of a particular reference obligation also reflects the cost of buying/selling protection and may reflect upfront payments required to be made to enter into the agreement. Widening credit spreads typically represent a deterioration of the referenced obligations credit soundness and greater likelihood of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as Defaulted indicates a credit event has occurred for the referenced obligation.
During the six months ended April 30, 2022, the Fund held credit default swaps for hedging and non-hedging purposes.
Total Return Swaps:
The Fund may enter into total return swaps in order to take a long or short position with respect to an underlying referenced asset. The Fund is subject to market price volatility of the underlying referenced asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Fund will receive a payment from or make a payment to the counterparty.
During the six months ended April 30, 2022, the Fund held total return swaps for non-hedging purposes.
The Fund typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (ISDA Master Agreement) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the OTC counterparty certain derivative financial instruments payables and/or receivables with collateral held and/or posted 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 Funds net liability, held by the defaulting party, may be delayed or denied.
The Funds ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Fund decline below specific levels (net asset contingent features). If these levels are triggered, the Funds OTC counterparty has the right to
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NOTES TO FINANCIAL STATEMENTS (continued)
terminate such transaction and require the Fund to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty table below for additional details.
During the six months ended April 30, 2022, the Fund had entered into the following derivatives:
Asset Derivatives |
Liability Derivatives |
|||||||||||
Derivative Type |
Statement of |
Fair Value | Statement of |
Fair Value | ||||||||
Interest rate contracts |
Receivable/Payable for variation margin on futures |
$ |
870,183 |
* |
||||||||
Credit contracts |
Receivable/Payable for variation margin on centrally cleared swaps | $ | 93,386 | * | ||||||||
Interest rate contracts |
Receivable/Payable for variation margin on centrally cleared swaps |
|
2,097 |
* |
Receivable/Payable for variation margin on centrally cleared swaps |
|
8,519 |
* | ||||
Foreign currency contracts |
Unrealized appreciation on forward currency exchange contracts |
|
418,658 |
|
Unrealized depreciation on forward currency exchange contracts |
|
257,216 |
| ||||
Credit contracts |
Market value on credit default swaps | 443,024 | ||||||||||
Credit contracts |
Unrealized depreciation on total return swaps | 10,892 | ||||||||||
|
|
|
|
|||||||||
Total |
$ | 1,290,938 | $ | 813,037 | ||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. |
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NOTES TO FINANCIAL STATEMENTS (continued)
Derivative Type |
Location
of |
Realized Gain or (Loss) on Derivatives |
Change in Unrealized Appreciation or (Depreciation) |
|||||||
Interest rate contracts |
Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | 1,216,617 | $ | 451,332 | |||||
Foreign currency contracts |
Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | 252,807 | 481,596 | |||||||
Interest rate contracts |
Net realized gain (loss) on swaptions written; Net change in unrealized appreciation/depreciation of swaptions written | (1,757 | ) | (1,433 | ) | |||||
Interest rate contracts |
Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 589 | (2,316 | ) | ||||||
Credit contracts |
Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (93,071 | ) | 43,565 | ||||||
|
|
|
|
|||||||
Total |
$ | 1,375,185 | $ | 972,744 | ||||||
|
|
|
|
The following table represents the average monthly volume of the Funds derivative transactions during the six months ended April 30, 2022:
Futures: |
||||
Average notional amount of sale contracts |
$ | 25,974,739 | ||
Forward Currency Exchange Contracts: |
||||
Average principal amount of buy contracts |
$ | 1,493,351 | ||
Average principal amount of sale contracts |
$ | 13,293,444 | ||
Swaptions Written: |
||||
Average notional amount |
$ | 307,250 | (a) | |
Centrally Cleared Interest Rate Swaps: |
||||
Average notional amount |
$ | 797,719 | ||
Credit Default Swaps: |
||||
Average notional amount of sale contracts |
$ | 2,731,629 |
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NOTES TO FINANCIAL STATEMENTS (continued)
Centrally Cleared Credit Default Swaps: |
||||
Average notional amount of sale contracts |
$ | 4,390,974 | ||
Total Return Swaps: |
||||
Average notional amount |
$ | 149,995 |
(a) | Positions were open for three months during the period. |
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Funds derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements (MA) and net of the related collateral received/pledged by the Fund as of April 30, 2022. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
Counterparty |
Derivative Assets Subject to a MA |
Derivatives Available for Offset |
Cash Collateral Received* |
Security Collateral Received* |
Net Amount of Derivative Assets |
|||||||||||||||
BNP Paribas SA |
$ | 9,611 | $ | 0 | | $ | 0 | | $ | 0 | | $ | 9,611 | |||||||
Citibank, NA/Citigroup Global Markets, Inc. |
170,036 | (170,036 | ) | 0 | | 0 | | 0 | | |||||||||||
JPMorgan Chase Bank, NA/ JPMorgan Securities, LLC |
8,795 | (8,795 | ) | 0 | | 0 | | 0 | | |||||||||||
Standard Chartered Bank |
121,320 | 0 | | 0 | | 0 | | 121,320 | ||||||||||||
UBS AG |
108,896 | 0 | | 0 | | 0 | | 108,896 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 418,658 | $ | (178,831 | ) | $ | 0 | | $ | 0 | | $ | 239,827 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
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. |
$ | 312,047 | $ | (170,036 | ) | $ | 0 | | $ | (142,011 | ) | $ | 0 | | ||||||
Credit Suisse International |
28,610 | 0 | | 0 | | (28,610 | ) | 0 | | |||||||||||
Goldman Sachs International |
142,344 | 0 | | 0 | | 0 | | 142,344 | ||||||||||||
JPMorgan Chase Bank, NA/ JPMorgan Securities, LLC |
77,071 | (8,795 | ) | 0 | | 0 | | 68,276 |
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NOTES TO FINANCIAL STATEMENTS (continued)
Counterparty |
Derivative Liabilities Subject to a MA |
Derivatives Available for Offset |
Cash Collateral Pledged* |
Security Collateral Pledged* |
Net Amount of Derivative Liabilities |
|||||||||||||||
Morgan Stanley & Co. International PLC/Morgan Stanley Capital Services, Inc. |
$ | 142,693 | $ | 0 | | $ | 0 | | $ | 0 | | $ | 142,693 | |||||||
State Street Bank & Trust Co. |
8,367 | 0 | | 0 | | 0 | | 8,367 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | 711,132 | $ | (178,831 | ) | $ | 0 | | $ | (170,621 | ) | $ | 361,680 | ^ | |||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged may be more than the amount reported due to over-collateralization. |
^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
2. Currency Transactions
The Fund may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Fund may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Fund may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Fund and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Fund may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
3. Reverse Repurchase Agreements
The Fund may enter into reverse repurchase transactions (RVP) in accordance with the terms of a Master Repurchase Agreement (MRA), under which the Fund sells securities and agrees to repurchase them at a mutually agreed upon date and price. At the time the Fund enters into a reverse repurchase agreement, it will establish a segregated account with the custodian containing liquid assets having a value comparable to the repurchase price. Under the MRA and other Master Agreements, the Fund is permitted to offset payables and/or receivables with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund in the event of a default. In the event of a default by a MRA counterparty, the Fund may be considered an unsecured creditor with respect to any excess collateral (collateral with a market value in excess of the repurchase price) held by and/or posted to the counterparty, and as
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NOTES TO FINANCIAL STATEMENTS (continued)
such the return of such excess collateral may be delayed or denied. For the six months ended April 30, 2022, the average amount of reverse repurchase agreements outstanding was $35,169,331 and the daily weighted average interest rate was 0.09%. At April 30, 2022, the Fund had reverse repurchase agreements outstanding in the amount of $24,745,418 as reported on the statement of assets and liabilities.
The following table presents the Funds RVP liabilities by counterparty net of the related collateral pledged by the Fund as of April 30, 2022:
Counterparty |
RVP Liabilities Subject to a MRA |
Securities Collateral Pledged* |
Net Amount of RVP Liabilities |
|||||||||
HSBC Securities (USA), Inc. |
$ | 24,745,418 | $ | (24,665,961 | ) | $ | 79,457 | |||||
|
|
|
|
|
|
| Including accrued interest. |
* | The actual collateral pledged may be more than the amount reported due to overcollateralization. |
NOTE E
Capital Stock
Each class consists of 3,000,000,000 authorized shares. Transactions in capital shares for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
|||||||||||||||||||||
|
|
|||||||||||||||||||||||
Class A |
|
|||||||||||||||||||||||
Shares sold |
79,196 | 640,070 | $ | 762,639 | $ | 6,419,373 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions |
10,452 | 3,210 | 101,062 | 32,088 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(195,592 | ) | (122,450 | ) | (1,888,040 | ) | (1,224,279 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase (decrease) |
(105,944 | ) | 520,830 | $ | (1,024,339 | ) | $ | 5,227,182 | ||||||||||||||||
|
||||||||||||||||||||||||
Class C |
|
|||||||||||||||||||||||
Shares sold |
0 | (a) | 30,942 | $ | 0 | (b) | $ | 310,250 | ||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions |
1,205 | 1,286 | 11,644 | 12,907 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(11,670 | ) | (31,820 | ) | (109,820 | ) | (319,931 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase (decrease) |
(10,465 | ) | 408 | $ | (98,176 | ) | $ | 3,226 | ||||||||||||||||
|
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NOTES TO FINANCIAL STATEMENTS (continued)
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
|||||||||||||||||||||
|
|
|||||||||||||||||||||||
Advisor Class |
|
|||||||||||||||||||||||
Shares sold |
545,985 | 1,731,742 | $ | 5,209,293 | $ | 17,350,910 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions |
63,071 | 35,778 | 611,016 | 358,571 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(1,186,840 | ) | (236,815 | ) | (11,194,436 | ) | (2,378,148 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase (decrease) |
(577,784 | ) | 1,530,705 | $ | (5,374,127 | ) | $ | 15,331,333 | ||||||||||||||||
|
(a) | Amount is less than one share. |
(b) | Amount is less than $.50. |
At April 30, 2022, the Adviser owns approximately 44% of the Funds outstanding shares. Significant transactions by such shareholder, if any, may impact the Funds performance.
NOTE F
Risks Involved in Investing in the Fund
Market RiskThe value of the Funds assets will fluctuate as the bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market.
Credit RiskAn issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
Below Investment-Grade Securities RiskInvestments in fixed-income securities with lower ratings (commonly known as junk bonds) are subject to a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments and negative perceptions of the junk bond market generally and may be more difficult to trade than other types of securities.
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NOTES TO FINANCIAL STATEMENTS (continued)
Interest-Rate RiskChanges in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Duration RiskDuration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to the full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation RiskThis 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 Funds assets can decline as can the value of the Funds distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Mortgage-Related and/or Other Asset-Backed Securities RiskInvestments in mortgage-related and other asset-backed securities are subject to certain additional risks. The value of these securities may be particularly sensitive to changes in interest rates. These risks include extension risk, which is the risk that, in periods of rising interest rates, issuers may delay the payment of principal, and prepayment risk, which is the risk that in periods of falling interest rates, issuers may pay principal sooner than expected, exposing the Fund to a lower rate of return upon reinvestment of principal. Mortgage-backed securities offered by non-governmental issuers and other asset-backed securities may be subject to other risks, such as higher rates of default in the mortgages or assets backing the securities or risks associated with the nature and servicing of mortgages or assets backing the securities.
Foreign (Non-U.S.) RiskInvestments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging Market RiskInvestments in emerging market countries may have more risk because the markets are less developed and less liquid and are subject to increased economic, political, regulatory or other uncertainties.
Derivatives RiskDerivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for
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NOTES TO FINANCIAL STATEMENTS (continued)
the Fund. 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 Fund.
Leverage RiskWhen the Fund borrows money or otherwise leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Funds investments. The Fund may create leverage through the use of reverse repurchase arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures or by borrowing money. The use of other types of derivative instruments by the Fund, such as options and swaps, may also result in a form of leverage. Leverage may result in higher returns to the Fund than if the Fund were not leveraged, but may also adversely affect returns, particularly if the market is declining.
Currency RiskFluctuations in currency exchange rates may negatively affect the value of the Funds investments or reduce its returns.
Illiquid Investments RiskIlliquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest rate environment, when the value and liquidity of fixed-income securities generally decline.
Active Trading RiskThe Fund expects to engage in active and frequent trading of its portfolio securities and its portfolio turnover rate may greatly exceed 100%. A higher rate of portfolio turnover increases transaction costs, which may negatively affect the Funds return. In addition, a high rate of portfolio turnover may result in substantial short-term gains, which may have adverse tax consequences for Fund shareholders.
LIBOR Transition and Associated RiskA Fund may be exposed to debt securities, derivatives or other financial instruments that are tied to 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 LIBORs 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
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NOTES TO FINANCIAL STATEMENTS (continued)
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. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserves Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.
The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Funds performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Funds 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. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.
Indemnification RiskIn the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Funds maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Fund has not accrued any liability in connection with these indemnification provisions.
Management RiskThe Fund is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
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NOTES TO FINANCIAL STATEMENTS (continued)
NOTE G
Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Fund, participate in a $325 million revolving credit facility (the Facility) intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Fund did not utilize the Facility during the six months ended April 30, 2022.
NOTE H
Distributions to Shareholders
The tax character of distributions to be paid for the year ending October 31, 2022 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended October 31, 2021 and October 31, 2020 were as follows:
2021 | 2020 | |||||||
Distributions paid from: |
||||||||
Ordinary income |
$ | 1,558,732 | $ | 1,419,417 | ||||
Net long-term capital gains |
0 | | 14,030 | |||||
|
|
|
|
|||||
Total taxable distributions paid |
$ | 1,558,732 | $ | 1,433,447 | ||||
|
|
|
|
As of October 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed ordinary income |
$ | 391,596 | ||
Undistributed capital gains |
286,597 | |||
Other losses |
(231,225 | )(a) | ||
Unrealized appreciation/(depreciation) |
(738,956 | )(b) | ||
|
|
|||
Total accumulated earnings/(deficit) |
$ | (291,988 | )(c) | |
|
|
(a) | As of October 31, 2021, the cumulative deferred loss on straddles was $231,225. |
(b) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the recognition for tax purposes of unrealized gains/losses on certain derivative instruments, the tax treatment of swaps, the tax deferral of losses on wash sales, and the amortization on callable bonds. |
(c) | The differences between book-basis and tax-basis components of accumulated earnings/(deficit) are attributable primarily to the accrual of foreign capital gains tax, the tax treatment of defaulted securities, and dividends payable. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of October 31, 2021, the Fund did not have any capital loss carryforwards.
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 69 |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE I
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 J
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 Funds financial statements through this date.
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FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class A | ||||||||||||||||
Six Months 2022 |
Year Ended October 31, | December 12 2019 |
||||||||||||||
2021 | 2020 | |||||||||||||||
|
|
|||||||||||||||
Net asset value, beginning of period |
$ 9.90 | $ 9.95 | $ 10.35 | $ 10.00 | ||||||||||||
|
|
|||||||||||||||
Income From Investment Operations |
||||||||||||||||
Net investment income(b)(c) |
.08 | .22 | .23 | .28 | ||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(.60 | ) | .02 | (d) | (.28 | )(d) | .42 | |||||||||
Capital contributions |
0 | | 0 | | .16 | 0 | | |||||||||
|
|
|||||||||||||||
Net increase (decrease) in net asset value from operations |
(.52 | ) | .24 | .11 | .70 | |||||||||||
|
|
|||||||||||||||
Less: Dividends and Distributions |
||||||||||||||||
Dividends from net investment income |
(.11 | ) | (.29 | ) | (.38 | ) | (.35 | ) | ||||||||
Distributions from net realized gain on investment transactions |
(.11 | ) | 0 | | (.13 | ) | 0 | | ||||||||
|
|
|||||||||||||||
Total dividends and distributions |
(.22 | ) | (.29 | ) | (.51 | ) | (.35 | ) | ||||||||
|
|
|||||||||||||||
Net asset value, end of period |
$ 9.16 | $ 9.90 | $ 9.95 | $ 10.35 | ||||||||||||
|
|
|||||||||||||||
Total Return |
||||||||||||||||
Total investment return based on net asset value(e) |
(5.37 | )% | 2.37 | % | 1.17 | % | 7.09 | % | ||||||||
Ratios/Supplemental Data |
||||||||||||||||
Net assets, end of period (000s omitted) |
$4,143 | $5,528 | $371 | $10 | ||||||||||||
Ratio to average net assets of: |
||||||||||||||||
Expenses, net of waivers/reimbursements(f) |
.69 | %^ | .68 | % | .68 | % | .70 | %^ | ||||||||
Expenses, before waivers/reimbursements(f) |
1.31 | %^ | 1.26 | % | 1.77 | % | 3.18 | %^ | ||||||||
Net investment income(c) |
1.72 | %^ | 2.24 | % | 2.28 | % | 3.14 | %^ | ||||||||
Portfolio turnover rate |
18 | % | 163 | %** | 336 | %** | 178 | %** | ||||||||
Portfolio turnover rate (including securities sold short) |
N/A | N/A | 336 | %** | 181 | %** |
See footnote summary on page 74.
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 71 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class C | ||||||||||||||||
Six Months April 30, 2022 |
Year Ended October 31, | December 12 October 31, 2019 |
||||||||||||||
2021 | 2020 | |||||||||||||||
|
|
|||||||||||||||
Net asset value, beginning of period |
$ 9.89 | $ 9.95 | $ 10.34 | $ 10.00 | ||||||||||||
|
|
|||||||||||||||
Income From Investment Operations |
||||||||||||||||
Net investment income(b)(c) |
.04 | .15 | .09 | .21 | ||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(.60 | ) | .00 | (d)(g) | (.04 | )(d) | .41 | |||||||||
|
|
|||||||||||||||
Net increase (decrease) in net asset value from operations |
(.56 | ) | .15 | .05 | .62 | |||||||||||
|
|
|||||||||||||||
Less: Dividends and Distributions |
||||||||||||||||
Dividends from net investment income |
(.07 | ) | (.21 | ) | (.31 | ) | (.28 | ) | ||||||||
Distributions from net realized gain on investment transactions |
(.11 | ) | 0 | | (.13 | ) | 0 | | ||||||||
|
|
|||||||||||||||
Total dividends and distributions |
(.18 | ) | (.21 | ) | (.44 | ) | (.28 | ) | ||||||||
|
|
|||||||||||||||
Net asset value, end of period |
$ 9.15 | $ 9.89 | $ 9.95 | $ 10.34 | ||||||||||||
|
|
|||||||||||||||
Total Return |
||||||||||||||||
Total investment return based on net asset value(e) |
(5.75 | )% | 1.46 | % | .51 | % | 6.23 | % | ||||||||
Ratios/Supplemental Data |
||||||||||||||||
Net assets, end of period (000s omitted) |
$580 | $730 | $730 | $10 | ||||||||||||
Ratio to average net assets of: |
||||||||||||||||
Expenses, net of waivers/reimbursements(f) |
1.49 | %^ | 1.47 | % | 1.48 | % | 1.49 | %^ | ||||||||
Expenses, before waivers/reimbursements(f) |
2.12 | %^ | 2.19 | % | 2.57 | % | 4.02 | %^ | ||||||||
Net investment income(c) |
.93 | %^ | 1.53 | % | .93 | % | 2.34 | %^ | ||||||||
Portfolio turnover rate |
18 | % | 163 | %** | 336 | %** | 178 | %** | ||||||||
Portfolio turnover rate (including securities sold short) |
N/A | N/A | 336 | %** | 181 | %** |
See footnote summary on page 74.
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FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||
Six Months 2022 |
Year Ended October 31, | December 12 2019 |
||||||||||||||
2021 | 2020 | |||||||||||||||
|
|
|||||||||||||||
Net asset value, beginning of period |
$ 9.89 | $ 9.95 | $ 10.35 | $ 10.00 | ||||||||||||
|
|
|||||||||||||||
Income From Investment Operations |
||||||||||||||||
Net investment income(b)(c) |
.09 | .25 | .21 | .30 | ||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(.60 | ) | .00 | (d)(g) | (.08 | )(d) | .41 | |||||||||
|
|
|||||||||||||||
Net increase (decrease) in net asset value from operations |
(.51 | ) | .25 | .13 | .71 | |||||||||||
|
|
|||||||||||||||
Less: Dividends and Distributions |
||||||||||||||||
Dividends from net investment income |
(.12 | ) | (.31 | ) | (.40 | ) | (.36 | ) | ||||||||
Distributions from net realized gain on investment transactions |
(.11 | ) | 0 | | (.13 | ) | 0 | | ||||||||
|
|
|||||||||||||||
Total dividends and distributions |
(.23 | ) | (.31 | ) | (.53 | ) | (.36 | ) | ||||||||
|
|
|||||||||||||||
Net asset value, end of period |
$ 9.15 | $ 9.89 | $ 9.95 | $ 10.35 | ||||||||||||
|
|
|||||||||||||||
Total Return |
||||||||||||||||
Total investment return based on net asset value(e) |
(5.28 | )% | 2.48 | % | 1.34 | % | 7.25 | % | ||||||||
Ratios/Supplemental Data |
||||||||||||||||
Net assets, end of period |
$47,075 | $56,593 | $41,681 | $15,498 | ||||||||||||
Ratio to average net assets of: |
||||||||||||||||
Expenses, net of waivers/reimbursements(f) |
.49 | %^ | .47 | % | .48 | % | .49 | %^ | ||||||||
Expenses, before waivers/reimbursements(f) |
1.12 | %^ | 1.18 | % | 1.68 | % | 2.99 | %^ | ||||||||
Net investment income(c) |
1.92 | %^ | 2.52 | % | 2.13 | % | 3.31 | %^ | ||||||||
Portfolio turnover rate |
18 | % | 163 | %** | 336 | %** | 178 | %** | ||||||||
Portfolio turnover rate (including securities sold short) |
N/A | N/A | 336 | %** | 181 | %** |
See footnote summary on page 74.
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 73 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
(a) | Commencement of operations. |
(b) | Based on average shares outstanding. |
(c) | Net of expenses waived/reimbursed by the Adviser. |
(d) | Due to timing of sales and repurchase of capital shares, the net realized and unrealized gain (loss) per share is not in accordance with the Funds change in net realized and unrealized gain (loss) on investment transactions for the period. |
(e) | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Total return does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Total investment return calculated for a period of less than one year is not annualized. |
(f) | The expense ratios presented below exclude interest expense: |
Six Months 2022 |
Year Ended October 31, |
December 12 2019 |
||||||||||||||
2021 | 2020 | |||||||||||||||
|
|
|||||||||||||||
Class A |
| |||||||||||||||
Net of waivers/reimbursements |
.65 | %^ | .65 | % | .65 | % | .65 | %^ | ||||||||
Before waivers/reimbursements |
1.27 | %^ | 1.23 | % | 1.73 | % | 3.13 | %^ | ||||||||
Class C |
| |||||||||||||||
Net of waivers/reimbursements |
1.45 | %^ | 1.45 | % | 1.45 | % | 1.45 | %^ | ||||||||
Before waivers/reimbursements |
2.08 | %^ | 2.18 | % | 2.54 | % | 3.97 | %^ | ||||||||
Advisor Class |
| |||||||||||||||
Net of waivers/reimbursements |
.45 | %^ | .45 | % | .45 | % | .45 | %^ | ||||||||
Before waivers/reimbursements |
1.08 | %^ | 1.16 | % | 1.64 | % | 2.95 | %^ |
(g) | Amount is less than $.005. |
^ | Annualized. |
** | The Fund accounts for dollar roll transactions as purchases and sales. |
See notes to financial statements.
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BOARD OF DIRECTORS
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and Chief Executive Officer |
Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) | |
OFFICERS
Scott A. DiMaggio(2), Vice President Gershon M. Distenfeld(2), Vice President Fahd Malik(2), Vice President Matthew S. Sheridan(2), Vice President |
Emilie D. Wrapp, Secretary Michael B. Reyes, Senior Vice President Joseph J. Mantineo, Treasurer and Chief Financial Officer Phyllis J. Clarke, Controller |
Custodian and Accounting Agent State Street Bank and Trust Company State Street Corporation CCB/5 1 Iron Street Boston, MA 02210
Principal Underwriter AllianceBernstein Investments, Inc. 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 |
Independent Registered Public Ernst & Young LLP One Manhattan West New York, NY 10001
Legal Counsel Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
1 | Member of the Audit Committee, the Governance and Nominating Committee and the Independent Directors Committee. |
2 | The day-to-day management of, and investment decisions for, the Funds portfolio are made by the Advisers Short Duration Income Investment Team. Messrs. DiMaggio, Distenfeld, Malik and Sheridan are the investment professionals with the most significant responsibility for the day-to-day management of the Funds portfolio. |
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 75 |
Operation and Effectiveness of the Funds Liquidity Risk Management Program:
In October 2016, the Securities and Exchange Commission (SEC) adopted the open-end fund liquidity rule (the Liquidity Rule). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (LRMP) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Fund to designate an Administrator of the Funds Liquidity Risk Management Program. The Administrator of the Funds LRMP is AllianceBernstein L.P., the Funds 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 Funds Board of Trustees (the Fund Board) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the funds 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 LRMPs principal objectives include supporting the Funds compliance with limits on investments in illiquid assets and mitigating the risk that the Fund will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Fund classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Funds strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Fund participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Fund is required to maintain a Highly Liquid Investment Minimum (HLIM). The Committee also incorporated the following information when determining the Funds reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Funds 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 Funds LRMP is adequately designed, has been implemented as intended,
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and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, 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 Fund or its ability to timely meet redemptions during the Program Reporting Period.
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 77 |
Information Regarding the Review and Approval of the Funds Advisory Agreement
The disinterested directors (the directors) of AB Bond Fund, Inc. (the Company) unanimously approved the continuance of the Companys Advisory Agreement with the Adviser in respect of AB Short Duration Income Portfolio (the Fund) at a meeting held by video conference on November 2-4, 2021 (the Meeting).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Advisers integrity and competence they have gained from that experience, the Advisers initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Advisers willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund and the money market fund advised by the Adviser in which the Fund invests a portion of its assets.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business
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judgment. The material factors and conclusions that formed the basis for the directors determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Funds investment strategies and from time to time proposes changes intended to improve the Funds relative or absolute performance for the directors consideration. They also noted the professional experience and qualifications of the Funds portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. The Adviser had not requested any reimbursements from the Fund since the Funds inception. The quality of administrative and other services, including the Advisers role in coordinating the activities of the Funds other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2019 and 2020 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Advisers relationship with the Fund, including those relating to its subsidiaries that provide transfer agency and distribution services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Advisers relationship with the Fund before taxes and distribution expenses. The directors noted that the Fund was not profitable to the Adviser in the periods reviewed.
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 79 |
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the money market fund advised by the Adviser in which the Fund invests, including, but not limited to, benefits relating to 12b-1 fees and sales charges received by the Funds principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of the Funds shares; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Funds unprofitability to the Adviser would be exacerbated without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the 15(c) service provider), showing the performance of the Class A Shares of the Fund against a group of similar funds (peer group) and a larger group of similar funds (peer universe), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-year period ended July 31, 2021 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, the directors concluded that the Funds investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees payable by other funds. The directors compared the Funds contractual effective advisory fee rate with a peer group median.
The directors also considered the Advisers fee schedule for other clients utilizing investment strategies similar to those of the Fund. For this purpose, they reviewed the relevant advisory fee information from the Advisers Form ADV and in a report from the Funds Senior Analyst and noted the differences between the Funds fee schedule, on the one hand, and the Advisers institutional fee schedule and the schedule of fees charged by the Adviser to any offshore funds and for services to any sub-advised funds utilizing investment strategies similar to those of the
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Fund, on the other. The directors noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the directors and that they had previously discussed with the Adviser its policies in respect of such arrangements. The directors also compared the advisory fee rate for the Fund with that for another fund advised by the Adviser utilizing similar investment strategies.
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional, offshore fund and sub-advised fund clients. In this regard, the Adviser noted, among other things, that, compared to institutional and offshore or sub-advisory accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions and compliance obligations; (iii) must prepare and file or distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund shareholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the Adviser to institutional, offshore fund and sub-advised fund clients as compared to the Fund, and the different risk profile, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
The directors noted that the Fund may invest in shares of exchange-traded funds (ETFs), subject to the restrictions and limitations of the Investment Company Act of 1940 as these may be varied as a result of exemptive orders issued, and rules adopted, by the SEC. The directors also noted that ETFs pay advisory fees pursuant to their advisory contracts. The directors concluded, based on the Advisers explanation of how it uses ETFs when they are the most cost-effective way to obtain desired exposures, in some cases pending purchases of underlying securities, that the advisory fee for the Fund would be for services in addition to, rather than duplicative of, the services provided under the advisory contracts of the ETFs.
In connection with their review of the Funds advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Funds latest fiscal year and the directors considered the Advisers expense cap for the Fund. The directors noted that it was likely that the expense ratios of some of the other funds in the Funds category were
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 81 |
lowered by waivers or reimbursements by those funds investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Advisers services because the Adviser is responsible for coordinating services provided to the Fund by others. Based on their review, the directors concluded that the Funds expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedule for the Fund contains a breakpoint that reduces the fee rate on assets above a specified level. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a funds adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a funds operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Funds shareholders would benefit from a sharing of economies of scale in the event the Funds net assets exceed the breakpoint in the future.
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This page is not part of the Shareholder Report or the Financial Statements.
AB FAMILY OF FUNDS
US EQUITY
CORE
Core Opportunities Fund
Select US Equity Portfolio
Sustainable US Thematic Portfolio1
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
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 Funds 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 Funds 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 August 23, 2021, Sustainable US Thematic Portfolio was named FlexFee US Thematic Portfolio. Prior to December 1, 2021, Sustainable Thematic Balanced Portfolio was named Conservative Wealth Strategy. |
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 83 |
NOTES
84 | AB SHORT DURATION INCOME PORTFOLIO |
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AB SHORT DURATION INCOME PORTFOLIO
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
SDI-0152-0422
APR 04.30.22
SEMI-ANNUAL REPORT
AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO
As of January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, the Funds annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically requested paper copies of the reports. Instead, the reports are made available on a website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.
You may elect to receive all future reports in paper form free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call the Fund at (800) 221 5672. Your election to receive reports in paper form will apply to all funds held in your account with your financial intermediary or, if you invest directly, to all AB Mutual Funds you hold.
Investment Products Offered | Are Not FDIC Insured May Lose Value Are Not Bank Guaranteed |
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Funds prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Funds 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 ABs website at www.abfunds.com, or go to the Securities and Exchange Commissions (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 Funds Form N-PORT reports are available on the Commissions 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.
FROM THE PRESIDENT |
Dear Shareholder,
Were pleased to provide this report for the AB Sustainable Thematic Credit Portfolio (the Fund). Please review the discussion of Fund performance, the market conditions during the reporting period and the Funds investment strategy.
At AB, were striving to help our clients achieve better outcomes by:
+ | Fostering diverse perspectives that give us a distinctive approach to navigating global capital markets |
+ | Applying differentiated investment insights through a connected global research network |
+ | Embracing innovation to design better ways to invest and leading-edge mutual-fund solutions |
Whether youre an individual investor or a multibillion-dollar institution, were putting our knowledge and experience to work for you every day.
For more information about ABs comprehensive range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in AB mutual fundsand for placing your trust in our firm.
Sincerely,
Onur Erzan
President and Chief Executive Officer, AB Mutual Funds
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 1 |
SEMI-ANNUAL REPORT
June 6, 2022
This report provides managements discussion of fund performance for the AB Sustainable Thematic Credit Portfolio for the semi-annual reporting period ended April 30, 2022.
The Funds investment objective is to maximize total return through current income and long-term capital appreciation.
NAV RETURNS AS OF APRIL 30, 2022 (unaudited)
6 Months | Since Inception1 | |||||||
AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | ||||||||
Class A Shares | -13.57% | -11.84% | ||||||
Advisor Class Shares2 | -13.46% | -11.63% | ||||||
Bloomberg US Corporate Bond Index | -12.75% | -10.61% |
1 | Inception date: 5/10/2021. |
2 | Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
INVESTMENT RESULTS
The table above shows the Funds performance compared to its benchmark, the Bloomberg US Corporate Bond Index, for the six-month period ended April 30, 2022, and the period since the Funds inception on May 10, 2021, through April 30, 2022.
During both periods, all share classes underperformed the benchmark, before sales charges. In the six-month period, yield-curve positioning was the primary detractor, relative to the benchmark, as losses from overweights to the 10- and five-year parts of the curve were greater than gains from being underweight the two- and 20- to 30-year parts of the curve. Security selection also detracted, mostly from selection within US investment-grade corporate bonds. Sector allocation to high-yield corporate bonds in the US and emerging-market corporate bonds added more than a loss from exposure to investment-grade and high-yield corporate bonds in the eurozone. Country allocation to the eurozone also added during the period. Security selection within the Empowerment theme was the largest detractor from performance, driven by selection within the Information & Communication Technologies and Financial Security & Inclusion sub-themes. Security selection within the Health theme was also negative, led by the Medical Innovation sub-theme, while selection within the Food Security & Clean Water sub-theme was a small contributor. Within the Climate theme, the Funds allocation to green bonds had an
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overall positive impact on performance over the period; however, it was more than offset by negative security selection within the Sustainable Transportation sub-theme.
In the period since the Funds inception, yield-curve positioning in the eurozone was the main detractor, as losses from overweights on the 10- and five-year parts of the curve were partially offset by gains from underweights on the 20- to 30- and two-year parts of the curve. Security selection among investment-grade corporate bonds in the US also detracted from returns. Sector allocation hampered results, as losses from off-benchmark exposure to eurozone investment-grade and high-yield corporate bonds, as well as emerging-market corporate bonds, were only partially offset by a gain from off-benchmark exposure to high-yield corporate bonds in the US. Country allocation to the eurozone contributed to returns. Security selection within Empowerment was the biggest detractor, driven by selection in the Information & Communication Technologies and Financial Security & Inclusion sub-themes. Security selection within the Health theme was overall also negative, led by the Medical Innovation and Food Security & Clean Water sub-themes, which detracted. Finally, issuer and security selection in the Climate theme marginally detracted from performance, led by selection within the Sustainable Transportation and Resource Efficiency sub-themes; this was partially offset by selection within the Cleaner Energy sub-theme and within the green bond allocation.
The Fund utilized derivatives in the form of futures and currency forwards for hedging purposes, which had no material impact on absolute returns for either period.
MARKET REVIEW AND INVESTMENT STRATEGY
During the six-month period ended April 30, 2022, fixed-income government bond market yields spiked in most markets, which led bond prices to fall on inflation concerns in all regions. Inflation remained elevated and worsened when Russia invaded Ukraine, causing energy and agricultural prices to jump. Major central banks started the process of raising interest rates and ending bond purchases. Relative government bond returns were led by global inflation-linked bonds. Global investment-grade corporate bonds, which typically have longer maturities and are more sensitive to changes in yields than high-yield corporates, trailed global treasuries by a wide margin, except in the eurozone. High-yield corporate bonds also underperformed treasuries, but by a smaller margin. However, high-yield euro-denominated corporates outperformed eurozone treasuries during the period due to ongoing support from the European Central Bank. Emerging-market bonds underperformed the most as the US dollar advanced against most developed- and emerging-market currencies. Securitized assets also underperformed treasuries, but by a lesser extent than investment-grade corporates, given their lower sensitivity to yield changes. Brent crude oil prices rose sharply from supply concerns and increased demand.
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 3 |
The Funds Senior Investment Management Team (the Team) seeks to maximize total return through investments that benefit society and the environment. The Team employs top-down and bottom-up investment processes with the goal of identifying securities that fit into sustainable investment themes, such as health, climate and empowerment. The Teams approach to building a sustainable portfolio with attractive financial return potential has been to align with the United Nations Sustainable Development Goals (SDGs), which 193 nations have committed to advancing. The Team invests primarily in investment-grade corporate bonds from US issuers, but may also invest in non-US issuers and high-yield bonds.
INVESTMENT POLICIES
The Fund seeks to achieve its investment objective by investing primarily in fixed-income securities of corporate issuers whose business activities the Adviser believes position the issuer to benefit from certain sustainable investment themes that align with one or more of the United Nations SDGs. These themes principally include the advancement of health, climate, and empowerment. Under normal circumstances, at least 80% of the Funds net assets will be invested in fixed-income securities of corporate issuers that satisfy the Funds sustainability criteria. An issuer that derives at least 25% of its total revenues from activities consistent with the achievement of the SDGs meets such criteria, although many of the issuers in which the Fund invests will derive a much greater portion of their revenues from such activities.
The Adviser employs a combination of top-down and bottom-up investment processes with the goal of identifying, based on its internal research and analysis, securities and issuers that fit into sustainable investment themes. First, the Adviser identifies through its top-down process the sustainable investment themes. In addition to this top-down thematic approach, the Adviser then uses a bottom-up analysis of individual bond issues that focuses on the use of proceeds, issuer fundamentals and valuation and on evaluating an issuers risks, including those related to environmental, social and governance (ESG) factors. ESG factors, which can vary across companies and industries, may include environmental impact, corporate governance, ethical business practices, diversity and employee practices, product safety, supply chain management and community impact. Eligible investments include securities of issuers that the Adviser believes will maximize total return while also contributing to positive societal impact aligned with one or more SDGs. While the Adviser emphasizes focusing on individual issuers with favorable ESG attributes over the use of broad-based negative screens (e.g., disqualifying business activities) in
(continued on next page)
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assessing an issuers exposure to ESG factors, the Fund will not invest in companies that derive significant revenue from involvement in alcohol, gambling, adult entertainment, private prisons, tobacco or weapons. The Fund also typically invests in ESG bond structures, including Use of Proceeds bonds, which are instruments the proceeds of which are specifically earmarked for environmental, social or sustainability projects.
The Fund may invest up to 20% of its net assets in securities rated below investment grade (junk bonds). The Fund may invest up to 30% of its net assets in securities denominated in currencies other than the US dollar. Foreign investments may include securities issued by emerging-market companies and governments. The Adviser expects under normal circumstances to hedge the majority of the Funds foreign currency exposure through the use of currency-related derivatives, although it is not required to do so.
The Fund expects to use derivatives, such as options, futures contracts, forwards and swaps. Derivatives may provide a more efficient and economical exposure to market segments than direct investments, and may also be a more efficient way to alter the Funds exposure. The Fund may, for example, use interest rate futures contracts or swaps to manage the Funds average duration and may, as noted above, use currency-related derivatives to hedge foreign currency exposure. The Adviser may use derivatives to effectively leverage the Fund by creating aggregate market exposure significantly in excess of the Funds net assets. The Fund is non-diversified.
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DISCLOSURES AND RISKS
Benchmark Disclosure
The Bloomberg US Corporate Bond Index is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The Bloomberg US Corporate Bond Index measures the investment-grade, fixed-rate, taxable corporate bond market. It includes USD-denominated securities publicly issued by US and non-US industrial, utility and financial issuers. An investor cannot invest directly in an index or average, and their results are not indicative of the performance for any specific investment, including the Fund.
A Word About Risk
Market Risk: The value of the Funds assets will fluctuate as the stock, bond or currency markets fluctuate. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market.
ESG Risk: Applying ESG and sustainability criteria to the investment process may exclude securities of certain issuers for non-investment reasons and, therefore, the Fund may forgo some market opportunities available to funds that do not use ESG or sustainability criteria. Securities of companies with ESG practices may shift into and out of favor depending on market and economic conditions, and the Funds performance may at times be better or worse than the performance of funds that do not use ESG or sustainability criteria. Furthermore, sustainability is not a uniformly defined characteristic, and the Funds sustainability criteria may differ from those used by other funds. In addition, in evaluating an investment, the investment adviser is dependent upon information and data that may be incomplete, inaccurate or unavailable, which could adversely affect the analysis of the ESG factors relevant to a particular investment.
Interest-Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for
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DISCLOSURES AND RISKS (continued)
a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
Below Investment-Grade Securities Risk: Investments in fixed-income securities with lower ratings (commonly known as junk bonds) tend to have a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to factors such as specific corporate developments, interest-rate sensitivity and negative perceptions of the junk bond market generally, and may be more difficult to trade than other types of securities.
Duration Risk: Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Funds assets can decline as can the value of the Funds distributions. This risk is significantly greater for fixed-income securities with longer maturities. The Fund invests in inflation-indexed securities, the value of which may be vulnerable to changes in expectations of inflation or interest rates.
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging-Market Risk: Investments in emerging-market countries may have more risk because the markets are less developed and less liquid and are subject to increased economic, political, regulatory or other uncertainties.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Funds investments or reduce its returns. Emerging-market currencies may be more volatile and less liquid, and subject to significantly greater risk of currency controls and convertibility restrictions, than currencies of developed countries.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 7 |
DISCLOSURES AND RISKS (continued)
party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Fund.
Leverage Risk: To the extent the Fund uses leveraging techniques, its net asset value (NAV) may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Funds investments.
Illiquid Investments Risk: Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest-rate environment, when the value and liquidity of fixed-income securities generally decline.
Non-Diversification Risk: The Fund may have more risk because it is non-diversified, meaning that it can invest more of its assets in a smaller number of issuers. Accordingly, changes in the value of a single security may have a more significant effect, either negative or positive, on the Funds NAV.
Active Trading Risk: The Fund expects to engage in active and frequent trading of its portfolio securities and its portfolio turnover rate may greatly exceed 100%. A higher rate of portfolio turnover increases transaction costs, which may negatively affect the Funds return. In addition, a high rate of portfolio turnover may result in substantial short-term gains, which may have adverse tax consequences for Fund shareholders.
Management Risk: The Fund is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Funds prospectus. As with all investments, you may lose money by investing in the Fund.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Fund will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future
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DISCLOSURES AND RISKS (continued)
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. The Fund has been in operation only for a short period of time, and therefore has a very limited historical performance period. This limited performance period is unlikely to be representative of the performance the Fund will achieve over a longer period.
All fees and expenses related to the operation of the Fund have been deducted. NAV returns do not reflect sales charges; if sales charges were reflected, the Funds 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. 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.
