AB Bond Fund, Inc.

AB Total Return Bond Portfolio

Portfolio of Investments

July 31, 2022 (unaudited)

 

     

Principal

Amount

(000)

        U.S. $ Value  

CORPORATES - INVESTMENT GRADE – 30.1%

           

Industrial – 16.1%

           

Basic – 0.7%

           

Anglo American Capital PLC
3.875%, 03/16/2029(a)

      U.S.$        238        $            222,335  

Celanese US Holdings LLC
5.90%, 07/05/2024

         455          458,422  

Freeport Indonesia PT
4.763%, 04/14/2027(a)

         390          378,787  

Nucor Corp.
4.30%, 05/23/2027

         345          352,652  

Suzano Austria GmbH
3.75%, 01/15/2031

         145          125,969  
          

 

 

  
             1,538,165  
          

 

 

  

Capital Goods – 0.9%

           

CNH Industrial Capital LLC
3.95%, 05/23/2025

         375          374,163  

Flowserve Corp.
2.80%, 01/15/2032

         425          338,670  

Parker-Hannifin Corp.
3.25%, 06/14/2029

         255          242,189  

4.50%, 09/15/2029

         272          278,275  

Raytheon Technologies Corp.
4.125%, 11/16/2028

         769          781,135  
          

 

 

  
             2,014,432  
          

 

 

  

Communications - Media – 2.3%

           

Charter Communications Operating LLC/Charter Communications Operating Capital
5.125%, 07/01/2049

         198          171,292  

Discovery Communications LLC
5.20%, 09/20/2047

         178          157,740  

5.30%, 05/15/2049

         81          72,337  

Fox Corp.
4.709%, 01/25/2029

         240          244,118  

5.576%, 01/25/2049

         407          414,831  

Interpublic Group of Cos., Inc. (The)
4.65%, 10/01/2028

         178          179,346  

Magallanes, Inc.
4.279%, 03/15/2032(a)

         618          576,588  

Netflix, Inc.
5.875%, 11/15/2028

         766          790,642  

Prosus NV
3.257%, 01/19/2027(a)

         219          196,761  

3.68%, 01/21/2030(a)

         545          460,457  

Tencent Holdings Ltd.
1.81%, 01/26/2026(a)

         533          496,789  

2.39%, 06/03/2030(a)

         460          390,540  

3.24%, 06/03/2050(a)

         328          223,921  

Weibo Corp.
3.375%, 07/08/2030

         1,312          1,077,640  
          

 

 

  
             5,453,002  
          

 

 

  

 

1

     

Principal

Amount

(000)

        U.S. $ Value  

Communications - Telecommunications – 0.2%

           

T-Mobile USA, Inc.
2.625%, 02/15/2029

      U.S.$        112        $            100,197  

2.875%, 02/15/2031

         353          312,338  

3.375%, 04/15/2029

         66          61,663  
          

 

 

  
             474,198  
          

 

 

  

Consumer Cyclical - Automotive – 0.9%

           

General Motors Financial Co., Inc.
4.30%, 04/06/2029

         78          73,873  

5.25%, 03/01/2026

         165          168,483  

Harley-Davidson Financial Services, Inc.
3.05%, 02/14/2027(a)

         230          210,209  

3.35%, 06/08/2025(a)

         510          495,077  

Nissan Motor Co., Ltd.
4.345%, 09/17/2027(a)

         1,120          1,052,778  
          

 

 

  
             2,000,420  
          

 

 

  

Consumer Cyclical - Other – 0.4%

           

Las Vegas Sands Corp.
3.90%, 08/08/2029

         797          713,618  

MDC Holdings, Inc.
6.00%, 01/15/2043

         346          296,131  
          

 

 

  
             1,009,749  
          

 

 

  

Consumer Cyclical - Retailers – 0.8%

           

Advance Auto Parts, Inc.
3.90%, 04/15/2030

         811          761,302  

Lowe’s Cos., Inc.
3.65%, 04/05/2029

         267          261,121  

Ross Stores, Inc.
4.70%, 04/15/2027

         893          919,236  
          

 

 

  
             1,941,659  
          

 

 

  

Consumer Non-Cyclical – 1.2%

           

Altria Group, Inc.
3.40%, 05/06/2030

         750          659,678  

4.80%, 02/14/2029

         209          208,574  

Amgen, Inc.
3.35%, 02/22/2032

         328          313,870  

BAT Capital Corp.
2.259%, 03/25/2028

         1,125          965,621  

4.906%, 04/02/2030

         196          186,590  

CVS Health Corp.
4.30%, 03/25/2028

         28          28,491  

Ochsner LSU Health System of North Louisiana
Series 2021
2.51%, 05/15/2031

         520          437,200  
          

 

 

  
             2,800,024  
          

 

 

  

Energy – 3.9%

           

BP Capital Markets America, Inc.
2.939%, 06/04/2051

         1,201          906,239  

 

2

     

Principal

Amount

(000)

        U.S. $ Value  

Cenovus Energy, Inc.
4.25%, 04/15/2027

      U.S.$        42        $              41,976  

4.40%, 04/15/2029

         1,193          1,183,897  

Continental Resources, Inc./OK
2.875%, 04/01/2032(a)

         454          369,188  

5.75%, 01/15/2031(a)

         335          329,617  

Devon Energy Corp.
5.60%, 07/15/2041

         457          471,286  

Enbridge Energy Partners LP
7.375%, 10/15/2045

         634          786,249  

Energy Transfer LP
6.25%, 04/15/2049

         156          157,384  

Eni SpA
4.25%, 05/09/2029(a)

         850          834,751  

Marathon Oil Corp.
6.80%, 03/15/2032

         650          714,038  

Marathon Petroleum Corp.
5.125%, 12/15/2026

         255          264,244  

6.50%, 03/01/2041

         161          179,438  

Oleoducto Central SA
4.00%, 07/14/2027(a)

         429          363,524  

ONEOK Partners LP
6.125%, 02/01/2041

         48          47,536  

ONEOK, Inc.
4.35%, 03/15/2029

         425          411,128  

6.35%, 01/15/2031

         217          232,763  

Suncor Energy, Inc.
6.80%, 05/15/2038

         534          615,152  

Tengizchevroil Finance Co. International Ltd.
3.25%, 08/15/2030(a)

         237          172,417  

TransCanada PipeLines Ltd.
6.10%, 06/01/2040

         527          583,078  

6.20%, 10/15/2037

         277          315,035  
          

 

 

  
             8,978,940  
          

 

 

  

Other Industrial – 0.4%

           

Alfa SAB de CV
5.25%, 03/25/2024(a)

         530          527,946  

CITIC Ltd.
2.85%, 02/25/2030(a)

         317          285,558  
          

 

 

  
             813,504  
          

 

 

  

Services – 0.8%

           

Booking Holdings, Inc.
4.625%, 04/13/2030

         925          953,823  

Expedia Group, Inc.
4.625%, 08/01/2027

         374          369,407  

6.25%, 05/01/2025(a)

         33          34,291  

Global Payments, Inc.
3.20%, 08/15/2029

         290          258,738  

RELX Capital, Inc.
4.75%, 05/20/2032

         118          123,429  

S&P Global, Inc.
4.25%, 05/01/2029(a)

         147          150,421  

4.75%, 08/01/2028(a)

         32          33,574  
          

 

 

  
             1,923,683  
          

 

 

  

 

3

     

Principal

Amount

(000)

        U.S. $ Value  

Technology – 3.1%

           

Baidu, Inc.
3.425%, 04/07/2030

      U.S.$        202        $            187,054  

Broadcom, Inc.
3.137%, 11/15/2035(a)

         124          99,856  

3.187%, 11/15/2036(a)

         411          329,038  

4.00%, 04/15/2029(a)

         53          50,856  

4.15%, 11/15/2030

         240          228,542  

4.15%, 04/15/2032(a)

         187          176,264  

4.926%, 05/15/2037(a)

         547          520,274  

Entegris Escrow Corp.
4.75%, 04/15/2029(a)

         395          380,950  

Fiserv, Inc.
3.50%, 07/01/2029

         869          822,813  

HP, Inc.
5.50%, 01/15/2033

         592          596,061  

Infor, Inc.
1.75%, 07/15/2025(a)