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 9 |
HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF APRIL 30, 2022 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) |
SEC Yields1 |
||||||||||
CLASS A SHARES | 3.21% | |||||||||||
Since Inception2 | -11.84% | -15.56% | ||||||||||
ADVISOR CLASS SHARES3 | 3.60% | |||||||||||
Since Inception2 | -11.63% | -11.63% |
The Funds current prospectus fee table shows the Funds total annual operating expense ratios as 1.14% and 0.93% for Class A and Advisor Class shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limited the Funds total annual operating expense ratios, exclusive of expenses associated with acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest, interest expense and extraordinary expenses, to 0.85% and 0.60% for Class A and Advisor Class shares, respectively. These waivers/reimbursements may not be terminated before January 31, 2023. Any fees waived and expenses borne by the Adviser may be reimbursed by the Fund until the end of the third fiscal year after the fiscal period in which the fee was waived or the expense was borne, provided that no reimbursement payment will be made that would cause the Funds covered operating expenses to exceed the applicable expense limitations. Absent reimbursements or waivers, performance would have been lower. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
1 | SEC yields are calculated based on SEC guidelines for the 30-day period ended April 30, 2022. |
2 | Inception date: 5/10/2021. |
3 | This share class is offered at NAV to eligible investors and the SEC returns are the same as the NAV returns. Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of and certain other persons associated with, the Adviser and its affiliates or the Fund. |
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HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2022 (unaudited)
SEC Returns (reflects applicable sales charges) |
||||
CLASS A SHARES | ||||
Since Inception1 | -10.35% | |||
ADVISOR CLASS SHARES2 | ||||
Since Inception1 | -6.20% |
1 | Inception date: 5/10/2021. |
2 | Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of and certain other persons associated with, the Adviser and its affiliates or the Fund. |
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EXPENSE EXAMPLE
(unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 11/1/2021 |
Ending Account Value 4/30/2022 |
Expenses Paid During Period* |
Annualized Expense Ratio* |
|||||||||||||
Class A | ||||||||||||||||
Actual |
$ | 1,000 | $ | 864.30 | $ | 3.93 | 0.85 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,020.58 | $ | 4.26 | 0.85 | % | ||||||||
Advisor Class | ||||||||||||||||
Actual |
$ | 1,000 | $ | 865.40 | $ | 2.78 | 0.60 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,021.82 | $ | 3.01 | 0.60 | % |
* | Expenses are equal to the classes annualized expense ratios multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
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PORTFOLIO SUMMARY
April 30, 2022 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $183.4
1 | All data are as of April 30, 2022. The Funds security type breakdown is expressed as a percentage of total investments and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see Portfolio of Investments section of the report for additional details). |
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PORTFOLIO SUMMARY (continued)
April 30, 2022 (unaudited)
1 | All data are as of April 30, 2022. The Funds country breakdown is expressed as a percentage of total investments and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see Portfolio of Investments section of the report for additional details). Other country weightings represent 0.6% or less in the following: Belgium, China, Denmark, India, Ireland, Peru, South Korea, Supranational, Sweden and United Arab Emirates. |
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PORTFOLIO OF INVESTMENTS
April 30, 2022 (unaudited)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
CORPORATES - INVESTMENT GRADE 88.8% |
||||||||||||
Industrial 46.3% |
||||||||||||
Basic 1.9% |
||||||||||||
Arkema SA |
EUR | 200 | $ | 198,352 | ||||||||
Ecolab, Inc. |
U.S.$ | 525 | 387,139 | |||||||||
Inversiones CMPC SA
|
905 | 832,204 | ||||||||||
Packaging Corp. of America |
300 | 269,429 | ||||||||||
Sealed Air Corp.
|
1,485 | 1,306,404 | ||||||||||
Suzano Austria GmbH |
490 | 425,197 | ||||||||||
|
|
|||||||||||
3,418,725 | ||||||||||||
|
|
|||||||||||
Capital Goods 5.4% |
||||||||||||
CNH Industrial Capital LLC |
1,605 | 1,445,394 | ||||||||||
Emerson Electric Co. |
780 | 782,710 | ||||||||||
3.15%, 06/01/2025 |
715 | 710,896 | ||||||||||
Parker-Hannifin Corp. |
1,305 | 1,246,131 | ||||||||||
Republic Services, Inc. |
1,275 | 1,023,734 | ||||||||||
Siemens Financieringsmaatschappij NV |
960 | 875,962 | ||||||||||
Trane Technologies Global Holding Co., Ltd. |
495 | 544,084 | ||||||||||
Trane Technologies Luxembourg Finance SA |
405 | 399,365 | ||||||||||
Waste Management, Inc. |
470 | 381,336 | ||||||||||
2.95%, 06/01/2041 |
710 | 580,081 | ||||||||||
4.15%, 04/15/2032 |
370 | 368,489 | ||||||||||
Xylem, Inc./NY |
1,725 | 1,556,550 | ||||||||||
|
|
|||||||||||
9,914,732 | ||||||||||||
|
|
|||||||||||
Communications - Media 1.1% |
||||||||||||
Charter Communications Operating LLC/Charter Communications Operating
Capital |
450 | 383,540 | ||||||||||
4.40%, 04/01/2033 |
390 | 356,092 | ||||||||||
6.834%, 10/23/2055 |
630 | 664,473 |
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 15 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Thomson Reuters Corp. |
U.S.$ | 570 | $ | 607,558 | ||||||||
|
|
|||||||||||
2,011,663 | ||||||||||||
|
|
|||||||||||
Communications - Telecommunications 5.1% |
||||||||||||
AT&T, Inc. |
397 | 365,919 | ||||||||||
5.15%, 03/15/2042 |
174 | 178,088 | ||||||||||
British Telecommunications PLC |
760 | 976,364 | ||||||||||
Corning, Inc. |
62 | 60,870 | ||||||||||
5.35%, 11/15/2048 |
820 | 883,458 | ||||||||||
5.45%, 11/15/2079 |
280 | 274,957 | ||||||||||
Rogers Communications,
Inc. |
495 | 456,589 | ||||||||||
4.35%, 05/01/2049 |
790 | 696,504 | ||||||||||
4.50%, 03/15/2043 |
300 | 274,325 | ||||||||||
T-Mobile USA, Inc. |
1,765 | 1,499,923 | ||||||||||
3.60%, 11/15/2060 |
445 | 332,785 | ||||||||||
Telefonica Emisiones SA |
290 | 267,636 | ||||||||||
TELUS Corp. |
390 | 357,603 | ||||||||||
Verizon Communications, Inc. |
1,135 | 888,163 | ||||||||||
3.875%, 02/08/2029 |
835 | 825,620 | ||||||||||
Vodafone Group PLC |
930 | 810,939 | ||||||||||
5.125%, 06/19/2059 |
265 | 257,451 | ||||||||||
|
|
|||||||||||
9,407,194 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Automotive 2.2% |
||||||||||||
Aptiv PLC |
180 | 155,415 | ||||||||||
General Motors Co. |
260 | 258,021 | ||||||||||
5.95%, 04/01/2049 |
395 | 395,611 | ||||||||||
General Motors Financial Co., Inc. |
365 | 300,765 | ||||||||||
3.10%, 01/12/2032 |
970 | 818,465 | ||||||||||
3.60%, 06/21/2030 |
721 | 648,468 | ||||||||||
3.85%, 01/05/2028 |
435 | 412,088 | ||||||||||
Lear Corp. |
1,165 | 960,511 |
16 | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Mercedes-Benz Group AG |
EUR | 160 | $ | 152,863 | ||||||||
|
|
|||||||||||
4,102,207 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Other 1.7% |
||||||||||||
DR Horton, Inc. |
U.S.$ | 1,355 | 1,320,279 | |||||||||
Owens Corning |
1,390 | 1,345,527 | ||||||||||
PulteGroup, Inc. |
410 | 427,717 | ||||||||||
|
|
|||||||||||
3,093,523 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Retailers 1.4% |
||||||||||||
Home Depot, Inc. (The) |
1,425 | 1,251,848 | ||||||||||
Lowes Cos., Inc. |
665 | 556,132 | ||||||||||
5.50%, 10/15/2035 |
660 | 711,779 | ||||||||||
|
|
|||||||||||
2,519,759 | ||||||||||||
|
|
|||||||||||
Consumer Non-Cyclical 14.0% |
||||||||||||
Abbott Laboratories |
1,065 | 1,144,318 | ||||||||||
AbbVie, Inc. |
1,275 | 1,280,227 | ||||||||||
Amgen, Inc. |
552 | 517,809 | ||||||||||
4.40%, 05/01/2045 |
805 | 749,434 | ||||||||||
AstraZeneca PLC |
445 | 550,580 | ||||||||||
Baxter International, Inc. |
1,405 | 1,156,404 | ||||||||||
Becton Dickinson and Co. |
1,130 | 1,010,924 | ||||||||||
Biogen, Inc. |
1,485 | 1,240,529 | ||||||||||
3.15%, 05/01/2050 |
150 | 104,809 | ||||||||||
Bristol-Myers Squibb Co. |
725 | 696,192 | ||||||||||
Cigna Corp. |
410 | 350,966 | ||||||||||
3.05%, 10/15/2027 |
820 | 784,055 | ||||||||||
4.80%, 08/15/2038 |
600 | 598,306 | ||||||||||
4.90%, 12/15/2048 |
260 | 258,079 | ||||||||||
CVS Health Corp. |
900 | 890,504 | ||||||||||
4.875%, 07/20/2035 |
1,305 | 1,329,669 |
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 17 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Danaher Corp. |
U.S.$ | 225 | $ | 160,106 | ||||||||
4.375%, 09/15/2045 |
610 | 576,845 | ||||||||||
Eli Lilly & Co. |
EUR | 1,200 | 1,069,875 | |||||||||
Fresenius Medical Care US Finance III, Inc. |
U.S.$ | 945 | 793,737 | |||||||||
Gilead Sciences, Inc. |
1,545 | 1,537,368 | ||||||||||
GlaxoSmithKline Capital, Inc. |
165 | 161,804 | ||||||||||
HCA, Inc. |
425 | 314,997 | ||||||||||
5.50%, 06/15/2047 |
735 | 723,050 | ||||||||||
Kaiser Foundation Hospitals |
200 | 159,987 | ||||||||||
Koninklijke Philips NV |
725 | 736,617 | ||||||||||
Merck & Co., Inc. |
1,800 | 1,624,088 | ||||||||||
Pfizer, Inc. |
695 | 585,243 | ||||||||||
4.125%, 12/15/2046 |
775 | 767,047 | ||||||||||
Roche Holdings, Inc.
|
1,970 | 1,907,930 | ||||||||||
Takeda Pharmaceutical Co., Ltd. |
340 | 261,003 | ||||||||||
Thermo Fisher Scientific, Inc. |
1,275 | 1,019,858 | ||||||||||
Zoetis, Inc. |
755 | 650,025 | ||||||||||
|
|
|||||||||||
25,712,385 | ||||||||||||
|
|
|||||||||||
Energy 0.4% |
| |||||||||||
Sweihan PV Power Co. PJSC
|
965 | 838,344 | ||||||||||
|
|
|||||||||||
Services 3.7% |
| |||||||||||
Global Payments, Inc. |
1,970 | 1,788,532 | ||||||||||
Mastercard, Inc. |
2,565 | 2,411,922 | ||||||||||
Moodys Corp. |
1,125 | 710,902 | ||||||||||
2.75%, 08/19/2041 |
359 | 275,620 | ||||||||||
PayPal Holdings, Inc. |
900 | 714,725 |
18 | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
S&P Global,
Inc. |
U.S.$ | 863 | $ | 780,342 | ||||||||
4.25%, 05/01/2029(a) |
58 | 58,349 | ||||||||||
|
|
|||||||||||
6,740,392 | ||||||||||||
|
|
|||||||||||
Technology 9.4% |
||||||||||||
Autodesk, Inc. |
1,570 | 1,313,941 | ||||||||||
Broadridge Financial Solutions, Inc. |
1,460 | 1,249,313 | ||||||||||
CDW LLC/CDW Finance Corp. |
1,545 | 1,521,636 | ||||||||||
Cisco Systems, Inc. |
1,075 | 1,234,417 | ||||||||||
5.90%, 02/15/2039 |
50 | 59,588 | ||||||||||
Entegris Escrow Corp.
|
390 | 375,333 | ||||||||||
Intel Corp. |
1,580 | 1,171,999 | ||||||||||
International Business Machines Corp. |
625 | 571,962 | ||||||||||
4.25%, 05/15/2049 |
200 | 187,547 | ||||||||||
Jabil, Inc. |
370 | 366,547 | ||||||||||
KLA Corp. |
640 | 690,333 | ||||||||||
Lam Research Corp. |
1,220 | 944,084 | ||||||||||
3.125%, 06/15/2060 |
480 | 372,857 | ||||||||||
Micron Technology, Inc. |
1,610 | 1,341,199 | ||||||||||
NXP BV/NXP Funding LLC/NXP USA,
Inc. |
515 | 485,645 | ||||||||||
3.25%, 05/11/2041(a) |
705 | 553,721 | ||||||||||
Oracle Corp. |
480 | 370,823 | ||||||||||
QUALCOMM, Inc. |
1,465 | 1,522,393 | ||||||||||
Salesforce.com, Inc. |
642 | 500,099 | ||||||||||
Skyworks Solutions, Inc. |
1,785 | 1,486,543 | ||||||||||
Western Digital Corp. |
131 | 115,467 | ||||||||||
3.10%, 02/01/2032 |
720 | 601,384 | ||||||||||
Workday, Inc. |
56 | 53,621 |
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 19 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
3.80%, 04/01/2032 |
U.S.$ | 146 | $ | 138,162 | ||||||||
|
|
|||||||||||
17,228,614 | ||||||||||||
|
|
|||||||||||
84,987,538 | ||||||||||||
|
|
|||||||||||
Financial Institutions 34.8% |
||||||||||||
Banking 23.5% |
||||||||||||
ABN AMRO Bank NV |
1,800 | 1,587,316 | ||||||||||
4.80%, 04/18/2026(a) |
600 | 603,152 | ||||||||||
AIB Group PLC |
570 | 565,486 | ||||||||||
Banco Santander SA |
1,000 | 824,460 | ||||||||||
4.175%, 03/24/2028 |
400 | 388,585 | ||||||||||
4.25%, 04/11/2027 |
400 | 393,728 | ||||||||||
5.179%, 11/19/2025 |
600 | 612,808 | ||||||||||
Bank of America Corp. |
535 | 515,460 | ||||||||||
2.572%, 10/20/2032 |
325 | 274,552 | ||||||||||
2.884%, 10/22/2030 |
470 | 419,490 | ||||||||||
3.194%, 07/23/2030 |
190 | 173,676 | ||||||||||
3.384%, 04/02/2026 |
385 | 376,714 | ||||||||||
3.846%, 03/08/2037 |
985 | 878,509 | ||||||||||
4.078%, 04/23/2040 |
835 | 768,231 | ||||||||||
4.376%, 04/27/2028 |
375 | 374,404 | ||||||||||
Series JJ |
425 | 415,195 | ||||||||||
Series Z |
45 | 46,127 | ||||||||||
BNP Paribas SA |
1,475 | 1,258,797 | ||||||||||
2.871%, 04/19/2032(a) |
200 | 170,274 | ||||||||||
6.625%, 03/25/2024(a)(b) |
200 | 201,380 | ||||||||||
7.375%, 08/19/2025(a)(b) |
470 | 488,702 | ||||||||||
BPCE SA |
480 | 429,670 | ||||||||||
4.625%, 07/11/2024(a) |
855 | 860,180 | ||||||||||
5.15%, 07/21/2024(a) |
375 | 381,265 | ||||||||||
Citigroup, Inc. |
960 | 907,773 | ||||||||||
2.904%, 11/03/2042 |
1,005 | 765,830 | ||||||||||
3.29%, 03/17/2026 |
780 | 761,050 | ||||||||||
5.316%, 03/26/2041 |
410 | 434,357 | ||||||||||
Series Y |
887 | 793,955 | ||||||||||
Cooperatieve Rabobank UA |
1,160 | 1,127,805 |
20 | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
4.00%, 04/10/2029(a) |
U.S.$ | 800 | $ | 794,810 | ||||||
4.375%, 06/29/2027(a)(b) |
EUR | 200 | 202,784 | |||||||
Credit Agricole SA |
200 | 186,488 | ||||||||
1.247%, 01/26/2027(a) |
U.S.$ | 1,285 | 1,141,977 | |||||||
Deutsche Bank AG/New York NY |
877 | 778,319 | ||||||||
3.742%, 01/07/2033 |
920 | 748,820 | ||||||||
Goldman Sachs Group, Inc. (The) |
805 | 722,815 | ||||||||
2.615%, 04/22/2032 |
410 | 347,143 | ||||||||
3.691%, 06/05/2028 |
500 | 479,516 | ||||||||
4.223%, 05/01/2029 |
350 | 342,384 | ||||||||
4.411%, 04/23/2039 |
465 | 444,392 | ||||||||
5.95%, 01/15/2027 |
230 | 244,205 | ||||||||
ING Groep NV |
950 | 868,894 | ||||||||
2.727%, 04/01/2032 |
540 | 461,686 | ||||||||
6.50%, 04/16/2025(b) |
680 | 680,000 | ||||||||
Intesa Sanpaolo
SpA |
460 | 439,449 | ||||||||
Series XR |
1,170 | 1,079,039 | ||||||||
KBC Group NV |
EUR | 800 | 789,582 | |||||||
Lloyds Banking Group PLC |
U.S.$ | 310 | 295,068 | |||||||
4.65%, 03/24/2026 |
630 | 630,142 | ||||||||
Mitsubishi UFJ Financial Group, Inc. |
EUR | 200 | 191,584 | |||||||
4.08%, 04/19/2028 |
U.S.$ | 380 | 375,540 | |||||||
Morgan Stanley |
907 | 834,902 | ||||||||
3.62%, 04/17/2025 |
560 | 556,944 | ||||||||
Series GMTN |
495 | 495,670 | ||||||||
Series I |
835 | 775,205 | ||||||||
Nationwide Building Society
|
1,065 | 989,072 | ||||||||
Natwest Group PLC |
935 | 923,564 | ||||||||
Santander Holdings USA, Inc. |
1,190 | 1,200,482 | ||||||||
Santander UK Group Holdings PLC |
886 | 800,616 |
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 21 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Shinhan Bank Co., Ltd.
|
U.S.$ | 385 | $ | 377,570 | ||||||||
Societe Generale
SA |
960 | 868,535 | ||||||||||
2.889%, 06/09/2032(a) |
1,480 | 1,225,506 | ||||||||||
Standard Chartered
PLC |
955 | 904,833 | ||||||||||
2.608%, 01/12/2028(a) |
920 | 835,394 | ||||||||||
Sumitomo Mitsui Financial Group, Inc. |
920 | 816,427 | ||||||||||
Svenska Handelsbanken AB
|
1,000 | 929,697 | ||||||||||
UniCredit SpA |
621 | 549,573 | ||||||||||
|
|
|||||||||||
43,127,558 | ||||||||||||
|
|
|||||||||||
Insurance 4.4% |
||||||||||||
Allianz SE |
1,400 | 1,144,409 | ||||||||||
Assicurazioni Generali
SpA |
EUR | 545 | 513,247 | |||||||||
2.429%, 07/14/2031(a) |
470 | 443,944 | ||||||||||
Centene Corp. |
U.S.$ | 1,295 | 1,076,160 | |||||||||
2.625%, 08/01/2031 |
708 | 590,522 | ||||||||||
Humana, Inc. |
635 | 523,070 | ||||||||||
4.50%, 04/01/2025 |
660 | 673,243 | ||||||||||
Prudential Financial, Inc. |
1,150 | 1,131,446 | ||||||||||
Voya Financial, Inc. |
1,768 | 1,760,102 | ||||||||||
Zurich Finance Ireland Designated Activity Co. |
200 | 169,377 | ||||||||||
|
|
|||||||||||
8,025,520 | ||||||||||||
|
|
|||||||||||
REITs 6.9% |
||||||||||||
Alexandria Real Estate Equities, Inc. |
385 | 315,001 | ||||||||||
2.95%, 03/15/2034 |
1,158 | 1,002,132 | ||||||||||
American Homes 4 Rent LP |
845 | 630,426 | ||||||||||
American Tower Corp. |
475 | 325,607 | ||||||||||
3.70%, 10/15/2049 |
510 | 395,120 | ||||||||||
3.80%, 08/15/2029 |
285 | 266,786 | ||||||||||
Boston Properties LP |
1,400 | 1,409,729 |
22 | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Digital Dutch Finco BV
|
EUR | 800 | $ | 667,392 | ||||||||
Equinix, Inc. |
U.S.$ | 385 | 361,214 | |||||||||
Healthcare Trust of America Holdings LP |
1,325 | 1,191,025 | ||||||||||
Healthpeak Properties, Inc. |
677 | 607,569 | ||||||||||
3.50%, 07/15/2029 |
860 | 820,401 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp. |
1,445 | 1,386,423 | ||||||||||
Omega Healthcare Investors, Inc. |
765 | 609,020 | ||||||||||
Prologis LP |
1,155 | 936,020 | ||||||||||
3.00%, 04/15/2050 |
240 | 192,290 | ||||||||||
SITE Centers Corp. |
453 | 451,173 | ||||||||||
Welltower, Inc. |
765 | 784,841 | ||||||||||
Weyerhaeuser Co. |
390 | 352,213 | ||||||||||
7.375%, 03/15/2032 |
22 | 26,416 | ||||||||||
|
|
|||||||||||
12,730,798 | ||||||||||||
|
|
|||||||||||
63,883,876 | ||||||||||||
|
|
|||||||||||
Utility 7.7% |
||||||||||||
Electric 7.3% |
||||||||||||
Avangrid, Inc. |
1,515 | 1,490,497 | ||||||||||
Commonwealth Edison Co. |
205 | 160,694 | ||||||||||
Consolidated Edison Co. of New York, Inc. |
855 | 805,461 | ||||||||||
Series 05-A |
225 | 236,524 | ||||||||||
Series A |
155 | 141,998 | ||||||||||
Consorcio Transmantaro SA
|
890 | 832,873 | ||||||||||
EDP Finance BV |
2,720 | 2,347,290 | ||||||||||
Enel Finance International
NV |
1,270 | 1,057,226 | ||||||||||
6.80%, 09/15/2037(a) |
280 | 333,962 | ||||||||||
Engie SA |
EUR | 200 | 209,935 |
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 23 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Florida Power & Light Co. |
U.S.$ | 85 | $ | 82,238 | ||||||||
5.69%, 03/01/2040 |
160 | 182,944 | ||||||||||
Iberdrola International BV |
EUR | 1,100 | 981,968 | |||||||||
NextEra Energy Capital Holdings, Inc. |
U.S.$ | 897 | 791,780 | |||||||||
2.25%, 06/01/2030 |
440 | 377,119 | ||||||||||
Niagara Mohawk Power Corp.
|
1,090 | 916,196 | ||||||||||
Orsted AS |
EUR | 600 | 623,881 | |||||||||
Public Service Electric and Gas Co. |
U.S.$ | 743 | 692,528 | |||||||||
San Diego Gas & Electric Co. |
1,275 | 990,734 | ||||||||||
|
|
|||||||||||
13,255,848 | ||||||||||||
|
|
|||||||||||
Other Utility 0.4% |
| |||||||||||
American Water Capital Corp. |
735 | 597,932 | ||||||||||
3.45%, 05/01/2050 |
195 | 163,460 | ||||||||||
|
|
|||||||||||
761,392 | ||||||||||||
|
|
|||||||||||
14,017,240 | ||||||||||||
|
|
|||||||||||
Total Corporates - Investment Grade |
162,888,654 | |||||||||||
|
|
|||||||||||
CORPORATES - NON-INVESTMENT GRADE 5.1% |
||||||||||||
Industrial 3.9% |
||||||||||||
Capital Goods 0.6% |
||||||||||||
Clean Harbors, Inc.
|
95 | 93,786 | ||||||||||
GFL Environmental,
Inc. |
251 | 222,687 | ||||||||||
5.125%, 12/15/2026(a) |
445 | 437,512 | ||||||||||
Paprec Holding |
EUR | 435 | 425,754 | |||||||||
|
|
|||||||||||
1,179,739 | ||||||||||||
|
|
|||||||||||
Communications - Media 0.4% |
||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
U.S.$ | 889 | 769,746 | |||||||||
|
|
24 | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Communications - Telecommunications 0.9% |
||||||||||||
Sprint Capital Corp. |
U.S.$ | 1,070 | $ | 1,359,955 | ||||||||
Telefonica Europe BV
|
EUR | 300 | 260,616 | |||||||||
|
|
|||||||||||
1,620,571 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Automotive 1.2% |
||||||||||||
Dana, Inc. |
U.S.$ | 935 | 803,580 | |||||||||
Faurecia SE |
EUR | 775 | 658,448 | |||||||||
Ford Motor Co. |
U.S.$ | 871 | 707,232 | |||||||||
|
|
|||||||||||
2,169,260 | ||||||||||||
|
|
|||||||||||
Consumer Non-Cyclical 0.7% |
||||||||||||
Emergent BioSolutions, Inc.
|
985 | 835,892 | ||||||||||
US Acute Care Solutions LLC
|
455 | 443,018 | ||||||||||
|
|
|||||||||||
1,278,910 | ||||||||||||
|
|
|||||||||||
Services 0.1% |
||||||||||||
Block, Inc. |
200 | 167,438 | ||||||||||
|
|
|||||||||||
7,185,664 | ||||||||||||
|
|
|||||||||||
Financial Institutions 1.2% |
||||||||||||
Banking 1.2% |
||||||||||||
American Express Co. |
192 | 190,339 | ||||||||||
Banco Santander SA
|
600 | 606,110 | ||||||||||
Intesa Sanpaolo SpA
|
730 | 718,528 | ||||||||||
Societe Generale SA
|
645 | 670,528 | ||||||||||
|
|
|||||||||||
2,185,505 | ||||||||||||
|
|
|||||||||||
Total Corporates - Non-Investment Grade |
9,371,169 | |||||||||||
|
|
|||||||||||
EMERGING MARKETS - CORPORATE BONDS 1.9% |
||||||||||||
Industrial 1.7% |
||||||||||||
Basic 0.9% |
||||||||||||
Klabin Austria GmbH
|
2,040 | 1,626,900 | ||||||||||
|
|
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 25 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Energy 0.3% |
||||||||||||
ReNew Power Pvt Ltd.
|
U.S.$ | 530 | $ | 496,875 | ||||||||
|
|
|||||||||||
Services 0.5% |
| |||||||||||
MercadoLibre, Inc. |
990 | 804,870 | ||||||||||
StoneCo Ltd. |
226 | 186,351 | ||||||||||
|
|
|||||||||||
991,221 | ||||||||||||
|
|
|||||||||||
3,114,996 | ||||||||||||
|
|
|||||||||||
Financial Institutions 0.2% |
||||||||||||
Banking 0.2% |
||||||||||||
Itau Unibanco Holding SA/Cayman Island |
480 | 430,056 | ||||||||||
|
|
|||||||||||
Total Emerging Markets - Corporate Bonds |
3,545,052 | |||||||||||
|
|
|||||||||||
SUPRANATIONALS 0.5% |
||||||||||||
International Bank for Reconstruction & Development |
970 | 875,463 | ||||||||||
|
|
|||||||||||
GOVERNMENTS - SOVEREIGN BONDS 0.2% |
||||||||||||
Chile 0.2% |
||||||||||||
Chile Government International Bond |
400 | 366,200 | ||||||||||
|
|
|||||||||||
LOCAL GOVERNMENTS - US MUNICIPAL BONDS 0.1% |
||||||||||||
United States 0.1% |
||||||||||||
Metropolitan Transportation Authority |
65 | 69,722 | ||||||||||
|
|
|||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS 2.2% |
||||||||||||
Investment Companies 2.1% |
||||||||||||
AB Fixed Income Shares, Inc. Government Money Market Portfolio Class AB, |
3,838,496 | 3,838,496 | ||||||||||
|
|
26 | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Time Deposits 0.1% |
||||||||||||
Citibank, London |
EUR | 232 | $ | 244,817 | ||||||||
|
|
|||||||||||
Total Short-Term Investments |
4,083,313 | |||||||||||
|
|
|||||||||||
Total Investments 98.8% |
181,199,573 | |||||||||||
Other assets less liabilities 1.2% |
2,219,845 | |||||||||||
|
|
|||||||||||
Net Assets 100.0% |
$ | 183,419,418 | ||||||||||
|
|
FUTURES (see Note D)
Description | Number of Contracts |
Expiration Month |
Current Notional |
Value and Unrealized Appreciation/ (Depreciation) |
||||||||||||
Purchased Contracts |
| |||||||||||||||
Euro-BOBL Futures |
3 | June 2022 | $ | 402,506 | $ | (17,185 | ) | |||||||||
U.S. Long Bond (CBT) Futures |
7 | June 2022 | 984,813 | (107,844 | ) | |||||||||||
U.S. T-Note 5 Yr (CBT) Futures |
81 | June 2022 | 9,126,422 | (354,656 | ) | |||||||||||
U.S. Ultra Bond (CBT) Futures |
45 | June 2022 | 7,219,688 | (824,148 | ) | |||||||||||
Sold Contracts | ||||||||||||||||
Euro-Bund Futures |
2 | June 2022 | 324,060 | 19,379 | ||||||||||||
Euro-Schatz Futures |
13 | June 2022 | 1,510,567 | 12,665 | ||||||||||||
U.S. 10 Yr Ultra Futures |
56 | June 2022 | 7,224,000 | 368,516 | ||||||||||||
U.S. T-Note 2 Yr (CBT) Futures |
14 | June 2022 | 2,951,375 | 47,203 | ||||||||||||
U.S. T-Note 10 Yr (CBT) Futures |
24 | June 2022 | 2,859,750 | 173,625 | ||||||||||||
|
|
|||||||||||||||
$ | (682,445 | ) | ||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
Counterparty | Contracts to Deliver (000) |
In Exchange For (000) |
Settlement Date |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Citibank, NA |
USD | 270 | EUR | 248 | 05/12/2022 | $ | (8,739 | ) | ||||||||||||||||
Morgan Stanley Capital Services LLC |
EUR | 8,605 | USD | 9,848 | 05/12/2022 | 767,176 | ||||||||||||||||||
UBS AG |
USD | 585 | EUR | 510 | 05/12/2022 | (46,193 | ) | |||||||||||||||||
|
|
|||||||||||||||||||||||
$ | 712,244 | |||||||||||||||||||||||
|
|
(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 April 30, 2022, the aggregate market value of these securities amounted to $48,716,410 or 26.6% of net assets. |
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 27 |
PORTFOLIO OF INVESTMENTS (continued)
(b) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(c) | To obtain a copy of the funds shareholder report, please go to the Securities and Exchange Commissions website at www.sec.gov, or call AB at (800) 227-4618. |
(d) | Affiliated investments. |
(e) | The rate shown represents the 7-day yield as of period end. |
Currency Abbreviations:
EUR Euro
USD United States Dollar
Glossary:
BOBL Bundesobligationen
CBT Chicago Board of Trade
PJSC Public Joint Stock Company
REIT Real Estate Investment Trust
See notes to financial statements.
28 | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO |
abfunds.com |
STATEMENT OF ASSETS & LIABILITIES
April 30, 2022 (unaudited)
Assets | ||||
Investments in securities, at value |
$ | 177,361,077 | ||
Affiliated issuers (cost $3,838,496) |
3,838,496 | |||
Cash collateral due from broker |
301,671 | |||
Unaffiliated interest receivable |
1,671,679 | |||
Unrealized appreciation on forward currency exchange contracts |
767,176 | |||
Receivable for capital stock sold |
650,932 | |||
Receivable for investment securities sold |
418,077 | |||
Deferred offering cost |
3,165 | |||
Affiliated dividends receivable |
518 | |||
|
|
|||
Total assets |
185,012,791 | |||
|
|
|||
Liabilities | ||||
Due to Custodian (includes foreign currency overdraft of $3,696 with a cost of $3,874) |
3,697 | |||
Payable for investment securities purchased |
929,539 | |||
Payable for capital stock redeemed |
363,317 | |||
Dividends payable |
64,957 | |||
Advisory fee payable |
59,994 | |||
Unrealized depreciation on forward currency exchange contracts |
54,932 | |||
Payable for variation margin on futures |
43,028 | |||
Offering expenses payable |
6,000 | |||
Transfer Agent fee payable |
2,976 | |||
Directors fee payable |
1,497 | |||
Distribution fee payable |
14 | |||
Accrued expenses |
63,422 | |||
|
|
|||
Total liabilities |
1,593,373 | |||
|
|
|||
Net Assets |
$ | 183,419,418 | ||
|
|
|||
Composition of Net Assets | ||||
Capital stock, at par |
$ | 21,259 | ||
Additional paid-in capital |
214,191,668 | |||
Accumulated loss |
(30,793,509 | ) | ||
|
|
|||
$ | 183,419,418 | |||
|
|
Net Asset Value Per Share30 billion shares of capital stock authorized, $.001 par value
Class | Net Assets | Shares Outstanding |
Net Asset Value |
|||||||||
|
||||||||||||
A | $ | 64,072 | 7,426 | $ | 8.63 | * | ||||||
|
||||||||||||
Advisor | $ | 183,355,346 | 21,252,014 | $ | 8.63 | |||||||
|
* | The maximum offering price per share for Class A shares was $9.01, which reflects a sales charge of 4.25%. |
See notes to financial statements.
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 29 |
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2022 (unaudited)
Investment Income | ||||||||
Interest |
$ | 2,399,423 | ||||||
Dividends |
||||||||
Affiliated issuers |
1,017 | $ | 2,400,440 | |||||
|
|
|||||||
Expenses | ||||||||
Advisory fee (see Note B) |
419,068 | |||||||
Transfer agencyClass A |
4 | |||||||
Transfer agencyAdvisor Class |
10,174 | |||||||
Distribution feeClass A |
88 | |||||||
Amortization of offering expenses |
64,011 | |||||||
Administrative |
45,725 | |||||||
Custody and accounting |
30,405 | |||||||
Audit and tax |
29,358 | |||||||
Registration fees |
29,069 | |||||||
Printing |
10,470 | |||||||
Legal |
10,025 | |||||||
Directors fees |
9,899 | |||||||
Miscellaneous |
7,570 | |||||||
|
|
|||||||
Total expenses |
665,866 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Note B) |
(108,852 | ) | ||||||
|
|
|||||||
Net expenses |
557,014 | |||||||
|
|
|||||||
Net investment income |
1,843,426 | |||||||
|
|
|||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain (loss) on: |
||||||||
Investment transactions |
(855,724 | ) | ||||||
Forward currency exchange contracts |
342,517 | |||||||
Futures |
(842,381 | ) | ||||||
Foreign currency transactions |
60,871 | |||||||
Net change in unrealized appreciation/depreciation on: |
||||||||
Investments |
(28,033,229 | ) | ||||||
Forward currency exchange contracts |
438,149 | |||||||
Futures |
(731,362 | ) | ||||||
Foreign currency denominated assets and liabilities |
(11,751 | ) | ||||||
|
|
|||||||
Net loss on investment and foreign currency transactions |
(29,632,910 | ) | ||||||
|
|
|||||||
Net Decrease in Net Assets from Operations |
$ | (27,789,484 | ) | |||||
|
|
See notes to financial statements.
30 | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO |
abfunds.com |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended April 30, 2022 (unaudited) |
May 10, 2021(a) to October 31, 2021 |
|||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income |
$ | 1,843,426 | $ | 902,896 | ||||
Net realized gain (loss) on investment and foreign currency transactions |
(1,294,717 | ) | 283,101 | |||||
Net change in unrealized appreciation/depreciation on investments and foreign currency denominated assets and liabilities |
(28,338,193 | ) | (524,180 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in net assets from operations |
(27,789,484 | ) | 661,817 | |||||
Distributions to Shareholders | ||||||||
Class A |
(959 | ) | (187 | ) | ||||
Advisor Class |
(2,693,239 | ) | (1,005,775 | ) | ||||
Capital Stock Transactions | ||||||||
Net increase |
44,644,366 | 169,602,879 | ||||||
|
|
|
|
|||||
Total increase |
14,160,684 | 169,258,734 | ||||||
Net Assets | ||||||||
Beginning of period |
169,258,734 | 0 | | |||||
|
|
|
|
|||||
End of period |
$ | 183,419,418 | $ | 169,258,734 | ||||
|
|
|
|
(a) | Commencement of operations. |
See notes to financial statements.
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 31 |
NOTES TO FINANCIAL STATEMENTS
April 30, 2022 (unaudited)
NOTE A
Significant Accounting Policies
AB Bond Fund, Inc. (the Company) is registered under the Investment Company Act of 1940 as an open-end management investment company. The Company, which is a Maryland corporation, operates as a series company comprised of 10 portfolios currently in operation. Each portfolio is considered to be a separate entity for financial reporting and tax purposes. This report relates only to the AB Sustainable Thematic Credit Portfolio (the Fund), a non-diversified portfolio. The Fund commenced operations on May 10, 2021. The Fund has authorized the issuance of Class A, Class C, Advisor Class, Class R, Class K, Class I, Class Z, Class T, Class 1 and Class 2 shares. Class C, Class R, Class K, Class I, Class Z, Class T, Class 1 and Class 2 shares have not been issued as of April 30, 2022. 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%. Advisor Class shares are sold without an initial or contingent deferred sales charge and are not subject to ongoing distribution expenses. All 10 classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (U.S. GAAP), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Fund.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at fair value as determined in accordance with procedures established by and under the general supervision of the Companys Board of Directors (the Board).
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (NASDAQ)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities
32 | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (OTC) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the Adviser) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the Committee) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuers financial statements or other available documents. In addition, the Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund values its securities at 4:00 p.m.,
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 33 |
NOTES TO FINANCIAL STATEMENTS (continued)
Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Funds 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 1quoted prices in active markets for identical investments |
| Level 2other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| Level 3significant unobservable inputs (including the Funds 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.
34 | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.
Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
The following table summarizes the valuation of the Funds investments by the above fair value hierarchy levels as of April 30, 2022:
Investments in Securities |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
||||||||||||||||
Corporates Investment Grade |
$ | 0 | | $ | 162,888,654 | $ | 0 | | $ | 162,888,654 | ||||||
Corporates Non-Investment Grade |
0 | | 9,371,169 | 0 | | 9,371,169 | ||||||||||
Emerging Markets Corporate Bonds |
0 | | 3,545,052 | 0 | | 3,545,052 | ||||||||||
Supranationals |
0 | | 875,463 | 0 | | 875,463 | ||||||||||
Governments Sovereign Bonds |
0 | | 366,200 | 0 | | 366,200 | ||||||||||
Local Governments US Municipal Bonds |
0 | | 69,722 | 0 | | 69,722 | ||||||||||
Short-Term Investments: |
||||||||||||||||
Investment Companies |
3,838,496 | 0 | | 0 | | 3,838,496 | ||||||||||
Time Deposits |
0 | | 244,817 | 0 | | 244,817 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
3,838,496 | 177,361,077 | 0 | | 181,199,573 | |||||||||||
Other Financial Instruments*: |
||||||||||||||||
Assets |
||||||||||||||||
Futures |
621,388 | 0 | | 0 | | 621,388 | | |||||||||
Forward Currency Exchange Contracts |
0 | | 767,176 | 0 | | 767,176 |
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 35 |
NOTES TO FINANCIAL STATEMENTS (continued)
Investments in Securities |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Liabilities |
||||||||||||||||
Futures |
$ | (1,303,833 | ) | $ | 0 | | $ | 0 | | $ | (1,303,833 | ) | ||||
Forward Currency Exchange Contracts |
0 | | (54,932 | ) | 0 | | (54,932 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 3,156,051 | $ | 178,073,321 | $ | 0 | | $ | 181,229,372 | |||||||
|
|
|
|
|
|
|
|
* | 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. |
| Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value. |
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at the rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
4. Taxes
It is the Funds policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
36 | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Funds tax positions taken or expected to be taken on federal and state income tax returns for the current tax years (the current and the prior tax year) and has concluded that no provision for income tax is required in the Funds financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts as adjustments to interest income. The Fund accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Fund are borne on a pro-rata basis by each settled class of shares, based on the proportionate interest in the Fund represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each 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.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
8. Offering Expenses
Offering expenses of $128,373 were deferred and amortized on a straight line basis over a one year period starting from May 10, 2021 (commencement of operations).
NOTE B
Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Fund pays the Adviser an advisory fee at an annual rate of .45% of the first $2.5 billion,
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 37 |
NOTES TO FINANCIAL STATEMENTS (continued)
.40% of the next $2.5 billion and .35% in excess of $5 billion of the Funds average daily net assets. The fee is accrued daily and paid monthly. The Adviser has agreed to reimburse its fees and bear certain expenses to the extent necessary to limit total operating (excluding acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest, interest expense, taxes, extraordinary expenses, and brokerage commissions and other transaction costs), on an annual basis (the Expense Caps) to .85% and .60% of the daily average net assets for Class A and Advisor Class, respectively. For the six months ended April 30, 2022, such reimbursements/ waivers amounted to $106,931. The Expense Caps may not be terminated by the Adviser before January 31, 2023. Any fees waived and expenses borne by the Adviser through May 10, 2022 are subject to repayment by the Fund until the end of the third fiscal year after the fiscal period in which the fee was waived or the expense was borne; such waiver that is subject to repayment amounted to $122,942 for the fiscal period ended October 31, 2021 and $106,931 for the six months ended April 30, 2022. In any case, no repayment will be made that would cause the Funds total annual operating expenses to exceed the Expense Caps net fee percentages set forth above.
Pursuant to the investment advisory agreement, the Fund may reimburse the Adviser for certain legal and accounting services provided to the Fund by the Adviser. For the six months ended April 30, 2022, the reimbursement for such services amounted to $45,725.
The Fund compensates AllianceBernstein Investor Services, Inc. (ABIS), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Fund. ABIS may make payments to intermediaries that provide omnibus account services, sub-accounting services and/or networking services. Such compensation retained by ABIS amounted to $9,000 for the six months ended April 30, 2022.
AllianceBernstein Investments, Inc. (the Distributor), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Funds shares. The Distributor has advised the Fund that it has retained front-end sales charges of $0 from the sale of Class A shares and received no contingent deferred sales charges imposed upon redemptions by shareholders of Class A shares, for the six months ended April 30, 2022.
The Fund may invest in AB Government Money Market Portfolio (the Government Money Market Portfolio) which has a contractual annual advisory fee rate of .20% of the portfolios 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
38 | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO |
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NOTES TO FINANCIAL STATEMENTS (continued)
in a net advisory fee of .10%) until August 31, 2022. In connection with the investment by the Fund in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Funds pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended April 30, 2022, such waiver amounted to $1,921.
A summary of the Funds transactions in AB mutual funds for the six months ended April 30, 2022 is as follows:
Fund |
Market Value 10/31/21 (000) |
Purchases at Cost (000) |
Sales Proceeds (000) |
Market Value 04/30/22 (000) |
Dividend Income (000) |
|||||||||||||||
Government Money Market Portfolio |
$ | 5,565 | $ | 41,836 | $ | 43,563 | $ | 3,838 | $ | 1 |
NOTE C
Distribution Services Agreement
The Fund has adopted a Distribution Services Agreement (the Agreement) pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement, the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to .25% of the Funds average daily net assets attributable to Class A shares. There are no distribution and servicing fees on the Advisor Class. The fees are accrued daily and paid monthly. The Agreement provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. In accordance with the Agreement, there is no provision for recovery of unreimbursed distribution costs incurred by the Distributor beyond the current fiscal year for Class A shares. The Agreement also provides that the Adviser may use its own resources to finance the distribution of the Funds shares.
NOTE D
Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the six months ended April 30, 2022, were as follows:
Purchases | Sales | |||||||
Investment securities (excluding U.S. government securities) |
$ | 67,573,431 | $ | 24,377,211 | ||||
U.S. government securities |
0 | | 0 | |
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 39 |
NOTES TO FINANCIAL STATEMENTS (continued)
The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation are as follows:
Gross unrealized appreciation |
$ | 1,388,564 | ||
Gross unrealized depreciation |
(30,235,003 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (28,846,439 | ) | |
|
|
1. Derivative Financial Instruments
The Fund may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, investment purposes), or to hedge or adjust the risk profile of its portfolio.
The principal types of derivatives utilized by the Fund, as well as the methods in which they may be used are:
| Forward Currency Exchange Contracts |
The Fund may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to hedge certain firm purchase and sale commitments denominated in foreign currencies and for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under Currency Transactions.
A forward currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on forward currency exchange contracts. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Fund. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
During the six months ended April 30, 2022, the Fund held forward currency exchange contracts for hedging purposes.
| Futures |
The Fund may buy or sell futures for investment purposes or for the purpose of hedging its portfolio against adverse effects of potential movements in the market. The Fund bears the market risk that arises from changes in the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Fund may
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NOTES TO FINANCIAL STATEMENTS (continued)
purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under Currency Transactions.
At the time the Fund enters into futures, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/ counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Use of long futures subjects the Fund to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Fund to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous days settlement price, which could effectively prevent liquidation of unfavorable positions.
During the six months ended April 30, 2022, the Fund held futures for hedging purposes.
The Fund typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (ISDA Master Agreement) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the OTC counterparty certain derivative financial instruments payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Funds net liability, held by the defaulting party, may be delayed or denied.
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 41 |
NOTES TO FINANCIAL STATEMENTS (continued)
The Funds ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Fund decline below specific levels (net asset contingent features). If these levels are triggered, the Funds OTC counterparty has the right to terminate such transaction and require the Fund to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty tables below for additional details.
During the six months ended April 30, 2022, the Fund had entered into the following derivatives:
Asset Derivatives |
Liability Derivatives |
|||||||||||
Derivative Type |
Statement of |
Fair Value | Statement of |
Fair Value | ||||||||
Interest rate contracts |
Receivable/Payable for variation margin on futures |
$ |
621,388 |
* |
Receivable/Payable for variation margin on futures |
$ |
1,303,833 |
* | ||||
Foreign currency contracts |
Unrealized appreciation on forward currency exchange contracts |
|
767,176 |
|
Unrealized depreciation on forward currency exchange contracts |
|
54,932 |
| ||||
|
|
|
|
|||||||||
Total |
$ | 1,388,564 | $ | 1,358,765 | ||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/depreciation on futures and centrally cleared swaps as reported in the portfolio of investments. |
Derivative Type |
Location of Gain |
Realized Gain or (Loss) on Derivatives |
Change in Unrealized Appreciation or (Depreciation) |
|||||||
Interest rate contracts |
Net realized gain/(loss) on futures; Net change in unrealized appreciation/ depreciation on futures | $ | (842,381 | ) | $ | (731,362 | ) | |||
Foreign currency contracts |
Net realized gain/(loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation on forward currency exchange contracts | 342,517 | 438,149 | |||||||
|
|
|
|
|||||||
Total |
$ | (499,864 | ) | $ | (293,213 | ) | ||||
|
|
|
|
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NOTES TO FINANCIAL STATEMENTS (continued)
The following table represents the average monthly volume of the Funds derivative transactions during the six months ended April 30, 2022:
Forward Currency Exchange Contracts: |
||||
Average principal amount of buy contracts |
$ | 976,066 | (a) | |
Average principal amount of sale contracts |
$ | 10,292,690 | ||
Futures: |
||||
Average notional amount of buy contracts |
$ | 16,648,206 | ||
Average notional amount of sale contracts |
$ | 9,782,635 |
(a) | Positions were open for three months during the reporting period. |
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Funds derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements (MA) and net of the related collateral received/pledged by the Fund as of April 30, 2022. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the tables.