         279          261,105  

International Business Machines Corp.
4.90%, 07/27/2052

         457          458,737  

KLA Corp.
4.10%, 03/15/2029

         123          126,286  

Kyndryl Holdings, Inc.
2.05%, 10/15/2026(a)

         869          738,450  

NXP BV/NXP Funding LLC
5.55%, 12/01/2028

         277          288,080  

NXP BV/NXP Funding LLC/NXP USA, Inc.
3.40%, 05/01/2030

         298          272,074  

Oracle Corp.
2.875%, 03/25/2031

         525          452,272  

3.60%, 04/01/2040

         278          215,608  

3.65%, 03/25/2041

         154          119,683  

5.375%, 07/15/2040

         90          84,521  

SK Hynix, Inc.
2.375%, 01/19/2031(a)

         280          221,200  

TSMC Arizona Corp.
3.875%, 04/22/2027

         241          241,472  

Workday, Inc.
3.70%, 04/01/2029

         77          74,340  

3.80%, 04/01/2032

         201          191,748  
          

 

 

  
             7,137,284  
          

 

 

  

Transportation - Airlines – 0.3%

           

Delta Air Lines, Inc./SkyMiles IP Ltd.
4.50%, 10/20/2025(a)

         345          341,663  

4.75%, 10/20/2028(a)

         401          391,941  
          

 

 

  
             733,604  
          

 

 

  

 

4

     

Principal

Amount

(000)

        U.S. $ Value  

Transportation - Railroads – 0.1%

           

Lima Metro Line 2 Finance Ltd.
5.875%, 07/05/2034(a)

      U.S.$        168        $            163,821  
          

 

 

  

Transportation - Services – 0.1%

           

ENA Master Trust
4.00%, 05/19/2048(a)

         457          347,320  
          

 

 

  
             37,329,805  
          

 

 

  

Financial Institutions – 13.1%

           

Banking – 8.8%

           

ABN AMRO Bank NV
4.75%, 07/28/2025(a)

         200          199,646  

Banco de Credito del Peru S.A.
3.125%, 07/01/2030(a)

         635          578,167  

Banco Santander SA
4.175%, 03/24/2028

         400          386,000  

Bank of America Corp.
2.299%, 07/21/2032

         430          360,761  

2.687%, 04/22/2032

         626          544,345  

4.376%, 04/27/2028

         503          504,811  

BNP Paribas SA
2.871%, 04/19/2032(a)

         722          609,924  

Capital One Financial Corp.
3.273%, 03/01/2030

         396          360,586  

4.927%, 05/10/2028

         363          366,706  

Citigroup, Inc.
3.98%, 03/20/2030

         334          323,342  

4.075%, 04/23/2029

         494          482,164  

5.95%, 01/30/2023(b)

         216          215,054  

Series W
4.00%, 12/10/2025(b)

         329          306,095  

Citizens Financial Group, Inc.
4.30%, 12/03/2025

         958          961,947  

Credit Suisse Group AG
3.091%, 05/14/2032(a)

         829          666,358  

4.194%, 04/01/2031(a)

         396          352,840  

Danske Bank A/S
4.298%, 04/01/2028(a)

         360          346,075  

Deutsche Bank AG/New York NY
2.552%, 01/07/2028

         663          581,703  

3.961%, 11/26/2025

         265          256,048  

6.119%, 07/14/2026

         294          299,480  

Discover Bank
4.682%, 08/09/2028

         250          243,142  

Fifth Third Bancorp
Series L
4.50%, 09/30/2025(b)

         205          199,047  

Goldman Sachs Group, Inc. (The)
2.615%, 04/22/2032

         715          616,945  

Series V
4.125%, 11/10/2026(b)

         268          236,170  

HSBC Holdings PLC
4.292%, 09/12/2026

         240          237,307  

4.583%, 06/19/2029

         224          218,702  

4.762%, 03/29/2033

         323          306,146  

 

5

     

Principal

Amount

(000)

        U.S. $ Value  

ING Groep NV
4.017%, 03/28/2028

      U.S.$        356        $            344,701  

JPMorgan Chase & Co.
2.58%, 04/22/2032

         892          774,229  

Series I
6.276% (LIBOR 3 Month + 3.47%), 10/30/2022(b) (c)

         328          326,521  

Series V
5.597% (LIBOR 3 Month + 3.32%), 10/01/2022(b) (c)

         161          157,994  

Mizuho Financial Group, Inc.
2.226%, 05/25/2026

         235          221,238  

Morgan Stanley
3.772%, 01/24/2029

         515          504,046  

4.21%, 04/20/2028

         358          357,782  

Nationwide Building Society
2.972%, 02/16/2028(a)

         398          368,042  

Santander Holdings USA, Inc.
4.26%, 06/09/2025

         229          226,179  

4.40%, 07/13/2027

         315          307,919  

Societe Generale SA
2.797%, 01/19/2028(a)

         778          704,510  

Standard Chartered PLC
3.971%, 03/30/2026(a)

         268          262,525  

4.316% (LIBOR 3 Month + 1.51%), 01/30/2027(a) (b) (c)

         400          321,396  

6.00%, 07/26/2025(a) (b)

         478          475,084  

Swedbank AB
Series NC5
5.625%, 09/17/2024(a) (b)

         200          199,064  

Truist Financial Corp.
Series Q
5.10%, 03/01/2030(b)

         692          668,846  

UBS AG/Stamford CT
7.625%, 08/17/2022

         620          621,017  

UBS Group AG
4.488%, 05/12/2026(a)

         251          252,411  

7.00%, 02/19/2025(a) (b)

         312          325,032  

UniCredit SpA
1.982%, 06/03/2027(a)

         205          177,661  

2.569%, 09/22/2026(a)

         391          347,767  

3.127%, 06/03/2032(a)

         356          283,917  

US Bancorp
Series J
5.30%, 04/15/2027(b)

         380          347,594  

Wells Fargo & Co.
3.35%, 03/02/2033

         687          629,313  

3.584%, 05/22/2028

         191          184,812  

Series BB
3.90%, 03/15/2026(b)

         273          253,330  
          

 

 

  
             20,402,441  
          

 

 

  

 

6

     

Principal

Amount

(000)

        U.S. $ Value  

Brokerage – 0.6%

           

Charles Schwab Corp. (The)
Series G
5.375%, 06/01/2025(b)

      U.S.$        547        $            554,822  

Series I
4.00%, 06/01/2026(b)

         469          424,445  

Nomura Holdings, Inc.
2.999%, 01/22/2032

         630          529,276  
          

 

 

  
             1,508,543  
          

 

 

  

Finance – 1.8%

           

AerCap Ireland Capital DAC/AerCap Global Aviation Trust
3.30%, 01/30/2032

         345          289,338  

6.50%, 07/15/2025

         179          185,127  

Air Lease Corp.
2.10%, 09/01/2028

         242          201,811  

2.875%, 01/15/2026

         72          67,568  

3.625%, 04/01/2027

         34          31,976  

Aircastle Ltd.
2.85%, 01/26/2028(a)

         835          699,438  

4.125%, 05/01/2024

         152          148,857  

4.25%, 06/15/2026

         53          49,687  

5.25%, 08/11/2025(a)

         384          375,256  

Aviation Capital Group LLC
1.95%, 01/30/2026(a)

         449          393,768  

1.95%, 09/20/2026(a)

         133          114,098  

3.50%, 11/01/2027(a)

         136          119,181  

4.125%, 08/01/2025(a)

         5          4,753  

4.375%, 01/30/2024(a)

         135          132,438  

4.875%, 10/01/2025(a)

         153          148,834  

5.50%, 12/15/2024(a)

         381          378,142  

CDBL Funding 1
3.50%, 10/24/2027(a)

         580          562,211  

Synchrony Financial
2.875%, 10/28/2031

         420          332,304  
          

 

 

  
             4,234,787  
          

 

 

  

Insurance – 1.2%

           

Guardian Life Insurance Co. of America (The)
4.85%, 01/24/2077(a)

         294          274,605  

MetLife Capital Trust IV
7.875%, 12/15/2037(a)

         699          761,931  

Nationwide Mutual Insurance Co.
9.375%, 08/15/2039(a)