Counterparty |
Derivative Assets Subject to a MA |
Derivatives Available for Offset |
Cash Collateral Received* |
Security Collateral Received* |
Net Amount of Derivative Assets |
|||||||||||||||
Morgan Stanley Capital Services LLC |
$ | 767,176 | $ | 0 | | $ | 0 | | $ | 0 | | $ | 767,176 | |||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 767,176 | $ | 0 | | $ | 0 | | $ | 0 | | $ | 767,176 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Counterparty |
Derivative Liabilities Subject to a MA |
Derivatives Available for Offset |
Cash Collateral Pledged* |
Security Collateral Pledged* |
Net Amount of Derivative Liabilities |
|||||||||||||||
Citibank, NA |
$ | 8,739 | $ | 0 | | $ | 0 | | $ | 0 | | $ | 8,739 | |||||||
UBS AG |
46,193 | 0 | | 0 | | 0 | | 46,193 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 54,932 | $ | 0 | | $ | 0 | | $ | 0 | | $ | 54,932 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged may be more than the amount reported due to overcollateralization. |
^ | 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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NOTES TO FINANCIAL STATEMENTS (continued)
2. Currency Transactions
The Fund may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Fund may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Fund may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Fund and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Fund may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
NOTE E
Capital Stock
Each class consists of 3,000,000,000 authorized shares. Transactions in capital shares for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2022 (unaudited) |
May 10, 2021* to October 31, 2021 |
Six Months Ended April 30, 2022 (unaudited) |
May 10, 2021* to October 31, 2021 |
|||||||||||||||||||||
|
|
|||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
Shares sold |
0 | | 7,329 | $ | 0 | | $ | 74,978 | ||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions |
86 | 11 | 829 | 107 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Net increase |
86 | 7,340 | $ | 829 | $ | 75,085 | ||||||||||||||||||
|
||||||||||||||||||||||||
Advisor Class | ||||||||||||||||||||||||
Shares sold |
5,786,840 | 19,139,077 | $ | 56,486,909 | $ | 194,101,830 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions |
235,698 | 78,767 | 2,262,770 | 803,778 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(1,486,810 | ) | (2,501,558 | ) | (14,106,142 | ) | (25,377,814 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase |
4,535,728 | 16,716,286 | $ | 44,643,537 | $ | 169,527,794 | ||||||||||||||||||
|
* | Commencement of operations. |
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NOTES TO FINANCIAL STATEMENTS (continued)
NOTE F
Risks Involved in Investing in the Fund
Market RiskThe value of the Portfolios assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market.
ESG RiskApplying ESG and sustainability criteria to the investment process may exclude securities of certain issuers for non-investment reasons and, therefore, the Fund may forgo some market opportunities available to funds that do not use ESG or sustainability criteria. Securities of companies with ESG practices may shift into and out of favor depending on market and economic conditions, and the Funds performance may at times be better or worse than the performance of funds that do not use ESG or sustainability criteria. Furthermore, sustainability is not a uniformly defined characteristic, and the Funds sustainability criteria may differ from those used by other funds. In addition, in evaluating an investment, the Adviser is dependent upon information and data that may be incomplete, inaccurate or unavailable, which could adversely affect the analysis of the ESG and sustainability factors relevant to a particular investment.
Interest-Rate RiskChanges in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Credit RiskAn issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
Below Investment-Grade Securities RiskInvestments in fixed-income securities with lower ratings (commonly known as junk bonds) tend to have a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 45 |
NOTES TO FINANCIAL STATEMENTS (continued)
due to factors such as specific corporate developments, interest rate sensitivity and negative perceptions of the junk bond market generally, and may be more difficult to trade than other types of securities.
Duration RiskDuration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation RiskThis 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 Funds assets can decline as can the value of the Funds distributions. This risk is significantly greater for fixed-income securities with longer maturities. The Fund invests in inflation-indexed securities, the value of which may be vulnerable to changes in expectations of inflation or interest rates.
Foreign (Non-U.S.) RiskInvestments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging Market RiskInvestments in emerging market countries may have more risk because the markets are less developed and less liquid and are subject to increased economic, political, regulatory or other uncertainties.
Currency RiskFluctuations in currency exchange rates may negatively affect the value of the Funds investments or reduce its returns. Emerging market currencies may be more volatile and less liquid, and subject to significantly greater risk of currency controls and convertibility restrictions, than currencies of developed countries.
Derivatives RiskDerivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, 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 Fund.
Leverage RiskWhen the Fund borrows money or otherwise leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Funds investments. The Fund may create leverage through the use of
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NOTES TO FINANCIAL STATEMENTS (continued)
reverse repurchase arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures or by borrowing money. The use of other types of derivative instruments by the Fund, such as options and swaps, may also result in a form of leverage. Leverage may result in higher returns to the Fund than if the Fund were not leveraged, but may also adversely affect returns, particularly if the market is declining.
Illiquid Investments RiskIlliquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest rate environment, when the value and liquidity of fixed-income securities generally decline.
Non-Diversification RiskThe Fund may have more risk because it is non-diversified, meaning that it can invest more of its assets in a smaller number of issuers. Accordingly, changes in the value of a single security may have a more significant effect, either negative or positive, on the Funds NAV.
Active Trading RiskThe Fund expects to engage in active and frequent trading of its portfolio securities and its portfolio turnover rate may greatly exceed 100%. A higher rate of portfolio turnover increases transaction costs, which may negatively affect the Funds return. In addition, a high rate of portfolio turnover may result in substantial short-term gains, which may have adverse tax consequences for Fund shareholders.
LIBOR Transition and Associated RiskA Fund may be exposed to debt securities, derivatives or other financial instruments that are tied to 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 LIBORs 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. The U.S. Federal Reserve,
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 47 |
NOTES TO FINANCIAL STATEMENTS (continued)
based on the recommendations of the New York Federal Reserves Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.
The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Funds performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Funds 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. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.
Indemnification RiskIn the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Funds maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Fund has not accrued any liability in connection with these indemnification provisions.
Management RiskThe Fund is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
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NOTES TO FINANCIAL STATEMENTS (continued)
NOTE G
Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Fund, participate in a $325 million revolving credit facility (the Facility) intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Fund did not utilize the Facility during the six months ended April 30, 2022.
NOTE H
Distributions to Shareholders
The tax character of distributions paid for the year ending October 31, 2022 will be determined at the end of the current fiscal year. The tax character of distributions paid during the period ended October 31, 2021 was as follows:
2021 | ||||
Distributions paid from: | ||||
Ordinary income |
$ | 1,005,962 | ||
|
|
|||
Total taxable distributions paid |
$ | 1,005,962 | ||
|
|
As of October 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed ordinary income |
$ | 596,984 | ||
Undistributed capital gains |
79,497 | |||
Unrealized appreciation/(depreciation) |
(944,676 | )(a) | ||
|
|
|||
Total accumulated earnings/(deficit) |
$ | (268,195 | )(b) | |
|
|
(a) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the recognition for tax purposes of unrealized gains/losses on certain derivative instruments, the tax deferral of losses on wash sales, and the tax treatment of callable bonds. |
(b) | The difference between book-basis and tax-basis components of accumulated earnings/(deficit) is attributable primarily to dividends payable. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of October 31, 2021, the Fund did not have any capital loss carryforwards.
NOTE I
Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2020-04, Reference Rate Reform
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 49 |
NOTES TO FINANCIAL STATEMENTS (continued)
(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 J
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 Funds financial statements through this date.
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FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class A | ||||||||
Six Months Ended April 30, 2022 (unaudited) |
May 10, 2021(a) to October 31, 2021 |
|||||||
|
|
|||||||
Net asset value, beginning of period |
$ 10.12 | $ 10.00 | ||||||
|
|
|||||||
Income From Investment Operations |
||||||||
Net investment income(b)(c) |
.08 | .07 | ||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(1.44 | ) | .13 | |||||
|
|
|||||||
Net increase (decrease) in net asset value from operations |
(1.36 | ) | .20 | |||||
|
|
|||||||
Less: Dividends and Distributions |
||||||||
Dividends from net investment income |
(.12 | ) | (.08 | ) | ||||
Distributions from net realized gain on investment and foreign currency transactions |
(.01 | ) | 0 | | ||||
|
|
|||||||
Total dividends and distributions |
(.13 | ) | (.08 | ) | ||||
|
|
|||||||
Net asset value, end of period |
$ 8.63 | $ 10.12 | ||||||
|
|
|||||||
Total Return |
||||||||
Total investment return based on net asset value(d) |
(13.57 | )% | 2.00 | % | ||||
Ratios/Supplemental Data |
||||||||
Net assets, end of period (000s omitted) |
$64 | $74 | ||||||
Ratio to average net assets of: |
||||||||
Expenses, net of waivers/reimbursements(e) |
.85 | % | .85 | % | ||||
Expenses, before waivers/reimbursements(e) |
.97 | % | 1.14 | % | ||||
Net investment income(c)(e) |
1.71 | % | 1.47 | % | ||||
Portfolio turnover rate |
14 | % | 31 | % |
See footnote summary on page 52.
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 51 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Advisor Class | ||||||||
Six Months Ended April 30, 2022 (unaudited) |
May 10, 2021(a) to October 31, 2021 |
|||||||
|
|
|||||||
Net asset value, beginning of period |
$ 10.12 | $ 10.00 | ||||||
|
|
|||||||
Income From Investment Operations |
||||||||
Net investment income(b)(c) |
.09 | .08 | ||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(1.44 | ) | .13 | |||||
|
|
|||||||
Net increase (decrease) in net asset value from operations |
(1.35 | ) | .21 | |||||
|
|
|||||||
Less: Dividends and Distributions |
||||||||
Dividends from net investment income |
(.13 | ) | (.09 | ) | ||||
Distributions from net realized gain on investment and foreign currency transactions |
(.01 | ) | 0 | | ||||
|
|
|||||||
Total dividends and distributions |
(.14 | ) | (.09 | ) | ||||
|
|
|||||||
Net asset value, end of period |
$ 8.63 | $ 10.12 | ||||||
|
|
|||||||
Total Return |
||||||||
Total investment return based on net asset value(d) |
(13.46 | )% | 2.12 | % | ||||
Ratios/Supplemental Data |
||||||||
Net assets, end of period (000s omitted) |
$183,355 | $169,185 | ||||||
Ratio to average net assets of: |
||||||||
Expenses, net of waivers/reimbursements(e) |
.60 | % | .60 | % | ||||
Expenses, before waivers/reimbursements(e) |
.71 | % | .93 | % | ||||
Net investment income(c)(e) |
1.98 | % | 1.69 | % | ||||
Portfolio turnover rate |
14 | % | 31 | % |
(a) | Commencement of operations. |
(b) | Based on average shares outstanding. |
(c) | Net of expenses waived/reimbursed 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. Initial sales charge or contingent deferred sales charge is not reflected in the calculation of total investment return. Total investment 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 for a period of less than one year is not annualized. |
(e) | Annualized. |
See notes to financial statements.
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BOARD OF DIRECTORS
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and Chief Executive Officer |
Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) |
OFFICERS
Gershon M. Distenfeld(2), Vice President Tiffanie Wong(2), 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 Brown Brothers Harriman & Co. 50 Post Office Square Boston, MA 02110
Principal Underwriter AllianceBernstein Investments, Inc. 501 Commerce Street Nashville, TN 37203
Legal Counsel Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
Transfer Agent AllianceBernstein Investor Services, Inc. P.O. Box 786003 San Antonio, TX 78278 Toll-Free (800) 221-5672
Independent Registered Public Accounting Firm Ernst & Young LLP One Manhattan West New York, NY 10001 |
1 | Member of the Audit Committee, the Governance and Nominating Committee and the Independent Directors Committee. |
2 | The day-to-day management of, and investment decisions for, the Funds portfolio are made by the Advisers Sustainable Thematic Credit Team. Mr. Distenfeld and Ms. Wong are the investment professionals with the most significant responsibility for the day-to-day management of the Funds portfolio. |
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 53 |
Operation and Effectiveness of the Funds Liquidity Risk Management Program:
In October 2016, the Securities and Exchange Commission (SEC) adopted the open-end fund liquidity rule (the Liquidity Rule). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (LRMP) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Fund to designate an Administrator of the Funds Liquidity Risk Management Program. The Administrator of the Funds LRMP is AllianceBernstein L.P., the Funds 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 Funds Board of Directors/Trustees (the Fund Board) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the funds 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 LRMPs principal objectives include supporting the Funds compliance with limits on investments in illiquid assets and mitigating the risk that the Fund will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Fund classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Funds strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Fund participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Fund is required to maintain a Highly Liquid Investment Minimum (HLIM). The Committee also incorporated the following information when determining the Funds reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Funds 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 Funds LRMP is adequately designed, has been implemented as intended,
54 | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO |
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and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, 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 Fund or its ability to timely meet redemptions during the Program Reporting Period.
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 55 |
Information Regarding the Review and Approval of the Funds Advisory Agreement
The disinterested directors (the directors) of AB Bond Fund, Inc. (the Company) unanimously approved the Companys Advisory Agreement with the Adviser in respect of AB Sustainable Thematic Credit Portfolio (the Fund) for an initial two-year period at a meeting held by video conference on February 2-3, 2021 (the Meeting).
Prior to approval of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed approval in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services to be provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Advisers integrity and competence they have gained from that experience, the Advisers initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Advisers willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the AB Funds.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the proposed advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the proposed advisory fee, were fair and reasonable in light of the services to be performed, expenses to be incurred and such other matters as the directors considered relevant in the
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exercise of their business judgment. The material factors and conclusions that formed the basis for the directors determinations included the following:
Nature, Extent and Quality of Services to be Provided
The directors considered the scope and quality of services to be provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the AB Funds. They also noted the professional experience and qualifications of the Funds portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements will be subject to the directors approval on a quarterly basis and, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Advisory Agreement. The directors noted that the methodology to be used to determine the reimbursement amounts had been reviewed by an independent consultant at the request of the directors. The quality of administrative and other services, including the Advisers role in coordinating the activities of the Funds other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services to be provided to the Fund under the Advisory Agreement.
Costs of Services to be Provided and Profitability
Because the Fund had not yet commenced operations, the directors were unable to consider historical information about the profitability of the Fund. However, the Adviser agreed to provide the directors with profitability information in connection with future proposed continuances of the Advisory Agreement. They also considered the costs to be borne by the Adviser in providing services to the Fund and that the Fund was unlikely to be profitable to the Adviser unless it achieves a material level of net assets.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their proposed relationships with the Fund, including, but not limited to, benefits relating to 12b-1 fees and sales charges to be received by the Funds principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of the Funds shares; and transfer agency fees to be paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Advisers future profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 57 |
Investment Results
Since the Fund had not yet commenced operations, no performance or other historical information for the Fund was available. Based on the Advisers written and oral presentations regarding the proposed management of the Fund and their general knowledge and confidence in the Advisers expertise in managing mutual funds, the directors concluded that they were satisfied that the Adviser was capable of providing high quality Fund management services to the Fund.
Advisory Fees and Other Expenses
The directors considered the proposed advisory fee rate payable by the Fund to the Adviser and information prepared by an independent service provider (the 15(c) service provider), concerning advisory fee rates payable by other funds in the same category as the Fund, based on the Funds projected net assets of $250 million. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The directors considered the Funds proposed contractual effective advisory fee rate against a peer group median and noted that it was above the median. The directors recognized that the Advisers total compensation from the Fund pursuant to the Advisory Agreement would be increased by amounts paid pursuant to the expense reimbursement provision in the Advisory Agreement, and that the impact of such expense reimbursement would depend on the size of the Fund and the extent to which the Adviser requests reimbursements pursuant to this provision. Taking into account the projected administrative expense reimbursement, the directors noted that the Advisers total rate of compensation was also expected to be above the peer group median.
The directors also considered that the Advisers fee schedule for an offshore fund utilizing investment strategies similar to those of the Fund provided for a higher fee rate than that proposed for the Fund.
In connection with their review of the Funds proposed advisory fee, the directors also considered the projected total expense ratio of the Class A shares of the Fund in comparison to a group of similar funds (peer group) and a larger group of similar funds (peer universe) selected by the 15(c) service provider. The directors also considered the Advisers proposed expense cap for the Fund for a one year period. The directors noted that it was likely that the expense ratios of some of the other funds in the Funds category were lowered by waivers or reimbursements by those funds investment advisers, which in some cases might be voluntary or temporary. The directors view the projected expense ratio information as relevant to their evaluation of the Advisers services because the Adviser is responsible for coordinating services provided to the Fund by others. Based on their review, the directors concluded that the Funds projected expense ratio was acceptable.
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Economies of Scale
The directors noted that the proposed advisory fee schedule for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a funds adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a funds operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Funds shareholders would benefit from a sharing of economies of scale in the event the Funds net assets exceed a breakpoint in the future.
abfunds.com | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO | 59 |
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 Portfolio1
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
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 Funds 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 Funds 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 August 23, 2021, Sustainable US Thematic Portfolio was named FlexFee US Thematic Portfolio. Prior to December 1, 2021, Sustainable Thematic Balanced Portfolio was named Conservative Wealth Strategy. |
60 | AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO |
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AB SUSTAINABLE THEMATIC CREDIT PORTFOLIO
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
STC-0152-0422
APR 04.30.22
SEMI-ANNUAL REPORT
AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO
As of January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, the Funds annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically requested paper copies of the reports. Instead, the reports are made available on a website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.
You may elect to receive all future reports in paper form free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call the Fund at (800) 221 5672. Your election to receive reports in paper form will apply to all funds held in your account with your financial intermediary or, if you invest directly, to all AB Mutual Funds you hold.
Investment Products Offered | Are Not FDIC Insured May Lose Value Are Not Bank Guaranteed |
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Funds prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Funds 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 ABs website at www.abfunds.com, or go to the Securities and Exchange Commissions (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 Funds Form N-PORT reports are available on the Commissions 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.
FROM THE PRESIDENT |
Dear Shareholder,
Were pleased to provide this report for the AB Tax-Aware Fixed Income Opportunities Portfolio (the Fund). Please review the discussion of Fund performance, the market conditions during the reporting period and the Funds investment strategy.
At AB, were striving to help our clients achieve better outcomes by:
+ | Fostering diverse perspectives that give us a distinctive approach to navigating global capital markets |
+ | Applying differentiated investment insights through a connected global research network |
+ | Embracing innovation to design better ways to invest and leading-edge mutual-fund solutions |
Whether youre an individual investor or a multibillion-dollar institution, were putting our knowledge and experience to work for you every day.
For more information about ABs comprehensive range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in AB mutual fundsand for placing your trust in our firm.
Sincerely,
Onur Erzan
President and Chief Executive Officer, AB Mutual Funds
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 1 |
SEMI-ANNUAL REPORT
June 7, 2022
This report provides managements discussion of fund performance for the AB Tax-Aware Fixed Income Opportunities Portfolio for the semi-annual reporting period ended April 30, 2022.
The investment objective of the Fund is to seek to maximize after-tax return and income.
NAV RETURNS AS OF APRIL 30, 2022 (unaudited)
6 Months | 12 Months | |||||||
AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | ||||||||
Class A Shares | -7.69% | -6.84% | ||||||
Class C Shares | -8.04% | -7.54% | ||||||
Advisor Class Shares1 | -7.58% | -6.61% | ||||||
Bloomberg Municipal Bond Index | -7.90% | -7.88% |
1 | Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
INVESTMENT RESULTS
The table above shows the Funds performance compared to its benchmark, the Bloomberg Municipal Bond Index, for the six- and 12-month periods ended April 30, 2022.
Except Class C, all share classes of the Fund outperformed the benchmark for the six-month period; for the 12-month period, all share classes outperformed the benchmark, before sales charges.
During the six-month period, the Funds overweight to municipal credit detracted, relative to the benchmark. Security selection within the senior-living sector detracted, while selection in special tax contributed. Underweights to the intermediate part of the yield curve contributed.
For the 12-month period, the Funds overweight to municipal credit contributed. Security selection in special tax contributed, while selection in multi-family housing detracted. Underweights to the intermediate part of the yield-curve contributed.
Additionally, the Funds inflation hedges in tax-efficient Consumer Price Index (CPI) swaps were additive to relative performance as the market priced in potentially higher inflation. Five-year inflation break-even rates
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increased 41 basis points (b.p.) during the six-month period and 73 b.p. during the 12-month period, and were marked at 3.30% at month-end.
The Fund utilized derivatives in the form of interest rate swaps for hedging purposes and had an immaterial impact on absolute returns for the six-month period and detracted for the 12-month period. Credit default swaps were used for hedging and investment purposes, which added for the six-month period and had an immaterial impact for the 12-month period. CPI swaps were utilized for hedging purposes, which had no material impact over the six-month period and added for the 12-month period. Municipal market data rate locks were used for investment purposes, which added for both periods.
MARKET REVIEW AND INVESTMENT STRATEGY
Yields rose toward the end of both the six- and 12-month periods ended April 30, 2022. During the 12-month period, the yield on a 10-Year AAA municipal bond rose to 2.72% from 0.99% and the yield on the 10-Year US Treasury rose to 2.89% from 1.65%. While demand for income remained strong during the first half of the 12-month reporting period, demand weakened during the first quarter of 2022 and into the second quarter as investors pulled approximately $48 billion from the municipal market as of April 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 95 b.p. during the 12-month period, and 67 b.p. during the six-month period. Credit spreads were relatively unchanged during the 12-month period, but widened modestly during the six-month period.
The Funds Senior Investment Management Team (the Team) continues to seek investments in attractive after-tax returns such as municipal and taxable fixed-income and selective below investment-grade bonds. The Team seeks to manage interest-rate exposure by focusing on lower-rated municipal and corporate bonds.
The Fund may purchase municipal securities that are insured under policies issued by certain insurance companies. Historically, insured municipal securities typically received a higher credit rating, which meant that the issuer of the securities paid a lower interest rate. As a result of declines in the credit quality and associated downgrades of most bond insurers, insurance has less value than it did in the past. The market now values 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 companys rating is downgraded or the company becomes insolvent, the prices of municipal securities insured by the insurance company may
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 3 |
decline. As of April 30, 2022, the Funds percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity were 2.95% and 0.00%, respectively.
INVESTMENT POLICIES
The Fund pursues its objective by investing principally in a national portfolio of both municipal and taxable fixed-income securities. The Fund invests, under normal circumstances, at least 80% of its net assets in fixed-income securities. The Fund also invests, under normal circumstances, at least 65% of its total assets in municipal securities that pay interest that is exempt from federal income tax. These securities may pay interest that is subject to the federal alternative minimum tax for certain taxpayers. The income earned and distributed to shareholders on non-municipal securities would not be exempt from federal income tax. The Fund may invest in fixed-income securities rated below investment grade (commonly known as junk bonds), although such securities are not expected to be the Funds primary focus.
The Adviser selects securities for the Fund based on a variety of factors, including credit quality, maturity, diversification benefits, and the relative expected after-tax returns of taxable and municipal securities (considering federal tax rates and without regard to state and local income taxes). As the objective is to increase the after-tax return of the Fund, an investor in the Fund may incur a tax liability that will generally be greater than the same investor would have in a fund investing exclusively in municipal securities, and that will be higher if the investor is in a higher tax bracket. In addition, the tax implications of the Funds trading activity, such as realizing taxable gains, are considered in making purchase and sale decisions for the Fund. The Fund may invest in fixed-income securities of any maturity from short- to long-term.
The Fund may also invest in forward commitments; zero-coupon municipal securities and variable-, floating- and inverse-floating-rate municipal securities.
The Fund may use derivatives, such as swaps, options, futures contracts and forwards, to achieve its investment strategies. For example, the Fund may enter into tender option bonds and credit default and interest rate swaps relating to municipal and taxable fixed-income securities or securities indices. Derivatives may provide more efficient and economical exposure to fixed-income securities markets than direct investments.
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DISCLOSURES AND RISKS
Benchmark Disclosure
The Bloomberg Municipal Bond Index is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The Bloomberg Municipal Bond Index represents the performance of the long-term tax-exempt bond market consisting of investment-grade bonds. An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Fund.
A Word About Risk
Market Risk: The value of the Funds assets will fluctuate as the bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events that, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, affect large portions of the market.
Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
Below Investment-Grade Securities Risk: Investments in fixed-income securities with lower ratings (commonly known as junk bonds) are subject to a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific municipal or corporate developments and negative performance of the junk bond market generally and may be more difficult to trade than other types of securities.
Municipal Market Risk: This is the risk that special factors may adversely affect the value of municipal securities and have a significant effect on the yield or value of the Funds investments in municipal securities. These factors include economic conditions, political or legislative changes, public health crises, uncertainties related to the tax status of municipal securities, or the rights of investors in these securities. To the extent that the Fund invests more of its assets in a particular states municipal securities, the Fund may be vulnerable to events adversely affecting that state, including economic, political and regulatory occurrences, court decisions, terrorism, public health crises (including the occurrence of a contagious disease or illness) and catastrophic natural disasters, such as hurricanes, fires or
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 5 |
DISCLOSURES AND RISKS (continued)
earthquakes. For example, the novel coronavirus (COVID-19) pandemic has significantly stressed the financial resources of many issuers of municipal securities, which could impair any such issuers ability to meet its financial obligations when due and adversely impact the value of its securities held by the Fund. As the full effects of the COVID-19 pandemic on state and local economies and on issuers of municipal securities are still uncertain, the financial difficulties of issuers of municipal securities may continue or worsen, adversely affecting the performance of the Fund. The Funds investments in certain municipal securities with principal and interest payments that are made from the revenues of a specific project or facility, and not general tax revenues, may have increased risks. Factors affecting the project or facility, such as local business or economic conditions, could have a significant effect on the projects ability to make payments of principal and interest on these securities.
Congress has previously considered making changes to the municipal securities provisions of the Internal Revenue Code that could change the US federal income tax treatment of certain types of municipal securities.
The Fund invests, from time to time, in the municipal securities of Puerto Rico or other US territories and their governmental agencies and municipalities, which are exempt from federal, state, and, where applicable, local income taxes. These municipal securities may have more risks than those of other US issuers of municipal securities. Like many US states and municipalities, Puerto Rico experienced a significant downturn during the 2007-2009 recession. Puerto Ricos downturn was particularly severe, and Puerto Rico continues to face a very challenging economic and fiscal environment, including as a result of the COVID-19 pandemic. If the general economic situation in Puerto Rico continues to persist or worsens, the volatility and credit quality of Puerto Rican municipal securities could continue to be adversely affected, and the market for such securities may experience continued volatility.
Tax Risk: From time to time, the US government and the US Congress consider changes in federal tax law that could limit or eliminate the federal tax exemption for municipal bond income, which would in effect reduce the income received by shareholders from the Fund by increasing taxes on that income. In such event, the Funds net asset value (NAV) could also decline as yields on municipal bonds, which are typically lower than those on taxable bonds, would be expected to increase to approximately the yield of comparable taxable bonds. Actions or anticipated actions affecting the tax-exempt status of municipal bonds could also result in significant shareholder redemptions of Fund shares as investors anticipate adverse effects on the Fund or seek higher yields to offset the potential loss of the tax deduction. As a result, the Fund would be required to maintain higher levels of cash to meet the redemptions, which would negatively affect the Funds yield.
6 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
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DISCLOSURES AND RISKS (continued)
Interest-Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Duration Risk: Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Funds assets can decline as can the value of the Funds distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Illiquid Investments Risk: Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes and large positions. Municipal securities may have more illiquid investments risk than other fixed-income securities because they trade less frequently and the market for municipal securities is generally smaller than many other markets.
Leverage Risk: To the extent the Fund uses leveraging techniques, its NAV may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Funds investments.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, 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 Fund.
Management Risk: The Fund is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models,
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 7 |
DISCLOSURES AND RISKS (continued)
but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These and other risks are more fully discussed in the Funds prospectus. As with all investments, you may lose money by investing in the Fund.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Fund will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by visiting www.abfunds.com.
All fees and expenses related to the operation of the Fund have been deducted. NAV returns do not reflect sales charges; if sales charges were reflected, the Funds quoted performance would be lower. SEC returns reflect the applicable sales charges for each share class: a 3% maximum front-end sales charge for Class A shares and a 1% 1-year contingent deferred sales charge for Class C shares. Returns for the different share classes will vary due to their different expenses associated with each class. Performance assumes reinvestment of distributions and does not account for taxes.
8 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
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HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF APRIL 30, 2022 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) |
SEC Yields1 |
Taxable Equivalent Yields2 |
|||||||||||||
CLASS A SHARES | 1.78% | 2.74% | ||||||||||||||
1 Year | -6.84% | -9.66% | ||||||||||||||
5 Years | 2.35% | 1.73% | ||||||||||||||
Since Inception3 | 2.90% | 2.53% | ||||||||||||||
CLASS C SHARES | 1.07% | 1.65% | ||||||||||||||
1 Year | -7.54% | -8.46% | ||||||||||||||
5 Years | 1.59% | 1.59% | ||||||||||||||
Since Inception3,4 | 2.14% | 2.14% | ||||||||||||||
ADVISOR CLASS SHARES5 | 2.11% | 3.25% | ||||||||||||||
1 Year | -6.61% | -6.61% | ||||||||||||||
5 Years | 2.61% | 2.61% | ||||||||||||||
Since Inception3 | 3.17% | 3.17% |
The Funds current prospectus fee table shows the Funds total annual operating expense ratios as 1.08%, 1.81% and 0.82% for Class A, Class C and Advisor Class shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limited the Funds total annual operating expense ratios, exclusive of expenses associated with securities sold short, acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest, interest expense, taxes, extraordinary expenses, brokerage commissions and other transaction costs, to 0.75%, 1.50% and 0.50% for Class A, Class C and Advisor Class shares, respectively. These waivers/reimbursements may not be terminated prior to January 31, 2023, and may be extended by the Adviser for additional one-year terms. Absent reimbursements or waivers, performance would have been lower. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
1 | SEC yields are calculated based on SEC guidelines for the 30-day period ended April 30, 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 | Inception date: 12/11/2013. |
4 | Assumes conversion of Class C shares into Class A shares after eight years. |
5 | This share class is offered at NAV to eligible investors and the SEC returns are the same as the NAV returns. Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 9 |
HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2022 (unaudited)
SEC Returns (reflects applicable sales charges) |
||||
CLASS A SHARES | ||||
1 Year | -5.78% | |||
5 Years | 2.53% | |||
Since Inception1 | 2.94% | |||
CLASS C SHARES | ||||
1 Year | -4.58% | |||
5 Years | 2.39% | |||
Since Inception1,2 | 2.56% | |||
ADVISOR CLASS SHARES3 | ||||
1 Year | -2.65% | |||
5 Years | 3.42% | |||
Since Inception1 | 3.58% |
1 | Inception date: 12/11/2013. |
2 | Assumes conversion of Class C shares into Class A shares after eight years. |
3 | Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
10 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
abfunds.com |
EXPENSE EXAMPLE
(unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The table below also provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 11 |
EXPENSE EXAMPLE (continued)
Beginning Account Value November 1, 2021 |
Ending Account Value April 30, 2022 |
Expenses Paid |
Annualized |
|||||||||||||
Class A | ||||||||||||||||
Actual |
$ | 1,000 | $ | 923.10 | $ | 3.62 | 0.76 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,021.03 | $ | 3.81 | 0.76 | % | ||||||||
Class C | ||||||||||||||||
Actual |
$ | 1,000 | $ | 919.60 | $ | 7.19 | 1.51 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,017.31 | $ | 7.55 | 1.51 | % | ||||||||
Advisor Class |
|
|||||||||||||||
Actual |
$ | 1,000 | $ | 924.20 | $ | 2.43 | 0.51 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,022.27 | $ | 2.56 | 0.51 | % |
* | Expenses are equal to the classes annualized expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
12 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
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PORTFOLIO SUMMARY
April 30, 2022 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $307.9
1 | All data are as of April 30, 2022. The Funds quality rating and state breakdowns are expressed as a percentage of the Funds total investments in municipal securities and may vary over time. The quality ratings are determined by using the S&P Global Ratings (S&P), Moodys Investors Services, Inc. (Moodys) and Fitch Ratings, Ltd. (Fitch). The Fund considers the credit ratings issued by S&P, Moodys 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 issuers 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 2.8% in 30 different states, American Samoa, District of Columbia and Guam. |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 13 |
PORTFOLIO OF INVESTMENTS
April 30, 2022 (unaudited)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
MUNICIPAL OBLIGATIONS 106.2% |
| |||||||
Long-Term Municipal Bonds 76.2% |
| |||||||
Alabama 0.9% |
| |||||||
Black Belt Energy Gas District |
$ | 1,000 | $ | 1,016,292 | ||||
County of Jefferson AL Sewer Revenue |
110 | 120,610 | ||||||
Infirmary Health System Special Care Facilities Financing Authority of Mobile |
1,610 | 1,624,709 | ||||||
Tuscaloosa County Industrial Development Authority |
120 | 118,154 | ||||||
|
|
|||||||
2,879,765 | ||||||||
|
|
|||||||
American Samoa 0.1% |
| |||||||
American Samoa Economic Development Authority |
135 | 159,232 | ||||||
|
|
|||||||
Arizona 1.7% |
| |||||||
Arizona Industrial Development Authority |
196 | 192,716 | ||||||
Arizona Industrial Development Authority |
600 | 661,752 | ||||||
Arizona Industrial Development Authority |
1,000 | 1,001,300 | ||||||
5.00%, 02/01/2032 |
1,105 | 1,276,626 | ||||||
Arizona Industrial Development Authority |
100 | 84,695 |
14 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
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PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
City of Glendale AZ |
$ | 1,000 | $ | 887,344 | ||||
City of Tempe AZ |
1,000 | 799,024 | ||||||
Industrial Development Authority of the City of Phoenix (The) |
100 | 101,109 | ||||||
Maricopa County Industrial Development Authority |
150 | 136,372 | ||||||
|
|
|||||||
5,140,938 | ||||||||
|
|
|||||||
Arkansas 0.3% |
| |||||||
Arkansas Development Finance Authority |
1,000 | 1,054,020 | ||||||
|
|
|||||||
California 6.3% |
| |||||||
Alameda Corridor Transportation Authority |
175 | 184,242 | ||||||
ARC70 II TRUST |
300 | 267,066 | ||||||
California Community Housing Agency |
100 | 88,514 | ||||||
California Community Housing Agency |
250 | 219,369 |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 15 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
California Community Housing Agency |
$ | 500 | $ | 352,678 | ||||
4.00%, 08/01/2046(a) |
500 | 398,208 | ||||||
California Health Facilities Financing Authority |
2,500 | 2,415,448 | ||||||
California Housing Finance Agency |
154 | 158,361 | ||||||
Series 2021-2 |
1,000 | 59,860 | ||||||
California Infrastructure & Economic Development Bank |
5,000 | 4,954,798 | ||||||
California Municipal Finance Authority |
250 | 265,618 | ||||||