         246          343,241  

Prudential Financial, Inc.
5.875%, 09/15/2042

         805          804,316  

Swiss Re Finance Luxembourg SA
5.00%, 04/02/2049(a)

         400          382,424  

Voya Financial, Inc.
5.65%, 05/15/2053

         180          173,176  
          

 

 

  
             2,739,693  
          

 

 

  

 

7

     

Principal

Amount

(000)

        U.S. $ Value  

Other Finance – 0.1%

           

AerCap Ireland Capital DAC/AerCap Global Aviation Trust
4.45%, 04/03/2026

      U.S.$        271        $            264,198  
          

 

 

  

REITs – 0.6%

           

American Tower Corp.
3.65%, 03/15/2027

         262          255,597  

4.05%, 03/15/2032

         130          124,470  

GLP Capital LP/GLP Financing II, Inc.
3.25%, 01/15/2032

         397          337,001  

Vornado Realty LP
3.40%, 06/01/2031

         709          601,778  
          

 

 

  
             1,318,846  
          

 

 

  
             30,468,508  
          

 

 

  

Utility – 0.9%

           

Electric – 0.8%

           

AES Panama Generation Holdings SRL
4.375%, 05/31/2030(a)

         274          224,217  

Chile Electricity Pec SpA
Zero Coupon, 01/25/2028(a)

         679          461,635  

Duke Energy Carolinas NC Storm Funding LLC
Series A-2
2.617%, 07/01/2041

         306          262,585  

Engie Energia Chile SA
3.40%, 01/28/2030(a)

         349          286,180  

Entergy Corp.
1.90%, 06/15/2028

         785          698,438  
          

 

 

  
             1,933,055  
          

 

 

  

Other Utility – 0.1%

           

American Water Capital Corp.
3.45%, 06/01/2029

         151          146,046  
          

 

 

  
             2,079,101  
          

 

 

  

Total Corporates - Investment Grade
(cost $77,869,670)

              69,877,414  
          

 

 

  

MORTGAGE PASS-THROUGHS – 19.9%

           

Agency Fixed Rate 30-Year – 19.0%

           

Federal Home Loan Mortgage Corp.
Series 2019
3.50%, 10/01/2049

         198          198,515  

3.50%, 11/01/2049

         276          276,751  

Series 2020
3.50%, 01/01/2050

         746          748,888  

Series 2022
2.00%, 03/01/2052

         1,999          1,805,545  

2.50%, 04/01/2052

         2,337          2,187,292  

3.00%, 03/01/2052

         1,318          1,276,056  

Federal Home Loan Mortgage Corp. Gold
Series 2005
5.50%, 01/01/2035

         82          88,313  

 

8

     

Principal

Amount

(000)

        U.S. $ Value  

Series 2007
5.50%, 07/01/2035

      U.S.$        14        $ 15,054  

Series 2016
4.00%, 02/01/2046

         548                     563,852  

Series 2017
4.00%, 07/01/2044

         366          376,852  

Series 2018
4.50%, 03/01/2048

         140          145,187  

4.50%, 10/01/2048

         362          375,321  

4.50%, 11/01/2048

         463          479,265  

5.00%, 11/01/2048

         167          173,932  

Federal National Mortgage Association
Series 2003
5.50%, 04/01/2033

         26          27,616  

5.50%, 07/01/2033

         57          61,134  

Series 2004
5.50%, 04/01/2034

         7          7,355  

5.50%, 05/01/2034

         17          18,064  

5.50%, 11/01/2034

         24          26,307  

5.50%, 01/01/2035

         228          245,843  

Series 2005
5.50%, 02/01/2035

         34          36,473  

Series 2007
5.50%, 08/01/2037

         169          181,477  

Series 2010
4.00%, 12/01/2040

         233          239,338  

Series 2012
3.50%, 02/01/2042

         148          148,551  

3.50%, 11/01/2042

         1,588          1,606,904  

3.50%, 01/01/2043

         271          273,951  

Series 2013
3.50%, 04/01/2043

         926          937,285  

4.00%, 10/01/2043

         551          566,476  

Series 2016
3.50%, 01/01/2047

         411          412,254  

Series 2018
4.50%, 09/01/2048

         835          864,943  

Series 2019
3.50%, 08/01/2049

         609          609,971  

3.50%, 09/01/2049

         281          281,875  

3.50%, 11/01/2049

         533          534,171  

Series 2020
3.50%, 01/01/2050

         653          655,164  

Series 2021
2.00%, 07/01/2051

         2,052          1,850,125  

2.50%, 01/01/2052

         677          633,737  

Series 2022
2.50%, 03/01/2052

         1,483          1,385,147  

2.50%, 04/01/2052

         1,535          1,435,070  

2.50%, 05/01/2052

         1,953          1,826,522  

3.00%, 02/01/2052

         1,716          1,662,245  

3.00%, 03/01/2052

         2,220          2,150,320  

Government National Mortgage Association
Series 2016
3.00%, 04/20/2046

         79          78,140  

3.00%, 05/20/2046

         192          189,849  

Series 2022
3.00%, 08/01/2052, TBA

         418          406,601  

4.00%, 08/01/2052, TBA

         994          1,004,667  

4.50%, 09/01/2052, TBA

         2,289          2,327,940  

 

9

     

Principal

Amount

(000)

        U.S. $ Value  

Uniform Mortgage-Backed Security
Series 2022
2.00%, 08/01/2052, TBA

      U.S.$        4,891        $         4,403,234  

2.50%, 08/01/2052, TBA

         5,906          5,503,592  

3.00%, 08/01/2052, TBA

         1,585          1,526,694  

4.00%, 08/01/2052, TBA

         1,253          1,258,880  
          

 

 

  
             44,088,738  
          

 

 

  

Agency Fixed Rate 15-Year – 0.9%

           

Federal National Mortgage Association
Series 2016
2.50%, 08/01/2031

         109          107,821  

2.50%, 11/01/2031

         498          493,086  

2.50%, 12/01/2031

         652          645,892  

2.50%, 01/01/2032

         163          161,653  

Series 2017
2.50%, 02/01/2032

         678          671,365  
          

 

 

  
             2,079,817  
          

 

 

  

Agency ARMs – 0.0%

           

Federal Home Loan Mortgage Corp.
Series 2006
2.25% (LIBOR 12 Month + 2.00%), 01/01/2037(c)

         8          8,584  
          

 

 

  

Total Mortgage Pass-Throughs
(cost $46,098,296)

              46,177,139  
          

 

 

  

COLLATERALIZED MORTGAGE OBLIGATIONS – 15.9%

           

Risk Share Floating Rate – 14.2%

           

Bellemeade Re Ltd.
Series 2018-3A, Class M1B
4.109% (LIBOR 1 Month + 1.85%), 10/25/2028(a) (c)

         263          262,205  

Series 2018-3A, Class M2
5.009% (LIBOR 1 Month + 2.75%), 10/25/2028(a) (c)

         325          316,473  

Series 2019-1A, Class M1B
4.009% (LIBOR 1 Month + 1.75%), 03/25/2029(a) (c)

         261          260,696  

Series 2019-2A, Class M1C
4.259% (LIBOR 1 Month + 2.00%), 04/25/2029(a) (c)

         487          481,459  

Series 2019-2A, Class M2
5.359% (LIBOR 1 Month + 3.10%), 04/25/2029(a) (c)

         325          317,307  

Series 2019-3A, Class M1B
3.859% (LIBOR 1 Month + 1.60%), 07/25/2029(a) (c)

         125          124,599  

Series 2019-3A, Class M1C
4.209% (LIBOR 1 Month + 1.95%), 07/25/2029(a) (c)

         263          257,713  

Series 2019-4A, Class M1B
4.259% (LIBOR 1 Month + 2.00%), 10/25/2029(a) (c)

         147          147,255  

 

10

     

Principal

Amount

(000)

        U.S. $ Value  

Series 2019-4A, Class M1C
4.759% (LIBOR 1 Month + 2.50%), 10/25/2029(a) (c)

      U.S.$        750        $            748,303  

Series 2019-4A, Class M2
5.109% (LIBOR 1 Month + 2.85%), 10/25/2029(a) (c)

         540          514,015  

Series 2021-1A, Class M1C
4.464% (SOFR + 2.95%), 03/25/2031(a) (c)