California Pollution Control Financing Authority |
250 | 252,018 | ||||||
California Statewide Communities Development Authority |
250 | 264,652 | ||||||
City of Los Angeles Department of Airports |
1,000 | 1,088,161 | ||||||
CMFA Special Finance Agency |
400 | 325,916 | ||||||
CMFA Special Finance Agency |
100 | 68,367 | ||||||
CMFA Special Finance Agency |
250 | 218,421 |
16 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
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PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
CMFA Special Finance Agency VIII Elan Huntington Beach |
$ | 250 | $ | 178,353 | ||||
CSCDA Community Improvement Authority |
250 | 181,286 | ||||||
4.00%, 05/01/2057(a) |
350 | 259,379 | ||||||
CSCDA Community Improvement Authority |
400 | 350,916 | ||||||
CSCDA Community Improvement Authority |
200 | 165,039 | ||||||
CSCDA Community Improvement Authority |
500 | 430,653 | ||||||
CSCDA Community Improvement Authority |
100 | 72,381 | ||||||
CSCDA Community Improvement Authority |
200 | 147,266 | ||||||
4.00%, 07/01/2058(a) |
200 | 148,638 | ||||||
CSCDA Community Improvement Authority |
300 | 210,283 | ||||||
CSCDA Community Improvement Authority |
400 | 299,686 |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 17 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
CSCDA Community Improvement Authority |
$ | 350 | $ | 301,617 | ||||
Golden State Tobacco Securitization Corp. |
1,050 | 1,053,123 | ||||||
Series 2021 |
1,000 | 925,266 | ||||||
Hastings Campus Housing Finance Authority |
600 | 620,266 | ||||||
San Francisco Intl Airport |
1,000 | 1,075,731 | ||||||
Tobacco Securitization Authority of Northern California |
200 | 31,191 | ||||||
Tobacco Securitization Authority of Southern California |
1,000 | 178,177 | ||||||
University of California |
1,000 | 1,156,873 | ||||||
|
|
|||||||
19,367,821 | ||||||||
|
|
|||||||
Colorado 1.5% |
| |||||||
Aurora Highlands Community Authority Board |
500 | 460,188 | ||||||
City & County of Denver CO |
615 | 628,299 | ||||||
Colorado Health Facilities Authority |
100 | 88,278 |
18 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
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PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Colorado Health Facilities Authority |
$ | 250 | $ | 227,092 | ||||
Colorado Health Facilities Authority |
100 | 89,330 | ||||||
Colorado Health Facilities Authority |
200 | 213,012 | ||||||
Copper Ridge Metropolitan District |
500 | 472,802 | ||||||
Douglas County Housing Partnership |
250 | 203,755 | ||||||
E-470 Public Highway Authority |
1,000 | 979,885 | ||||||
Johnstown Plaza Metropolitan District |
500 | 430,464 | ||||||
Pueblo Urban Renewal Authority |
260 | 216,526 | ||||||
Vauxmont Metropolitan District |
380 | 412,780 | ||||||
AGM Series 2020 |
100 | 110,848 | ||||||
|
|
|||||||
4,533,259 | ||||||||
|
|
|||||||
Connecticut 0.5% |
| |||||||
City of New Haven CT |
615 | 684,677 | ||||||
Connecticut State Health & Educational Facilities Authority |
1,000 | 969,956 | ||||||
|
|
|||||||
1,654,633 | ||||||||
|
|
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 19 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Delaware 0.4% |
| |||||||
Delaware River & Bay Authority |
$ | 1,100 | $ | 1,252,068 | ||||
|
|
|||||||
District of Columbia 0.7% |
| |||||||
District of Columbia |
100 | 102,124 | ||||||
District of Columbia Tobacco Settlement Financing Corp. |
2,500 | 182,593 | ||||||
Metropolitan Washington Airports Authority Dulles Toll Road Revenue |
2,000 | 1,968,737 | ||||||
|
|
|||||||
2,253,454 | ||||||||
|
|
|||||||
Florida 3.7% |
| |||||||
Align Affordable Housing Bond Fund LP |
1,000 | 726,305 | ||||||
Bexley Community Development District |
100 | 100,161 | ||||||
Capital Trust Agency, Inc. |
100 | 101,165 | ||||||
City of Tampa FL |
1,000 | 245,020 | ||||||
County of Broward FL Airport System Revenue |
1,000 | 969,274 | ||||||
County of Lake FL |
100 | 98,253 | ||||||
5.75%, 08/15/2055 |
200 | 193,649 | ||||||
County of Miami-Dade FL |
780 | 834,000 |
20 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
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PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
County of Miami-Dade FL Aviation Revenue |
$ | 265 | $ | 277,515 | ||||
County of Miami-Dade Seaport Department |
2,000 | 1,988,811 | ||||||
County of Osceola FL Transportation Revenue |
230 | 123,182 | ||||||
Florida Development Finance Corp. |
1,850 | 1,845,178 | ||||||
Florida Development Finance Corp. |
100 | 86,722 | ||||||
Lee County Industrial Development Authority/FL |
500 | 499,966 | ||||||
North Broward Hospital District |
270 | 288,714 | ||||||
Orange County Health Facilities Authority |
250 | 227,332 | ||||||
Palm Beach County Educational Facilities Authority |
1,000 | 951,386 | ||||||
Palm Beach County Health Facilities Authority |
100 | 90,657 | ||||||
Pinellas County Industrial Development Authority |
505 | 518,415 |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 21 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Town of Davie FL |
$ | 655 | $ | 708,205 | ||||
Village Community Development District No. 13 |
615 | 548,666 | ||||||
|
|
|||||||
11,422,576 | ||||||||
|
|
|||||||
Georgia 0.4% |
| |||||||
Main Street Natural Gas, Inc. |
1,000 | 997,063 | ||||||
Municipal Electric Authority of Georgia |
100 | 108,558 | ||||||
|
|
|||||||
1,105,621 | ||||||||
|
|
|||||||
Guam 0.9% |
| |||||||
Antonio B Won Pat International Airport Authority |
1,000 | 890,708 | ||||||
Guam Power Authority |
500 | 523,822 | ||||||
Territory of Guam |
210 | 216,379 | ||||||
Territory of Guam |
1,000 | 1,059,605 | ||||||
|
|
|||||||
2,690,514 | ||||||||
|
|
|||||||
Hawaii 1.0% |
| |||||||
City & County of Honolulu HI |
3,000 | 3,215,573 | ||||||
|
|
|||||||
Illinois 5.8% |
| |||||||
Chicago Board of Education |
240 | 242,668 | ||||||
Series 2019-A
|
200 | 212,931 |
22 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
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PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Series 2019-B |
$ | 100 | $ | 105,540 | ||||
Series 2022-B
|
2,000 | 1,818,108 | ||||||
Chicago OHare International Airport |
335 | 346,268 | ||||||
Series 2017-B |
725 | 778,459 | ||||||
Series 2018-A |
1,000 | 1,038,933 | ||||||
Illinois Finance Authority |
100 | 107,533 | ||||||
Illinois Finance Authority |
100 | 96,958 | ||||||
Illinois Finance Authority |
77 | 63,296 | ||||||
Illinois Finance Authority |
250 | 263,979 | ||||||
Illinois Finance Authority |
3,000 | 3,505,439 | ||||||
Illinois State Toll Highway Authority |
3,000 | 3,001,629 | ||||||
Metropolitan Pier & Exposition Authority |
600 | 617,851 | ||||||
Series 2020 |
640 | 663,934 | ||||||
Series 2022 |
1,000 | 938,362 | ||||||
State of Illinois |
||||||||
Series 2010 |
250 | 279,100 | ||||||
Series 2013 |
270 | 278,409 | ||||||
Series 2016 |
375 | 388,870 |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 23 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Series 2017-D
|
$ | 930 | $ | 1,002,571 | ||||
Series 2018-A |
1,000 | 1,078,444 | ||||||
Series 2019-B |
1,000 | 1,075,637 | ||||||
|
|
|||||||
17,904,919 | ||||||||
|
|
|||||||
Indiana 0.8% |
| |||||||
City of Valparaiso IN |
150 | 120,952 | ||||||
Indiana Finance Authority |
100 | 102,773 | ||||||
Indiana Finance Authority |
850 | 630,987 | ||||||
Indiana Finance Authority |
1,000 | 986,593 | ||||||
Indiana Finance Authority |
100 | 108,591 | ||||||
Indiana Finance Authority |
100 | 87,382 | ||||||
Indiana Finance Authority |
190 | 196,203 | ||||||
Indiana Finance Authority |
165 | 142,226 | ||||||
Indiana Housing & Community Development Authority |
100 | 96,812 | ||||||
|
|
|||||||
2,472,519 | ||||||||
|
|
24 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Iowa 2.7% |
| |||||||
Iowa Finance Authority |
$ | 5,000 | $ | 5,003,939 | ||||
Iowa Finance Authority |
2,000 | 2,049,379 | ||||||
Iowa Finance Authority |
825 | 828,726 | ||||||
Iowa Finance Authority |
625 | 562,965 | ||||||
|
|
|||||||
8,445,009 | ||||||||
|
|
|||||||
Kentucky 1.4% |
| |||||||
City of Ashland KY |
385 | 386,978 | ||||||
City of Henderson KY |
325 | 317,492 | ||||||
Kentucky Economic Development Finance Authority |
175 | 191,086 | ||||||
Kentucky Economic Development Finance Authority |
160 | 154,565 | ||||||
Kentucky Economic Development Finance Authority |
65 | 58,678 |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 25 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Kentucky Economic Development Finance Authority |
$ | 425 | $ | 456,235 | ||||
Kentucky Public Energy Authority |
600 | 614,374 | ||||||
Louisville and Jefferson County Metropolitan Sewer District |
2,000 | 2,012,392 | ||||||
Louisville/Jefferson County Metropolitan Government |
225 | 244,293 | ||||||
|
|
|||||||
4,436,093 | ||||||||
|
|
|||||||
Louisiana 1.2% |
| |||||||
City of New Orleans LA Water System Revenue |
100 | 106,541 | ||||||
Louisiana Local Government Environmental Facilities & Community Development Auth |
675 | 735,971 | ||||||
Louisiana Public Facilities Authority |
250 | 2 | ||||||
Louisiana Public Facilities Authority |
1,335 | 1,419,055 | ||||||
New Orleans Aviation Board |
215 | 223,998 | ||||||
Parish of St. James LA |
100 | 113,788 |
26 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
State of Louisiana Gasoline & Fuels Tax Revenue |
$ | 995 | $ | 990,782 | ||||
|
|
|||||||
3,590,137 | ||||||||
|
|
|||||||
Maine 0.0% |
| |||||||
Finance Authority of Maine |
100 | 104,794 | ||||||
|
|
|||||||
Maryland 3.2% |
| |||||||
City of Baltimore MD |
150 | 154,224 | ||||||
Maryland Economic Development Corp. |
600 | 606,199 | ||||||
Maryland Economic Development Corp. |
1,000 | 1,041,907 | ||||||
Maryland Economic Development Corp. |
1,000 | 1,048,016 | ||||||
Maryland Health & Higher Educational Facilities Authority |
500 | 537,351 | ||||||
Maryland Stadium Authority |
1,500 | 1,694,923 | ||||||
State of Maryland |
1,000 | 1,077,784 | ||||||
State of Maryland Department of Transportation |
3,500 | 3,594,761 | ||||||
|
|
|||||||
9,755,165 | ||||||||
|
|
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 27 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Massachusetts 1.0% |
| |||||||
Commonwealth of Massachusetts |
$ | 1,300 | $ | 1,235,245 | ||||
Commonwealth of Massachusetts Transportation Fund Revenue |
1,000 | 1,132,898 | ||||||
Massachusetts Development Finance Agency |
620 | 647,041 | ||||||
|
|
|||||||
3,015,184 | ||||||||
|
|
|||||||
Michigan 0.8% |
| |||||||
City of Detroit MI |
245 | 203,861 | ||||||
Series 2018 |
75 | 78,446 | ||||||
Series 2021-B |
200 | 172,647 | ||||||
City of Detroit MI Sewage Disposal System Revenue |
115 | 115,678 | ||||||
AGM Series 2006-D |
1,000 | 967,562 | ||||||
Michigan Finance Authority |
||||||||
Series 2020-A |
1,000 | 904,241 | ||||||
Series 2020-B |
350 | 36,001 | ||||||
Michigan Tobacco Settlement Finance Authority |
1,450 | 67,324 | ||||||
|
|
|||||||
2,545,760 | ||||||||
|
|
28 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Minnesota 0.2% |
| |||||||
City of Minneapolis MN/St. Paul Housing & Redevelopment Authority |
$ | 200 | $ | 200,000 | ||||
City of Wayzata MN |
105 | 105,750 | ||||||
Duluth Economic Development Authority |
200 | 182,708 | ||||||
Housing & Redevelopment Authority of The City of St. Paul Minnesota |
200 | 148,570 | ||||||
|
|
|||||||
637,028 | ||||||||
|
|
|||||||
Mississippi 0.4% |
| |||||||
Mississippi Development Bank |
1,000 | 993,499 | ||||||
Mississippi Hospital Equipment & Facilities Authority |
250 | 262,789 | ||||||
|
|
|||||||
1,256,288 | ||||||||
|
|
|||||||
Missouri 0.2% |
| |||||||
Kansas City Industrial Development Authority |
190 | 165,994 | ||||||
Lees Summit Industrial Development Authority |
300 | 304,655 | ||||||
|
|
|||||||
470,649 | ||||||||
|
|
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 29 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Nebraska 0.0% |
| |||||||
Central Plains Energy Project |
$ | 100 | $ | 100,982 | ||||
|
|
|||||||
Nevada 0.3% |
| |||||||
Clark County School District |
1,000 | 1,045,112 | ||||||
|
|
|||||||
New Hampshire 0.1% |
| |||||||
New Hampshire Business Finance Authority |
208 | 214,657 | ||||||
|
|
|||||||
New Jersey 2.6% |
| |||||||
Essex County Improvement Authority |
1,100 | 971,668 | ||||||
New Jersey Economic Development Authority |
200 | 210,740 | ||||||
New Jersey Economic Development Authority |
1,000 | 1,076,551 | ||||||
New Jersey Economic Development Authority |
210 | 213,060 | ||||||
New Jersey Educational Facilities Authority |
100 | 107,383 | ||||||
New Jersey Health Care Facilities Financing Authority |
280 | 300,902 | ||||||
New Jersey Transportation Trust Fund Authority |
550 | 590,379 |
30 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
New Jersey Transportation Trust Fund Authority |
$ | 340 | $ | 363,467 | ||||
Series 2022-A |
1,000 | 1,083,308 | ||||||
New Jersey Turnpike Authority |
540 | 591,560 | ||||||
Series 2020-D |
1,350 | 1,467,568 | ||||||
Tobacco Settlement Financing Corp./NJ |
1,045 | 1,090,539 | ||||||
|
|
|||||||
8,067,125 | ||||||||
|
|
|||||||
New Mexico 0.3% |
| |||||||
Winrock Town Center Tax Increment Development District No. 1 |
867 | 815,316 | ||||||
|
|
|||||||
New York 6.2% |
| |||||||
Build NYC Resource Corp. |
400 | 393,550 | ||||||
Metropolitan Transportation Authority |
1,000 | 1,088,169 | ||||||
Series 2020-C |
1,000 | 1,039,518 | ||||||
Series 2020-E |
1,155 | 1,193,921 | ||||||
Series 2021-D |
950 | 942,620 | ||||||
Monroe County Industrial Development Corp./NY |
550 | 502,299 |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 31 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
New York City Transitional Finance Authority Building Aid Revenue |
$ | 865 | $ | 953,388 | ||||
New York Counties Tobacco Trust V |
350 | 46,516 | ||||||
New York State Dormitory Authority |
200 | 217,541 | ||||||
New York State Dormitory Authority |
425 | 442,473 | ||||||
Series 2022-A |
2,000 | 2,002,849 | ||||||
New York State Dormitory Authority |
2,000 | 1,983,451 | ||||||
New York State Thruway Authority |
365 | 365,982 | ||||||
New York State Thruway Authority |
2,000 | 1,999,078 | ||||||
New York Transportation Development Corp. |
275 | 264,388 | ||||||
Series 2020 |
300 | 295,358 | ||||||
4.375%, 10/01/2045 |
1,000 | 956,429 | ||||||
New York Transportation Development Corp. |
150 | 154,593 |
32 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Triborough Bridge & Tunnel Authority |
$ | 500 | $ | 417,395 | ||||
4.00%, 05/15/2046 |
1,000 | 989,119 | ||||||
Series 2022 |
2,000 | 2,262,970 | ||||||
Ulster County Capital Resource Corp. |
120 | 102,038 | ||||||
Westchester County Local Development Corp. |
250 | 239,359 | ||||||
Western Regional Off-Track Betting Corp. |
100 | 82,798 | ||||||
|
|
|||||||
18,935,802 | ||||||||
|
|
|||||||
North Carolina 0.9% |
| |||||||
Fayetteville State University |
1,045 | 1,120,487 | ||||||
North Carolina Turnpike Authority |
500 | 534,310 | ||||||
University of North Carolina at Chapel Hill |
1,000 | 1,147,558 | ||||||
|
|
|||||||
2,802,355 | ||||||||
|
|
|||||||
North Dakota 0.0% |
| |||||||
County of Grand Forks ND |
100 | 61,340 | ||||||
|
|
|||||||
Ohio 2.8% |
| |||||||
American Municipal Power, Inc. |
1,000 | 999,951 |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 33 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Buckeye Tobacco Settlement Financing Authority |
$ | 4,060 | $ | 3,948,369 | ||||
City of Akron OH |
445 | 446,313 | ||||||
City of Chillicothe OH |
175 | 184,981 | ||||||
Cleveland-Cuyahoga County Port Authority |
500 | 418,322 | ||||||
County of Cuyahoga OH |
365 | 378,304 | ||||||
County of Cuyahoga OH |
205 | 216,280 | ||||||
County of Marion OH |
100 | 99,925 | ||||||
County of Montgomery OH |
100 | 47,000 | ||||||
Jefferson County Port Authority/OH |
1,000 | 754,483 | ||||||
Ohio Air Quality Development Authority |
100 | 100,084 | ||||||
Ohio Air Quality Development Authority |
580 | 538,994 |
34 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Ohio Air Quality Development Authority |
$ | 185 | $ | 178,408 | ||||
Ohio Water Development Authority Water Pollution Control Loan Fund |
140 | 140,117 | ||||||
Port of Greater Cincinnati Development Authority |
100 | 93,125 | ||||||
|
|
|||||||
8,544,656 | ||||||||
|
|
|||||||
Oklahoma 0.9% |
||||||||
Norman Regional Hospital Authority |
505 | 450,411 | ||||||
Oklahoma Development Finance Authority |
1,180 | 1,220,671 | ||||||
Oklahoma Development Finance Authority |
1,000 | 1,034,747 | ||||||
|
|
|||||||
2,705,829 | ||||||||
|
|
|||||||
Other 0.1% |
||||||||
Federal Home Loan Mortgage Corp. Multifamily VRD Certificates |
375 | 339,920 | ||||||
|
|
|||||||
Pennsylvania 4.6% |
||||||||
Allegheny County Airport Authority |
2,000 | 1,975,687 | ||||||
Beaver County Industrial Development Authority |
130 | 130,112 | ||||||
Berks County Municipal Authority (The) |
1,000 | 1,020,088 |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 35 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Bucks County Industrial Development Authority |
$ | 250 | $ | 256,825 | ||||
Lancaster County Hospital Authority/PA |
1,000 | 984,859 | ||||||
Montgomery County Higher Education and Health Authority |
2,000 | 2,159,991 | ||||||
Moon Industrial Development Authority |
100 | 101,576 | ||||||
Pennsylvania Economic Development Financing Authority |
510 | 423,788 | ||||||
Pennsylvania Economic Development Financing Authority |
100 | 104,431 | ||||||
Pennsylvania Economic Development Financing Authority |
1,000 | 1,000,003 | ||||||
Pennsylvania Higher Educational Facilities Authority |
2,000 | 1,966,642 | ||||||
5.00%, 08/15/2033(b) |
1,050 | 1,203,819 | ||||||
Pennsylvania Turnpike Commission |
200 | 217,109 |
36 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Series 2021-B |
$ | 1,000 | $ | 1,124,122 | ||||
Philadelphia Authority for Industrial Development |
100 | 101,001 | ||||||
School District of Philadelphia (The) |
1,350 | 1,479,553 | ||||||
|
|
|||||||
14,249,606 | ||||||||
|
|
|||||||
Puerto Rico 3.2% |
||||||||
Childrens Trust Fund |
2,600 | 157,269 | ||||||
Series 2008-B |
5,000 | 237,936 | ||||||
Commonwealth of Puerto Rico |
222 | 148,163 | ||||||
4.00%, 07/01/2033-07/01/2046 |
3,093 | 2,854,463 | ||||||
5.25%, 07/01/2023 |
138 | 139,336 | ||||||
5.375%, 07/01/2025 |
137 | 141,823 | ||||||
5.625%, 07/01/2027-07/01/2029 |
270 | 288,100 | ||||||
5.75%, 07/01/2031 |
130 | 141,978 | ||||||
Series 2022-C |
657 | 341,860 | ||||||
GDB Debt Recovery Authority of Puerto Rico |
132 | 121,885 | ||||||
Puerto Rico Commonwealth Aqueduct & Sewer Authority |
90 | 93,035 | ||||||
Series
2012-A |
215 | 216,193 | ||||||
5.125%, 07/01/2037 |
25 | 25,144 | ||||||
5.25%, 07/01/2029-07/01/2042 |
200 | 201,190 | ||||||
5.50%, 07/01/2028 |
75 | 75,476 | ||||||
5.75%, 07/01/2037 |
50 | 50,337 | ||||||
6.00%, 07/01/2047 |
50 | 50,357 | ||||||
Puerto Rico Electric Power Authority |
330 | 315,150 | ||||||
Series 2008-W |
245 | 233,975 | ||||||
5.375%, 07/01/2024 |
125 | 120,156 |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 37 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Series
2010-A |
$ | 115 | $ | 110,400 | ||||
Series
2010-C |
25 | 23,875 | ||||||
5.25%, 07/01/2028(d)(g) |
175 | 168,000 | ||||||
Series
2010-D |
15 | 14,325 | ||||||
Series
2010-X |
340 | 326,400 | ||||||
5.75%, 07/01/2036(d)(g) |
125 | 120,938 | ||||||
Series 2010-Z |
40 | 38,400 | ||||||
Series
2012-A |
60 | 57,300 | ||||||
AGM Series 2007-V |
375 | 389,153 | ||||||
Puerto Rico Highway & Transportation Authority |
125 | 130,233 | ||||||
AGC Series 2007-N |
110 | 115,118 | ||||||
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing
Auth |
390 | 403,138 | ||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue |
2,153 | 628,347 | ||||||
Series 2019-A |
440 | 434,998 | ||||||
5.00%, 07/01/2058 |
867 | 888,640 | ||||||
|
|
|||||||
9,803,091 | ||||||||
|
|
|||||||
South Carolina 0.3% |
||||||||
South Carolina Jobs-Economic Development Authority |
200 | 166,315 | ||||||
South Carolina Public Service Authority |
265 | 281,913 |
38 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Series 2022 |
$ | 549 | $ | 533,812 | ||||
|
|
|||||||
982,040 | ||||||||
|
|
|||||||
Tennessee 0.7% |
||||||||
Bristol Industrial Development Board |
370 | 364,297 | ||||||
5.125%, 12/01/2042(a) |
780 | 762,310 | ||||||
Chattanooga Health Educational & Housing Facility Board |
130 | 126,212 | ||||||
Metropolitan Government Nashville & Davidson County Health & Educational Facilities
Board |
250 | 213,646 | ||||||
Metropolitan Government Nashville & Davidson County Health & Educational Facilities
Board |
135 | 63,450 | ||||||
Metropolitan Government Nashville & Davidson County Health & Educational Facilities
Board |
215 | 231,084 | ||||||
Metropolitan Government Nashville & Davidson County Industrial Development Board |
100 | 82,888 | ||||||
Wilson County Health & Educational Facilities Board |
200 | 161,023 | ||||||
4.25%, 12/01/2024 |
200 | 190,736 | ||||||
|
|
|||||||
2,195,646 | ||||||||
|
|
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 39 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Texas 4.6% |
||||||||
Abilene Convention Center Hotel Development Corp. |
$ | 250 | $ | 248,909 | ||||
Series
2021-B |
200 | 181,817 | ||||||
Austin Convention Enterprises, Inc. |
500 | 516,320 | ||||||
Baytown Municipal Development District |
400 | 359,475 | ||||||
Central Texas Regional Mobility Authority |
100 | 102,099 | ||||||
Series 2021-B |
1,000 | 1,070,173 | ||||||
Series 2021-C |
1,000 | 1,058,576 | ||||||
City of Houston TX |
160 | 167,209 | ||||||
City of San Antonio TX Electric & Gas Systems Revenue |
1,000 | 1,107,233 | ||||||
Conroe Local Government Corp. |
1,000 | 999,766 | ||||||
Dallas Area Rapid Transit |
580 | 616,439 | ||||||
Dallas County Flood Control District No. 1 |
100 | 100,295 | ||||||
Hidalgo County Regional Mobility Authority |
1,600 | 1,547,630 | ||||||
Series 2022-B |
1,400 | 434,282 |
40 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Love Field Airport Modernization Corp. |
$ | 500 | $ | 523,964 | ||||
Mission Economic Development Corp. |
450 | 464,933 | ||||||
New Hope Cultural Education Facilities Finance Corp. |
100 | 100,162 | ||||||
Series 2022 |
100 | 80,269 | ||||||
5.00%, 01/01/2057(b) |
200 | 180,110 | ||||||
North Texas Tollway Authority |
250 | 262,394 | ||||||
Port Beaumont Navigation District |
100 | 83,652 | ||||||
Series 2021 |
300 | 260,994 | ||||||
Tarrant County Cultural Education Facilities Finance Corp. |
675 | 236,250 | ||||||
Tarrant County Cultural Education Facilities Finance Corp. |
456 | 415,161 | ||||||
Tarrant County Cultural Education Facilities Finance Corp. |
100 | 102,389 | ||||||
Texas Private Activity Bond Surface Transportation Corp. |
3,000 | 3,094,458 | ||||||
|
|
|||||||
14,314,959 | ||||||||
|
|
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 41 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Utah 0.5% |
||||||||
City of Salt Lake City UT Airport Revenue |
$ | 1,000 | $ | 1,051,971 | ||||
Military Installation Development Authority |
500 | 383,748 | ||||||
|
|
|||||||
1,435,719 | ||||||||
|
|
|||||||
Virginia 2.3% |
||||||||
Halifax County Industrial Development Authority |
2,000 | 1,951,025 | ||||||
Henrico County Economic Development Authority |
1,000 | 1,064,265 | ||||||
Tobacco Settlement Financing Corp./VA |
165 | 165,212 | ||||||
Virginia Small Business Financing Authority |
1,000 | 931,840 | ||||||
Virginia Small Business Financing Authority |
3,000 | 2,967,245 | ||||||
|
|
|||||||
7,079,587 | ||||||||
|
|
|||||||
Washington 5.8% |
||||||||
City of Seattle WA Municipal Light & Power Revenue |
1,000 | 1,065,488 | ||||||
Energy Northwest |
10,000 | 10,060,434 | ||||||
Pend Oreille County Public Utility District No. 1 Box Canyon |
280 | 294,001 |
42 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Port of Seattle WA |
$ | 510 | $ | 531,891 | ||||
Series 2021 |
1,000 | 974,244 | ||||||
Spokane County School District No. 81 Spokane |
1,000 | 987,470 | ||||||
State of Washington |
2,000 | 2,268,389 | ||||||
Washington Health Care Facilities Authority |
1,000 | 969,301 | ||||||
Washington State Convention Center Public Facilities District |
235 | 226,922 | ||||||
Washington State Housing Finance Commission |
100 | 102,055 | ||||||
Series 2021-1, Class A |
281 | 256,660 | ||||||
Washington State Housing Finance Commission |
100 | 104,299 | ||||||
|
|
|||||||
17,841,154 | ||||||||
|
|
|||||||
West Virginia 0.4% |
||||||||
City of South Charleston WV |
250 | 205,409 | ||||||
Tobacco Settlement Finance Authority/WV |
881 | 877,609 | ||||||
|
|
|||||||
1,083,018 | ||||||||
|
|
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 43 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Wisconsin 3.5% |
||||||||
St. Croix Chippewa Indians of Wisconsin |
$ | 200 | $ | 160,954 | ||||
UMA Education, Inc. |
330 | 346,053 | ||||||
Wisconsin Health & Educational Facilities Authority |
100 | 82,577 | ||||||
Wisconsin Health & Educational Facilities Authority |
100 | 97,799 | ||||||
Wisconsin Health & Educational Facilities Authority |
2,190 | 1,889,756 | ||||||
Wisconsin Housing & Economic Development Authority |
100 | 92,043 | ||||||
Series 2022-A
|
460 | 421,384 | ||||||
Wisconsin Public Finance Authority |
1,000 | 943,843 | ||||||
Wisconsin Public Finance Authority |
350 | 320,987 | ||||||
Wisconsin Public Finance Authority |
1,000 | 970,484 | ||||||
Wisconsin Public Finance Authority |
100 | 102,620 |
44 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Wisconsin Public Finance Authority |
$ | 130 | $ | 131,313 | ||||
Wisconsin Public Finance Authority |
150 | 120,228 | ||||||
Wisconsin Public Finance Authority |
1,000 | 1,034,700 | ||||||
Wisconsin Public Finance Authority |
1,000 | 891,852 | ||||||
Wisconsin Public Finance Authority |
500 | 361,732 | ||||||
Series 2022 |
100 | 75,895 | ||||||
Wisconsin Public Finance Authority |
1,300 | 1,307,411 | ||||||
Wisconsin Public Finance Authority |
500 | 471,194 | ||||||
Wisconsin Public Finance Authority |
1,000 | 895,128 | ||||||
|
|
|||||||
10,717,953 | ||||||||
|
|
|||||||
Total Long-Term Municipal Bonds |
234,698,886 | |||||||
|
|
|||||||
Short-Term Municipal Note 30.0% |
||||||||
Arizona 1.3% |
||||||||
Arizona Health Facilities Authority |
3,000 | 3,000,000 |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 45 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Arizona Industrial Development Authority |
$ | 1,000 | $ | 1,000,000 | ||||
|
|
|||||||
4,000,000 | ||||||||
|
|
|||||||
California 4.2% |
||||||||
Abag Finance Authority for Nonprofit Corps. |
2,920 | 2,920,000 | ||||||
California Infrastructure & Economic Development Bank |
275 | 275,000 | ||||||
City of Irvine CA |
1,000 | 1,000,000 | ||||||
City of Irvine CA |
2,880 | 2,880,000 | ||||||
City of Modesto CA Water Revenue |
2,140 | 2,140,000 | ||||||
County of San Bernardino CA |
1,000 | 1,000,000 | ||||||
Northern California Power Agency |
1,500 | 1,500,000 | ||||||
Santa Clara Valley Transportation Authority |
1,250 | 1,250,000 | ||||||
|
|
|||||||
12,965,000 | ||||||||
|
|
46 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Colorado 0.3% |
||||||||
Colorado Educational & Cultural Facilities Authority |
$ | 1,000 | $ | 1,000,000 | ||||
|
|
|||||||
District of Columbia 1.5% |
||||||||
District of Columbia |
1,075 | 1,075,000 | ||||||
District of Columbia |
1,390 | 1,390,000 | ||||||
District of Columbia |
1,075 | 1,075,000 | ||||||
Series 2017-A
|
1,000 | 1,000,000 | ||||||
|
|
|||||||
4,540,000 | ||||||||
|
|
|||||||
Florida 2.2% |
||||||||
City of Gainesville FL |
1,250 | 1,250,000 | ||||||
County of Palm Beach FL |
2,375 | 2,375,000 | ||||||
Orange County Health Facilities Authority |
3,000 | 3,000,000 | ||||||
|
|
|||||||
6,625,000 | ||||||||
|
|
|||||||
Georgia 1.6% |
| |||||||
Cobb County School District |
5,000 | 5,042,218 | ||||||
|
|
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 47 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Hawaii 0.4% |
||||||||
Hawaii Housing Finance & Development Corp. |
$ | 1,255 | $ | 1,255,000 | ||||
|
|
|||||||
Illinois 1.3% |
||||||||
Illinois Finance Authority |
1,475 | 1,475,000 | ||||||
Illinois Finance Authority |
2,200 | 2,200,000 | ||||||
Village of Brookfield IL |
250 | 250,000 | ||||||
|
|
|||||||
3,925,000 | ||||||||
|
|
|||||||
Indiana 0.7% |
||||||||
Indiana Municipal Power Agency |
2,145 | 2,145,000 | ||||||
|
|
|||||||
Iowa 0.4% |
||||||||
Iowa Finance Authority |
1,300 | 1,300,000 | ||||||
|
|
|||||||
Louisiana 1.6% |
||||||||
Louisiana Public Facilities Authority |
1,150 | 1,150,000 | ||||||
Louisiana Public Facilities Authority |
1,655 | 1,655,000 | ||||||
0.43%, 07/01/2047(j) |
2,000 | 2,000,000 | ||||||
|
|
|||||||
4,805,000 | ||||||||
|
|
|||||||
Maryland 0.1% |
||||||||
Maryland Health & Higher Educational Facilities Authority |
400 | 400,000 | ||||||
|
|
48 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Massachusetts 0.7% |
||||||||
Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue |
$ | 2,000 | $ | 2,000,000 | ||||
|
|
|||||||
Nevada 1.0% |
||||||||
County of Clark Department of Aviation |
3,000 | 3,000,000 | ||||||
|
|
|||||||
New Jersey 1.2% |
||||||||
Essex County Improvement Authority |
2,215 | 2,215,000 | ||||||
New Jersey Health Care Facilities Financing Authority |
500 | 500,000 | ||||||
Series 2008-C
|
1,000 | 1,000,000 | ||||||
|
|
|||||||
3,715,000 | ||||||||
|
|
|||||||
New York 4.1% |
||||||||
City of New York NY |
2,000 | 2,000,000 | ||||||
Series 2016 |
3,500 | 3,500,000 | ||||||
Series 2019-I
|
1,125 | 1,125,000 | ||||||
New York City Health and Hospitals Corp. |
1,635 | 1,635,000 | ||||||
New York City Housing Development Corp. |
900 | 900,000 | ||||||
New York State Housing Finance Agency |
2,450 | 2,450,000 |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 49 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Triborough Bridge & Tunnel Authority |
$ | 1,000 | $ | 1,000,000 | ||||
|
|
|||||||
12,610,000 | ||||||||
|
|
|||||||
Ohio 0.5% |
||||||||
Columbus Regional Airport Authority |
1,570 | 1,570,000 | ||||||
|
|
|||||||
Rhode Island 0.6% |
||||||||
Rhode Island Health and Educational Building Corp. |
1,755 | 1,755,000 | ||||||
|
|
|||||||
South Carolina 1.3% |
||||||||
Lexington County School District No. 3/SC |
4,000 | 4,033,092 | ||||||
|
|
|||||||
Texas 1.4% |
||||||||
City of Houston TX |
4,000 | 4,005,767 | ||||||
Newark Higher Education Finance Corp. |
335 | 333,873 | ||||||
|
|
|||||||
4,339,640 | ||||||||
|
|
|||||||
Vermont 1.0% |
||||||||
Vermont Educational & Health Buildings Financing Agency |
2,500 | 2,500,000 | ||||||
Washington State Housing Finance Commission |
690 | 690,000 | ||||||
|
|
|||||||
3,190,000 | ||||||||
|
|
50 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Virginia 1.8% |
||||||||
Loudoun County Economic Development Authority |
$ | 2,050 | $ | 2,050,000 | ||||
Roanoke Economic Development Authority |
3,425 | 3,425,000 | ||||||
|
|
|||||||
5,475,000 | ||||||||
|
|
|||||||
Washington 0.8% |
||||||||
Washington State Housing Finance Commission |
2,250 | 2,250,000 | ||||||
Washington State Housing Finance Commission |
250 | 250,000 | ||||||
|
|
|||||||
2,500,000 | ||||||||
|
|
|||||||
Total Short-Term Municipal Notes |
92,189,950 | |||||||
|
|
|||||||
Total Municipal Obligations |
326,888,836 | |||||||
|
|
|||||||
CORPORATES - INVESTMENT GRADE 1.1% |
||||||||
Financial Institutions 0.6% |
||||||||
Banking 0.2% |
||||||||
Bank of America Corp. |
100 | 97,693 | ||||||
Bank of New York Mellon Corp. (The) |
100 | 92,793 | ||||||
Comerica, Inc. |
100 | 101,811 | ||||||
Fifth Third Bancorp |
100 | 97,251 |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 51 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Huntington Bancshares, Inc./OH |
$ | 100 | $ | 100,424 | ||||
JPMorgan Chase & Co. |
50 | 49,397 | ||||||
Truist Financial Corp. |
100 | 98,784 | ||||||
Wells Fargo & Co. |
100 | 91,404 | ||||||
|
|
|||||||
729,557 | ||||||||
|
|
|||||||
Finance 0.2% |
||||||||
Air Lease Corp. |
600 | 568,716 | ||||||
|
|
|||||||
Insurance 0.2% |
||||||||
Centene Corp. |
232 | 225,031 | ||||||
Prudential Financial, Inc. |
215 | 215,210 | ||||||
|
|
|||||||
440,241 | ||||||||
|
|
|||||||
1,738,514 | ||||||||
|
|
|||||||
Industrial 0.5% |
||||||||
Consumer Cyclical - Entertainment 0.3% |
||||||||
YMCA of Greater New York |
1,000 | 934,120 | ||||||
|
|
|||||||
Consumer Cyclical - Other 0.1% |
||||||||
Las Vegas Sands Corp. |
600 | 576,210 | ||||||
|
|
|||||||
Consumer Non-Cyclical 0.1% |
||||||||
Newell Brands, Inc. |
173 | 171,088 | ||||||
4.875%, 06/01/2025 |
18 | 18,208 | ||||||
|
|
|||||||
189,296 | ||||||||
|
|
|||||||
1,699,626 | ||||||||
|
|
|||||||
Total Corporates - Investment Grade |
3,438,140 | |||||||
|
|
|||||||
52 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
CORPORATES - NON-INVESTMENT GRADE 0.9% |
||||||||
Industrial 0.8% |
||||||||
Banks 0.0% |
||||||||
UMB Financial Corp.
|
$ | 18 | $ | 17,556 | ||||
|
|
|||||||
Communications - Media 0.2% |
||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
309 | 245,569 | ||||||
DISH DBS Corp. |
240 | 220,747 | ||||||
5.75%, 12/01/2028(a) |
250 | 224,240 | ||||||
|
|
|||||||
690,556 | ||||||||
|
|
|||||||
Communications - Telecommunications 0.0% |
||||||||
ESC GCB In Jacks 5.5
|
275 | 0 | | |||||
|
|
|||||||
Consumer Cyclical - Entertainment 0.4% |
||||||||
Carnival Corp. |
400 | 360,136 | ||||||
Wild Rivers Water Park |
875 | 753,716 | ||||||
|
|
|||||||
1,113,852 | ||||||||
|
|
|||||||
Consumer Non-Cyclical 0.1% |
||||||||
Mozart Debt Merger Sub, Inc.
|
350 | 306,009 | ||||||
|
|
|||||||
Services 0.0% |
||||||||
Trousdale Issuer LLC |
200 | 66,000 | ||||||
|
|
|||||||
Transportation - Airlines 0.1% |
||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd. |
155 | 153,622 | ||||||
5.75%, 04/20/2029(a) |
165 | 159,190 | ||||||
United Airlines, Inc.
|
150 | 144,540 | ||||||
|
|
|||||||
457,352 | ||||||||
|
|
|||||||
2,651,325 | ||||||||
|
|
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 53 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
Utility 0.1% |
||||||||
Vistra Corp. |
$ | 225 | $ | 218,999 | ||||
|
|
|||||||
Total Corporates - Non-Investment Grade |
2,870,324 | |||||||
|
|
|||||||
COLLATERALIZED MORTGAGE OBLIGATIONS 0.3% |
||||||||
Risk Share Floating Rate 0.3% |
||||||||
Bellemeade Re Ltd. |
134 | 133,498 | ||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes |
28 | 27,797 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities |
88 | 90,933 | ||||||
Series 2014-C03, Class 2M2 |
39 | 39,035 | ||||||
Series 2015-C02, Class 1M2 |
41 | 41,901 | ||||||
Series 2016-C01, Class 1M2 |
118 | 125,886 | ||||||
Series 2016-C02, Class 1M2 |
144 | 152,165 | ||||||
Series 2017-C01, Class 1M2 |
144 | 149,165 | ||||||
Series 2017-C04, Class 2M2 |
218 | 222,703 | ||||||
|
|
|||||||
Total Collateralized Mortgage Obligations |
983,083 | |||||||
|
|
|||||||
54 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES 0.3% |
||||||||
Agency CMBS 0.1% |
||||||||
California Housing Finance Agency |
$ | 248 | $ | 237,831 | ||||
Series 2021-3, Class X |
994 | 64,038 | ||||||
Washington State Housing Finance Commission |
988 | 53,539 | ||||||
|
|
|||||||
355,408 | ||||||||
|
|
|||||||
Non-Agency Floating Rate CMBS 0.2% |
||||||||
BAMLL Commercial Mortgage Securities Trust |
250 | 237,557 | ||||||
DBWF Mortgage Trust |
275 | 270,687 | ||||||
|
|
|||||||
508,244 | ||||||||
|
|
|||||||
Total Commercial Mortgage-Backed Securities |
863,652 | |||||||
|
|
|||||||
ASSET-BACKED SECURITIES 0.2% |
||||||||
Autos - Fixed Rate 0.1% |
||||||||
CPS Auto Receivables Trust |
250 | 241,717 | ||||||
|
|
|||||||
Other ABS - Fixed Rate 0.1% |
||||||||
Affirm Asset Securitization Trust |
217 | 213,275 | ||||||
Dominos Pizza Master Issuer LLC |
198 | 178,046 | ||||||
|
|
|||||||
391,321 | ||||||||
|
|
|||||||
Total Asset-Backed Securities |
633,038 | |||||||
|
|
|||||||
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 55 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||
|
||||||||
COLLATERALIZED LOAN OBLIGATIONS 0.1% |
||||||||
CLO - Floating Rate 0.1% |
||||||||
THL Credit Wind River CLO Ltd. |
$ | 250 | $ | 248,578 | ||||
|
|
|||||||
Shares | ||||||||
COMMON STOCKS 0.0% |
||||||||
Communication Services 0.0% |
||||||||
Diversified Telecommunication Services 0.0% |
||||||||
Intelsat Emergence SA(g)(k) |
2,571 | 81,308 | ||||||
Intelsat Jackson Holdings S 05(g)(k)(l) |
538 | 0 | | |||||
|
|
|||||||
Total Common Stocks |
81,308 | |||||||
|
|
|||||||
SHORT-TERM INVESTMENTS 3.4% |
||||||||
Investment Companies 3.4% |
||||||||
AB Fixed Income Shares, Inc. Government Money Market Portfolio Class AB, 0.22%(o)(p)(q) |
10,323,868 | 10,323,868 | ||||||
|
|
|||||||
Total Investments 112.5% |
346,330,827 | |||||||
Other assets less liabilities (12.5)% |
(38,468,312 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 307,862,515 | ||||||
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note D)
Description | Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at April 30, 2022 |
Notional Amount (000) |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||||||||||
CDX-NAIG |
(1.00 | )% | Quarterly | 0.71 | % | USD | 4,500 | $ | (54,935 | ) | $ | (80,240 | ) | $ | 25,305 |
* | Termination date |
56 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
CENTRALLY CLEARED INFLATION (CPI) SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||||||
Notional Amount (000) |
Termination Date |
Payments made by the Fund |
Payments received by the Fund |
Payment Paid/ |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||
USD | 1,180 | 01/15/2025 | 4.028% | CPI# | Maturity | $ | 54,050 | $ | 0 | | $ | 54,050 | ||||||||||||||
USD | 4,860 | 01/15/2026 | 3.765% | CPI# | Maturity | 235,721 | 0 | | 235,721 | |||||||||||||||||
USD | 3,030 | 01/15/2027 | CPI# | 3.323% | Maturity | (201,716 | ) | 0 | | (201,716 | ) | |||||||||||||||
USD | 2,760 | 01/15/2027 | CPI# | 3.466% | Maturity | (159,149 | ) | (3,538 | ) | (155,611 | ) | |||||||||||||||
USD | 1,340 | 01/15/2027 | CPI# | 3.320% | Maturity | (89,457 | ) | 0 | | (89,457 | ) | |||||||||||||||
USD | 1,110 | 01/15/2028 | 1.230% | CPI# | Maturity | 228,992 | 0 | | 228,992 | |||||||||||||||||
USD | 650 | 01/15/2028 | 0.735% | CPI# | Maturity | 157,688 | 0 | | 157,688 | |||||||||||||||||
USD | 4,600 | 01/15/2029 | CPI# | 3.390% | Maturity | (225,858 | ) | 0 | | (225,858 | ) | |||||||||||||||
USD | 3,720 | 01/15/2029 | CPI# | 3.331% | Maturity | (201,102 | ) | 0 | | (201,102 | ) | |||||||||||||||
USD | 1,680 | 01/15/2030 | 1.714% | CPI# | Maturity | 318,049 | 0 | | 318,049 | |||||||||||||||||
USD | 1,680 | 01/15/2030 | 1.731% | CPI# | Maturity | 315,345 | 0 | | 315,345 | |||||||||||||||||
USD | 1,600 | 01/15/2030 | 1.585% | CPI# | Maturity | 322,322 | 0 | | 322,322 | |||||||||||||||||
USD | 525 | 01/15/2030 | 1.572% | CPI# | Maturity | 106,400 | 0 | | 106,400 | |||||||||||||||||
USD | 525 | 01/15/2030 | 1.587% | CPI# | Maturity | 105,664 | 0 | | 105,664 | |||||||||||||||||
USD | 1,650 | 01/15/2031 | 2.782% | CPI# | Maturity | 162,417 | 0 | | 162,417 | |||||||||||||||||
USD | 1,380 | 01/15/2031 | 2.680% | CPI# | Maturity | 150,022 | 0 | | 150,022 | |||||||||||||||||
USD | 1,100 | 01/15/2031 | 2.601% | CPI# | Maturity | 128,269 | 0 | | 128,269 | |||||||||||||||||
USD | 920 | 01/15/2031 | 2.989% | CPI# | Maturity | 71,158 | 0 | | 71,158 | |||||||||||||||||
USD | 1,990 | 01/15/2032 | CPI# | 3.448% | Maturity | (43,272 | ) | 0 | | (43,272 | ) | |||||||||||||||
USD | 1,420 | 01/15/2032 | CPI# | 3.064% | Maturity | (94,568 | ) | 0 | | (94,568 | ) | |||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||
$ | 1,340,975 | $ | (3,538 | ) | $ | 1,344,513 | ||||||||||||||||||||
|
|
|
|
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||||||
Notional Amount (000) |
Termination Date |
Payments made by the Fund |
Payments received by the Fund |
Payment Frequency Paid/ Received |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||
USD | 10,000 | 01/15/2027 | 1 Day SOFR |
2.711% | Annual | $ | (2,603 | ) | $ | 0 | | $ | (2,603 | ) | ||||||||||||
USD | 7,000 | 01/15/2031 | 1.252% | 3 Month LIBOR |
Semi-Annual/ Quarterly |
916,669 | 0 | | 916,669 | |||||||||||||||||
USD | 5,000 | 01/15/2031 | 1.276% | 3 Month LIBOR |
Semi-Annual/ Quarterly |
639,223 | 0 | | 639,223 | |||||||||||||||||
USD | 3,500 | 01/15/2031 | 1.401% | 3 Month LIBOR |
Semi-Annual/ Quarterly |
416,768 | 0 | | 416,768 | |||||||||||||||||
USD | 2,300 | 01/15/2031 | 1.269% | 3 Month LIBOR |
Semi-Annual/ Quarterly |
298,064 | 0 | | 298,064 | |||||||||||||||||
USD | 1,800 | 01/15/2031 | 1.314% | 3 Month LIBOR |
Semi-Annual/ Quarterly |
224,650 | 0 | | 224,650 | |||||||||||||||||
USD | 4,000 | 04/15/2032 | 2.473% | 1 Day SOFR |
Annual | 73,697 | 0 | | 73,697 | |||||||||||||||||
USD | 2,600 | 04/15/2032 | 1.280% | 1 Day SOFR |
Annual | 319,896 | 0 | | 319,896 | |||||||||||||||||
USD | 2,000 | 02/15/2037 | 1 Day SOFR |
1.699% | Annual | (236,781 | ) | 0 | | (236,781 | ) |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 57 |
PORTFOLIO OF INVESTMENTS (continued)
Rate Type | ||||||||||||||||||||||||||
Notional Amount (000) |
Termination Date |
Payments made by the Fund |
Payments received by the Fund |
Payment Frequency Paid/ Received |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||
USD | 1,200 | 04/01/2039 | 0.780% | 3 Month LIBOR |
Semi-Annual/ Quarterly |
$ | 355,823 | $ | (43 | ) | $ | 355,866 | ||||||||||||||
USD | 1,100 | 04/01/2039 | 0.932% | 3 Month LIBOR |
Semi-Annual/ Quarterly |
303,537 | 0 | | 303,537 | |||||||||||||||||
USD | 1,000 | 04/01/2039 | 0.774% | 3 Month LIBOR |
Semi-Annual/ Quarterly |
297,402 | 0 | | 297,402 | |||||||||||||||||
USD | 2,300 | 02/15/2041 | 1 Day SOFR |
1.764% | Annual | (296,186 | ) | 0 | | (296,186 | ) | |||||||||||||||
USD | 1,500 | 02/15/2041 | 1 Day SOFR |
1.745% | Annual | (197,435 | ) | 0 | | (197,435 | ) | |||||||||||||||
USD | 1,000 | 02/15/2041 | 1 Day SOFR |
1.657% | Annual | (144,807 | ) | 0 | | (144,807 | ) | |||||||||||||||
USD | 3,150 | 04/01/2054 | 1.583% | 3 Month LIBOR |
Semi-Annual/ Quarterly |
772,006 | 0 | | 772,006 | |||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||
$ | 3,739,923 | $ | (43 | ) | $ | 3,739,966 | ||||||||||||||||||||
|
|
|
|
|
|
CREDIT DEFAULT SWAPS (see Note D)
Swap Counterparty & Referenced Obligation |
Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at April 30, 2022 |
Notional Amount (000) |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA. |
3.00 | % | Monthly | 7.50 | % | USD | 483 | $ | (116,720 | ) | $ | (54,550 | ) | $ | (62,170 | ) | ||||||||||||||||
CDX-CMBX.NA. |
3.00 | Monthly | 7.50 | USD | 938 | (226,641 | ) | (116,361 | ) | (110,280 | ) | |||||||||||||||||||||
Credit Suisse International |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA. |
3.00 | Monthly | 7.50 | USD | 938 | (226,641 | ) | (118,388 | ) | (108,253 | ) | |||||||||||||||||||||
JPMorgan Securities, LLC |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 05/11/2063* |
2.00 | Monthly | 7.50 | USD | 2,420 | (218,553 | ) | 37,983 | (256,536 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (788,555 | ) | $ | (251,316 | ) | $ | (537,239 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
58 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
INTEREST RATE SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||||||||||||||||
Swap Counterparty |
Notional Amount (000) |
Termination Date |
Payments made by the Fund |
Payments received by the Fund |
Payment Frequency Paid Received |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||||
Citibank, NA |
USD | 2,000 | 11/23/2022 | SIFMA* | 1.510% | Maturity | $ | (156,347 | ) | $ | 0 | | $ | (156,347 | ) | |||||||||||||||||||||
Citibank, NA |
USD | 2,000 | 01/09/2023 | SIFMA* | 1.600% | Maturity | (200,137 | ) | 0 | | (200,137 | ) | ||||||||||||||||||||||||
Citibank, NA |
USD | 2,000 | 04/07/2023 | SIFMA* | 2.655% | Maturity | (81,962 | ) | 0 | | (81,962 | ) | ||||||||||||||||||||||||
Citibank, NA |
USD | 2,220 | 10/09/2029 | 1.125% | SIFMA* | Quarterly | 200,659 | 0 | | 200,659 | ||||||||||||||||||||||||||
Morgan Stanley Capital Services LLC |
USD | 2,000 | 12/19/2022 | SIFMA* | 1.450% | Maturity | (193,668 | ) | 0 | | (193,668 | ) | ||||||||||||||||||||||||
Morgan Stanley Capital Services LLC |
USD | 2,000 | 02/13/2023 | SIFMA* | 2.000% | Maturity | (163,740 | ) | 0 | | (163,740 | ) | ||||||||||||||||||||||||
Morgan Stanley Capital Services LLC |
USD | 2,000 | 03/15/2023 | SIFMA* | 2.400% | Maturity | (115,236 | ) | 0 | | (115,236 | ) | ||||||||||||||||||||||||
Morgan Stanley Capital Services LLC |
USD | 2,000 | 03/23/2023 | SIFMA* | 2.460% | Maturity | (106,330 | ) | 0 | | (106,330 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
$ | (816,761 | ) | $ | 0 | | $ | (816,761 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
* | 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 April 30, 2022, the aggregate market value of these securities amounted to $32,825,298 or 10.7% of net assets. |
(b) | When-Issued or delayed delivery security. |
(c) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at April 30, 2022. |
(d) | Defaulted. |
(e) | Restricted and illiquid security. |
Restricted & Illiquid Securities |
Acquisition Date |
Cost | Market Value |
Percentage of Net Assets |
||||||||||||
Louisiana Public Facilities Authority |
07/31/2014 | $ | 173,773 | $ | 2 | 0.00 | % |
(f) | An auction rate security whose interest rate resets at each auction date. Auctions are typically held every week or month. The rate shown is as of April 30, 2022 and the aggregate market value of this security amounted to $200,000 or 0.07% of net assets. |
(g) | Non-income producing security. |
(h) | Security represents the underlying municipal obligation of an inverse floating rate obligation held by the Fund (see Note I). |
(i) | Defaulted matured security. |
(j) | 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. |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 59 |
PORTFOLIO OF INVESTMENTS (continued)
(k) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(l) | Fair valued by the Adviser. |
(m) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(n) | IO Interest Only. |
(o) | Affiliated investments. |
(p) | The rate shown represents the 7-day yield as of period end. |
(q) | To obtain a copy of the funds shareholder report, please go to the Securities and Exchange Commissions website at www.sec.gov, or call AB at (800) 227-4618. |
As of April 30, 2022, the Funds percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 3.0% and 0.0%, respectively.
Glossary:
ABS Asset-Backed Securities
AGC Assured Guaranty Corporation
AGM Assured Guaranty Municipal
CCRC Congregate Care Retirement Center
CDX-CMBX.NA North American Commercial Mortgage-Backed Index
CDX-NAIG North American Investment Grade Credit Default Swap Index
CIFGNA CIFG Assurance North America, Inc.
CLO Collateralized Loan Obligations
CMBS Commercial Mortgage-Backed Securities
COP Certificate of Participation
CPI Consumer Price Index
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
See notes to financial statements.
60 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
abfunds.com |
STATEMENT OF ASSETS & LIABILITIES
April 30, 2022 (unaudited)
Assets |
| |||
Investments in securities, at value |
||||
Unaffiliated issuers (cost $357,135,122) |
$ | 336,006,959 | ||
Affiliated issuers (cost $10,323,868) |
10,323,868 | |||
Cash |
7,298 | |||
Cash collateral due from broker |
3,034,690 | |||
Interest receivable |
2,748,412 | |||
Receivable for capital stock sold |
2,198,813 | |||
Receivable for investment securities sold |
218,000 | |||
Unrealized appreciation on interest rate swaps |
200,659 | |||
Receivable for variation margin on centrally cleared swaps |
51,852 | |||
Affiliated dividends receivable |
1,021 | |||
|
|
|||
Total assets |
354,791,572 | |||
|
|
|||
Liabilities |
| |||
Payable for investment securities purchased |
37,304,521 | |||
Payable for capital stock redeemed |
5,998,717 | |||
Payable for floating rate notes issued(a) |
1,600,000 | |||
Unrealized depreciation on interest rate swaps |
1,017,420 | |||
Market value on credit default swaps (net premiums received $251,316) |
788,555 | |||
Advisory fee payable |
78,902 | |||
Administrative fee payable |
13,861 | |||
Distribution fee payable |
11,544 | |||
Transfer Agent fee payable |
1,674 | |||
Directors fees payable |
1,660 | |||
Dividends payable |
340 | |||
Accrued expenses |
111,863 | |||
|
|
|||
Total liabilities |
46,929,057 | |||
|
|
|||
Net Assets |
$ | 307,862,515 | ||
|
|
|||
Composition of Net Assets |
| |||
Capital stock, at par |
$ | 29,040 | ||
Additional paid-in capital |
326,645,265 | |||
Accumulated loss |
(18,811,790 | ) | ||
|
|
|||
Net Assets |
$ | 307,862,515 | ||
|
|
Net Asset Value Per Share21 billion shares of capital stock authorized, $.001 par value
Class | Net Assets | Shares Outstanding |
Net Asset Value |
|||||||||
|
||||||||||||
A | $ | 26,088,998 | 2,460,675 | $ | 10.60 | * | ||||||
|
||||||||||||
C | $ | 6,646,423 | 626,973 | $ | 10.60 | |||||||
|
||||||||||||
Advisor | $ | 275,127,094 | 25,951,903 | $ | 10.60 | |||||||
|
(a) | Represents short-term floating rate certificates issued by tender option bond trusts (see Note I). |
* | The maximum offering price per share for Class A shares was $10.93 which reflects a sales charge of 3.00%. |
See notes to financial statements.
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 61 |
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2022 (unaudited)
Investment Income |
| |||||||
Interest |
$ | 2,549,521 | ||||||
DividendsAffiliated issuers |
2,121 | |||||||
Other income |
2,550 | $ | 2,554,192 | |||||
|
|
|||||||
Expenses |
| |||||||
Advisory fee (see Note B) |
552,805 | |||||||
Distribution feeClass A |
35,395 | |||||||
Distribution feeClass C |
38,671 | |||||||
Transfer agencyClass A |
4,571 | |||||||
Transfer agencyClass C |
1,260 | |||||||
Transfer agencyAdvisor Class |
34,135 | |||||||
Administrative |
79,096 | |||||||
Custody and accounting |
41,597 | |||||||
Registration fees |
28,890 | |||||||
Audit and tax |
27,780 | |||||||
Legal |
15,758 | |||||||
Printing |
15,451 | |||||||
Directors fees |
10,275 | |||||||
Miscellaneous |
4,813 | |||||||
|
|
|||||||
Total expenses before interest/bank overdraft expense |
890,497 | |||||||
Interest/bank overdraft expense |
15,749 | |||||||
|
|
|||||||
Total expenses |
906,246 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Note B) |
(204,778 | ) | ||||||
|
|
|||||||
Net expenses |
701,468 | |||||||
|
|
|||||||
Net investment income |
1,852,724 | |||||||
|
|
|||||||
Realized and Unrealized Gain (Loss) on Investment Transactions | ||||||||
Net realized gain (loss) on: |
||||||||
Investment transactions |
183,888 | |||||||
Swaps |
(1,343,090 | ) | ||||||
Net change in unrealized appreciation/depreciation of: |
||||||||
Investments(a) |
(24,911,815 | ) | ||||||
Swaps |
2,318,009 | |||||||
|
|
|||||||
Net loss on investment transactions |
(23,753,008 | ) | ||||||
|
|
|||||||
Net Decrease in Net Assets from Operations |
$ | (21,900,284 | ) | |||||
|
|
(a) | Net of decrease in accrued foreign capital gains taxes on unrealized gains of $419. |
See notes to financial statements.
62 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
abfunds.com |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
|||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income |
$ | 1,852,724 | $ | 2,474,391 | ||||
Net realized gain (loss) on investment transactions |
(1,159,202 | ) | 411,178 | |||||
Net change in unrealized appreciation/depreciation of investments |
(22,593,806 | ) | 4,031,055 | |||||
|
|
|
|
|||||
Net increase (decrease) in net assets from operations |
(21,900,284 | ) | 6,916,624 | |||||
Distributions to Shareholders |
| |||||||
Class A |
(187,879 | ) | (406,926 | ) | ||||
Class C |
(22,370 | ) | (35,666 | ) | ||||
Advisor Class |
(1,673,310 | ) | (2,042,255 | ) | ||||
Capital Stock Transactions |
| |||||||
Net increase |
134,334,193 | 117,513,762 | ||||||
|
|
|
|
|||||
Total increase |
110,550,350 | 121,945,539 | ||||||
Net Assets |
| |||||||
Beginning of period |
197,312,165 | 75,366,626 | ||||||
|
|
|
|
|||||
End of period |
$ | 307,862,515 | $ | 197,312,165 | ||||
|
|
|
|
See notes to financial statements.
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 63 |
NOTES TO FINANCIAL STATEMENTS
April 30, 2022 (unaudited)
NOTE A
Significant Accounting Policies
AB Bond Fund, Inc. (the Company) is registered under the Investment Company Act of 1940 as an open-end management investment company. The Company, which is a Maryland corporation, operates as a series company comprised of 10 portfolios currently in operation. Each portfolio is considered to be a separate entity for financial reporting and tax purposes. This report relates only to the AB Tax-Aware Fixed Income Opportunities Portfolio (the Fund), a diversified portfolio. The Fund has authorized the issuance of Class A, Class B, Class C, Advisor Class, Class T, Class 1 and Class 2 shares. Class B, Class T, Class 1 and Class 2 shares have not been issued. Class A shares are sold with a front-end sales charge of up to 3% for purchases not exceeding $500,000. With respect to purchases of $500,000 or more, Class A shares redeemed within one year of purchase may be subject to a contingent deferred sales charge of 1%. Class C shares are subject to a contingent deferred sales charge of 1% on redemptions made within the first year after purchase, and 0% after the first year of purchase. 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 shares are sold without any initial or contingent deferred sales charge and are not subject to ongoing distribution expenses. All seven classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (U.S. GAAP), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Fund.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at fair value as determined in accordance with procedures established by and under the general supervision of the Companys Board of Directors (the Board).
64 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (NASDAQ)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (OTC) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the Adviser) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the Committee) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 65 |
NOTES TO FINANCIAL STATEMENTS (continued)
determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuers financial statements or other available documents. In addition, the Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Funds 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 1quoted prices in active markets for identical investments |
| Level 2other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| Level 3significant unobservable inputs (including the Funds 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
66 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
other unique security features in order to estimate the relevant cash flows which are then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3.
Valuations of mortgage-backed or other asset-backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset-backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.
Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
The following table summarizes the valuation of the Funds investments by the above fair value hierarchy levels as of April 30, 2022:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: |
||||||||||||||||
Long-Term Municipal Bonds |
$ | 0 | | $ | 234,698,886 | $ | 0 | | $ | 234,698,886 | ||||||
Short-Term Municipal Notes |
0 | | 92,189,950 | 0 | | 92,189,950 | ||||||||||
Corporates Investment Grade |
0 | | 3,438,140 | 0 | | 3,438,140 | ||||||||||
Corporates Non-Investment Grade |
0 | | 2,852,768 | 17,556 | (a) | 2,870,324 | ||||||||||
Collateralized Mortgage Obligations |
0 | | 983,083 | 0 | | 983,083 | ||||||||||
Commercial Mortgage-Backed Securities |
0 | | 863,652 | 0 | | 863,652 | ||||||||||
Asset-Backed Securities |
0 | | 633,038 | 0 | | 633,038 | ||||||||||
Collateralized Loan Obligations |
0 | | 248,578 | 0 | | 248,578 | ||||||||||
Common Stocks |
0 | | 0 | | 81,308 | (a) | 81,308 | |||||||||
Short-Term Investments |
10,323,868 | 0 | | 0 | | 10,323,868 |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 67 |
NOTES TO FINANCIAL STATEMENTS (continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Liabilities: |
||||||||||||||||
Floating Rate Notes(b) |
$ | (1,600,000 | ) | $ | 0 | | $ | 0 | | $ | (1,600,000 | ) | ||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
8,723,868 | 335,908,095 | 98,864 | 344,730,827 | ||||||||||||
Other Financial Instruments(c): |
||||||||||||||||
Assets: |
||||||||||||||||
Centrally Cleared Inflation (CPI) Swaps |
0 | | 2,356,097 | 0 | | 2,356,097 | (d) | |||||||||
Centrally Cleared Interest Rate Swaps |
0 | | 4,617,735 | 0 | | 4,617,735 | (d) | |||||||||
Interest Rate Swaps |
0 | | 200,659 | 0 | | 200,659 | ||||||||||
Liabilities: |
||||||||||||||||
Centrally Cleared Credit Default Swaps |
0 | | (54,935 | ) | 0 | | (54,935 | )(d) | ||||||||
Centrally Cleared Inflation (CPI) Swaps |
0 | | (1,015,122 | ) | 0 | | (1,015,122 | )(d) | ||||||||
Centrally Cleared Interest Rate Swaps |
0 | | (877,812 | ) | 0 | | (877,812 | )(d) | ||||||||
Credit Default Swaps |
0 | | (788,555 | ) | 0 | | (788,555 | ) | ||||||||
Interest Rate Swaps |
0 | | (1,017,420 | ) | 0 | | (1,017,420 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 8,723,868 | $ | 339,328,742 | $ | 98,864 | $ | 348,151,474 | ||||||||
|
|
|
|
|
|
|
|
(a) | The Fund held securities with zero market value at period end. |
(b) | The Fund may hold liabilities in which the fair value approximates the carrying amount for financial statement purposes. |
(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 portfolio of investments. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value. |
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated
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NOTES TO FINANCIAL STATEMENTS (continued)
assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
4. Taxes
It is the Funds policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Funds 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 Funds financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts as adjustments to interest income. The Fund accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Fund are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Fund represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each fund or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 69 |
NOTES TO FINANCIAL STATEMENTS (continued)
determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B
Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Fund pays the Adviser an advisory fee at an annual rate of .45% of the first $2.5 billion, .40% of the excess over $2.5 billion up to $5 billion and .35% in excess of $5 billion of the Funds average daily net assets. The Adviser has agreed to waive its fees and bear certain expenses to the extent necessary to limit total operating expenses (excluding expenses associated with securities sold short, acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest, interest expense, taxes, extraordinary expenses, and brokerage commissions and other transaction costs), on an annual basis (the Expense Caps) to .75%, 1.50% and .50%, of average daily net assets for Class A, Class C and Advisor Class shares, respectively. For the six months ended April 30, 2022, such reimbursements/waivers amounted to $158,310. The Expense Caps may not be terminated before January 31, 2023.
Pursuant to the investment advisory agreement, the Fund may reimburse the Adviser for certain legal and accounting services provided to the Fund by the Adviser. For the six months ended April 30, 2022, the Adviser voluntarily agreed to waive such fees in the amount of $43,893.
The Fund compensates AllianceBernstein Investor Services, Inc. (ABIS), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Fund. ABIS may make payments to intermediaries that provide omnibus account services, sub-accounting services and/or networking services. Such compensation retained by ABIS amounted to $9,765 for the six months ended April 30, 2022.
AllianceBernstein Investments, Inc. (the Distributor), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Funds shares. The Distributor has advised the Fund that it has retained front-end sales charges of $30 from the sale of Class A shares and received $7,489 and $1,417 in contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C shares, respectively, for the six months ended April 30, 2022.
The Fund may invest in AB Government Money Market Portfolio (the Government Money Market Portfolio) which has a contractual annual
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NOTES TO FINANCIAL STATEMENTS (continued)
advisory fee rate of .20% of the portfolios 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 January 31, 2023. In connection with the investment by the Fund in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Funds pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended April 30, 2022, such waiver amounted to $2,575.
A summary of the Funds transactions in AB mutual funds for the six months ended April 30, 2022 is as follows:
Fund |
Market Value 10/31/21 (000) |
Purchases at Cost (000) |
Sales Proceeds (000) |
Market Value 4/30/22 (000) |
Dividend Income (000) |
|||||||||||||||
Government Money Market Portfolio |
$ | 0 | | $ | 107,379 | $ | 97,055 | $ | 10,324 | $ | 2 |
NOTE C
Distribution Services Agreement
The Fund has adopted a Distribution Services Agreement (the Agreement) pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement, the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to 0.30% of the Funds average daily net assets attributable to Class A shares and 1% of the Funds average daily net assets attributable to Class C shares. The fees are accrued daily and paid monthly. Payments under the Agreement in respect of Class A shares are currently limited to an annual rate of .25% of Class A shares average daily net assets. The Agreement provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. Since the commencement of the Funds operations, the Distributor has incurred expenses in excess of the distribution costs reimbursed by the Fund in the amount of $33,067 for Class C shares. While such costs may be recovered from the Fund in future periods so long as the Agreement is in effect, the rate of the distribution and servicing fees payable under the Agreement may not be increased without a shareholder vote. In accordance with the Agreement, there is no provision for recovery of unreimbursed distribution costs incurred by the Distributor beyond the current fiscal year for Class A shares. The Agreement also provides that the Adviser may use its own resources to finance the distribution of the Funds shares.
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 71 |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE D
Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the six months ended April 30, 2022 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding |
$ | 99,347,280 | $ | 12,990,070 | ||||
U.S. government securities |
0 | | 507,213 |
The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation are as follows:
Gross unrealized appreciation |
$ | 8,381,876 | ||
Gross unrealized depreciation |
(25,754,255 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (17,372,379 | ) | |
|
|
1. Derivative Financial Instruments
The Fund may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, investment purposes), or to hedge or adjust the risk profile of its portfolio.
The principal types of derivatives utilized by the Fund, as well as the methods in which they may be used are:
| Swaps |
The Fund may enter into swaps to hedge its exposure to interest rates or credit risk. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Fund in accordance with the terms of the respective swaps to provide value and recourse to the Fund or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Fund, and/or the termination value at the end of the contract. Therefore, the Fund considers the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the
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NOTES TO FINANCIAL STATEMENTS (continued)
Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Funds exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Fund accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received for swaps are recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the statement of operations.
Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (FCMs) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.
At the time the Fund enters into a centrally cleared swap, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 73 |
NOTES TO FINANCIAL STATEMENTS (continued)
Interest Rate Swaps:
The Fund is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Fund holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, the Fund may enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Fund may elect to pay a fixed rate and receive a floating rate, or, receive a fixed rate and pay a floating rate on a notional amount.
In addition, the Fund may also enter into interest rate swap transactions to preserve a return or spread on a particular investment or portion of its portfolio, or protecting against an increase in the price of securities the Fund anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) computed based on a contractually-based principal (or notional) amount. Interest rate swaps are entered into on a net basis (i.e., the two payment streams are netted out, with the Fund receiving or paying, as the case may be, only the net amount of the two payments).
During the six months ended April 30, 2022, the Fund held interest rate swaps for hedging purposes.
Inflation (CPI) Swaps:
Inflation swap agreements are contracts in which one party agrees to pay the cumulative percentage increase in a price index (the Consumer Price Index with respect to CPI swaps) over the term of the swap (with some lag on the inflation index), and the other pays a compounded fixed rate. Inflation swaps may be used to protect the net asset value, or NAV, of a Fund against an unexpected change in the rate of inflation measured by an inflation index since the value of these agreements is expected to increase if there are unexpected inflation increases.
During the six months ended April 30, 2022, the Fund held inflation (CPI) swaps for hedging purposes.
Credit Default Swaps:
The Fund may enter into credit default swaps, including to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults by corporate and sovereign issuers held by the Fund, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. The Fund may purchase credit protection (Buy Contract) or provide credit protection (Sale Contract) on the
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NOTES TO FINANCIAL STATEMENTS (continued)
referenced obligation of the credit default swap. During the term of the swap, the Fund receives/(pays) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Fund is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Fund will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap (the Maximum Payout Amount) and deliver/(take delivery of) the referenced obligation or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront premium received upon entering into the agreement, or net amounts received from settlement of buy protection credit default swaps entered into by the Fund for the same referenced obligations with the same counterparty.
Credit default swaps may involve greater risks than if a Fund had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If the Fund is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If the Fund is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Fund coupled with the periodic payments previously received, may be less than the Maximum Payout Amount it pays to the buyer, resulting in a net loss to the Fund.
Implied credit spreads over U.S. Treasuries of comparable maturity utilized in determining the market value of credit default swaps on issuers as of period end are disclosed in the portfolio of investments. The implied spreads serve as an indicator of the current status of the payment/performance risk and typically reflect the likelihood of default by the issuer of the referenced obligation. The implied credit spread of a particular reference obligation also reflects the cost of buying/selling protection and may reflect upfront payments required to be made to enter into the agreement. Widening credit spreads typically represent a deterioration of the referenced obligations credit soundness and greater likelihood of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as Defaulted indicates a credit event has occurred for the referenced obligation.
During the six months ended April 30, 2022, the Fund held credit default swaps for hedging and non-hedging purposes.
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 75 |
NOTES TO FINANCIAL STATEMENTS (continued)
The Fund typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (ISDA Master Agreement) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the OTC counterparty certain derivative financial instruments payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Funds net liability, held by the defaulting party, may be delayed or denied.
The Funds ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Fund decline below specific levels (net asset contingent features). If these levels are triggered, the Funds OTC counterparty has the right to terminate such transaction and require the Fund to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty table below for additional details.
During the six months ended April 30, 2022, the Fund had entered into the following derivatives:
Asset Derivatives |
Liability Derivatives |
|||||||||||
Derivative Type |
Statement of |
Fair Value |
Statement of |
Fair Value | ||||||||
Credit contracts |
Receivable/Payable for variation margin on centrally cleared swaps | $ | 25,305 | * | ||||||||
Interest rate contracts |
Receivable/Payable for variation margin on centrally cleared swaps |
|
6,973,875 |
* |
Receivable/Payable for variation margin on centrally cleared swaps |
$ |
1,889,396 |
* | ||||
Interest rate contracts |
Unrealized appreciation on interest rate swaps |
|
200,659 |
|
Unrealized depreciation on interest rate swaps |
|
1,017,420 |
| ||||
Credit contracts |
Market value on credit default swaps | 788,555 | ||||||||||
|
|
|
|
|||||||||
Total |
$ | 7,199,839 | $ | 3,695,371 | ||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. |
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NOTES TO FINANCIAL STATEMENTS (continued)
Derivative Type |
Location of |
Realized Gain or (Loss) on Derivatives |
Change in Unrealized Appreciation or (Depreciation) |
|||||||
Interest rate contracts |
Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | $ | (1,467,075 | ) | $ | 2,103,379 | ||||
Credit contracts |
Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 123,985 | 214,630 | |||||||
|
|
|
|
|||||||
Total |
$ | (1,343,090 | ) | $ | 2,318,009 | |||||
|
|
|
|
The following table represents the average monthly volume of the Funds derivative transactions during the six months ended April 30, 2022:
Interest Rate Swaps: |
||||
Average notional amount |
$ | 10,060,000 | ||
Centrally Cleared Interest Rate Swaps: |
||||
Average notional amount |
$ | 43,592,857 | ||
Centrally Cleared Inflation Swaps: |
||||
Average notional amount |
$ | 34,151,429 | ||
Credit Default Swaps: |
||||
Average notional amount of sale contracts |
$ | 5,133,680 | ||
Centrally Cleared Credit Default Swaps: |
||||
Average notional amount of buy contracts |
$ | 6,285,714 |
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Funds derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements (MA) and net of the related collateral received/pledged by the Fund as of April 30, 2022. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
Counterparty |
Derivative Assets Subject to a MA |
Derivatives Available for Offset |
Cash Collateral Received* |
Security Collateral Received* |
Net Amount of Derivative Assets |
|||||||||||||||
Citibank, NA/ Citigroup Global Markets, Inc. |
$ | 200,659 | $ | (200,659 | ) | $ | 0 | | $ | 0 | | $ | 0 | | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 200,659 | $ | (200,659 | ) | $ | 0 | | $ | 0 | | $ | 0 | | ||||||
|
|
|
|
|
|
|
|
|
|
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 77 |
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. |
$ | 781,807 | $ | (200,659 | ) | $ | (581,148 | ) | $ | 0 | | $ | 0 | | ||||||
Credit Suisse International |
226,641 | 0 | | (226,641 | ) | 0 | | 0 | | |||||||||||
JPMorgan Securities, LLC |
218,553 | 0 | | (218,553 | ) | 0 | | 0 | | |||||||||||
Morgan Stanley Capital Services LLC |
578,974 | 0 | | (569,000 | ) | 0 | | 9,974 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 1,805,975 | $ | (200,659 | ) | $ | (1,595,342 | ) | $ | 0 | | $ | 9,974 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged may be more than the amount reported due to over-collateralization. |
^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
NOTE E
Capital Stock
Each class consists of 3,000,000,000 authorized shares. Transactions in capital shares for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
|||||||||||||||||||||
|
|
|||||||||||||||||||||||
Class A |
|
|||||||||||||||||||||||
Shares sold |
940,857 | 1,412,846 | $ | 10,629,188 | $ | 16,395,252 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends |
10,865 | 17,413 | 121,823 | 200,359 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares converted from Class C |
4,311 | 33,047 | 48,407 | 379,856 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(1,037,262 | ) | (442,249 | ) | (11,733,280 | ) | (5,086,693 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase (decrease) |
(81,229 | ) | 1,021,057 | $ | (933,862 | ) | $ | 11,888,774 | ||||||||||||||||
|
||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||
Shares sold |
63,368 | 597,815 | $ | 720,763 | $ | 6,955,200 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends |
1,689 | 2,391 | 18,889 | 27,536 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares converted to Class A |
(4,313 | ) | (33,047 | ) | (48,407 | ) | (379,856 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(121,118 | ) | (45,530 | ) | (1,337,259 | ) | (523,128 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase (decrease) |
(60,374 | ) | 521,629 | $ | (646,014 | ) | $ | 6,079,752 | ||||||||||||||||
|
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NOTES TO FINANCIAL STATEMENTS (continued)
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
|||||||||||||||||||||
|
|
|||||||||||||||||||||||
Advisor Class |
|
|||||||||||||||||||||||
Shares sold |
18,390,158 | 11,306,229 | $ | 205,669,343 | $ | 131,083,859 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends |
89,626 | 84,583 | 998,548 | 975,843 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(6,370,120 | ) | (2,823,940 | ) | (70,753,822 | ) | (32,514,466 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net increase |
12,109,664 | 8,566,872 | $ | 135,914,069 | $ | 99,545,236 | ||||||||||||||||||
|
NOTE F
Risks Involved in Investing in the Fund
Market RiskThe value of the Funds assets will fluctuate as the bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market.
Credit RiskAn issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
Below Investment-Grade Securities RiskInvestments in fixed-income securities with lower ratings (commonly known as junk bonds) are subject to a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific municipal or corporate developments and negative performance of the junk bond market generally and may be more difficult to trade than other types of securities.
Municipal Market RiskThis 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 Funds investments in municipal securities. These factors include economic conditions, political or legislative changes, public health crises, uncertainties related to the tax status of municipal securities, or the rights of investors in these securities. To the extent that the Fund invests more of its assets in a particular states municipal securities, the Fund may be vulnerable to events adversely affecting that state, including
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 79 |
NOTES TO FINANCIAL STATEMENTS (continued)
economic, political and regulatory occurrences, court decisions, terrorism, public health crises (including the occurrence of a contagious disease or illness) and catastrophic natural disasters, such as hurricanes, fires or earthquakes. For example, the novel coronavirus (COVID-19) pandemic has significantly stressed the financial resources of many issuers of municipal securities, which could impair any such issuers ability to meet its financial obligations when due and adversely impact the value of its securities held by the Fund. As the full effects of the COVID-19 pandemic on state and local economies and on issuers of municipal securities are still uncertain, the financial difficulties of issuers of municipal securities may continue or worsen, adversely affecting the performance of the Fund. The Funds investments in certain municipal securities with principal and interest payments that are made from the revenues of a specific project or facility, and not general tax revenues, may have increased risks. Factors affecting the project or facility, such as local business or economic conditions, could have a significant effect on the projects ability to make payments of principal and interest on these securities.
Congress has previously considered making changes to the municipal securities provisions of the Internal Revenue Code that could change the U.S. federal income tax treatment of certain types of municipal securities.
The Fund invests, from time to time, in the municipal securities of Puerto Rico or other U.S. territories and their governmental agencies and municipalities, which are exempt from federal, state, and, where applicable, local income taxes. These municipal securities may have more risks than those of other U.S. issuers of municipal securities. Like many U.S. states and municipalities, Puerto Rico experienced a significant downturn during the 2007-2009 recession. Puerto Ricos downturn was particularly severe, and Puerto Rico continues to face a very challenging economic and fiscal environment, including as a result of the COVID-19 pandemic. If the general economic situation in Puerto Rico continues to persist or worsens, the volatility and credit quality of Puerto Rican municipal securities could continue to be adversely affected, and the market for such securities may experience continued volatility.
Tax RiskFrom time to time, the U.S. Government and the U.S. Congress consider changes in federal tax law that could limit or eliminate the federal tax exemption for municipal bond income, which would in effect reduce the income received by shareholders from the Fund by increasing taxes on that income. In such event, the Funds net asset value, or NAV, could also decline as yields on municipal bonds, which are typically lower than those on taxable bonds, would be expected to increase to approximately the yield of comparable taxable bonds. Actions or anticipated actions affecting the tax exempt status of municipal bonds could also
80 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
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NOTES TO FINANCIAL STATEMENTS (continued)
result in significant shareholder redemptions of Fund shares as investors anticipate adverse effects on the Fund or seek higher yields to offset the potential loss of the tax deduction. As a result, the Fund would be required to maintain higher levels of cash to meet the redemptions, which would negatively affect the Funds yield.
Interest-Rate RiskChanges in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Duration RiskDuration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation RiskThis 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 Funds assets can decline as can the value of the Funds distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Illiquid Investments RiskIlliquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes and large positions. Municipal securities may have more illiquid investments risk than other fixed-income securities because they trade less frequently and the market for municipal securities is generally smaller than many other markets.
Leverage RiskWhen the Fund borrows money or otherwise leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Funds investments. The Fund may create leverage through the use of reverse repurchase arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures or by borrowing money. The use of other types of derivative instruments by the Fund, such as options and swaps, may also result in a form of leverage. Leverage may result in higher returns to the Fund than if the Fund were not leveraged, but may also adversely affect returns, particularly if the market is declining.
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 81 |
NOTES TO FINANCIAL STATEMENTS (continued)
Derivatives RiskDerivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, 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 Fund.
LIBOR Transition and Associated RiskA Fund may be exposed to debt securities, derivatives or other financial instruments that are tied to 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 LIBORs 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. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserves Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.
The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Funds performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Funds 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
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NOTES TO FINANCIAL STATEMENTS (continued)
reference rate is not completed in a timely manner. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.
Indemnification RiskIn the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Funds maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Fund has not accrued any liability in connection with these indemnification provisions.
Management RiskThe Fund is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE G
Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Fund, participate in a $325 million revolving credit facility (the Facility) intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Fund did not utilize the Facility during the six months ended April 30, 2022.
NOTE H
Distributions to Shareholders
The tax character of distributions to be paid for the year ending October 31, 2022 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended October 31, 2021 and October 31, 2020 were as follows:
2021 | 2020 | |||||||
Distributions paid from: |
||||||||
Ordinary income |
$ | 467,928 | $ | 526,813 | ||||
|
|
|
|
|||||
Total taxable distributions |
467,928 | 526,813 | ||||||
Tax-exempt distributions |
2,016,919 | 2,183,135 | ||||||
|
|
|
|
|||||
Total distributions paid |
$ | 2,484,847 | $ | 2,709,948 | ||||
|
|
|
|
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 83 |
NOTES TO FINANCIAL STATEMENTS (continued)
As of October 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed tax-exempt income |
$ | 2,059 | ||
Accumulated capital and other losses |
(1,183,654 | )(a) | ||
Unrealized appreciation/(depreciation) |
6,153,894 | (b) | ||
|
|
|||
Total accumulated earnings/(deficit) |
$ | 4,972,299 | (c) | |
|
|
(a) | As of October 31, 2021, the Fund had a net capital loss carryforward of $1,183,654. During the fiscal year, the Fund utilized $595,904 of capital loss carry forwards to offset current year net realized gains. |
(b) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the tax treatment of tender option bonds, the tax treatment of swaps, and the tax deferral of losses on wash sales. |
(c) | The difference between book-basis and tax-basis components of accumulated earnings/(deficit) are attributable primarily to dividends payable. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of October 31, 2021, the Fund had a net short-term capital loss carryforward of $1,183,654, which may be carried forward for an indefinite period.
NOTE I
Floating Rate Notes Issued in Connection with Securities Held
The Fund may engage in tender option bond (TOB) transactions in which the Fund transfers a fixed rate bond (Fixed Rate Bond) into a Special Purpose Vehicle (the SPV, which is generally organized as a trust). The Fund buys a residual interest in the assets and cash flows of the SPV, often referred to as an inverse floating rate obligation (Inverse Floater). The SPV also issues floating rate notes (Floating Rate Notes) which are sold to third parties. The Floating Rate Notes pay interest at rates that generally reset weekly and their holders have the option to tender their notes to a liquidity provider for redemption at par. The Inverse Floater held by the Fund gives the Fund the right (1) to cause the holders of the Floating Rate Notes to tender their notes at par, and (2) to have the trustee transfer the Fixed Rate Bond held by the SPV to the Fund, thereby collapsing the SPV. The SPV may also be collapsed in certain other circumstances. In accordance with U.S. GAAP requirements regarding accounting for transfers and servicing of financial assets and extinguishments of liabilities, the Fund accounts for the transaction described above as a secured borrowing by including the Fixed Rate Bond in its portfolio of investments and the Floating Rate Notes as a liability under the caption Payable for floating rate notes issued in its statement of assets and liabilities. Interest expense related to the Funds liability with respect to Floating Rate Notes is recorded as incurred. The interest expense is also included in the Funds expense ratio. At April 30, 2022, the amount of the Funds Floating Rate Notes outstanding was
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NOTES TO FINANCIAL STATEMENTS (continued)
$1,600,000 and the related interest rate was 0.47% to 0.57%. For the six months ended April 30, 2022, the average amount of Floating Rate Notes outstanding and the daily weighted average interest rate were $1,600,000 and 1.08%, respectively.
The Fund may also purchase Inverse Floaters in the secondary market without first owning the underlying bond. Such an Inverse Floater is included in the Funds portfolio of investments but is not required to be treated as a secured borrowing and reflected in the Funds financial statements as a secured borrowing.
NOTE J
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 K
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 Funds financial statements through this date.
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 85 |
FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class A | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 11.56 | $ 10.82 | $ 11.09 | $ 10.46 | $ 10.77 | $ 10.87 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.07 | .22 | .29 | .30 | .24 | .21 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions |
(.95 | ) | .75 | (.23 | ) | .65 | (.30 | ) | (.10 | )(c) | ||||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(.88 | ) | .97 | .06 | .95 | (.06 | ) | .11 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends |
||||||||||||||||||||||||
Dividends from net investment income |
(.08 | ) | (.23 | ) | (.33 | ) | (.32 | ) | (.25 | ) | (.21 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 10.60 | $ 11.56 | $ 10.82 | $ 11.09 | $ 10.46 | $ 10.77 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(d) |
(7.69 | )% | 9.02 | % | .63 | % | 9.15 | % | (.55 | )% | 1.09 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$26,089 | $29,381 | $16,463 | $11,932 | $5,666 | $8,065 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f) |
.76 | %^ | .76 | % | .77 | % | .76 | % | .75 | % | .75 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f) |
.93 | %^ | 1.08 | % | 1.26 | % | 1.30 | % | 1.27 | % | 1.40 | % | ||||||||||||
Net investment income(b) |
1.31 | %^ | 1.88 | % | 2.68 | % | 2.78 | % | 2.26 | % | 2.01 | % | ||||||||||||
Portfolio turnover rate |
7 | % | 30 | % | 63 | % | 52 | % | 68 | % | 34 | % |
See footnote summary on page 89.
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FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class C | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 11.56 | $ 10.83 | $ 11.09 | $ 10.46 | $ 10.77 | $ 10.87 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.03 | .11 | .20 | .22 | .16 | .13 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions |
(.96 | ) | .77 | (.21 | ) | .65 | (.30 | ) | (.10 | )(c) | ||||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(.93 | ) | .88 | (.01 | ) | .87 | (.14 | ) | .03 | |||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends |
||||||||||||||||||||||||
Dividends from net investment income |
(.03 | ) | (.15 | ) | (.25 | ) | (.24 | ) | (.17 | ) | (.13 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 10.60 | $ 11.56 | $ 10.83 | $ 11.09 | $ 10.46 | $ 10.77 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(d) |
(8.04 | )% | 8.22 | % | (.03 | )%+ | 8.33 | % | (1.29 | )% | .33 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$6,646 | $7,943 | $1,794 | $1,596 | $769 | $1,056 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f) |
1.51 | %^ | 1.51 | % | 1.52 | % | 1.51 | % | 1.50 | % | 1.50 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f) |
1.68 | %^ | 1.81 | % | 2.00 | % | 2.06 | % | 2.02 | % | 2.18 | % | ||||||||||||
Net investment income(b) |
.56 | %^ | .96 | % | 1.91 | % | 2.05 | % | 1.52 | % | 1.25 | % | ||||||||||||
Portfolio turnover rate |
7 | % | 30 | % | 63 | % | 52 | % | 68 | % | 34 | % |
See footnote summary on page 89.
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 87 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 11.56 | $ 10.83 | $ 11.09 | $ 10.46 | $ 10.77 | $ 10.87 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.09 | .24 | .31 | .33 | .27 | .24 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions |
(.96 | ) | .75 | (.21 | ) | .64 | (.30 | ) | (.10 | )(c) | ||||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(.87 | ) | .99 | .10 | .97 | (.03 | ) | .14 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends |
| |||||||||||||||||||||||
Dividends from net investment income |
(.09 | ) | (.26 | ) | (.36 | ) | (.34 | ) | (.28 | ) | (.24 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 10.60 | $ 11.56 | $ 10.83 | $ 11.09 | $ 10.46 | $ 10.77 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(d) |
(7.58 | )% | 9.20 | % | .97 | % | 9.42 | % | (.30 | )% | 1.34 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$275,128 | $159,988 | $57,110 | $67,119 | $57,432 | $59,782 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f) |
.51 | %^ | .51 | % | .52 | % | .51 | % | .50 | % | .50 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f) |
.68 | %^ | .82 | % | .99 | % | 1.05 | % | 1.02 | % | 1.15 | % | ||||||||||||
Net investment income(b) |
1.57 | %^ | 2.05 | % | 2.87 | % | 3.04 | % | 2.52 | % | 2.26 | % | ||||||||||||
Portfolio turnover rate |
7 | % | 30 | % | 63 | % | 52 | % | 68 | % | 34 | % |
See footnote summary on page 89.
88 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO |
abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
(a) | Based on average shares outstanding. |
(b) | Net of expenses waived/reimbursed by the Adviser. |
(c) | Due to timing of sales and repurchase of capital shares, the net realized and unrealized gain (loss) per share is not in accordance with the Funds change in net realized and unrealized gain (loss) on investment transactions for the period. |
(d) | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Initial sales charges or contingent deferred sales charges are not reflected in the calculation of total investment return. Total return does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Total investment return calculated for a period of less than one year is not annualized. |
(e) | In connection with the Funds investments in affiliated underlying portfolios, the Fund incurs no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Fund in an amount equal to the Funds pro rata share of certain acquired fund fees and expenses, and for the year ended October 31, 2017, such waiver amounted to .01%. |
(f) | The expense ratios presented below exclude interest expense: |
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||
Net of waivers/reimbursements |
.75 | %^ | .75 | % | .75 | % | .75 | % | .75 | % | .75 | % | ||||||||||||
Before waivers/reimbursements |
.91 | %^ | 1.07 | % | 1.23 | % | 1.29 | % | 1.27 | % | 1.40 | % | ||||||||||||
Class C |
| |||||||||||||||||||||||
Net of waivers/reimbursements |
1.50 | %^ | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | ||||||||||||
Before waivers/reimbursements |
1.67 | %^ | 1.79 | % | 1.98 | % | 2.04 | % | 2.02 | % | 2.18 | % | ||||||||||||
Advisor Class |
| |||||||||||||||||||||||
Net of waivers/reimbursements |
.50 | %^ | .50 | % | .50 | % | .50 | % | .50 | % | .50 | % | ||||||||||||
Before waivers/reimbursements |
.66 | %^ | .80 | % | .96 | % | 1.04 | % | 1.02 | % | 1.15 | % |
+ | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements. |
^ | Annualized. |
See notes to financial statements.
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BOARD OF DIRECTORS
Marshall C. Turner, Jr.(1), Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and Chief Executive Officer |
Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) |
OFFICERS
Terrance T. Hults(2), Vice President Matthew J. Norton(2), Vice President Andrew D. Potter(2), Vice President Emilie D. Wrapp, Secretary |
Michael B. Reyes, Senior 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 Boston, MA 02210
Principal Underwriter 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 |
Independent Registered Public Accounting Firm Ernst & Young LLP One Manhattan West New York, NY 10001
Legal Counsel Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
1 | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
2 | The day-to-day management of, and investment decisions for, the Funds portfolio are made by the Advisers Tax-Aware Investment Team. Messrs. Hults, Norton and Potter are the investment professionals with the most significant responsibility for the day-to-day management of the Funds portfolio. |
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Operation and Effectiveness of the Funds Liquidity Risk Management Program:
In October 2016, the Securities and Exchange Commission (SEC) adopted the open-end fund liquidity rule (the Liquidity Rule). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (LRMP) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Fund to designate an Administrator of the Funds Liquidity Risk Management Program. The Administrator of the Funds LRMP is AllianceBernstein L.P., the Funds 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 Funds Board of Trustees (the Fund Board) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the funds 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 LRMPs principal objectives include supporting the Funds compliance with limits on investments in illiquid assets and mitigating the risk that the Fund will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Fund classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Funds strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Fund participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Fund is required to maintain a Highly Liquid Investment Minimum (HLIM). The Committee also incorporated the following information when determining the Funds reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Funds 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 Funds LRMP is adequately designed, has been implemented as intended, and has operated effectively since its inception. No material exceptions
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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 Fund or its ability to timely meet redemptions during the Program Reporting Period.
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Information Regarding the Review and Approval of the Funds Advisory Agreement
The disinterested directors (the directors) of AB Bond Fund, Inc. (the Company) unanimously approved the continuance of the Companys Advisory Agreement with the Adviser in respect of AB Tax-Aware Fixed Income Opportunities Portfolio (formerly AB Tax-Aware Fixed Income Portfolio) (the Fund) at a meeting held by video conference on November 2-4, 2021 (the Meeting).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Advisers integrity and competence they have gained from that experience, the Advisers initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Advisers willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund and the money market fund advised by the Adviser in which the Fund invests a portion of its assets.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business
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judgment. The material factors and conclusions that formed the basis for the directors determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Funds investment strategies and from time to time proposes changes intended to improve the Funds relative or absolute performance for the directors consideration. They also noted the professional experience and qualifications of the Funds portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. The Adviser had not requested any reimbursements from the Fund in the Funds latest fiscal year. The quality of administrative and other services, including the Advisers role in coordinating the activities of the Funds other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2019 and 2020 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant retained at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Advisers relationship with the Fund, including those relating to its subsidiaries that provide transfer agency and distribution services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Advisers relationship with the Fund before taxes and distribution expenses. The directors noted that the Fund was not profitable to the Adviser in the periods reviewed.
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Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the money market fund advised by the Adviser in which the Fund invests, including, but not limited to, benefits relating to 12b-1 fees and sales charges received by the Funds principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of the Funds shares; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Funds unprofitability to the Adviser would be exacerbated without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the 15(c) service provider), showing the performance of the Class A Shares of the Fund against a group of similar funds (peer group) and a larger group of similar funds (peer universe), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3- and 5-year periods ended July 31, 2021 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, the directors concluded that the Funds investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees payable by other funds. The directors compared the Funds contractual effective advisory fee rate with a peer group median.
The Adviser informed the directors that there were no institutional products managed by the Adviser that utilize investment strategies similar to those of the Fund.
The directors noted that the Fund may invest in shares of exchange-traded funds (ETFs), subject to the restrictions and limitations of the Investment Company Act of 1940 as these may be varied as a result of exemptive orders issued, and rules adopted, by the SEC. The directors also noted
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that ETFs pay advisory fees pursuant to their advisory contracts, and that the Adviser had provided, and they had reviewed, information about the expense ratios of the relevant ETFs. The directors concluded, based on the Advisers explanation of how it uses ETFs when they are the most cost-effective way to obtain desired exposures, in some cases pending purchases of underlying securities, that the advisory fee for the Fund would be for services in addition to, rather than duplicative of, the services provided under the advisory contracts of the ETFs.
In connection with their review of the Funds advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Funds latest fiscal year and the directors considered the Advisers expense cap for the Fund. The directors noted that it was likely that the expense ratios of some of the other funds in the Funds category were lowered by waivers or reimbursements by those funds investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Advisers services because the Adviser is responsible for coordinating services provided to the Fund by others. Based on their review, the directors concluded that the Funds expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedule for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a funds adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a funds operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Funds shareholders would benefit from a sharing of economies of scale in the event the Funds net assets exceed a breakpoint in the future.
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This page is not part of the Shareholder Report or the Financial Statements.
AB FAMILY OF FUNDS
US EQUITY
CORE
Core Opportunities Fund
Select US Equity Portfolio
Sustainable US Thematic Portfolio1
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
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 Funds 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 Funds 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 August 23, 2021, Sustainable US Thematic Portfolio was named FlexFee US Thematic Portfolio. 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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NOTES
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AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
TAFIO-0152-0422
APR 04.30.22
SEMI-ANNUAL REPORT
AB TOTAL RETURN BOND PORTFOLIO
As of January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, the Funds annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically requested paper copies of the reports. Instead, the reports are made available on a website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.
You may elect to receive all future reports in paper form free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call the Fund at (800) 221 5672. Your election to receive reports in paper form will apply to all funds held in your account with your financial intermediary or, if you invest directly, to all AB Mutual Funds you hold.
Investment Products Offered | Are Not FDIC Insured May Lose Value Are Not Bank Guaranteed |
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Funds prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Funds 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 ABs website at www.abfunds.com, or go to the Securities and Exchange Commissions (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 Funds Form N-PORT reports are available on the Commissions 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.
FROM THE PRESIDENT |
Dear Shareholder,
Were pleased to provide this report for the AB Total Return Bond Portfolio (the Fund). Please review the discussion of Fund performance, the market conditions during the reporting period and the Funds investment strategy.
At AB, were striving to help our clients achieve better outcomes by:
+ | Fostering diverse perspectives that give us a distinctive approach to navigating global capital markets |
+ | Applying differentiated investment insights through a connected global research network |
+ | Embracing innovation to design better ways to invest and leading-edge mutual-fund solutions |
Whether youre an individual investor or a multibillion-dollar institution, were putting our knowledge and experience to work for you every day.
For more information about ABs comprehensive range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in AB mutual fundsand for placing your trust in our firm.
Sincerely,
Onur Erzan
President and Chief Executive Officer, AB Mutual Funds
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SEMI-ANNUAL REPORT
June 8, 2022
This report provides managements discussion of fund performance for the AB Total Return Bond Portfolio for the semi-annual reporting period ended April 30, 2022.
The Funds investment objective is to maximize long-term total return without assuming what the Adviser considers undue risk.
NAV RETURNS AS OF APRIL 30, 2022 (unaudited)
6 Months | 12 Months | |||||||
AB TOTAL RETURN BOND PORTFOLIO1 | ||||||||
Class A Shares | -10.22% | -8.91% | ||||||
Class C Shares | -10.66% | -9.70% | ||||||
Advisor Class Shares2 | -10.19% | -8.76% | ||||||
Class R Shares2 | -10.42% | -9.23% | ||||||
Class K Shares2 | -10.30% | -8.99% | ||||||
Class I Shares2 | -10.19% | -8.77% | ||||||
Class Z Shares2 | -10.09% | -8.67% | ||||||
Bloomberg US Aggregate Bond Index | -9.47% | -8.51% |
1 | Includes the impact of proceeds received and credited to the Fund resulting from class-action settlements, which enhanced the performance of all share classes of the Fund for the six- and 12-month periods ended April 30, 2022, by 0.01% and 0.01%, respectively. |
2 | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
INVESTMENT RESULTS
The table above shows the Funds performance compared to its benchmark, the Bloomberg US Aggregate Bond Index, for the six- and 12-month periods ended April 30, 2022.