         398          380,900  

Series 2022-1, Class M1C
5.214% (SOFR + 3.70%), 01/26/2032(a) (c)

         672          633,954  

Connecticut Avenue Securities Trust
Series 2018-R07, Class 1M2
4.659% (LIBOR 1 Month + 2.40%), 04/25/2031(a) (c)

         34          34,218  

Series 2019-R01, Class 2M2
4.709% (LIBOR 1 Month + 2.45%), 07/25/2031(a) (c)

         105          104,693  

Series 2019-R02, Class 1M2
4.559% (LIBOR 1 Month + 2.30%), 08/25/2031(a) (c)

         22          22,132  

Series 2019-R06, Class 2M2
4.359% (LIBOR 1 Month + 2.10%), 09/25/2039(a) (c)

         38          37,775  

Series 2020-R01, Class 1B1
5.509% (LIBOR 1 Month + 3.25%), 01/25/2040(a) (c)

         500          453,020  

Series 2020-SBT1, Class 1M2
5.909% (LIBOR 1 Month + 3.65%), 02/25/2040(a) (c)

         1,000          977,997  

Series 2020-SBT1, Class 2M2
5.909% (LIBOR 1 Month + 3.65%), 02/25/2040(a) (c)

         300          294,905  

Series 2021-R03, Class 1M2
3.164% (SOFR + 1.65%), 12/25/2041(a) (c)

         250          233,158  

Series 2022-R01, Class 1B1
4.664% (SOFR + 3.15%), 12/25/2041(a) (c)

         625          567,514  

Series 2022-R02, Class 2M1
2.714% (SOFR + 1.20%), 01/25/2042(a) (c)

         537          525,792  

Eagle Re Ltd.
Series 2018-1, Class M2
5.259% (LIBOR 1 Month + 3.00%), 11/25/2028(a) (c)

         325          320,872  

Series 2019-1, Class M2
5.559% (LIBOR 1 Month + 3.30%), 04/25/2029(a) (c)

         325          319,222  

 

11

     

Principal

Amount

(000)

        U.S. $ Value  

Series 2020-1, Class M1A
3.159% (LIBOR 1 Month + 0.90%), 01/25/2030(a) (c)

      U.S.$        328        $            327,575  

Series 2021-2, Class M1B
3.564% (SOFR + 2.05%), 04/25/2034(a) (c)

         254          245,780  

Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
Series 2015-HQA2, Class M3
7.059% (LIBOR 1 Month + 4.80%), 05/25/2028(c)

         197          202,404  

Series 2016-HQA3, Class M3
6.109% (LIBOR 1 Month + 3.85%), 03/25/2029(c)

         752          765,239  

Series 2017-DNA2, Class B1
7.409% (LIBOR 1 Month + 5.15%), 10/25/2029(c)

         750          793,332  

Series 2017-HQA2, Class B1
7.009% (LIBOR 1 Month + 4.75%), 12/25/2029(c)

         800          836,416  

Series 2017-HQA2, Class M2B
4.909% (LIBOR 1 Month + 2.65%), 12/25/2029(c)

         560          552,349  

Series 2017-HQA3, Class B1
6.709% (LIBOR 1 Month + 4.45%), 04/25/2030(c)

         750          767,702  

Series 2018-HQA2, Class B1
6.509% (LIBOR 1 Month + 4.25%), 10/25/2048(a) (c)

         1,250          1,281,143  

Series 2019-DNA1, Class B2
13.009% (LIBOR 1 Month + 10.75%), 01/25/2049(a) (c)

         750          834,573  

Series 2019-DNA3, Class B1
5.509% (LIBOR 1 Month + 3.25%), 07/25/2049(a) (c)

         600          591,225  

Series 2019-FTR2, Class B1
5.259% (LIBOR 1 Month + 3.00%), 11/25/2048(a) (c)

         750          702,686  

Series 2019-FTR2, Class M2
4.409% (LIBOR 1 Month + 2.15%), 11/25/2048(a) (c)

         895          859,812  

Series 2019-FTR3, Class B2
6.424% (LIBOR 1 Month + 4.80%), 09/25/2047(c) (d)