During both periods, all share classes of the Fund underperformed the benchmark, before sales charges. Yield-curve positioning on the two- to 10-year parts of the curve detracted the most, relative to the benchmark. Sector allocation was a minor detractor from performance. Security selection contributed, mostly from selection within commercial mortgage-backed securities (CMBS) and investment-grade corporate bonds that added more than a loss from selection among high-yield corporate bonds. Currency decisions also contributed, as gains in the Swedish krona, Australian dollar, Canadian dollar and offshore Chinese renminbi were greater than a loss in the Russian ruble. Off-benchmark country allocation to Sweden and the eurozone also added to performance.
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Over the 12-month period, yield-curve positioning on the two- to 10-year parts of the curve was the primary detractor from performance. Security selection was the largest contributor to returns, as gains in CMBS and investment-grade corporate bonds exceeded losses from selection within US agency mortgages and high-yield corporate bonds. Sector allocation to off-benchmark sectors, including agency risk-sharing transactions and inflation-linked bonds, along with an underweight to US agency mortgages, added more than an underweight to US Treasuries. Currency decisions in the Swedish krona, Australian dollar, Canadian dollar and offshore Chinese renminbi also added during the period.
During both periods, the Fund utilized currency forwards to hedge currency risk and actively manage currency positions. Credit default swaps were utilized in the corporate and CMBS sectors for hedging and investment purposes. Total return swaps were utilized in the corporate sector for hedging and investment purposes. Treasury futures and interest rate swaps were utilized to manage duration, country exposure and yield-curve positioning. Consumer Price Index swaps were held to gain exposure to rising inflation expectations. During the 12-month period, written swaptions were used for duration management.
MARKET REVIEW AND INVESTMENT STRATEGY
During the six-month period ended April 30, 2022, fixed-income government bond market yields spiked in most markets, which led bond prices to fall on inflation concerns in all regions. Inflation remained elevated and worsened when Russia invaded Ukraine, causing energy and agricultural prices to jump. Major central banks started the process of raising interest rates and ending bond purchases. Relative government bond returns were led by global inflation-linked bonds. Global investment-grade corporate bonds, which typically have longer maturities and are more sensitive to changes in yields than high-yield corporates, trailed global treasuries by a wide margin, except in the eurozone. High-yield corporate bonds also underperformed treasuries, but by a smaller margin. However, high-yield euro-denominated corporates outperformed eurozone treasuries during the period due to ongoing support from the European Central Bank. Emerging-market bonds underperformed the most as the US dollar advanced against most developed- and emerging-market currencies. Securitized assets also underperformed treasuries, but by a lesser extent than investment-grade corporates, given their lower sensitivity to yield changes. Brent crude oil prices rose sharply from supply concerns and increased demand.
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INVESTMENT POLICIES
The Fund invests, under normal circumstances, at least 80% of its net assets in fixed-income securities. The Fund expects to invest in readily marketable fixed-income securities with a range of maturities from short- to long-term and relatively attractive yields that do not involve undue risk of loss of capital. The Fund may invest up to 25% of its net assets in below investment-grade bonds. The Fund may use leverage for investment purposes.
The Fund may invest without limit in US dollar-denominated foreign fixed-income securities and may invest up to 25% of its assets in non-US dollar-denominated foreign fixed-income securities. These investments may include, in each case, developed- and emerging-market debt securities.
The Adviser selects securities for purchase or sale based on its assessment of the securities risk and return characteristics as well as the securities impact on the overall risk and return characteristics of the Fund. In making this assessment, the Adviser takes into account various factors, including the credit quality and sensitivity to interest rates of the securities under consideration and of the Funds other holdings.
The Fund may invest in mortgage-related and other asset-backed securities; loan participations and assignments; inflation-indexed securities; variable-, floating- and inverse-floating-rate instruments; and preferred stock, and may use other investment techniques. The Fund intends, among other things, to enter into transactions such as reverse repurchase agreements and dollar rolls. The Fund may invest, without limit, in derivatives, such as options, futures contracts, forwards or swaps.
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DISCLOSURES AND RISKS
Benchmark Disclosure
The Bloomberg US Aggregate Bond Index is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The Bloomberg US Aggregate Bond Index represents the performance of securities within the US investment-grade fixed-rate bond market, with index components for government and corporate securities, mortgage pass-through securities, asset-backed securities and CMBS. An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Fund.
A Word About Risk
Market Risk: The value of the Funds assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market.
Interest-Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
Below Investment-Grade Securities Risk: Investments in fixed-income securities with lower ratings (commonly known as junk bonds) are subject to a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments and negative perceptions of the junk bond market generally and may be more difficult to trade than other types of securities.
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DISCLOSURES AND RISKS (continued)
Duration Risk: Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Funds assets can decline as can the value of the Funds distributions. This risk is significantly greater for fixed-income securities with longer maturities. The Fund invests in inflation-indexed securities, the value of which may be vulnerable to changes in expectations of inflation or interest rates.
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging-Market Risk: Investments in emerging-market countries may have more risk because the markets are less developed and less liquid and are subject to increased economic, political, regulatory or other uncertainties.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Funds investments or reduce its returns.
Mortgage-Related and/or Other Asset-Backed Securities Risk: Investments in mortgage-related and other asset-backed securities are subject to certain additional risks. The value of these securities may be particularly sensitive to changes in interest rates. These risks include extension risk, which is the risk that, in periods of rising interest rates, issuers may delay the payment of principal, and prepayment risk, which is the risk that in periods of falling interest rates, issuers may pay principal sooner than expected, exposing the Fund to a lower rate of return upon reinvestment of principal. Mortgage-backed securities offered by non-governmental issuers and other asset-backed securities may be subject to other risks, such as higher rates of default in the mortgages or assets backing the securities or risks associated with the nature and servicing of mortgages or assets backing the securities.
Leverage Risk: To the extent the Fund uses leveraging techniques, its net asset value (NAV) may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Funds investments.
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DISCLOSURES AND RISKS (continued)
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, 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 Fund.
Illiquid Investments Risk: Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest-rate environment, when the value and liquidity of fixed-income securities generally decline.
Active Trading Risk: The Fund expects to engage in active and frequent trading of its portfolio securities and its portfolio turnover rate may greatly exceed 100%. A higher rate of portfolio turnover increases transaction costs, which may negatively affect the Funds return. In addition, a high rate of portfolio turnover may result in substantial short-term gains, which may have adverse tax consequences for Fund shareholders.
Management Risk: The Fund is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Funds prospectus. As with all investments, you may lose money by investing in the Fund.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Fund will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by visiting www.abfunds.com.
On July 12, 2019, the Fund implemented its current investment policies (the change eliminated the guidelines for the average duration
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 7 |
DISCLOSURES AND RISKS (continued)
and maturity of the Fund and addressed certain related matters) and also changed its name from AB Intermediate Bond Portfolio to AB Total Return Bond Portfolio. Accordingly, the performance shown for periods prior to July 12, 2019, is based on the Funds prior investment strategies and may not be representative of the Funds performance under its current investment policies.
All fees and expenses related to the operation of the Fund have been deducted. NAV returns do not reflect sales charges; if sales charges were reflected, the Funds quoted performance would be lower. SEC returns reflect the applicable sales charges for each share class: a 4.25% maximum front-end sales charge for Class A shares and a 1% 1-year contingent deferred sales charge for Class C shares. Returns for the different share classes will vary due to different expenses associated with each class. Performance assumes reinvestment of distributions and does not account for taxes.
8 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF APRIL 30, 2022 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) |
SEC Yields1 |
||||||||||
CLASS A SHARES | 2.35% | |||||||||||
1 Year | -8.91% | -12.80% | ||||||||||
5 Years | 0.90% | 0.03% | ||||||||||
10 Years | 1.91% | 1.47% | ||||||||||
CLASS C SHARES | 1.69% | |||||||||||
1 Year | -9.70% | -10.59% | ||||||||||
5 Years | 0.13% | 0.13% | ||||||||||
10 Years2 | 1.15% | 1.15% | ||||||||||
ADVISOR CLASS SHARES3 | 2.70% | |||||||||||
1 Year | -8.76% | -8.76% | ||||||||||
5 Years | 1.13% | 1.13% | ||||||||||
10 Years | 2.17% | 2.17% | ||||||||||
CLASS R SHARES3 | 2.08% | |||||||||||
1 Year | -9.23% | -9.23% | ||||||||||
5 Years | 0.63% | 0.63% | ||||||||||
10 Years | 1.65% | 1.65% | ||||||||||
CLASS K SHARES3 | 2.37% | |||||||||||
1 Year | -8.99% | -8.99% | ||||||||||
5 Years | 0.88% | 0.88% | ||||||||||
10 Years | 1.91% | 1.91% | ||||||||||
CLASS I SHARES3 | 2.76% | |||||||||||
1 Year | -8.77% | -8.77% | ||||||||||
5 Years | 1.13% | 1.13% | ||||||||||
10 Years | 2.17% | 2.17% | ||||||||||
CLASS Z SHARES3 | 2.79% | |||||||||||
1 Year | -8.67% | -8.67% | ||||||||||
5 Years | 1.15% | 1.15% | ||||||||||
Since Inception4 | 1.92% | 1.92% |
The Funds prospectus fee table shows the Funds total annual operating expense ratios as 0.99%, 1.74%, 0.74%, 1.37%, 1.06%, 0.68% and 0.64% for Class A, Class C, Advisor Class, Class R, Class K, Class I and Class Z shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limited the Funds total annual operating expense ratios, exclusive of interest expense, to 0.77%, 1.52%, 0.52%, 1.02%, 0.77%, 0.52% and 0.52% for Class A, Class C, Advisor Class, Class R, Class K, Class I and Class Z shares, respectively. These waivers/reimbursements may not be terminated before January 31, 2023, and may be extended by the Adviser for additional one-year terms. Absent reimbursements or waivers, performance would have been lower. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
(footnotes continued on next page)
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 9 |
HISTORICAL PERFORMANCE (continued)
1 | SEC yields are calculated based on SEC guidelines for the 30-day period ended April 30, 2022. |
2 | Assumes conversion of Class C shares into Class A shares after eight years. |
3 | These share classes are offered at NAV to eligible investors and their SEC returns are the same as their NAV returns. Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
4 | Inception date: 4/25/2014. |
10 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2022 (unaudited)
SEC Returns (reflects applicable sales charges) |
||||
CLASS A SHARES | ||||
1 Year | -8.92% | |||
5 Years | 0.94% | |||
10 Years | 1.94% | |||
CLASS C SHARES | ||||
1 Year | -6.58% | |||
5 Years | 1.07% | |||
10 Years1 | 1.64% | |||
ADVISOR CLASS SHARES2 | ||||
1 Year | -4.68% | |||
5 Years | 2.08% | |||
10 Years | 2.65% | |||
CLASS R SHARES2 | ||||
1 Year | -5.16% | |||
5 Years | 1.57% | |||
10 Years | 2.14% | |||
CLASS K SHARES2 | ||||
1 Year | -4.92% | |||
5 Years | 1.83% | |||
10 Years | 2.39% | |||
CLASS I SHARES2 | ||||
1 Year | -4.78% | |||
5 Years | 2.06% | |||
10 Years | 2.64% | |||
CLASS Z SHARES2 | ||||
1 Year | -4.77% | |||
5 Years | 2.06% | |||
Since Inception3 | 2.40% |
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 Fund. |
3 | Inception date: 4/25/2014. |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 11 |
EXPENSE EXAMPLE
(unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The table below also provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
12 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
EXPENSE EXAMPLE (continued)
Beginning Account Value November 1, 2021 |
Ending Account Value April 30, 2022 |
Expenses Paid During Period* |
Annualized Expense Ratio* |
|||||||||||||
Class A | ||||||||||||||||
Actual |
$ | 1,000 | $ | 897.80 | $ | 3.62 | 0.77 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,020.98 | $ | 3.86 | 0.77 | % | ||||||||
Class C | ||||||||||||||||
Actual |
$ | 1,000 | $ | 893.40 | $ | 7.14 | 1.52 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,017.26 | $ | 7.60 | 1.52 | % | ||||||||
Advisor Class | ||||||||||||||||
Actual |
$ | 1,000 | $ | 898.10 | $ | 2.45 | 0.52 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,022.22 | $ | 2.61 | 0.52 | % | ||||||||
Class R | ||||||||||||||||
Actual |
$ | 1,000 | $ | 895.80 | $ | 4.79 | 1.02 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,019.74 | $ | 5.11 | 1.02 | % | ||||||||
Class K | ||||||||||||||||
Actual |
$ | 1,000 | $ | 897.00 | $ | 3.62 | 0.77 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,020.98 | $ | 3.86 | 0.77 | % | ||||||||
Class I | ||||||||||||||||
Actual |
$ | 1,000 | $ | 898.10 | $ | 2.45 | 0.52 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,022.22 | $ | 2.61 | 0.52 | % | ||||||||
Class Z | ||||||||||||||||
Actual |
$ | 1,000 | $ | 899.10 | $ | 2.45 | 0.52 | % | ||||||||
Hypothetical** |
$ | 1,000 | $ | 1,022.22 | $ | 2.61 | 0.52 | % |
* | Expenses are equal to the classes annualized expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 13 |
PORTFOLIO SUMMARY
April 30, 2022 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $248.1
TOP TEN SECTORS (including derivatives)1
GovernmentsTreasuries2 | 31.1 | % | ||
CorporatesInvestment Grade | 27.6 | |||
Collateralized Mortgage Obligations | 18.3 | |||
Mortgage Pass-Throughs | 16.2 | |||
Commercial Mortgage-Backed Securities3 | 11.7 | |||
Asset-Backed Securities | 7.2 | |||
Collateralized Loan Obligations | 3.7 | |||
CorporatesNon-Investment Grade3 | 2.2 | |||
Emerging MarketsCorporate Bonds | 1.3 | |||
Local GovernmentsUS Municipal Bonds | 1.0 |
SECTOR BREAKDOWN (excluding derivatives)4
CorporatesInvestment Grade | 25.9 | % | ||
Collateralized Mortgage Obligations | 17.2 | |||
Mortgage Pass-Throughs | 15.2 | |||
GovernmentsTreasuries | 12.5 | |||
Commercial Mortgage-Backed Securities | 8.5 | |||
Asset-Backed Securities | 6.7 | |||
CorporatesNon-Investment Grade | 4.1 | |||
Collateralized Loan Obligations | 3.5 | |||
Emerging MarketsCorporate Bonds | 1.3 | |||
Local GovernmentsUS Municipal Bonds | 0.9 | |||
Common Stocks | 0.4 | |||
Emerging MarketsSovereigns | 0.4 | |||
Quasi-Sovereigns | 0.3 | |||
GovernmentsSovereign Bonds | 0.1 | |||
Short-Term | 3.0 | |||
100.0 | % |
1 | All data are as of April 30, 2022. The Funds sectors include derivative exposure and are expressed as approximate percentages of the Funds total net assets, based on the Advisers internal classification. The percentages will vary over time. |
2 | Includes Treasury Futures. |
3 | Includes Credit Default Swaps. |
4 | All data are as of April 30, 2022. The Funds sector breakdown is expressed as a percentage of total investments and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see Portfolio of Investments section of the report for additional details). |
14 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS
April 30, 2022 (unaudited)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
CORPORATES - INVESTMENT GRADE 27.6% |
||||||||||||
Industrial 14.3% |
||||||||||||
Basic 0.3% |
||||||||||||
Anglo American Capital PLC
|
U.S.$ | 238 | $ | 225,096 | ||||||||
Freeport Indonesia PT
|
390 | 387,613 | ||||||||||
Suzano Austria GmbH |
145 | 125,824 | ||||||||||
|
|
|||||||||||
738,533 | ||||||||||||
|
|
|||||||||||
Capital Goods 0.6% |
||||||||||||
Flowserve Corp. |
425 | 350,948 | ||||||||||
Parker-Hannifin Corp. |
255 | 238,134 | ||||||||||
Raytheon Technologies Corp. |
769 | 769,339 | ||||||||||
|
|
|||||||||||
1,358,421 | ||||||||||||
|
|
|||||||||||
Communications - Media 2.3% |
||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital
|
129 | 107,018 | ||||||||||
5.125%, 07/01/2049 |
198 | 170,039 | ||||||||||
Discovery Communications LLC |
56 | 48,024 | ||||||||||
5.20%, 09/20/2047 |
178 | 164,351 | ||||||||||
5.30%, 05/15/2049 |
81 | 75,929 | ||||||||||
Fox Corp. |
240 | 241,250 | ||||||||||
5.576%, 01/25/2049 |
407 | 422,792 | ||||||||||
Interpublic Group of Cos., Inc. (The) |
178 | 180,173 | ||||||||||
Magallanes, Inc.
|
618 | 575,315 | ||||||||||
Netflix, Inc. |
766 | 788,566 | ||||||||||
Prosus NV |
219 | 194,779 | ||||||||||
3.68%, 01/21/2030(a) |
545 | 460,661 | ||||||||||
Tencent Holdings Ltd.
|
533 | 489,156 | ||||||||||
2.39%, 06/03/2030(a) |
460 | 387,924 | ||||||||||
3.24%, 06/03/2050(a) |
328 | 233,454 | ||||||||||
Weibo Corp. |
1,312 | 1,080,445 | ||||||||||
|
|
|||||||||||
5,619,876 | ||||||||||||
|
|
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 15 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Communications - Telecommunications 0.2% |
||||||||||||
T-Mobile USA, Inc. |
U.S.$ | 112 | $ | 96,898 | ||||||||
2.875%, 02/15/2031 |
353 | 300,410 | ||||||||||
3.375%, 04/15/2029(a) |
66 | 59,744 | ||||||||||
|
|
|||||||||||
457,052 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Automotive 0.9% |
||||||||||||
General Motors Financial Co., Inc. |
135 | 135,249 | ||||||||||
5.25%, 03/01/2026 |
165 | 169,417 | ||||||||||
Harley-Davidson Financial Services, Inc. |
64 | 59,477 | ||||||||||
3.35%, 06/08/2025(a) |
926 | 901,433 | ||||||||||
Nissan Motor Co., Ltd.
|
1,120 | 1,070,272 | ||||||||||
|
|
|||||||||||
2,335,848 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Other 0.4% |
| |||||||||||
Las Vegas Sands Corp. |
797 | 687,038 | ||||||||||
MDC Holdings, Inc. |
346 | 326,499 | ||||||||||
|
|
|||||||||||
1,013,537 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Retailers 0.8% |
||||||||||||
Advance Auto Parts, Inc. |
811 | 768,277 | ||||||||||
Lowes Cos., Inc. |
267 | 257,719 | ||||||||||
Ross Stores, Inc. |
893 | 918,745 | ||||||||||
|
|
|||||||||||
1,944,741 | ||||||||||||
|
|
|||||||||||
Consumer Non-Cyclical 1.1% |
||||||||||||
Altria Group, Inc. |
750 | 674,587 | ||||||||||
4.80%, 02/14/2029 |
209 | 208,059 | ||||||||||
Amgen, Inc. |
328 | 302,688 | ||||||||||
BAT Capital Corp. |
1,125 | 963,326 | ||||||||||
4.906%, 04/02/2030 |
196 | 189,505 | ||||||||||
CVS Health Corp. |
28 | 28,122 | ||||||||||
Ochsner LSU Health System of North Louisiana |
520 | 429,718 | ||||||||||
|
|
|||||||||||
2,796,005 | ||||||||||||
|
|
16 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Energy 3.7% |
| |||||||||||
BP Capital Markets America, Inc. |
U.S.$ | 1,201 | $ | 890,169 | ||||||||
Cenovus Energy, Inc. |
42 | 42,011 | ||||||||||
4.40%, 04/15/2029 |
1,193 | 1,181,332 | ||||||||||
Continental Resources, Inc./OK
|
454 | 375,276 | ||||||||||
5.75%, 01/15/2031(a) |
335 | 343,650 | ||||||||||
Devon Energy Corp. |
457 | 476,518 | ||||||||||
Enbridge Energy Partners LP |
634 | 793,533 | ||||||||||
Energy Transfer LP |
156 | 158,407 | ||||||||||
Eni SpA |
850 | 842,953 | ||||||||||
Marathon Oil Corp. |
650 | 727,617 | ||||||||||
Marathon Petroleum Corp. |
255 | 265,634 | ||||||||||
6.50%, 03/01/2041 |
161 | 181,618 | ||||||||||
Oleoducto Central SA
|
429 | 389,398 | ||||||||||
ONEOK Partners LP |
48 | 48,721 | ||||||||||
ONEOK, Inc. |
425 | 413,334 | ||||||||||
6.35%, 01/15/2031 |
217 | 236,936 | ||||||||||
Suncor Energy, Inc. |
534 | 623,952 | ||||||||||
Tengizchevroil Finance Co. International Ltd. |
237 | 190,430 | ||||||||||
TransCanada PipeLines Ltd. |
527 | 592,559 | ||||||||||
6.20%, 10/15/2037 |
277 | 311,650 | ||||||||||
|
|
|||||||||||
9,085,698 | ||||||||||||
|
|
|||||||||||
Other Industrial 0.3% |
| |||||||||||
Alfa SAB de CV |
530 | 535,068 | ||||||||||
CITIC Ltd. |
317 | 281,826 | ||||||||||
|
|
|||||||||||
816,894 | ||||||||||||
|
|
|||||||||||
Services 0.7% |
| |||||||||||
Booking Holdings, Inc. |
925 | 948,125 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 17 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Expedia Group, Inc. |
U.S.$ | 374 | $ | 375,814 | ||||||||
6.25%, 05/01/2025(a) |
33 | 34,604 | ||||||||||
Global Payments, Inc. |
290 | 263,285 | ||||||||||
S&P Global, Inc.
|
147 | 147,885 | ||||||||||
4.75%, 08/01/2028(a) |
32 | 33,152 | ||||||||||
|
|
|||||||||||
1,802,865 | ||||||||||||
|
|
|||||||||||
Technology 2.4% |
| |||||||||||
Baidu, Inc. |
202 | 185,858 | ||||||||||
Broadcom, Inc. |
124 | 99,400 | ||||||||||
3.187%, 11/15/2036(a) |
411 | 325,339 | ||||||||||
4.00%, 04/15/2029(a) |
53 | 50,586 | ||||||||||
4.15%, 11/15/2030 |
240 | 226,922 | ||||||||||
4.15%, 04/15/2032(a) |
187 | 173,551 | ||||||||||
4.926%, 05/15/2037(a) |
547 | 511,292 | ||||||||||
Entegris Escrow Corp.
|
395 | 380,144 | ||||||||||
Fiserv, Inc. |
869 | 812,419 | ||||||||||
Infor, Inc. |
279 | 259,690 | ||||||||||
KLA Corp. |
123 | 123,422 | ||||||||||
Kyndryl Holdings, Inc.
|
869 | 759,480 | ||||||||||
NXP BV/NXP Funding LLC
|
277 | 289,257 | ||||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc. |
298 | 270,957 | ||||||||||
Oracle Corp. |
525 | 445,300 | ||||||||||
3.60%, 04/01/2040 |
278 | 214,769 | ||||||||||
3.65%, 03/25/2041 |
154 | 119,090 | ||||||||||
5.375%, 07/15/2040 |
90 | 86,275 | ||||||||||
SK Hynix, Inc. |
280 | 232,308 | ||||||||||
TSMC Arizona Corp. |
241 | 239,928 | ||||||||||
Workday, Inc. |
77 | 73,729 | ||||||||||
3.80%, 04/01/2032 |
201 | 190,210 | ||||||||||
|
|
|||||||||||
6,069,926 | ||||||||||||
|
|
18 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Transportation - Airlines 0.3% |
| |||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. |
U.S.$ | 345 | $ | 343,643 | ||||||||
4.75%, 10/20/2028(a) |
401 | 397,094 | ||||||||||
|
|
|||||||||||
740,737 | ||||||||||||
|
|
|||||||||||
Transportation - Railroads 0.1% |
| |||||||||||
Lima Metro Line 2 Finance Ltd.
|
170 | 173,915 | ||||||||||
|
|
|||||||||||
Transportation - Services 0.2% |
| |||||||||||
ENA Master Trust
|
457 | 423,239 | ||||||||||
|
|
|||||||||||
35,377,287 | ||||||||||||
|
|
|||||||||||
Financial Institutions 12.4% |
| |||||||||||
Banking 8.3% |
| |||||||||||
ABN AMRO Bank NV
|
200 | 201,552 | ||||||||||
Banco de Credito del Peru S.A.
|
635 | 577,175 | ||||||||||
Banco Santander SA |
400 | 388,560 | ||||||||||
Bank of America Corp. |
430 | 355,490 | ||||||||||
2.687%, 04/22/2032 |
626 | 538,404 | ||||||||||
4.376%, 04/27/2028 |
503 | 502,200 | ||||||||||
Series DD |
185 | 189,362 | ||||||||||
Series Z |
289 | 296,239 | ||||||||||
Bank of New York Mellon Corp. (The) |
166 | 166,133 | ||||||||||
Barclays Bank PLC
|
129 | 161,449 | ||||||||||
BNP Paribas SA |
722 | 612,863 | ||||||||||
Capital One Financial Corp. |
396 | 361,409 | ||||||||||
Citigroup, Inc. |
334 | 320,603 | ||||||||||
4.075%, 04/23/2029 |
494 | 480,376 | ||||||||||
5.95%, 01/30/2023(b) |
216 | 216,216 | ||||||||||
Series W |
329 | 299,489 | ||||||||||
Citizens Financial Group, Inc. |
958 | 962,493 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 19 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Credit Suisse Group AG
|
U.S.$ | 829 | $ | 695,556 | ||||||
4.194%, 04/01/2031(a) |
396 | 367,840 | ||||||||
Danske Bank A/S
|
360 | 348,710 | ||||||||
Deutsche Bank AG/New York NY |
663 | 590,169 | ||||||||
3.961%, 11/26/2025 |
265 | 260,606 | ||||||||
Discover Bank |
250 | 252,315 | ||||||||
Fifth Third Bancorp |
205 | 199,365 | ||||||||
Goldman Sachs Group, Inc. (The) |
715 | 605,383 | ||||||||
Series V |
268 | 240,233 | ||||||||
HSBC Holdings PLC |
240 | 238,644 | ||||||||
4.583%, 06/19/2029 |
224 | 220,051 | ||||||||
4.762%, 03/29/2033 |
323 | 306,462 | ||||||||
6.375%, 03/30/2025(b) |
547 | 550,397 | ||||||||
ING Groep NV |
356 | 345,729 | ||||||||
JPMorgan Chase & Co. |
892 | 767,646 | ||||||||
4.323%, 04/26/2028 |
252 | 251,272 | ||||||||
Series I |
328 | 324,002 | ||||||||
Series V |
161 | 158,738 | ||||||||
Mizuho Financial Group, Inc. |
235 | 222,188 | ||||||||
Morgan Stanley |
134 | 116,939 | ||||||||
4.21%, 04/20/2028 |
240 | 238,214 | ||||||||
Series G |
515 | 496,996 | ||||||||
Nationwide Building Society
|
398 | 369,543 | ||||||||
Santander Holdings USA, Inc. |
315 | 310,883 | ||||||||
Societe Generale SA
|
778 | 702,137 |
20 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Standard Chartered PLC |
U.S.$ | 400 | $ | 342,824 | ||||||||
3.971%, 03/30/2026(a) |
268 | 263,661 | ||||||||||
6.00%, 07/26/2025(a)(b) |
478 | 476,643 | ||||||||||
Truist Financial Corp. |
692 | 683,585 | ||||||||||
UBS AG/Stamford CT |
620 | 626,888 | ||||||||||
UBS Group AG |
312 | 317,925 | ||||||||||
UniCredit SpA |
421 | 371,373 | ||||||||||
3.127%, 06/03/2032(a) |
356 | 294,348 | ||||||||||
US Bancorp |
380 | 361,711 | ||||||||||
Wells Fargo & Co. |
687 | 624,428 | ||||||||||
3.584%, 05/22/2028 |
191 | 183,373 | ||||||||||
Series BB |
273 | 249,533 | ||||||||||
|
|
|||||||||||
20,606,323 | ||||||||||||
|
|
|||||||||||
Brokerage 0.6% |
||||||||||||
Charles Schwab Corp. (The) |
568 | 573,953 | ||||||||||
Series I |
469 | 427,676 | ||||||||||
Nomura Holdings, Inc. |
630 | 543,558 | ||||||||||
|
|
|||||||||||
1,545,187 | ||||||||||||
|
|
|||||||||||
Finance 1.7% |
||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
345 | 286,816 | ||||||||||
6.50%, 07/15/2025 |
179 | 185,725 | ||||||||||
Air Lease Corp. |
242 | 205,211 | ||||||||||
2.875%, 01/15/2026 |
72 | 67,566 | ||||||||||
3.625%, 04/01/2027 |
34 | 32,227 | ||||||||||
Aircastle Ltd. |
835 | 730,650 | ||||||||||
4.125%, 05/01/2024 |
152 | 151,123 | ||||||||||
4.25%, 06/15/2026 |
53 | 51,178 | ||||||||||
5.25%, 08/11/2025(a) |
384 | 383,255 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 21 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Aviation Capital Group LLC |
U.S.$ | 582 | $ | 517,492 | ||||||||
3.50%, 11/01/2027(a) |
136 | 124,882 | ||||||||||
4.125%, 08/01/2025(a) |
5 | 4,878 | ||||||||||
4.375%, 01/30/2024(a) |
135 | 134,451 | ||||||||||
4.875%, 10/01/2025(a) |
153 | 152,240 | ||||||||||
5.50%, 12/15/2024(a) |
381 | 387,267 | ||||||||||
CDBL Funding 1 |
580 | 554,271 | ||||||||||
Synchrony Financial |
420 | 342,384 | ||||||||||
|
|
|||||||||||
4,311,616 | ||||||||||||
|
|
|||||||||||
Insurance 1.2% |
||||||||||||
Guardian Life Insurance Co. of America (The) |
294 | 291,416 | ||||||||||
MetLife Capital Trust IV
|
699 | 805,402 | ||||||||||
Nationwide Mutual Insurance Co.
|
246 | 353,401 | ||||||||||
Prudential Financial, Inc. |
805 | 808,139 | ||||||||||
Swiss Re Finance Luxembourg SA
|
400 | 400,180 | ||||||||||
Voya Financial, Inc. |
180 | 179,195 | ||||||||||
|
|
|||||||||||
2,837,733 | ||||||||||||
|
|
|||||||||||
Other Finance 0.1% |
||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
271 | 264,865 | ||||||||||
|
|
|||||||||||
REITs 0.5% |
| |||||||||||
American Tower Corp. |
262 | 252,780 | ||||||||||
4.05%, 03/15/2032 |
105 | 98,546 | ||||||||||
GLP Capital LP/GLP Financing II, Inc. |
397 | 334,814 | ||||||||||
Vornado Realty LP |
709 | 620,219 | ||||||||||
|
|
|||||||||||
1,306,359 | ||||||||||||
|
|
|||||||||||
30,872,083 | ||||||||||||
|
|
|||||||||||
Utility 0.9% |
| |||||||||||
Electric 0.8% |
| |||||||||||
AES Panama Generation Holdings SRL
|
274 | 243,860 | ||||||||||
Chile Electricity Pec SpA |
679 | 519,987 |
22 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Duke Energy Carolinas NC Storm Funding LLC |
U.S.$ | 306 | $ | 257,998 | ||||||||
Engie Energia Chile SA
|
349 | 308,712 | ||||||||||
Entergy Corp. |
785 | 682,722 | ||||||||||
|
|
|||||||||||
2,013,279 | ||||||||||||
|
|
|||||||||||
Other Utility 0.1% |
| |||||||||||
American Water Capital Corp. |
151 | 144,504 | ||||||||||
|
|
|||||||||||
2,157,783 | ||||||||||||
|
|
|||||||||||
Total Corporates - Investment Grade |
68,407,153 | |||||||||||
|
|
|||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS 18.2% |
||||||||||||
Risk Share Floating Rate 15.3% |
| |||||||||||
Bellemeade Re Ltd. |
370 | 368,571 | ||||||||||
Series 2018-3A, Class M2 |
325 | 321,857 | ||||||||||
Series 2019-1A, Class M1B |
471 | 471,161 | ||||||||||
Series 2019-2A, Class M1C |
487 | 485,615 | ||||||||||
Series 2019-2A, Class M2 |
325 | 318,996 | ||||||||||
Series 2019-3A, Class M1B |
191 | 190,572 | ||||||||||
Series 2019-3A, Class M1C |
263 | 261,503 | ||||||||||
Series 2019-4A, Class M1B |
390 | 389,944 | ||||||||||
Series 2019-4A, Class M1C |
750 | 741,577 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 23 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Series 2019-4A, Class M2 |
U.S.$ | 540 | $ | 525,248 | ||||||
Series 2021-1A, Class M1C |
398 | 395,932 | ||||||||
Series 2022-1, Class M1C |
672 | 652,069 | ||||||||
Connecticut Avenue Securities Trust |
46 | 45,763 | ||||||||
Series 2019-R01, Class 2M2 |
137 | 137,743 | ||||||||
Series 2019-R02, Class 1M2 |
33 | 32,711 | ||||||||
Series 2019-R06, Class 2M2 |
73 | 73,494 | ||||||||
Series 2020-R01, Class 1B1 |
500 | 468,687 | ||||||||
Series 2020-SBT1, Class 1M2 |
1,000 | 990,089 | ||||||||
Series 2020-SBT1, Class 2M2 |
300 | 295,862 | ||||||||
Series 2021-R03, Class 1M2 |
250 | 238,831 | ||||||||
Series 2022-R01, Class 1B1 |
625 | 581,474 | ||||||||
Series 2022-R02, Class 2M1 |
601 | 594,354 | ||||||||
Eagle Re Ltd. |
325 | 323,778 | ||||||||
Series 2019-1, Class M2 |
325 | 325,317 | ||||||||
Series 2020-1, Class M1A |
950 | 942,853 | ||||||||
Series 2021-2, Class M1B |
254 | 249,614 |
24 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes |
U.S.$ | 806 | $ | 765,451 | ||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes |
221 | 227,835 | ||||||||
Series 2016-HQA3, Class M3 |
826 | 845,929 | ||||||||
Series 2017-DNA2, Class B1 |
750 | 802,834 | ||||||||
Series 2017-HQA2, Class B1 |
800 | 840,938 | ||||||||
Series 2017-HQA2, Class M2B |
560 | 570,468 | ||||||||
Series 2017-HQA3, Class B1 |
750 | 774,363 | ||||||||
Series 2018-HQA2, Class B1 |
1,250 | 1,271,860 | ||||||||
Series 2019-DNA1, Class B2 |
750 | 825,647 | ||||||||
Series 2019-DNA1, Class M2 |
800 | 806,582 | ||||||||
Series 2019-DNA3, Class B1 |
600 | 595,348 | ||||||||
Series 2019-FTR2, Class B1 |
750 | 717,335 | ||||||||
Series 2019-FTR2, Class M2 |
895 | 875,529 | ||||||||
Series 2019-FTR3, Class B2 |
700 | 636,805 | ||||||||
Series 2019-HQA2, Class B1 |
750 | 758,584 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 25 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Series 2019-HQA3, Class B1 |
U.S.$ | 500 | $ | 483,112 | ||||||
Series 2019-HQA4, Class B1 |
750 | 730,306 | ||||||||
Series 2020-DNA5, Class M2 |
339 | 341,392 | ||||||||
Series 2021-DNA3, Class B1 |
651 | 614,235 | ||||||||
Series 2021-DNA6, Class M2 |
828 | 798,210 | ||||||||
Series 2021-DNA7, Class M2 |
806 | 779,925 | ||||||||
Series 2021-HQA4, Class M2 |
513 | 483,799 | ||||||||
Series 2022-DNA2, Class M2 |
605 | 595,877 | ||||||||
Federal National Mortgage Association Connecticut Avenue Securities |
121 | 122,443 | ||||||||
Series 2015-C03, Class 1M2 |
122 | 124,204 | ||||||||
Series 2015-C04, Class 1M2 |
335 | 359,127 | ||||||||
Series 2016-C02, Class 1B |
149 | 169,790 | ||||||||
Series 2016-C03, Class 1B |
99 | 111,542 | ||||||||
Series 2016-C05, Class 2M2 |
509 | 527,725 | ||||||||
Series 2016-C06, Class 1B |
377 | 392,876 | ||||||||
Series 2016-C06, Class 1M2 |
206 | 215,426 | ||||||||
Series 2016-C07, Class 2B |
378 | 397,818 |
26 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Series 2017-C01, Class 1B1 |
U.S.$ | 750 | $ | 829,079 | ||||||
Series 2017-C01, Class 1M2 |
268 | 277,447 | ||||||||
Series 2017-C02, Class 2B1 |
750 | 813,351 | ||||||||
Series 2017-C03, Class 1M2 |
508 | 521,676 | ||||||||
Series 2017-C04, Class 2M2 |
249 | 254,518 | ||||||||
Series 2017-C06, Class 2B1 |
750 | 780,222 | ||||||||
Series 2017-C07, Class 1B1 |
305 | 310,986 | ||||||||
Series 2017-C07, Class 2B1 |
750 | 779,116 | ||||||||
Series 2021-R02, Class 2B1 |
441 | 410,708 | ||||||||
Home Re Ltd. |
129 | 129,288 | ||||||||
JPMorgan Madison Avenue Securities Trust |
23 | 22,096 | ||||||||
Mortgage Insurance-Linked Notes |
183 | 182,858 | ||||||||
PMT Credit Risk Transfer Trust |
295 | 292,103 | ||||||||
Series 2019-3R, Class A |
125 | 124,691 | ||||||||
Series 2020-1R, Class A |
206 | 205,617 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 27 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Radnor Re Ltd. |
U.S.$ | 635 | $ | 635,335 | ||||||||
Series 2019-2, Class M1B |
181 | 180,791 | ||||||||||
Series 2020-1, Class M1A |
809 | 803,286 | ||||||||||
Series 2020-1, Class M2A |
850 | 803,624 | ||||||||||
Traingle Re Ltd. |
23 | 22,515 | ||||||||||
Series 2021-3, Class M1B |
530 | 509,632 | ||||||||||
Wells Fargo Credit Risk Transfer Securities Trust |
133 | 121,614 | ||||||||||
Series 2015-WF1, Class 2M2 |
32 | 29,461 | ||||||||||
|
|
|||||||||||
38,026,944 | ||||||||||||
|
|
|||||||||||
Non-Agency Fixed Rate 1.5% |
||||||||||||
Alternative Loan Trust |
196 | 136,896 | ||||||||||
Series 2006-28CB, Class A14 |
149 | 97,397 | ||||||||||
Series 2006-J1, Class 1A13 |
88 | 71,196 | ||||||||||
Bayview MSR Opportunity Master Fund Trust |
234 | 206,453 | ||||||||||
CIM Trust |
590 | 520,902 | ||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust |
49 | 28,010 |
28 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Flagstar Mortgage Trust |
U.S.$ | 523 | $ | 461,455 | ||||||||
JPMorgan Alternative Loan Trust |
382 | 316,921 | ||||||||||
Mello Mortgage Capital Acceptance |
500 | 438,466 | ||||||||||
New Residential Mortgage Loan Trust |
734 | 644,078 | ||||||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates |
452 | 147,647 | ||||||||||
United Wholesale Mortgage Trust |
652 | 577,613 | ||||||||||
|
|
|||||||||||
3,647,034 | ||||||||||||
|
|
|||||||||||
Agency Floating Rate 0.6% |
| |||||||||||
Federal Home Loan Mortgage Corp. REMICs |
710 | 104,682 | ||||||||||
Series 4981, Class HS |
2,196 | 281,764 | ||||||||||
Federal National Mortgage Association REMICs |
489 | 81,018 | ||||||||||
Series 2015-90, Class SL |
990 | 153,237 | ||||||||||
Series 2016-77, Class DS |
772 | 111,918 | ||||||||||
Series 2017-26, Class TS |
972 | 150,992 | ||||||||||
Series 2017-62, Class AS |
873 | 138,653 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 29 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Series 2017-81, Class SA |
U.S.$ | 1,021 | $ | 168,096 | ||||||||
Series 2017-97, Class LS |
985 | 153,485 | ||||||||||
Government National Mortgage Association |
915 | 141,950 | ||||||||||
|
|
|||||||||||
1,485,795 | ||||||||||||
|
|
|||||||||||
Agency Fixed Rate 0.6% |
| |||||||||||
Federal Home Loan Mortgage Corp. REMICs |
1,470 | 258,817 | ||||||||||
Federal National Mortgage Association Grantor Trust |
62 | 57,648 | ||||||||||
Federal National Mortgage Association REMICs |
2,971 | 540,545 | ||||||||||
Series 2020-89, Class KI |
3,166 | 607,113 | ||||||||||
|
|
|||||||||||
1,464,123 | ||||||||||||
|
|
|||||||||||
Non-Agency Floating Rate 0.2% |
| |||||||||||
Deutsche Alt-A Securities Mortgage Loan Trust |
459 | 200,257 | ||||||||||
HomeBanc Mortgage Trust |
92 | 80,907 | ||||||||||
Impac Secured Assets Corp. |
161 | 140,782 | ||||||||||
JPMorgan Chase Bank, NA |
107 | 107,281 |
30 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Residential Accredit Loans, Inc. Trust |
U.S.$ | 505 | $ | 99,156 | ||||||||
|
|
|||||||||||
628,383 | ||||||||||||
|
|
|||||||||||
Total Collateralized Mortgage Obligations |
45,252,279 | |||||||||||
|
|
|||||||||||
MORTGAGE PASS-THROUGHS 16.2% |
| |||||||||||
Agency Fixed Rate 30-Year 15.3% |
| |||||||||||
Federal Home Loan Mortgage Corp. |
496 | 485,466 | ||||||||||
Series 2020 |
785 | 770,476 | ||||||||||
Federal Home Loan Mortgage Corp. 30 Year |
2,360 | 2,161,397 | ||||||||||
3.00%, 03/01/2052 |
1,334 | 1,262,932 | ||||||||||
Federal Home Loan Mortgage Corp. Gold |
87 | 93,099 | ||||||||||
Series 2007 |
15 | 15,453 | ||||||||||
Series 2016 |
568 | 577,610 | ||||||||||
Series 2017 |
392 | 398,604 | ||||||||||
Series 2018 |
1,054 | 1,088,120 | ||||||||||
5.00%, 11/01/2048 |
199 | 208,222 | ||||||||||
Federal National Mortgage Association |
88 | 92,900 | ||||||||||
Series 2004 |
294 | 313,396 | ||||||||||
Series 2005 |
36 | 38,051 | ||||||||||
Series 2007 |
177 | 187,921 | ||||||||||
Series 2010 |
240 | 243,373 | ||||||||||
Series 2012 |
2,088 | 2,079,710 | ||||||||||
Series 2013 |
967 | 962,173 | ||||||||||
4.00%, 10/01/2043 |
584 | 593,101 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 31 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Series 2016 |
U.S.$ | 435 | $ | 428,175 | ||||||||
Series 2018 |
937 | 967,540 | ||||||||||
Series 2019 |
1,504 | 1,471,521 | ||||||||||
Series 2020 |
698 | 684,014 | ||||||||||
Series 2021 |
690 | 632,671 | ||||||||||
Series 2022 |
1,509 | 1,382,733 | ||||||||||
3.00%, 02/01/2052-03/01/2052 |
3,988 | 3,776,576 | ||||||||||
Federal National Mortgage Association 30 Year |
1,556 | 1,424,347 | ||||||||||
Government National Mortgage Association |
288 | 278,398 | ||||||||||
Uniform Mortgage-Backed Security |
2,067 | 1,825,258 | ||||||||||
2.50%, 05/01/2052, TBA |
5,906 | 5,395,615 | ||||||||||
3.00%, 05/01/2052, TBA |
8,696 | 8,209,718 | ||||||||||
|
|
|||||||||||
38,048,570 | ||||||||||||
|
|
|||||||||||
Agency Fixed Rate 15-Year 0.9% |
| |||||||||||
Federal National Mortgage Association |
1,492 | 1,452,353 | ||||||||||
Series 2017 |
696 | 677,457 | ||||||||||
|
|
|||||||||||
2,129,810 | ||||||||||||
|
|
|||||||||||
Agency ARMs 0.0% |
| |||||||||||
Federal Home Loan Mortgage Corp. |
9 | 8,875 | ||||||||||
|
|
|||||||||||
Other Agency Fixed Rate Programs 0.0% |
| |||||||||||
Federal Home Loan Mortgage Corp. |
0 | ** | 78 | |||||||||
|
|
|||||||||||
Total Mortgage Pass-Throughs |
40,187,333 | |||||||||||
|
|
32 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
GOVERNMENTS - TREASURIES 13.3% |
||||||||||||
United States 13.3% |
||||||||||||
U.S. Treasury Bonds |
U.S.$ | 5,767 | $ | 4,579,358 | ||||||||
2.00%, 11/15/2041-08/15/2051 |
5,029 | 4,122,778 | ||||||||||
2.25%, 02/15/2052 |
783 | 675,805 | ||||||||||
2.375%, 02/15/2042 |
734 | 650,278 | ||||||||||
3.00%, 05/15/2045 |
80 | 77,613 | ||||||||||
3.125%, 08/15/2044(g) |
3,034 | 3,001,211 | ||||||||||
U.S. Treasury Notes |
6,595 | 6,494,651 | ||||||||||
1.25%, 08/15/2031 |
671 | 582,230 | ||||||||||
1.375%, 11/15/2031 |
4,786 | 4,185,108 | ||||||||||
1.875%, 02/28/2027(g) |
5,213 | 4,970,174 | ||||||||||
1.875%, 02/15/2032 |
1,855 | 1,696,531 | ||||||||||
2.875%, 04/30/2027 |
1,878 | 1,863,816 | ||||||||||
|
|
|||||||||||
Total Governments - Treasuries |
32,899,553 | |||||||||||
|
|
|||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES 9.1% |
||||||||||||
Non-Agency Fixed Rate CMBS 6.3% |
||||||||||||
BAMLL Commercial Mortgage Securities Trust |
960 | 859,863 | ||||||||||
Banc of America Commercial Mortgage Trust |
860 | 844,704 | ||||||||||
CFCRE Commercial Mortgage Trust |
375 | 366,050 | ||||||||||
CGRBS Commercial Mortgage Trust |
1,305 | 1,309,642 | ||||||||||
Citigroup Commercial Mortgage Trust |
500 | 500,399 | ||||||||||
Series 2013-GC17, Class D |
565 | 518,872 | ||||||||||
COMM Mortgage Trust |
1,580 | 1,577,392 | ||||||||||
Commercial Mortgage Trust |
77 | 75,961 | ||||||||||
Series 2014-LC17, Class B |
800 | 790,605 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 33 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||
|
||||||||||
Series 2014-UBS6, Class AM |
U.S.$ | 375 | $ | 373,443 | ||||||
GS Mortgage Securities Trust |
252 | 109,466 | ||||||||
Series 2013-G1, Class A2 |
766 | 759,900 | ||||||||
GSF |
251 | 234,553 | ||||||||
Series 2021-1, Class A2 |
558 | 533,252 | ||||||||
Series 2021-1, Class AS |
25 | 23,491 | ||||||||
HFX Funding |
710 | 670,063 | ||||||||
JPMBB Commercial Mortgage Securities Trust |
890 | 811,384 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust |
12 | 12,163 | ||||||||
Series 2012-C6, Class D |
690 | 659,778 | ||||||||
Series 2012-C6, Class E |
389 | 300,364 | ||||||||
LB-UBS Commercial Mortgage Trust |
77 | 31,974 | ||||||||
LSTAR Commercial Mortgage Trust |
518 | 515,068 | ||||||||
UBS-Barclays Commercial Mortgage Trust |
820 | 808,481 | ||||||||
Wells Fargo Commercial Mortgage Trust |
7,855 | 432,577 | ||||||||
Series 2016-LC25, Class C |
545 | 516,130 | ||||||||
Series 2016-NXS6, Class C |
600 | 572,242 | ||||||||
WF-RBS Commercial Mortgage Trust |
480 | 480,136 |
34 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Series 2013-C11, Class XA |
U.S.$ | 5,835 | $ | 24,297 | ||||||||
Series 2014-C24, Class AS |
945 | 931,830 | ||||||||||
|
|
|||||||||||
15,644,080 | ||||||||||||
|
|
|||||||||||
Non-Agency Floating Rate CMBS 2.8% |
| |||||||||||
AREIT Trust |
1,055 | 1,042,830 | ||||||||||
Ashford Hospitality Trust |
526 | 521,343 | ||||||||||
BAMLL Commercial Mortgage Securities Trust |
1,330 | 1,263,805 | ||||||||||
BBCMS Mortgage Trust |
692 | 690,891 | ||||||||||
BFLD Trust |
1,060 | 1,045,372 | ||||||||||
BX Commercial Mortgage Trust |
142 | 137,738 | ||||||||||
Series 2019-IMC, Class E |
566 | 546,351 | ||||||||||
CLNY Trust |
540 | 525,125 | ||||||||||
Federal Home Loan Mortgage Corp. |
109 | 106,128 | ||||||||||
Morgan Stanley Capital I Trust |
96 | 88,667 | ||||||||||
Series 2019-BPR, Class C |
520 | 497,556 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 35 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Natixis Commercial Mortgage Securities Trust |
U.S.$ | 379 | $ | 376,170 | ||||||||
|
|
|||||||||||
6,841,976 | ||||||||||||
|
|
|||||||||||
Agency CMBS 0.0% |
| |||||||||||
Government National Mortgage Association |
647 | 7 | ||||||||||
|
|
|||||||||||
Total Commercial Mortgage-Backed Securities |
22,486,063 | |||||||||||
|
|
|||||||||||
ASSET-BACKED SECURITIES 7.2% |
| |||||||||||
Other ABS - Fixed Rate 3.6% |
| |||||||||||
AB Issuer LLC |
741 | 643,192 | ||||||||||
Affirm Asset Securitization Trust |
211 | 206,877 | ||||||||||
Series 2021-Z2, Class A |
196 | 190,434 | ||||||||||
Series 2022-X1, Class A |
611 | 604,196 | ||||||||||
Atalaya Equipment Leasing Trust |
82 | 82,278 | ||||||||||
Series 2021-1A, Class C |
600 | 571,187 | ||||||||||
Cajun Global LLC |
140 | 131,235 | ||||||||||
College Ave Student Loans |
213 | 195,459 | ||||||||||
Conns Receivables Funding LLC |
499 | 497,359 | ||||||||||
Dext ABS |
519 | 469,710 | ||||||||||
Series 2021-1, Class D |
260 | 233,622 | ||||||||||
Diamond Issuer |
566 | 514,622 |
36 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Dominos Pizza Master Issuer LLC |
U.S.$ | 412 | $ | 370,336 | ||||||||
GCI Funding I LLC |
282 | 255,179 | ||||||||||
Hardees Funding LLC |
329 | 332,310 | ||||||||||
Series 2020-1A, Class A2 |
988 | 936,318 | ||||||||||
MVW LLC |
844 | 783,307 | ||||||||||
Neighborly Issuer LLC |
301 | 275,427 | ||||||||||
Series 2022-1A, Class A2 |
367 | 332,763 | ||||||||||
Nelnet Student Loan Trust |
220 | 189,713 | ||||||||||
SEB Funding LLC |
692 | 652,431 | ||||||||||
Upstart Securitization Trust |
83 | 82,292 | ||||||||||
Series 2021-3, Class B |
480 | 450,135 | ||||||||||
|
|
|||||||||||
9,000,382 | ||||||||||||
|
|
|||||||||||
Autos - Fixed Rate 3.2% |
| |||||||||||
ACMAT |
764 | 764,024 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC |
695 | 697,199 | ||||||||||
Series 2018-2A, Class A |
755 | 758,239 | ||||||||||
Carvana Auto Receivables Trust |
313 | 301,705 | ||||||||||
Series 2021-N4, Class D |
266 | 251,643 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 37 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
CPS Auto Receivables Trust |
U.S.$ | 470 | $ | 438,790 | ||||||||
Exeter Automobile Receivables Trust |
52 | 51,691 | ||||||||||
FHF Trust |
262 | 253,363 | ||||||||||
First Investors Auto Owner Trust |
1,000 | 1,010,045 | ||||||||||
Flagship Credit Auto Trust |
960 | 934,184 | ||||||||||
Series 2020-1, Class E |
1,000 | 955,543 | ||||||||||
Ford Credit Auto Owner Trust |
542 | 497,109 | ||||||||||
Hertz Vehicle Financing III LLC |
450 | 421,348 | ||||||||||
Octane Receivables Trust |
541 | 500,455 | ||||||||||
|
|
|||||||||||
7,835,338 | ||||||||||||
|
|
|||||||||||
Credit Cards - Fixed Rate 0.4% |
| |||||||||||
Brex Commercial Charge Card Master Trust |
397 | 391,134 | ||||||||||
Series 2022-1, Class A |
565 | 557,711 | ||||||||||
|
|
|||||||||||
948,845 | ||||||||||||
|
|
|||||||||||
Total Asset-Backed Securities |
17,784,565 | |||||||||||
|
|
|||||||||||
CORPORATES - NON-INVESTMENT |
||||||||||||
Industrial 3.0% |
||||||||||||
Basic 0.3% |
| |||||||||||
INEOS Quattro Finance 2 PLC
|
EUR | 313 | 303,259 | |||||||||
Sealed Air Corp.
|
U.S.$ | 379 | 356,745 | |||||||||
|
|
|||||||||||
660,004 | ||||||||||||
|
|
38 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Capital Goods 0.2% |
| |||||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC |
U.S.$ | 485 | $ | 425,689 | ||||||||
TK Elevator Midco GmbH
|
EUR | 181 | 177,360 | |||||||||
|
|
|||||||||||
603,049 | ||||||||||||
|
|
|||||||||||
Communications - Media 0.6% |
| |||||||||||
Altice Financing SA
|
181 | 161,172 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.
|
U.S.$ | 619 | 514,661 | |||||||||
4.75%, 02/01/2032(a) |
146 | 126,416 | ||||||||||
DISH DBS Corp. |
322 | 288,821 | ||||||||||
Summer BC Holdco B SARL
|
EUR | 181 | 188,525 | |||||||||
VZ Vendor Financing II BV
|
181 | 162,661 | ||||||||||
|
|
|||||||||||
1,442,256 | ||||||||||||
|
|
|||||||||||
Communications - Telecommunications 0.3% |
||||||||||||
Altice France SA/France
|
181 | 162,657 | ||||||||||
Lorca Telecom Bondco SA
|
181 | 174,792 | ||||||||||
Lumen Technologies, Inc.
|
U.S.$ | 401 | 317,440 | |||||||||
|
|
|||||||||||
654,889 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Automotive 0.3% |
||||||||||||
Adient Global Holdings Ltd.
|
EUR | 181 | 179,619 | |||||||||
Clarios Global LP/Clarios US Finance Co. |
130 | 131,049 | ||||||||||
Ford Motor Credit Co. LLC |
U.S.$ | 397 | 385,963 | |||||||||
ZF Finance GmbH |
EUR | 200 | 187,781 | |||||||||
|
|
|||||||||||
884,412 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Entertainment 0.4% |
||||||||||||
Carnival Corp. |
U.S.$ | 712 | 641,042 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 39 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Royal Caribbean Cruises Ltd.
|
U.S.$ | 391 | $ | 425,181 | ||||||||
|
|
|||||||||||
1,066,223 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Other 0.1% |
||||||||||||
NH Hotel Group SA
|
EUR | 181 | 183,698 | |||||||||
|
|
|||||||||||
Consumer Cyclical - Restaurants 0.2% |
||||||||||||
1011778 BC ULC/New Red Finance, Inc. |
U.S.$ | 685 | 605,177 | |||||||||
|
|
|||||||||||
Consumer Cyclical - Retailers 0.1% |
||||||||||||
Levi Strauss & Co.
|
382 | 332,428 | ||||||||||
|
|
|||||||||||
Consumer Non-Cyclical 0.3% |
||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC |
373 | 313,988 | ||||||||||
IQVIA, Inc. |
EUR | 100 | 92,264 | |||||||||
Nobel Bidco BV |
181 | 158,905 | ||||||||||
Organon & Co./Organon Foreign Debt Co-Issuer BV
|
100 | 94,945 | ||||||||||
|
|
|||||||||||
660,102 | ||||||||||||
|
|
|||||||||||
Energy 0.1% |
||||||||||||
Transocean Poseidon Ltd.
|
U.S.$ | 211 | 202,768 | |||||||||
|
|
|||||||||||
Services 0.1% |
||||||||||||
APCOA Parking Holdings GmbH
|
EUR | 181 | 176,713 | |||||||||
|
|
|||||||||||
Transportation - Airlines 0.0% |
||||||||||||
Deutsche Lufthansa AG
|
100 | 97,692 | ||||||||||
|
|
|||||||||||
7,569,411 | ||||||||||||
|
|
|||||||||||
Financial Institutions 1.2% |
||||||||||||
Banking 1.0% |
||||||||||||
Credit Suisse Group AG
|
U.S.$ | 1,020 | 1,010,126 | |||||||||
Discover Financial Services |
1,087 | 1,108,479 |
40 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Intesa Sanpaolo SpA
|
U.S.$ | 288 | $ | 283,084 | ||||||||
|
|
|||||||||||
2,401,689 | ||||||||||||
|
|
|||||||||||
Finance 0.2% |
||||||||||||
SLM Corp. |
533 | 520,901 | ||||||||||
|
|
|||||||||||
2,922,590 | ||||||||||||
|
|
|||||||||||
Utility 0.1% |
||||||||||||
Electric 0.1% |
||||||||||||
Vistra Corp. |
218 | 212,186 | ||||||||||
|
|
|||||||||||
Total Corporates - Non-Investment Grade |
10,704,187 | |||||||||||
|
|
|||||||||||
COLLATERALIZED LOAN |
||||||||||||
CLO - Floating Rate 3.7% |
||||||||||||
AGL CLO 12 Ltd. |
500 | 483,075 | ||||||||||
Balboa Bay Loan Funding Ltd. |
709 | 679,492 | ||||||||||
Ballyrock CLO 16 Ltd. |
400 | 383,852 | ||||||||||
Elevation CLO Ltd. |
1,000 | 981,895 | ||||||||||
Elmwood CLO IX Ltd. |
700 | 678,355 | ||||||||||
Flatiron CLO 21 Ltd. |
700 | 676,658 | ||||||||||
Goldentree Loan Management US CLO 7 Ltd. |
581 | 573,066 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 41 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Neuberger Berman Loan Advisers CLO 42 Ltd. |
U.S.$ | 698 | $ | 671,041 | ||||||||
OCP CLO Ltd. |
761 | 749,590 | ||||||||||
Peace Park CLO Ltd. |
300 | 290,608 | ||||||||||
Pikes Peak CLO 8 |
675 | 666,872 | ||||||||||
Regatta XX Funding Ltd. |
1,019 | 1,003,922 | ||||||||||
Rockford Tower CLO Ltd. |
711 | 693,089 | ||||||||||
Series 2021-2A, Class A1 |
504 | 496,654 | ||||||||||
Voya CLO Ltd. |
210 | 200,325 | ||||||||||
|
|
|||||||||||
Total Collateralized Loan Obligations |
9,228,494 | |||||||||||
|
|
|||||||||||
EMERGING MARKETS - CORPORATE BONDS 1.3% |
||||||||||||
Industrial 1.3% |
||||||||||||
Basic 0.4% |
||||||||||||
Stillwater Mining Co.
|
446 | 406,975 | ||||||||||
Vedanta Resources Finance II PLC
|
377 | 393,329 | ||||||||||
Volcan Cia Minera SAA
|
160 | 143,280 | ||||||||||
|
|
|||||||||||
943,584 | ||||||||||||
|
|
42 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Capital Goods 0.5% |
| |||||||||||
Cemex SAB de CV
|
U.S.$ | 572 | $ | 486,200 | ||||||||
Embraer Netherlands Finance BV |
540 | 522,788 | ||||||||||
6.95%, 01/17/2028(a) |
219 | 219,339 | ||||||||||
Odebrecht Holdco Finance Ltd. |
477 | 2,386 | ||||||||||
|
|
|||||||||||
1,230,713 | ||||||||||||
|
|
|||||||||||
Communications - Media 0.1% |
||||||||||||
Globo Comunicacao e Participacoes SA |
417 | 360,523 | ||||||||||
|
|
|||||||||||
Consumer Cyclical - Other 0.1% |
||||||||||||
Wynn Macau Ltd.
|
330 | 265,237 | ||||||||||
|
|
|||||||||||
Consumer Non-Cyclical 0.1% |
||||||||||||
Natura Cosmeticos SA
|
283 | 252,889 | ||||||||||
Virgolino de Oliveira Finance SA
|
660 | 66 | ||||||||||
|
|
|||||||||||
252,955 | ||||||||||||
|
|
|||||||||||
Services 0.1% |
| |||||||||||
MercadoLibre, Inc. |
200 | 179,787 | ||||||||||
|
|
|||||||||||
3,232,799 | ||||||||||||
|
|
|||||||||||
Utility 0.0% |
||||||||||||
Electric 0.0% |
||||||||||||
Terraform Global Operating LLC
|
60 | 59,017 | ||||||||||
|
|
|||||||||||
Financial Institutions 0.0% |
| |||||||||||
Other Finance 0.0% |
| |||||||||||
OEC Finance Ltd.
|
190 | 6,616 | ||||||||||
7.125%, 12/26/2046(a)(l) |
235 | 8,094 | ||||||||||
|
|
|||||||||||
14,710 | ||||||||||||
|
|
|||||||||||
Total Emerging Markets - Corporate Bonds |
3,306,526 | |||||||||||
|
|
|||||||||||
LOCAL GOVERNMENTS - US MUNICIPAL BONDS 1.0% |
||||||||||||
United States 1.0% |
| |||||||||||
State of California |
970 | 1,337,800 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 43 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
Tobacco Settlement Finance Authority/WV |
U.S.$ | 432 | $ | 430,587 | ||||||||
University of California |
730 | 581,228 | ||||||||||
|
|
|||||||||||
Total Local Governments - US Municipal Bonds |
2,349,615 | |||||||||||
|
|
|||||||||||
Shares | ||||||||||||
COMMON STOCKS 0.4% |
||||||||||||
Financials 0.4% |
||||||||||||
Insurance 0.4% |
||||||||||||
Mt Logan Re Ltd.(h)(k) |
150 | 131,075 | ||||||||||
Mt Logan Re Ltd. (Preference Shares)(h)(i)(k)(m) |
944 | 851,291 | ||||||||||
|
|
|||||||||||
Total Common Stocks |
982,366 | |||||||||||
|
|
|||||||||||
Principal Amount (000) |
||||||||||||
EMERGING MARKETS - SOVEREIGNS 0.4% |
||||||||||||
Dominican Republic 0.3% |
| |||||||||||
Dominican Republic International Bond |
U.S.$ | 763 | 640,586 | |||||||||
|
|
|||||||||||
Egypt 0.1% |
| |||||||||||
Egypt Government International Bond |
412 | 301,275 | ||||||||||
|
|
|||||||||||
Total Emerging Markets - Sovereigns |
941,861 | |||||||||||
|
|
|||||||||||
QUASI-SOVEREIGNS 0.3% |
| |||||||||||
Quasi-Sovereign Bonds 0.3% |
| |||||||||||
Mexico 0.3% |
| |||||||||||
Comision Federal de
Electricidad |
653 | 521,502 | ||||||||||
4.688%, 05/15/2029(a) |
295 | 271,271 | ||||||||||
|
|
|||||||||||
Total Quasi-Sovereigns |
792,773 | |||||||||||
|
|
44 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) |
U.S. $ Value | |||||||||||
|
||||||||||||
GOVERNMENTS - SOVEREIGN |
||||||||||||
Colombia 0.1% |
||||||||||||
Colombia Government International Bond |
U.S.$ | 375 | $ | 293,391 | ||||||||
|
|
|||||||||||
SHORT-TERM INVESTMENTS 3.2% |
||||||||||||
Governments - Treasuries 1.8% |
||||||||||||
Japan 1.8% |
||||||||||||
Japan Treasury Discount Bill |
JPY | 591,600 | 4,559,297 | |||||||||
|
|
|||||||||||
Shares | ||||||||||||
Investment Companies 1.4% |
||||||||||||
AB Fixed Income Shares, Inc. Government Money Market Portfolio Class AB, 0.22%(n)(o)(p) |
3,543,007 | 3,543,007 | ||||||||||
|
|
|||||||||||
Total Short-Term Investments |
8,102,304 | |||||||||||
|
|
|||||||||||
Total Investments 106.3% |
263,718,463 | |||||||||||
Other assets less liabilities (6.3)% |
(15,668,056 | ) | ||||||||||
|
|
|||||||||||
Net Assets 100.0% |
$ | 248,050,407 | ||||||||||
|
|
FUTURES (see Note D)
Description | Number of Contracts |
Expiration Month |
Current Notional |
Value and Unrealized Appreciation/ (Depreciation) |
||||||||||||
Purchased Contracts |
| |||||||||||||||
U.S. 10 Yr Ultra Futures |
9 | June 2022 | $ | 1,161,000 | $ | (2,262 | ) | |||||||||
U.S. T-Note 2 Yr (CBT) Futures |
82 | June 2022 | 17,286,625 | (56,609 | ) | |||||||||||
U.S. T-Note 5 Yr (CBT) Futures |
140 | June 2022 | 15,774,062 | (206,062 | ) | |||||||||||
U.S. Ultra Bond (CBT) Futures |
107 | June 2022 | 17,166,813 | (2,242,330 | ) | |||||||||||
|
|
|||||||||||||||
$ | (2,507,263 | ) | ||||||||||||||
|
|
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 45 |
PORTFOLIO OF INVESTMENTS (continued)
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
Counterparty | Contracts to Deliver (000) |
In Exchange For (000) |
Settlement Date |
Unrealized Appreciation/ (Depreciation) |
||||||||||||
Goldman Sachs Bank USA |
CNH | 628 | USD | 95 | 05/18/2022 | $ | 675 | |||||||||
Goldman Sachs Bank USA |
MYR | 4,032 | USD | 950 | 06/16/2022 | 21,700 | ||||||||||
Goldman Sachs Bank USA |
JPY | 591,702 | USD | 4,665 | 07/15/2022 | 92,946 | ||||||||||
HSBC Bank USA |
CNH | 32,460 | USD | 5,005 | 05/18/2022 | 123,988 | ||||||||||
Morgan Stanley Capital Services, Inc. |
EUR | 2,983 | USD | 3,414 | 05/12/2022 | 266,213 | ||||||||||
Morgan Stanley Capital Services, Inc. |
AUD | 3,552 | USD | 2,546 | 07/21/2022 | 32,708 | ||||||||||
State Street Bank & Trust Co. |
USD | 451 | EUR | 413 | 05/12/2022 | (14,311 | ) | |||||||||
State Street Bank & Trust Co. |
SEK | 2,757 | USD | 290 | 06/17/2022 | 9,249 | ||||||||||
State Street Bank & Trust Co. |
USD | 292 | SEK | 2,753 | 06/17/2022 | (11,641 | ) | |||||||||
UBS AG |
CAD | 3,359 | USD | 2,686 | 07/21/2022 | 72,152 | ||||||||||
|
|
|||||||||||||||
$ | 593,679 | |||||||||||||||
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note D)
Description | Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at April 30, 2022 |
Notional Amount (000) |
Market Value |
Upfront Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||||||
Buy Contracts |
|
|||||||||||||||||||||||||||||||
CDX-NAHY Series 38, 5 Year Index, 06/20/2027* |
(5.00 | )% | Quarterly | 4.63 | % | USD | 5,270 | $ | (109,736) | $ | (247,316 | ) | $ | 137,580 |
* | Termination date |
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||||||
Notional Amount |
Termination Date |
Payments made by the Fund |
Payments received by the Fund |
Payment Frequency Paid/ Received |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||
USD | 2,000 | 12/13/2029 | 1.764% | 3 Month LIBOR |
Semi-Annual/ Quarterly |
$ | 157,464 | $ | 0 | | $ | 157,464 |
CREDIT DEFAULT SWAPS (see Note D)
Swap Counterparty & Referenced Obligation |
Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at April 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 | 5 | $ | (1,133 | ) | $ | (715 | ) | $ | (418 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 5 | (1,133 | ) | (571 | ) | (562 | ) |
46 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Swap Counterparty & Referenced Obligation |
Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at April 30, 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 | 10 | $ | (2,493 | ) | $ | (1,325 | ) | $ | (1,168 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 12 | (2,946 | ) | (1,391 | ) | (1,555 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 13 | (3,173 | ) | (1,264 | ) | (1,909 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 18 | (4,306 | ) | (2,139 | ) | (2,167 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 22 | (5,213 | ) | (2,675 | ) | (2,538 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 22 | (5,213 | ) | (2,590 | ) | (2,623 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 23 | (5,666 | ) | (2,942 | ) | (2,724 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 32 | (7,706 | ) | (4,497 | ) | (3,209 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 30 | (7,252 | ) | (3,603 | ) | (3,649 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 30 | (7,252 | ) | (3,251 | ) | (4,001 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 42 | (10,199 | ) | (4,816 | ) | (5,383 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 43 | (10,426 | ) | (4,674 | ) | (5,752 | ) | |||||||||||||||||||||
Credit Suisse International |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 145 | (35,130 | ) | (9,511 | ) | (25,619 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 273 | (65,953 | ) | (38,312 | ) | (27,641 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 1,766 | (426,496 | ) | (68,280 | ) | (358,216 | ) | |||||||||||||||||||||
Deutsche Bank AG |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 748 | (67,553 | ) | (13,838 | ) | (53,715 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 4 | (906 | ) | (406 | ) | (500 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 49 | (11,786 | ) | (5,410 | ) | (6,376 | ) |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 47 |
PORTFOLIO OF INVESTMENTS (continued)
Swap Counterparty & Referenced Obligation |
Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at April 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 | 43 | $ | (10,425 | ) | $ | (2,343 | ) | $ | (8,082 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 170 | (41,022 | ) | (18,366 | ) | (22,656 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 302 | (72,979 | ) | (36,009 | ) | (36,970 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 699 | (168,847 | ) | (46,337 | ) | (122,510 | ) | |||||||||||||||||||||
Goldman Sachs International |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 19 | (4,533 | ) | (2,696 | ) | (1,837 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 24 | (5,893 | ) | (2,068 | ) | (3,825 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 49 | (11,785 | ) | (4,558 | ) | (7,227 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 49 | (11,785 | ) | (4,212 | ) | (7,573 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 84 | (20,398 | ) | (10,243 | ) | (10,155 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 98 | (23,571 | ) | (9,964 | ) | (13,607 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 210 | (50,767 | ) | (32,491 | ) | (18,276 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 294 | (70,939 | ) | (46,054 | ) | (24,885 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 244 | (58,927 | ) | (31,403 | ) | (27,524 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 206 | (49,634 | ) | (12,884 | ) | (36,750 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 292 | (70,485 | ) | (23,849 | ) | (46,636 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 334 | (80,684 | ) | (33,660 | ) | (47,024 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 713 | (172,248 | ) | (53,695 | ) | (118,553 | ) | |||||||||||||||||||||
JPMorgan Securities, LLC |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 28 | (6,799 | ) | (2,597 | ) | (4,202 | ) |
48 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Swap Counterparty & Referenced Obligation |
Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at April 30, 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 | 30 | $ | (7,252 | ) | $ | (2,771 | ) | $ | (4,481 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 57 | (13,825 | ) | (6,908 | ) | (6,917 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 122 | (29,463 | ) | (14,273 | ) | (15,190 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 123 | (29,690 | ) | (11,311 | ) | (18,379 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 351 | (84,763 | ) | (40,704 | ) | (44,059 | ) | |||||||||||||||||||||
Morgan Stanley & Co. International PLC |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 751 | (181,313 | ) | (104,924 | ) | (76,389 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (1,959,962 | ) | $ | (726,530 | ) | $ | (1,233,432 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
TOTAL RETURN SWAPS (see Note D)
Counterparty & Referenced Obligation |
Rate Paid/ Received |
Payment Frequency |
Current Notional (000) |
Maturity Date |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||
Pay Total Return on Reference Obligation |
| |||||||||||||||||||
Morgan Stanley Capital Services LLC |
1 Day SOFR |
Maturity | USD | 12,662 | 06/20/2022 | $ | 442,781 |
** | 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 April 30, 2022, the aggregate market value of these securities amounted to $105,318,333 or 42.5% of net assets. |
(b) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(c) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at April 30, 2022. |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 49 |
PORTFOLIO OF INVESTMENTS (continued)
(d) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 1.05% of net assets as of April 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 |
||||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes |
01/07/2020 | $ | 732,355 | $ | 636,805 | 0.26 | % | |||||||||
GSF |
02/25/2021 | 249,230 | 234,553 | 0.09 | % | |||||||||||
GSF |
02/25/2021 | 573,169 | 533,252 | 0.22 | % | |||||||||||
GSF |
02/25/2021 | 25,598 | 23,491 | 0.01 | % | |||||||||||
HFX Funding |
11/19/2020 | 757,576 | 670,063 | 0.27 | % | |||||||||||
JPMorgan Madison Avenue Securities Trust |
11/06/2015 | 22,435 | 22,096 | 0.01 | % | |||||||||||
Morgan Stanley Capital I Trust |
11/16/2015 | 96,100 | 88,667 | 0.04 | % | |||||||||||
PMT Credit Risk Transfer Trust Series 2020-1R, Class A
|
02/11/2020 | 206,460 | 205,617 | 0.08 | % | |||||||||||
Terraform Global Operating LLC |
02/08/2018 | 60,000 | 59,017 | 0.02 | % | |||||||||||
Virgolino de Oliveira Finance SA |
01/24/2014 | 365,927 | 66 | 0.00 | % | |||||||||||
Wells Fargo Credit Risk Transfer Securities Trust |
09/28/2015 | 136,030 | 121,614 | 0.05 | % | |||||||||||
Wells Fargo Credit Risk Transfer Securities Trust |
09/28/2015 | 32,009 | 29,461 | 0.01 | % |
(e) | Inverse interest only security. |
(f) | IO Interest Only. |
(g) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(h) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
50 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
(i) | Fair valued by the Adviser. |
(j) | Defaulted matured security. |
(k) | Non-income producing security. |
(l) | Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at April 30, 2022. |
(m) | Restricted and illiquid security. |
Restricted & Illiquid Securities |
Acquisition Date |
Cost | Market Value |
Percentage of Net Assets |
||||||||||||
Mt Logan Re Ltd. (Preference Shares) |
01/02/2014 | $ | 945,040 | $ | 851,291 | 0.34 | % |
(n) | Affiliated investments. |
(o) | To obtain a copy of the funds shareholder report, please go to the Securities and Exchange Commissions website at www.sec.gov, or call AB at (800) 227-4618. |
(p) | The rate shown represents the 7-day yield as of period end. |
Currency Abbreviations:
AUD Australian Dollar
CAD Canadian Dollar
CNH Chinese Yuan Renminbi (Offshore)
EUR Euro
JPY Japanese Yen
MYR Malaysian Ringgit
SEK Swedish Krona
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
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.
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 51 |
STATEMENT OF ASSETS & LIABILITIES
April 30, 2022 (unaudited)
Assets |
| |||
Investments in securities, at value |
| |||
Unaffiliated issuers (cost $279,879,994) |
$ | 260,175,456 | ||
Affiliated issuers (cost $3,543,007) |
3,543,007 | |||
Cash |
4,334 | |||
Cash collateral due from broker |
1,607,120 | |||
Foreign currencies, at value (cost $985,030) |
948,184 | |||
Receivable for investment securities sold |
5,896,622 | |||
Interest receivable |
1,367,659 | |||
Unrealized appreciation on forward currency exchange contracts |
619,631 | |||
Unrealized appreciation on total return swaps |
442,781 | |||
Receivable for capital stock sold |
77,362 | |||
Receivable for variation margin on centrally cleared swaps |
49,857 | |||
Affiliated dividends receivable |
277 | |||
|
|
|||
Total assets |
274,732,290 | |||
|
|
|||
Liabilities |
| |||
Payable for investment securities purchased |
23,210,857 | |||
Market value on credit default swaps (net premiums received $726,530) |
1,959,962 | |||
Payable for capital stock redeemed |
465,798 | |||
Cash collateral due to broker |
320,000 | |||
Payable for variation margin on futures |
173,567 | |||
Dividends payable |
109,369 | |||
Distribution fee payable |
41,480 | |||
Advisory fee payable |
32,399 | |||
Transfer Agent fee payable |
30,377 | |||
Administrative fee payable |
28,904 | |||
Unrealized depreciation on forward currency exchange contracts |
25,952 | |||
Foreign capital gains tax payable |
25,257 | |||
Directors fees payable |
2,188 | |||
Accrued expenses |
255,773 | |||
|
|
|||
Total liabilities |
26,681,883 | |||
|
|
|||
Net Assets |
$ | 248,050,407 | ||
|
|
|||
Composition of Net Assets |
| |||
Capital stock, at par |
$ | 24,862 | ||
Additional paid-in capital |
280,067,892 | |||
Accumulated loss |
(32,042,347 | ) | ||
|
|
|||
Net Assets |
$ | 248,050,407 | ||
|
|
See notes to financial statements.
52 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
STATEMENT OF ASSETS & LIABILITIES (continued)
Net Asset Value Per Share27 billion shares of capital stock authorized, $.001 par value
Class | Net Assets | Shares Outstanding |
Net Asset Value |
|||||||||
|
||||||||||||
A | $ | 171,969,732 | 17,238,307 | $ | 9.98 | * | ||||||
|
||||||||||||
C | $ | 3,977,938 | 399,682 | $ | 9.95 | |||||||
|
||||||||||||
Advisor | $ | 64,948,623 | 6,507,490 | $ | 9.98 | |||||||
|
||||||||||||
R | $ | 499,303 | 50,065 | $ | 9.97 | |||||||
|
||||||||||||
K | $ | 2,567,400 | 257,180 | $ | 9.98 | |||||||
|
||||||||||||
I | $ | 1,283,052 | 128,447 | $ | 9.99 | |||||||
|
||||||||||||
Z | $ | 2,804,359 | 280,530 | $ | 10.00 | |||||||
|
* | The maximum offering price per share for Class A shares was $10.42 which reflects a sales charge of 4.25%. |
See notes to financial statements.
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 53 |
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2022 (unaudited)
Investment Income |
| |||||||
Interest |
$ | 4,167,493 | ||||||
DividendsAffiliated issuers |
850 | |||||||
Other income |
179 | $ | 4,168,522 | |||||
|
|
|||||||
Expenses |
| |||||||
Advisory fee (see Note B) |
667,375 | |||||||
Distribution feeClass A |
238,449 | |||||||
Distribution feeClass C |
25,205 | |||||||
Distribution feeClass R |
1,505 | |||||||
Distribution feeClass K |
4,854 | |||||||
Transfer agencyClass A |
127,906 | |||||||
Transfer agencyClass C |
3,496 | |||||||
Transfer agencyAdvisor Class |
61,179 | |||||||
Transfer agencyClass R |
783 | |||||||
Transfer agencyClass K |
3,883 | |||||||
Transfer agencyClass I |
593 | |||||||
Transfer agencyClass Z |
493 | |||||||
Custody and accounting |
83,867 | |||||||
Registration fees |
52,965 | |||||||
Audit and tax |
50,237 | |||||||
Administrative |
46,944 | |||||||
Printing |
30,446 | |||||||
Legal |
16,132 | |||||||
Directors fees |
11,143 | |||||||
Miscellaneous |
14,712 | |||||||
|
|
|||||||
Total expenses |
1,442,167 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Note B) |
(397,518 | ) | ||||||
|
|
|||||||
Net expenses |
1,044,649 | |||||||
|
|
|||||||
Net investment income |
3,123,873 | |||||||
|
|
|||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain (loss) on: |
||||||||
Investment transactions(a) |
(3,523,003 | ) | ||||||
Forward currency exchange contracts |
(119,484 | ) | ||||||
Futures |
(8,110,618 | ) | ||||||
Swaps |
(532,489 | ) | ||||||
Foreign currency transactions |
355,999 | |||||||
Net change in unrealized appreciation/depreciation of: |
||||||||
Investments(b) |
(23,114,523 | ) | ||||||
Forward currency exchange contracts |
1,082,115 | |||||||
Futures |
(2,073,840 | ) | ||||||
Swaps |
2,296,109 | |||||||
Foreign currency denominated assets and liabilities |
(21,825 | ) | ||||||
|
|
|||||||
Net loss on investment and foreign currency transactions |
(33,761,559 | ) | ||||||
|
|
|||||||
Net Decrease in Net Assets from Operations |
$ | (30,637,686 | ) | |||||
|
|
(a) | Net of foreign realized capital gains taxes of $7,842. |
(b) | Net of decrease in accrued foreign capital gains taxes on unrealized gains of $4,925. |
See notes to financial statements.
54 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
|||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income |
$ | 3,123,873 | $ | 8,338,453 | ||||
Net realized gain (loss) on investment and foreign currency transactions |
(11,929,595 | ) | 679,101 | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities |
(21,831,964 | ) | (4,297,312 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in net assets from operations |
(30,637,686 | ) | 4,720,242 | |||||
Distributions to Shareholders |
| |||||||
Class A |
(2,309,641 | ) | (8,026,732 | ) | ||||
Class C |
(42,513 | ) | (258,221 | ) | ||||
Advisor Class |
(1,225,148 | ) | (4,899,949 | ) | ||||
Class R |
(6,637 | ) | (46,797 | ) | ||||
Class K |
(48,705 | ) | (237,994 | ) | ||||
Class I |
(19,284 | ) | (92,889 | ) | ||||
Class Z |
(44,112 | ) | (208,684 | ) | ||||
Capital Stock Transactions |
| |||||||
Net decrease |
(40,787,221 | ) | (41,446,404 | ) | ||||
|
|
|
|
|||||
Total decrease |
(75,120,947 | ) | (50,497,428 | ) | ||||
Net Assets |
| |||||||
Beginning of period |
323,171,354 | 373,668,782 | ||||||
|
|
|
|
|||||
End of period |
$ | 248,050,407 | $ | 323,171,354 | ||||
|
|
|
|
See notes to financial statements.
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 55 |
NOTES TO FINANCIAL STATEMENTS
April 30, 2022 (unaudited)
NOTE A
Significant Accounting Policies
AB Bond Fund, Inc. (the Company) is registered under the Investment Company Act of 1940 as an open-end management investment company. The Company, which is a Maryland corporation, operates as a series company comprised of 10 portfolios currently in operation. Each portfolio is considered to be a separate entity for financial reporting and tax purposes. This report relates only to the AB Total Return Bond Portfolio (the Fund) (formerly AB Intermediate Bond Portfolio), a diversified portfolio. The Fund offers Class A, Class C, Advisor Class, Class R, Class K, Class I, Class T and Class Z shares. Class B and Class T shares have been authorized but currently are not offered. Class A shares are sold with a front-end sales charge of up to 4.25% for purchases not exceeding $1,000,000. With respect to purchases of $1,000,000 or more, Class A shares redeemed within one year of purchase may be subject to a contingent deferred sales charge of 1%. Class C shares are subject to a contingent deferred sales charge of 1% on redemptions made within the first year after purchase, and 0% after the first year of purchase. 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. Class R and Class K shares are sold without an initial or contingent deferred sales charge. Advisor Class, Class I and Class Z shares are sold without an initial or contingent deferred sales charge and are not subject to ongoing distribution expenses. All nine classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (U.S. GAAP), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Fund.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at fair value as determined in accordance with procedures established by and under the general supervision of the Companys Board of Directors (the Board).
56 | AB TOTAL RETURN BOND PORTFOLIO |
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NOTES TO FINANCIAL STATEMENTS (continued)
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (NASDAQ)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (OTC) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the Adviser) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the Committee) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 57 |
NOTES TO FINANCIAL STATEMENTS (continued)
determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuers financial statements or other available documents. In addition, the Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Funds 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 1quoted prices in active markets for identical investments |
| Level 2other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| Level 3significant unobservable inputs (including the Funds 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
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NOTES TO FINANCIAL STATEMENTS (continued)
other unique security features in order to estimate the relevant cash flows which are then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3.
Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.
Valuations of mortgage-backed or other asset-backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset-backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.
Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 59 |
NOTES TO FINANCIAL STATEMENTS (continued)
The following table summarizes the valuation of the Funds investments by the above fair value hierarchy levels as of April 30, 2022:
Investments in Securities: |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Corporates Investment Grade |
$ | 0 | | $ | 68,407,153 | $ | 0 | | $ | 68,407,153 | ||||||
Collateralized Mortgage Obligations |
0 | | 45,252,279 | 0 | | 45,252,279 | ||||||||||
Mortgage Pass-Throughs |
0 | | 40,187,333 | 0 | | 40,187,333 | ||||||||||
Governments Treasuries |
0 | | 32,899,553 | 0 | | 32,899,553 | ||||||||||
Commercial Mortgage-Backed Securities |
0 | | 21,694,767 | 791,296 | 22,486,063 | |||||||||||
Asset-Backed Securities |
0 | | 17,784,565 | 0 | | 17,784,565 | ||||||||||
Corporates Non-Investment Grade |
0 | | 10,704,187 | 0 | | 10,704,187 | ||||||||||
Collateralized Loan Obligations |
0 | | 9,228,494 | 0 | | 9,228,494 | ||||||||||
Emerging Markets Corporate Bonds |
0 | | 3,306,460 | 66 | 3,306,526 | |||||||||||
Local Governments US Municipal Bonds |
0 | | 2,349,615 | 0 | | 2,349,615 | ||||||||||
Common Stocks |
0 | | 0 | | 982,366 | 982,366 | ||||||||||
Emerging Markets Sovereigns |
0 | | 941,861 | 0 | | 941,861 | ||||||||||
Quasi-Sovereigns |
0 | | 792,773 | 0 | | 792,773 | ||||||||||
Governments Sovereign Bonds |
0 | | 293,391 | 0 | | 293,391 | ||||||||||
Short-Term Investments: |
||||||||||||||||
Governments Treasuries |
0 | | 4,559,297 | 0 | | 4,559,297 | ||||||||||
Investment Companies |
3,543,007 | 0 | | 0 | | 3,543,007 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
3,543,007 | 258,401,728 | 1,773,728 | 263,718,463 | ||||||||||||
Other Financial Instruments(a): |
||||||||||||||||
Assets: |
||||||||||||||||
Forward Currency Exchange Contracts |
0 | | 619,631 | 0 | | 619,631 | ||||||||||
Centrally Cleared Interest Rate Swaps |
0 | | 157,464 | 0 | | 157,464 | (b) | |||||||||
Total Return Swaps |
0 | | 442,781 | 0 | | 442,781 | ||||||||||
Liabilities: |
||||||||||||||||
Futures |
(2,507,263 | ) | 0 | | 0 | | (2,507,263 | )(b) | ||||||||
Forward Currency Exchange Contracts |
0 | | (25,952 | ) | 0 | | (25,952 | ) | ||||||||
Centrally Cleared Credit Default Swaps |
0 | | (109,736 | ) | 0 | | (109,736 | )(b) | ||||||||
Credit Default Swaps |
0 | | (1,959,962 | ) | 0 | | (1,959,962 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 1,035,744 | $ | 257,525,954 | $ | 1,773,728 | $ | 260,335,426 | ||||||||
|
|
|
|
|
|
|
|
(a) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value. |
(b) | Only variation margin receivable/(payable) at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value. |
60 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
4. Taxes
It is the Funds policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Funds 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 Funds financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts as
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 61 |
NOTES TO FINANCIAL STATEMENTS (continued)
adjustments to interest income. The Fund accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Fund are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Fund represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each fund or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B
Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Fund pays the Adviser an advisory fee at an annual rate of .45% of the first $2.5 billion, .40% of the next $2.5 billion up to $5 billion, .35% of the excess over $5 billion up to $8 billion and .30% in excess of $8 billion, of the Funds average daily net assets. The fee is accrued daily and paid monthly. The Adviser has agreed to waive its fees and bear certain expenses to the extent necessary to limit total operating expenses (which excludes acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest, interest expense, taxes, extraordinary expenses, and brokerage commissions and other transaction costs) on an annual basis (the Expense Caps) to .77%, 1.52%, .52%, 1.02%, .77%, .52%, and .52% of the daily average net assets for the Class A, Class C, Advisor Class, Class R, Class K, Class I, and Class Z shares, respectively. This waiver extends through January 31, 2023 and then may be extended by the Adviser for additional one year terms. For the six months ended April 30, 2022, such reimbursements/waivers amounted to $396,233.
62 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Pursuant to the investment advisory agreement, the Fund may reimburse the Adviser for certain legal and accounting services provided to the Fund by the Adviser. For the six months ended April 30, 2022, the reimbursement for such services amounted to $46,944.
The Fund compensates AllianceBernstein Investor Services, Inc. (ABIS), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Fund. ABIS may make payments to intermediaries that provide omnibus account services, sub-accounting services and/or networking services. Such compensation retained by ABIS amounted to $76,355 for the six months ended April 30, 2022.
AllianceBernstein Investments, Inc. (the Distributor), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Funds shares. The Distributor has advised the Fund that it has retained front-end sales charges of $1,465 from the sale of Class A shares and received $130 and $176 in contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C shares, respectively, for the six months ended April 30, 2022.
The Fund may invest in AB Government Money Market Portfolio (the Government Money Market Portfolio) which has a contractual annual advisory fee rate of .20% of the portfolios average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until August 31, 2022. In connection with the investment by the Fund in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Funds pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended April 30, 2022, such waiver amounted to $1,285.
Fund |
Market Value 10/31/21 (000) |
Purchases at Cost (000) |
Sales Proceeds (000) |
Market Value 4/30/22 (000) |
Dividend Income (000) |
|||||||||||||||
Government Money Market Portfolio |
$ | 5,229 | $ | 73,677 | $ | 75,363 | $ | 3,543 | $ | 1 |
NOTE C
Distribution Services Agreement
The Fund has adopted a Distribution Services Agreement (the Agreement) pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement, the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to .30% of the Funds
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 63 |
NOTES TO FINANCIAL STATEMENTS (continued)
average daily net assets attributable to Class A shares, 1% of the Funds average daily net assets attributable to Class C shares, .50% of the Funds average daily net assets attributable to Class R shares and .25% of the Funds average daily net assets attributable to Class K shares. There are no distribution and servicing fees on the Advisor Class, Class I and Class Z shares. Payments under the Agreement in respect of Class A shares are currently limited to an annual rate of .25% of Class A shares average daily net assets. The fees are accrued daily and paid monthly. The Agreement provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. Since the commencement of the Funds operations, the Distributor has incurred expenses in excess of the distribution costs reimbursed by the Fund in the amounts of $1,211,289, $148,832 and $67,766 for Class C, Class R and Class K shares, respectively. While such costs may be recovered from the Fund in future periods so long as the Agreement is in effect, the rate of the distribution and servicing fees payable under the Agreement may not be increased without a shareholder vote. In accordance with the Agreement, there is no provision for recovery of unreimbursed distribution costs incurred by the Distributor beyond the current fiscal year for Class A shares. The Agreement also provides that the Adviser may use its own resources to finance the distribution of the Funds shares.
NOTE D
Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the six months ended April 30, 2022 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding |
$ | 32,102,544 | $ | 68,616,457 | ||||
U.S. government securities |
176,667,912 | 171,133,732 |
The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation are as follows:
Gross unrealized appreciation |
$ | 2,032,970 | ||
Gross unrealized depreciation |
(24,146,699 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (22,113,729 | ) | |
|
|
1. Derivative Financial Instruments
The Fund may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, investment purposes), or to hedge or adjust the risk profile of its portfolio.
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NOTES TO FINANCIAL STATEMENTS (continued)
The principal types of derivatives utilized by the Fund, as well as the methods in which they may be used are:
| Futures |
The Fund may buy or sell futures for investment purposes or for the purpose of hedging its portfolio against adverse effects of potential movements in the market. The Fund bears the market risk that arises from changes in the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Fund may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under Currency Transactions.
At the time the Fund enters into futures, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Use of long futures subjects the Fund to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Fund to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous days settlement price, which could effectively prevent liquidation of unfavorable positions.
During the six months ended April 30, 2022, the Fund held futures for hedging and non-hedging purposes.
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 65 |
NOTES TO FINANCIAL STATEMENTS (continued)
| Forward Currency Exchange Contracts |
The Fund may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to hedge certain firm purchase and sale commitments denominated in foreign currencies and for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under Currency Transactions.
A forward currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on forward currency exchange contracts. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Fund. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
During the six months ended April 30, 2022, the Fund held forward currency exchange contracts for hedging and non-hedging purposes.
| Swaps |
The Fund may enter into swaps to hedge its exposure to interest rates, credit risk or currencies. The Fund may also enter into swaps for non-hedging purposes as a means of gaining market exposures, making direct investments in foreign currencies, as described below under Currency Transactions. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Fund in accordance with the terms of the respective swaps to provide value and recourse to the Fund or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Fund, and/or the termination value at the end of the contract. Therefore, the Fund considers the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Fund and
66 | AB TOTAL RETURN BOND PORTFOLIO |
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NOTES TO FINANCIAL STATEMENTS (continued)
the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Funds exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Fund accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received for swaps are recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the statement of operations.
Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (FCMs) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.
At the time the Fund enters into a centrally cleared swap, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 67 |
NOTES TO FINANCIAL STATEMENTS (continued)
Interest Rate Swaps:
The Fund is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Fund holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, the Fund may enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Fund may elect to pay a fixed rate and receive a floating rate, or, receive a fixed rate and pay a floating rate on a notional amount.
In addition, the Fund may also enter into interest rate swap transactions to preserve a return or spread on a particular investment or portion of its portfolio, or protecting against an increase in the price of securities the Fund anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) computed based on a contractually-based principal (or notional) amount. Interest rate swaps are entered into on a net basis (i.e., the two payment streams are netted out, with the Fund receiving or paying, as the case may be, only the net amount of the two payments).
During the six months ended April 30, 2022, the Fund held interest rate swaps for hedging and non-hedging purposes.
Inflation (CPI) Swaps:
Inflation swap agreements are contracts in which one party agrees to pay the cumulative percentage increase in a price index (the Consumer Price Index with respect to CPI swaps) over the term of the swap (with some lag on the inflation index), and the other pays a compounded fixed rate. Inflation swaps may be used to protect the net asset value, or NAV, of a Fund against an unexpected change in the rate of inflation measured by an inflation index since the value of these agreements is expected to increase if there are unexpected inflation increases.
During the six months ended April 30, 2022, the Fund held inflation (CPI) swaps for hedging and non-hedging purposes.
Credit Default Swaps:
The Fund may enter into credit default swaps, including to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults by corporate and sovereign issuers held by the Fund, or to create exposure to corporate or sovereign issuers to
68 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
which it is not otherwise exposed. The Fund may purchase credit protection (Buy Contract) or provide credit protection (Sale Contract) on the referenced obligation of the credit default swap. During the term of the swap, the Fund receives/(pays) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Fund is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Fund will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap (the Maximum Payout Amount) and deliver/(take delivery of) the referenced obligation or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront premium received upon entering into the agreement, or net amounts received from settlement of buy protection credit default swaps entered into by the Fund for the same referenced obligations with the same counterparty.
Credit default swaps may involve greater risks than if a Fund had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If the Fund is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If the Fund is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Fund coupled with the periodic payments previously received, may be less than the Maximum Payout Amount it pays to the buyer, resulting in a net loss to the Fund.
Implied credit spreads over U.S. Treasuries of comparable maturity utilized in determining the market value of credit default swaps on issuers as of period end are disclosed in the portfolio of investments. The implied spreads serve as an indicator of the current status of the payment/performance risk and typically reflect the likelihood of default by the issuer of the referenced obligation. The implied credit spread of a particular reference obligation also reflects the cost of buying/selling protection and may reflect upfront payments required to be made to enter into the agreement. Widening credit spreads typically represent a deterioration of the referenced obligations 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.
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 69 |
NOTES TO FINANCIAL STATEMENTS (continued)
During the six months ended April 30, 2022, the Fund held credit default swaps for hedging and non-hedging purposes.
Total Return Swaps:
The Fund may enter into total return swaps in order to take a long or short position with respect to an underlying referenced asset. The Fund is subject to market price volatility of the underlying referenced asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Fund will receive a payment from or make a payment to the counterparty.
During the six months ended April 30, 2022, the Fund held total return swaps for hedging and non-hedging purposes.
The Fund typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (ISDA Master Agreement) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the OTC counterparty certain derivative financial instruments payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Funds net liability, held by the defaulting party, may be delayed or denied.
The Funds ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Fund decline below specific levels (net asset contingent features). If these levels are triggered, the Funds OTC counterparty has the right to terminate such transaction and require the Fund to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty table below for additional details.
70 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
During the six months ended April 30, 2022, the Fund had entered into the following derivatives:
Asset Derivatives |
Liability Derivatives |
|||||||||||
Derivative Type |
Statement of |
Fair Value | Statement of |
Fair Value | ||||||||
Interest rate contracts |
Receivable/Payable for variation margin on futures |
$ |
2,507,263 |
* | ||||||||
Credit contracts |
Receivable/Payable for variation margin on centrally cleared swaps | $ | 137,580 | * | ||||||||
Interest rate contracts |
Receivable/Payable for variation margin on centrally cleared swaps |
|
157,464 |
* |
||||||||
Foreign currency contracts |
Unrealized appreciation on forward currency exchange contracts |
|
619,631 |
Unrealized depreciation on forward currency exchange contracts |
|
25,952 |
||||||
Credit contracts |
Market value on credit default swaps | 1,959,962 | ||||||||||
Credit contracts |
Unrealized appreciation on total return swaps | 442,781 | ||||||||||
|
|
|
|
|||||||||
Total |
$ | 1,357,456 | $ | 4,493,177 | ||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. |
Derivative Type |
Location
of |
Realized Gain or (Loss) on Derivatives |
Change in Unrealized Appreciation or (Depreciation) |
|||||||
Interest rate contracts |
Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | (8,110,618 | ) | $ | (2,073,840 | ) |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 71 |
NOTES TO FINANCIAL STATEMENTS (continued)
Derivative Type |
Location
of |
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 |
$ |
(119,484 |
) |
$ |
1,082,115 |
| |||
Interest rate contracts |
Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (278,885 | ) | 459,598 | ||||||
Credit contracts |
Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (253,604 | ) | 1,836,511 | ||||||
|
|
|
|
|||||||
Total |
$ | (8,762,591 | ) | $ | 1,304,384 | |||||
|
|
|
|
The following table represents the average monthly volume of the Funds derivative transactions during the six months ended April 30, 2022:
Futures: |
||||
Average notional amount of buy contracts |
$ | 110,754,593 | ||
Forward Currency Exchange Contracts: |
||||
Average principal amount of buy contracts |
$ | 5,925,611 | ||
Average principal amount of sale contracts |
$ | 22,001,000 | ||
Centrally Cleared Interest Rate Swaps: |
||||
Average notional amount |
$ | 10,423,927 | ||
Centrally Cleared Inflation Swaps: |
||||
Average notional amount |
$ | 7,166,667 | (a) | |
Credit Default Swaps: |
||||
Average notional amount of buy contracts |
$ | 8,228,000 | (b) | |
Average notional amount of sale contracts |
$ | 9,038,039 | ||
Centrally Cleared Credit Default Swaps: |
||||
Average notional amount of buy contracts |
$ | 3,900,000 | (c) | |
Average notional amount of sale contracts |
$ | 2,790,480 | (a) | |
Total Return Swaps: |
||||
Average notional amount |
$ | 13,100,000 |
(a) | Positions were open for two months during the period. |
(b) | Positions were open for four months during the period. |
(c) | Positions were open for three months during the period. |
72 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Funds derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements (MA) and net of the related collateral received/pledged by the Fund as of April 30, 2022. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
Counterparty |
Derivative Assets Subject to a MA |
Derivatives Available for Offset |
Cash Collateral Received* |
Security Collateral Received* |
Net Amount of Derivative Assets |
|||||||||||||||
Goldman Sachs Bank USA/Goldman Sachs International |
$ | 115,321 | $ | (115,321 | ) | $ | 0 | | $ | 0 | | $ | 0 | | ||||||
HSBC Bank USA |
123,988 | 0 | | 0 | | 0 | | 123,988 | ||||||||||||
Morgan Stanley Capital Services LLC/ Morgan Stanley Capital Services, Inc./ Morgan Stanley & Co. International PLC |
741,702 | (181,313 | ) | (320,000 | ) | 0 | | 240,389 | ||||||||||||
State Street Bank & Trust Co. |
9,249 | (9,249 | ) | 0 | | 0 | | 0 | | |||||||||||
UBS AG |
72,152 | 0 | | 0 | | 0 | | 72,152 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 1,062,412 | $ | (305,883 | ) | $ | (320,000 | ) | $ | 0 | | $ | 436,529 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
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. |
$ | 74,111 | $ | 0 | | $ | 0 | | $ | 0 | | $ | 74,111 | |||||||
Credit Suisse International |
527,579 | 0 | | 0 | | (527,579 | ) | 0 | | |||||||||||
Deutsche Bank AG |
373,518 | 0 | | (160,000 | ) | (213,518 | ) | 0 | | |||||||||||
Goldman Sachs Bank USA/Goldman Sachs International |
631,649 | (115,321 | ) | 0 | | (516,328 | ) | 0 | | |||||||||||
JPMorgan Securities, LLC |
171,792 | 0 | | 0 | | (171,792 | ) | 0 | | |||||||||||
Morgan Stanley Capital Services LLC/ Morgan Stanley Capital Services, Inc./ Morgan Stanley & Co. International PLC |
181,313 | (181,313 | ) | 0 | | 0 | | 0 | | |||||||||||
State Street Bank & Trust Co. |
25,952 | (9,249 | ) | 0 | | 0 | | 16,703 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 1,985,914 | $ | (305,883 | ) | $ | (160,000 | ) | $ | (1,429,217 | ) | $ | 90,814 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged may be more than the amount reported due to over-collateralization. |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 73 |
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. |
2. Currency Transactions
The Fund may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Fund may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Fund may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Fund and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Fund may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
3. TBA and Dollar Rolls
The Fund may invest in TBA mortgage-backed securities. A TBA, or To Be Announced, trade represents a contract for the purchase or sale of mortgage-backed securities to be delivered at a future agree-upon date; however, the specific mortgage pool numbers or the number of pools that will be delivered to fulfill the trade obligation or terms of the contract are unknown at the time of the trade. Mortgage pools (including fixed-rate or variable-rate mortgages) guaranteed by the Government National Mortgage Association, or GNMA, the Federal National Mortgage Association, or FNMA, or the Federal Home Loan Mortgage Corporation, or FHLMC, are subsequently allocated to the TBA transactions.
The Fund may enter into certain TBA transactions known as dollar rolls. Dollar rolls involve sales by the Fund of securities for delivery in the current month and the Funds simultaneously contracting to repurchase substantially similar (same type and coupon) securities on a specified future date. During the roll period, the Fund forgoes principal and interest paid on the securities. The Fund is compensated by the difference between the current sales price and the lower forward price for the future purchase (often referred to as the drop) as well as by the interest earned on the cash proceeds of the initial sale. Dollar rolls involve the risk that the market value of the securities the Fund is obligated to repurchase under the agreement may decline below the repurchase price. Dollar rolls are speculative techniques. For the six months ended April 30, 2022, the Fund earned drop income of $151,555 which is included in interest income in the accompanying statement of operations.
74 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE E
Capital Stock
Each class consists of 3,000,000,000 authorized shares. Transactions in capital shares for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
|||||||||||||||||||||
|
|
|||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
Shares sold |
295,981 | 739,035 | $ | 3,201,770 | $ | 8,403,048 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions |
166,331 | 554,374 | 1,795,510 | 6,322,222 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares converted from Class C |
20,929 | 217,654 | 226,189 | 2,459,656 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(1,304,481 | ) | (2,926,511 | ) | (14,058,664 | ) | (33,270,087 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net decrease |
(821,240 | ) | (1,415,448 | ) | $ | (8,835,195 | ) | $ | (16,085,161 | ) | ||||||||||||||
|
||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||
Shares sold |
30,489 | 60,727 | $ | 339,980 | $ | 693,436 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions |
2,742 | 17,026 | 29,698 | 194,209 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares converted to Class A |
(20,977 | ) | (218,074 | ) | (226,189 | ) | (2,459,656 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(118,773 | ) | (234,007 | ) | (1,285,206 | ) | (2,658,869 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net decrease |
(106,519 | ) | (374,328 | ) | $ | (1,141,717 | ) | $ | (4,230,880 | ) | ||||||||||||||
|
||||||||||||||||||||||||
Advisor Class | ||||||||||||||||||||||||
Shares sold |
795,415 | 3,650,665 | $ | 8,695,593 | $ | 41,660,646 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions |
62,009 | 193,069 | 670,361 | 2,202,877 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(3,485,771 | ) | (5,296,425 | ) | (36,817,985 | ) | (59,900,768 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net decrease |
(2,628,347 | ) | (1,452,691 | ) | $ | (27,452,031 | ) | $ | (16,037,245 | ) | ||||||||||||||
|
||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||
Shares sold |
3,873 | 66,576 | $ | 41,890 | $ | 762,932 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions |
608 | 4,045 | 6,596 | 46,179 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(20,770 | ) | (160,662 | ) | (230,701 | ) | (1,835,776 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net decrease |
(16,289 | ) | (90,041 | ) | $ | (182,215 | ) | $ | (1,026,665 | ) | ||||||||||||||
|
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 75 |
NOTES TO FINANCIAL STATEMENTS (continued)
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
Six Months Ended April 30, 2022 (unaudited) |
Year Ended October 31, 2021 |
|||||||||||||||||||||
|
|
|||||||||||||||||||||||
Class K | ||||||||||||||||||||||||
Shares sold |
26,281 | 107,358 | $ | 290,389 | $ | 1,232,269 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions |
4,378 | 20,756 | 47,775 | 236,904 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(282,918 | ) | (188,986 | ) | (3,138,875 | ) | (2,142,508 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net decrease |
(252,259 | ) | (60,872 | ) | $ | (2,800,711 | ) | $ | (673,335 | ) | ||||||||||||||
|
||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Shares sold |
61,454 | 32,838 | $ | 666,052 | $ | 375,668 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions |
1,769 | 7,551 | 19,127 | 86,280 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(96,173 | ) | (116,547 | ) | (1,059,060 | ) | (1,333,364 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net decrease |
(32,950 | ) | (76,158 | ) | $ | (373,881 | ) | $ | (871,416 | ) | ||||||||||||||
|
||||||||||||||||||||||||
Class Z | ||||||||||||||||||||||||
Shares sold |
90,459 | 293,258 | $ | 1,014,072 | $ | 3,349,932 | ||||||||||||||||||
|
||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions |
3,965 | 18,055 | 42,938 | 206,201 | ||||||||||||||||||||
|
||||||||||||||||||||||||
Shares redeemed |
(97,162 | ) | (532,260 | ) | (1,058,481 | ) | (6,077,835 | ) | ||||||||||||||||
|
||||||||||||||||||||||||
Net decrease |
(2,738 | ) | (220,947 | ) | $ | (1,471 | ) | $ | (2,521,702 | ) | ||||||||||||||
|
NOTE F
Risks Involved in Investing in the Fund
Market RiskThe value of the Funds assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market.
Interest-Rate RiskChanges in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
76 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Credit RiskAn issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
Below Investment-Grade Securities RiskInvestments in fixed-income securities with lower ratings (commonly known as junk bonds) are subject to a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments and negative perceptions of the junk bond market generally and may be more difficult to trade than other types of securities.
Duration RiskDuration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation RiskThis 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 Funds assets can decline as can the value of the Funds distributions. This risk is significantly greater for fixed-income securities with longer maturities. The Fund invests in inflation-indexed securities, the value of which may be vulnerable to changes in expectations of inflation or interest rates.
Foreign (Non-U.S.) RiskInvestments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging Market RiskInvestments in emerging market countries may have more risk because the markets are less developed and less liquid as well as being subject to increased economic, political, regulatory or other uncertainties.
Currency RiskFluctuations in currency exchange rates may negatively affect the value of the Funds investments or reduce its returns.
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 77 |
NOTES TO FINANCIAL STATEMENTS (continued)
Mortgage-Related and/or Other Asset-Backed Securities RiskInvestments in mortgage-related and other asset-backed securities are subject to certain additional risks. The value of these securities may be particularly sensitive to changes in interest rates. These risks include extension risk, which is the risk that, in periods of rising interest rates, issuers may delay the payment of principal, and prepayment risk, which is the risk that in periods of falling interest rates, issuers may pay principal sooner than expected, exposing the Fund to a lower rate of return upon reinvestment of principal. Mortgage-backed securities offered by non-governmental issuers and other asset-backed securities may be subject to other risks, such as higher rates of default in the mortgages or assets backing the securities or risks associated with the nature and servicing of mortgages or assets backing the securities.
Leverage RiskWhen the Fund borrows money or otherwise leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Funds investments. The Fund may create leverage through the use of reverse repurchase arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures or by borrowing money. The use of other types of derivative instruments by the Fund, such as options and swaps, may also result in a form of leverage. Leverage may result in higher returns to the Fund than if the Fund were not leveraged, but may also adversely affect returns, particularly if the market is declining.
Derivatives RiskDerivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, 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 Fund.
Illiquid Investments RiskIlliquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest rate environment, when the value and liquidity of fixed-income securities generally decline.
Active Trading RiskThe Fund expects to engage in active and frequent trading of its portfolio securities and its portfolio turnover rate may greatly exceed 100%. A higher rate of portfolio turnover increases transaction costs, which may negatively affect the Funds return. In addition, a high
78 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
rate of portfolio turnover may result in substantial short-term gains, which may have adverse tax consequences for Fund shareholders.
LIBOR Transition and Associated RiskA Fund may be exposed to debt securities, derivatives or other financial instruments that are tied to 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 LIBORs 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. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserves Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.
The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Funds performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Funds 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. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 79 |
NOTES TO FINANCIAL STATEMENTS (continued)
Indemnification RiskIn the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Funds maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Fund has not accrued any liability in connection with these indemnification provisions.
Management RiskThe Fund is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE G
Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Fund, participate in a $325 million revolving credit facility (the Facility) intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Fund did not utilize the Facility during the six months ended April 30, 2022.
NOTE H
Distributions to Shareholders
The tax character of distributions to be paid for the year ending October 31, 2022 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended October 31, 2021 and October 31, 2020 were as follows:
2021 | 2020 | |||||||
Distributions paid from: |
||||||||
Ordinary income |
$ | 7,517,670 | $ | 10,898,767 | ||||
Net long-term capital gains |
6,253,596 | 109,442 | ||||||
|
|
|
|
|||||
Total taxable distributions paid |
$ | 13,771,266 | $ | 11,008,209 | ||||
|
|
|
|
80 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
As of October 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed capital gains |
$ | 504,410 | ||
Other losses |
(13,606 | )(a) | ||
Unrealized appreciation/(depreciation) |
2,350,610 | (b) | ||
|
|
|||
Total accumulated earnings/(deficit) |
$ | 2,841,414 | (c) | |
|
|
(a) | As of October 31, 2021, the cumulative deferred loss on straddles was $13,606. |
(b) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the recognition for tax purposes of unrealized gains/losses on certain derivative instruments, the tax treatment of passive foreign investment companies (PFICs), the tax treatment of swaps, the tax deferral of losses on wash sales, and the tax treatment of callable bonds. |
(c) | The differences between book-basis and tax-basis components of accumulated earnings/(deficit) are attributable primarily to the accrual of foreign capital gains tax, the tax treatment of defaulted securities, and dividends payable. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of October 31, 2021, the Fund did not have any capital loss carryforwards.
NOTE I
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 J
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 Funds financial statements through this date.
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 81 |
FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class A | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 11.25 | $ 11.53 | $ 11.35 | $ 10.65 | $ 11.11 | $ 11.23 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.11 | .25 | .29 | .33 | .25 | .24 | | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(1.25 | ) | (.11 | ) | .22 | .74 | (.44 | ) | (.06 | ) | ||||||||||||||
Contributions from Affiliates |
0 | | 0 | | 0 | | .00 | (c) | 0 | | .00 | (c) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(1.14 | ) | .14 | .51 | 1.07 | (.19 | ) | .18 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends and Distributions |
||||||||||||||||||||||||
Dividends from net investment income |
(.11 | ) | (.28 | ) | (.33 | ) | (.37 | ) | (.27 | ) | (.23 | ) | ||||||||||||
Distributions from net realized gain on investment transactions |
(.02 | ) | (.14 | ) | 0 | | 0 | | 0 | | (.04 | ) | ||||||||||||
Return of capital |
0 | | 0 | | 0 | | 0 | | 0 | | (.03 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Total dividends and distributions |
(.13 | ) | (.42 | ) | (.33 | ) | (.37 | ) | (.27 | ) | (.30 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 9.98 | $ 11.25 | $ 11.53 | $ 11.35 | $ 10.65 | $ 11.11 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(d) |
(10.22 | )% | 1.22 | % | 4.60 | % | 10.23 | % | (1.75 | )% | 1.68 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$171,970 | $203,168 | $224,484 | $221,033 | $216,950 | $240,386 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements |
.77 | %^ | .77 | % | .77 | % | .77 | % | .77 | % | .79 | % | ||||||||||||
Expenses, before waivers/reimbursements |
1.04 | %^ | .99 | % | .99 | % | 1.04 | % | 1.01 | % | 1.03 | % | ||||||||||||
Net investment income(b) |
2.04 | %^ | 2.23 | % | 2.58 | % | 2.98 | % | 2.29 | % | 2.16 | % | ||||||||||||
Portfolio turnover rate** |
69 | % | 128 | % | 83 | % | 74 | % | 195 | % | 209 | % |
See footnote summary on page 89.
82 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class C | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 11.23 | $ 11.50 | $ 11.32 | $ 10.63 | $ 11.08 | $ 11.21 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.07 | .17 | .21 | .25 | .17 | .15 | | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(1.26 | ) | (.11 | ) | .22 | .73 | (.43 | ) | (.06 | ) | ||||||||||||||
Contributions from Affiliates |
0 | | 0 | | 0 | | .00 | (c) | 0 | | .00 | (c) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(1.19 | ) | .06 | .43 | .98 | (.26 | ) | .09 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends and Distributions |
||||||||||||||||||||||||
Dividends from net investment income |
(.07 | ) | (.19 | ) | (.25 | ) | (.29 | ) | (.19 | ) | (.16 | ) | ||||||||||||
Distributions from net realized gain on investment transactions |
(.02 | ) | (.14 | ) | 0 | | 0 | | 0 | | (.04 | ) | ||||||||||||
Return of capital |
0 | | 0 | | 0 | | 0 | | 0 | | (.02 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Total dividends and distributions |
(.09 | ) | (.33 | ) | (.25 | ) | (.29 | ) | (.19 | ) | (.22 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 9.95 | $ 11.23 | $ 11.50 | $ 11.32 | $ 10.63 | $ 11.08 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(d) |
(10.66 | )% | .55 | % | 3.83 | % | 9.33 | % | (2.40 | )% | .83 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$3,978 | $5,682 | $10,128 | $10,564 | $11,334 | $15,676 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements |
1.52 | %^ | 1.52 | % | 1.52 | % | 1.52 | % | 1.52 | % | 1.55 | % | ||||||||||||
Expenses, before waivers/reimbursements |
1.80 | %^ | 1.74 | % | 1.75 | % | 1.79 | % | 1.76 | % | 1.78 | % | ||||||||||||
Net investment income(b) |
1.28 | %^ | 1.51 | % | 1.84 | % | 2.24 | % | 1.54 | % | 1.388 | % | ||||||||||||
Portfolio turnover rate** |
69 | % | 128 | % | 83 | % | 74 | % | 195 | % | 209 | % |
See footnote summary on page 89.
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 83 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 11.26 | $ 11.53 | $ 11.35 | $ 10.65 | $ 11.11 | $ 11.24 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.12 | .28 | .32 | .35 | .28 | .27 | | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(1.25 | ) | (.10 | ) | .22 | .75 | (.44 | ) | (.07 | ) | ||||||||||||||
Contributions from Affiliates |
0 | | 0 | | 0 | | .00 | (c) | 0 | | .00 | (c) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(1.13 | ) | .18 | .54 | 1.10 | (.16 | ) | .20 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends and Distributions |
||||||||||||||||||||||||
Dividends from net investment income |
(.13 | ) | (.31 | ) | (.36 | ) | (.40 | ) | (.30 | ) | (.25 | ) | ||||||||||||
Distributions from net realized gain on investment transactions |
(.02 | ) | (.14 | ) | 0 | | 0 | | 0 | | (.04 | ) | ||||||||||||
Return of capital |
0 | | 0 | | 0 | | 0 | | 0 | | (.04 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Total dividends and distributions |
(.15 | ) | (.45 | ) | (.36 | ) | (.40 | ) | (.30 | ) | (.33 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 9.98 | $ 11.26 | $ 11.53 | $ 11.35 | $ 10.65 | $ 11.11 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(d) |
(10.19 | )% | 1.56 | % | 4.86 | % | 10.50 | % | (1.50 | )% | 1.84 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$64,949 | $102,827 | $122,108 | $104,850 | $76,406 | $67,357 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements |
.52 | %^ | .52 | % | .52 | % | .52 | % | .52 | % | .54 | % | ||||||||||||
Expenses, before waivers/reimbursements |
.79 | %^ | .74 | % | .74 | % | .79 | % | .76 | % | .78 | % | ||||||||||||
Net investment income(b) |
2.29 | %^ | 2.47 | % | 2.82 | % | 3.21 | % | 2.55 | % | 2.41 | % | ||||||||||||
Portfolio turnover rate** |
69 | % | 128 | % | 83 | % | 74 | % | 195 | % | 209 | % |
See footnote summary on page 89.
84 | AB TOTAL RETURN BOND PORTFOLIO |
abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class R | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 11.25 | $ 11.52 | $ 11.34 | $ 10.65 | $ 11.10 | $ 11.23 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.10 | .23 | .26 | .30 | .23 | .21 | | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(1.26 | ) | (.11 | ) | .22 | .74 | (.44 | ) | (.06 | ) | ||||||||||||||
Contributions from Affiliates |
0 | | 0 | | 0 | | .00 | (c) | 0 | | .00 | (c) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(1.16 | ) | .12 | .48 | 1.04 | (.21 | ) | .15 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends and Distributions |
||||||||||||||||||||||||
Dividends from net investment income |
(.10 | ) | (.25 | ) | (.30 | ) | (.35 | ) | (.24 | ) | (.21 | ) | ||||||||||||
Distributions from net realized gain on investment transactions |
(.02 | ) | (.14 | ) | 0 | | 0 | | 0 | | (.04 | ) | ||||||||||||
Return of capital |
0 | | 0 | | 0 | | 0 | | 0 | | (.03 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Total dividends and distributions |
(.12 | ) | (.39 | ) | (.30 | ) | (.35 | ) | (.24 | ) | (.28 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 9.97 | $ 11.25 | $ 11.52 | $ 11.34 | $ 10.65 | $ 11.10 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
||||||||||||||||||||||||
Total investment return based on net asset value(d) |
(10.42 | )% | 1.04 | % | 4.33 | % | 9.86 | % | (1.90 | )% | 1.34 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$499 | $746 | $1,802 | $3,298 | $2,814 | $2,699 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements |
1.02 | %^ | 1.02 | % | 1.02 | % | 1.02 | % | 1.02 | % | 1.04 | % | ||||||||||||
Expenses, before waivers/reimbursements |
1.42 | %^ | 1.37 | % | 1.37 | % | 1.42 | % | 1.35 | % | 1.39 | % | ||||||||||||
Net investment income(b) |
1.77 | %^ | 1.99 | % | 2.34 | % | 2.73 | % | 2.07 | % | 1.91 | % | ||||||||||||
Portfolio turnover rate** |
69 | % | 128 | % | 83 | % | 74 | % | 195 | % | 209 | % |
See footnote summary on page 89.
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 85 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class K | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 11.26 | $ 11.54 | $ 11.36 | $ 10.66 | $ 11.11 | $ 11.24 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.11 | .25 | .29 | .33 | .25 | .24 | | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(1.26 | ) | (.11 | ) | .22 | .74 | (.43 | ) | (.07 | ) | ||||||||||||||
Contributions from Affiliates |
0 | | 0 | | 0 | | .00 | (c) | 0 | | .00 | (c) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(1.15 | ) | .14 | .51 | 1.07 | (.18 | ) | .17 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends and Distributions |
||||||||||||||||||||||||
Dividends from net investment income |
(.11 | ) | (.28 | ) | (.33 | ) | (.37 | ) | (.27 | ) | (.23 | ) | ||||||||||||
Distributions from net realized gain on investment transactions |
(.02 | ) | (.14 | ) | 0 | | 0 | | 0 | | (.04 | ) | ||||||||||||
Return of capital |
0 | | 0 | | 0 | | 0 | | 0 | | (.03 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Total dividends and distributions |
(.13 | ) | (.42 | ) | (.33 | ) | (.37 | ) | (.27 | ) | (.30 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 9.98 | $ 11.26 | $ 11.54 | $ 11.36 | $ 10.66 | $ 11.11 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
| |||||||||||||||||||||||
Total investment return based on net asset value(d) |
(10.30 | )% | 1.22 | % | 4.59 | % | 10.22 | % | (1.66 | )% | 1.59 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$2,567 | $5,736 | $6,580 | $7,444 | $7,863 | $5,876 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements |
.77 | %^ | .77 | % | .77 | % | .77 | % | .77 | % | .79 | % | ||||||||||||
Expenses, before waivers/reimbursements |
1.10 | %^ | 1.06 | % | 1.07 | % | 1.10 | % | 1.08 | % | 1.09 | % | ||||||||||||
Net investment income(b) |
2.01 | %^ | 2.24 | % | 2.59 | % | 2.98 | % | 2.32 | % | 2.15 | % | ||||||||||||
Portfolio turnover rate** |
69 | % | 128 | % | 83 | % | 74 | % | 195 | % | 209 | % |
See footnote summary on page 89.
86 | AB TOTAL RETURN BOND PORTFOLIO |
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FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class I | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 11.27 | $ 11.55 | $ 11.36 | $ 10.66 | $ 11.12 | $ 11.24 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.12 | .28 | .32 | .36 | .28 | .27 | | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(1.25 | ) | (.11 | ) | .23 | .74 | (.44 | ) | (.06 | ) | ||||||||||||||
Contributions from Affiliates |
0 | | 0 | | 0 | | .00 | (c) | 0 | | .00 | (c) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(1.13 | ) | .17 | .55 | 1.10 | (.16 | ) | .21 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends and Distributions |
||||||||||||||||||||||||
Dividends from net investment income |
(.13 | ) | (.31 | ) | (.36 | ) | (.40 | ) | (.30 | ) | (.25 | ) | ||||||||||||
Distributions from net realized gain on investment transactions |
(.02 | ) | (.14 | ) | 0 | | 0 | | 0 | | (.04 | ) | ||||||||||||
Return of capital |
0 | | 0 | | 0 | | 0 | | 0 | | (.04 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Total dividends and distributions |
(.15 | ) | (.45 | ) | (.36 | ) | (.40 | ) | (.30 | ) | (.33 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 9.99 | $ 11.27 | $ 11.55 | $ 11.36 | $ 10.66 | $ 11.12 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
| |||||||||||||||||||||||
Total investment return based on net asset value(d) |
(10.19 | )% | 1.46 | % | 4.93 | % | 10.50 | % | (1.50 | )% | 1.93 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$1,283 | $1,819 | $2,743 | $4,107 | $2,894 | $2,729 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements |
.52 | %^ | .52 | % | .52 | % | .52 | % | .52 | % | .54 | % | ||||||||||||
Expenses, before waivers/reimbursements |
.73 | %^ | .68 | % | .70 | % | .75 | % | .72 | % | .75 | % | ||||||||||||
Net investment income(b) |
2.26 | %^ | 2.48 | % | 2.85 | % | 3.22 | % | 2.57 | % | 2.41 | % | ||||||||||||
Portfolio turnover rate** |
69 | % | 128 | % | 83 | % | 74 | % | 195 | % | 209 | % |
See footnote summary on page 89.
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 87 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class Z | ||||||||||||||||||||||||
Six Months (unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, beginning of period |
$ 11.27 | $ 11.55 | $ 11.37 | $ 10.67 | $ 11.13 | $ 11.26 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income From Investment Operations |
||||||||||||||||||||||||
Net investment income(a)(b) |
.12 | .29 | .32 | .36 | .27 | .27 | | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions |
(1.24 | ) | (.12 | ) | .22 | .74 | (.43 | ) | (.07 | ) | ||||||||||||||
Contributions from Affiliates |
0 | | 0 | | 0 | | .00 | (c) | 0 | | .00 | (c) | ||||||||||||
|
|
|||||||||||||||||||||||
Net increase (decrease) in net asset value from operations |
(1.12 | ) | .17 | .54 | 1.10 | (.16 | ) | .20 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less: Dividends and Distributions |
||||||||||||||||||||||||
Dividends from net investment income |
(.13 | ) | (.31 | ) | (.36 | ) | (.40 | ) | (.30 | ) | (.25 | ) | ||||||||||||
Distributions from net realized gain on investment transactions |
(.02 | ) | (.14 | ) | 0 | | 0 | | 0 | | (.04 | ) | ||||||||||||
Return of capital |
0 | | 0 | | 0 | | 0 | | 0 | | (.04 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Total dividends and distributions |
(.15 | ) | (.45 | ) | (.36 | ) | (.40 | ) | (.30 | ) | (.33 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ 10.00 | $ 11.27 | $ 11.55 | $ 11.37 | $ 10.67 | $ 11.13 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Return |
| |||||||||||||||||||||||
Total investment return based on net asset value(d) |
(10.09 | )% | 1.46 | % | 4.84 | % | 10.48 | % | (1.49 | )% | 1.84 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000s omitted) |
$2,804 | $3,193 | $5,824 | $8,059 | $7,274 | $24,653 | ||||||||||||||||||
Ratio to average net assets of: |
||||||||||||||||||||||||
Expenses, net of waivers/reimbursements |
.52 | %^ | .52 | % | .52 | % | .52 | % | .52 | % | .54 | % | ||||||||||||
Expenses, before waivers/reimbursements |
.69 | %^ | .64 | % | .64 | % | .68 | % | .64 | % | .66 | % | ||||||||||||
Net investment income(b) |
2.28 | %^ | 2.51 | % | 2.82 | % | 3.22 | % | 2.48 | % | 2.42 | % | ||||||||||||
Portfolio turnover rate** |
69 | % | 128 | % | 83 | % | 74 | % | 195 | % | 209 | % |
See footnote summary on page 89.
88 | AB TOTAL RETURN BOND PORTFOLIO |
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FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
(a) | Based on average shares outstanding. |
(b) | Net of expenses waived/reimbursed by the Adviser. |
(c) | Amount is less than $.005. |
(d) | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Initial sales charges or contingent deferred sales charges are not reflected in the calculation of total investment return. Total return does not reflect the deduction of taxes that a shareholder would pay on portfolio distributions or the redemption of portfolio shares. Total investment return calculated for a period of less than one year is not annualized. |
| For the year ended October 31, 2017, the amount includes a refund for overbilling of prior years custody out of pocket fees as follows: |
Net Investment Income Per Share |
Net Investment Income Ratio |
Total Return | ||
$.002 | .02% | .02% |
** | The Fund accounts for dollar roll transactions as purchases and sales. |
^ | Annualized. |
See notes to financial statements.
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 89 |
BOARD OF DIRECTORS
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and Chief Executive Officer |
Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) |
OFFICERS
Michael Canter(2), Vice President Janaki Rao(2), 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 State Street Corporation CCB/5 1 Iron Street Boston, MA 02210
Principal Underwriter 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 |
Independent Registered Public Ernst & Young LLP One Manhattan West New York, NY 10001
Legal Counsel Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
1 | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
2 | The day-to-day management of, and investment decisions for, the Funds portfolio are made by the Advisers U.S. Investment Grade Core Fixed Income Team. Messrs. Canter and Rao are the investment professionals primarily responsible for the day-to-day management of the Funds portfolio. |
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Operation and Effectiveness of the Funds Liquidity Risk Management Program:
In October 2016, the Securities and Exchange Commission (SEC) adopted the open-end fund liquidity rule (the Liquidity Rule). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (LRMP) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Fund to designate an Administrator of the Funds Liquidity Risk Management Program. The Administrator of the Funds LRMP is AllianceBernstein L.P., the Funds 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 Funds Board of Trustees (the Fund Board) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the funds 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 LRMPs principal objectives include supporting the Funds compliance with limits on investments in illiquid assets and mitigating the risk that the Fund will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Fund classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Funds strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Fund participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Fund is required to maintain a Highly Liquid Investment Minimum (HLIM). The Committee also incorporated the following information when determining the Funds reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Funds 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 Funds LRMP is adequately designed, has been implemented as intended,
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 91 |
and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, 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 Fund or its ability to timely meet redemptions during the Program Reporting Period.
92 | AB TOTAL RETURN BOND PORTFOLIO |
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Information Regarding the Review and Approval of the Funds Advisory Agreement
The disinterested directors (the directors) of AB Bond Fund, Inc. (the Company) unanimously approved the continuance of the Companys Advisory Agreement with the Adviser in respect of AB Total Return Bond Portfolio (formerly AB Intermediate Bond Portfolio) (the Fund) at a meeting held by video conference on November 2-4, 2021 (the Meeting).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Advisers integrity and competence they have gained from that experience, the Advisers initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Advisers willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund and the money market fund advised by the Adviser in which the Fund invests a portion of its assets.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 93 |
judgment. The material factors and conclusions that formed the basis for the directors determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Funds investment strategies and from time to time proposes changes intended to improve the Funds relative or absolute performance for the directors consideration. They also noted the professional experience and qualifications of the Funds portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Advisory Agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant at the request of the directors. The quality of administrative and other services, including the Advisers role in coordinating the activities of the Funds other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2019 and 2020 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the requests of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Advisers relationship with the Fund, including those relating to its subsidiaries that provide transfer agency and distribution services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Advisers relationship with the Fund before taxes and distribution
94 | AB TOTAL RETURN BOND PORTFOLIO |
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expenses. The directors concluded that the Advisers level of profitability from its relationship with the Fund was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the money market fund advised by the Adviser in which the Fund invests, including, but not limited to, benefits relating to 12b-1 fees and sales charges received by the Funds principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of the Funds shares; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Advisers profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the 15(c) service provider), showing the performance of the Class A Shares of the Fund against a group of similar funds (peer group) and a larger group of similar funds (peer universe), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended July 31, 2021 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, the directors concluded that the Funds investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees payable by other funds. The directors compared the Funds contractual effective advisory fee rate with a peer group median. Taking into account the administrative expense reimbursement paid to the Adviser in the latest fiscal year, the directors noted that the Advisers total rate of compensation was close to the median.
The directors also considered the Advisers fee schedule for other clients utilizing investment strategies similar to those of the Fund. For this
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 95 |
purpose, they reviewed the relevant advisory fee information from the Advisers Form ADV and in a report from the Funds Senior Analyst and noted the differences between the Funds fee schedule, on the one hand, and the Advisers institutional fee schedule and the schedule of fees charged by the Adviser to any offshore funds and for services to any sub-advised funds utilizing investment strategies similar to those of the Fund, on the other. The directors noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the directors and that they had previously discussed with the Adviser its policies in respect of such arrangements. The directors also compared the advisory fee rate for the Fund with that for another fund advised by the Adviser utilizing similar investment strategies.
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional, offshore fund and sub-advised fund clients. In this regard, the Adviser noted, among other things, that, compared to institutional and offshore or sub-advisory accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions and compliance obligations; (iii) must prepare and file or distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund shareholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the Adviser to institutional, offshore fund and sub-advised fund clients as compared to the Fund, and the different risk profile, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
In connection with their review of the Funds advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Funds latest fiscal year and the directors considered the Advisers expense cap for the Fund. The directors noted that it was likely that the expense ratios of some of the other funds in the Funds category were lowered by waivers or reimbursements by those funds investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Advisers services because the Adviser is responsible for coordinating services provided to the Fund by others. Based on their review, the directors concluded that the Funds expense ratio was acceptable.
96 | AB TOTAL RETURN BOND PORTFOLIO |
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Economies of Scale
The directors noted that the advisory fee schedule for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a funds adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a funds operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Funds shareholders would benefit from a sharing of economies of scale in the event the Funds net assets exceed a breakpoint in the future.
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 97 |
This page is not part of the Shareholder Report or the Financial Statements.
AB FAMILY OF FUNDS
US EQUITY
CORE
Core Opportunities Fund
Select US Equity Portfolio
Sustainable US Thematic Portfolio1
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
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 Funds 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 Funds 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 August 23, 2021, Sustainable US Thematic Portfolio was named FlexFee US Thematic Portfolio. Prior to December 1, 2021, Sustainable Thematic Balanced Portfolio was named Conservative Wealth Strategy. |
98 | AB TOTAL RETURN BOND PORTFOLIO |
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NOTES
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 99 |
NOTES
100 | AB TOTAL RETURN BOND PORTFOLIO |
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AB TOTAL RETURN BOND PORTFOLIO
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
TRB-0152-0422
ITEM 2. CODE OF ETHICS.
Not applicable when filing a semi-annual report to shareholders.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable when filing a semi-annual report to shareholders.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable when filing a semi-annual report to shareholders.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to the registrant.
ITEM 6. INVESTMENTS.
Please see Schedule of Investments contained in the Report to Shareholders included under Item 1 of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable to the registrant.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which shareholders may recommend nominees to the Funds Board of Directors since the Fund last provided disclosure in response to this item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrants principal executive officer and principal financial officer have concluded that the registrants 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 registrants internal controls over financial reporting that occurred during the period that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 13. EXHIBITS.
The following exhibits are attached to this Form N-CSR:
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): AB Bond Fund, Inc.
By: | /s/ Onur Erzan | |
Onur Erzan | ||
President |
Date: June 24, 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/ Onur Erzan | |
Onur Erzan | ||
President |
Date: June 24, 2022
By: | /s/ Joseph J. Mantineo | |
Joseph J. Mantineo | ||
Treasurer and Chief Financial Officer |
Date: June 24, 2022