         700          584,319  

Series 2019-HQA2, Class B1
6.359% (LIBOR 1 Month + 4.10%), 04/25/2049(a) (c)

         750          750,001  

Series 2019-HQA3, Class B1
5.259% (LIBOR 1 Month + 3.00%), 09/25/2049(a) (c)

         500          467,546  

Series 2019-HQA4, Class B1
5.209% (LIBOR 1 Month + 2.95%), 11/25/2049(a) (c)

         750          728,330  

 

12

     

Principal

Amount

(000)

        U.S. $ Value  

Series 2020-DNA5, Class M2
4.314% (SOFR + 2.80%), 10/25/2050(a) (c)

      U.S.$        292        $            291,937  

Series 2021-DNA3, Class B1
5.014% (SOFR + 3.50%), 10/25/2033(a) (c)

         651          586,902  

Series 2021-DNA6, Class M2
3.014% (SOFR + 1.50%), 10/25/2041(a) (c)

         828          772,491  

Series 2021-DNA7, Class M2
3.314% (SOFR + 1.80%), 11/25/2041(a) (c)

         806          748,582  

Series 2021-HQA4, Class M2
3.864% (SOFR + 2.35%), 12/25/2041(a) (c)

         513          460,214  

Series 2022-DNA1, Class M2
4.014% (SOFR + 2.50%), 01/25/2042(a) (c)

         806          734,510  

Series 2022-DNA2, Class M2
5.264% (SOFR + 3.75%), 02/25/2042(a) (c)

         605          568,650  

Federal National Mortgage Association Connecticut Avenue Securities
Series 2015-C02, Class 1M2
6.259% (LIBOR 1 Month + 4.00%), 05/25/2025(c)

         109          111,111  

Series 2015-C03, Class 1M2
7.259% (LIBOR 1 Month + 5.00%), 07/25/2025(c)

         109          110,590  

Series 2015-C04, Class 1M2
7.959% (LIBOR 1 Month + 5.70%), 04/25/2028(c)

         306          319,675  

Series 2016-C02, Class 1B
14.509% (LIBOR 1 Month + 12.25%), 09/25/2028(c)

         149          168,688  

Series 2016-C03, Class 1B
14.009% (LIBOR 1 Month + 11.75%), 10/25/2028(c)

         99          110,037  

Series 2016-C06, Class 1B
11.509% (LIBOR 1 Month + 9.25%), 04/25/2029(c)

         377          392,835  

Series 2016-C07, Class 2B
11.759% (LIBOR 1 Month + 9.50%), 05/25/2029(c)

         378          394,896  

Series 2017-C01, Class 1B1
8.009% (LIBOR 1 Month + 5.75%), 07/25/2029(c)

         750          819,376  

Series 2017-C02, Class 2B1
7.759% (LIBOR 1 Month + 5.50%), 09/25/2029(c)

         750          811,198  

 

13

     

Principal

Amount

(000)

        U.S. $ Value  

Series 2017-C04, Class 2M2
5.109% (LIBOR 1 Month + 2.85%), 11/25/2029(c)

      U.S.$        228        $            230,132  

Series 2017-C06, Class 2B1
6.709% (LIBOR 1 Month + 4.45%), 02/25/2030(c)

         750          773,133  

Series 2017-C07, Class 1B1
6.259% (LIBOR 1 Month + 4.00%), 05/25/2030(c)

         305          313,453  

Series 2017-C07, Class 2B1
6.709% (LIBOR 1 Month + 4.45%), 05/25/2030(c)

         750          764,973  

Series 2021-R02, Class 2B1
4.814% (SOFR + 3.30%), 11/25/2041(a) (c)

         441          399,812  

JPMorgan Madison Avenue Securities Trust
Series 2014-CH1, Class M2
6.509% (LIBOR 1 Month + 4.25%), 11/25/2024(c) (d)

         21          19,923  

Mortgage Insurance-Linked Notes
Series 2019-1, Class M2
5.159% (LIBOR 1 Month + 2.90%), 11/26/2029(a) (c)

         14          14,322  

PMT Credit Risk Transfer Trust
Series 2019-2R, Class A
5.05% (LIBOR 1 Month + 2.75%), 05/27/2023(a) (c)

         272          265,921  

Series 2019-3R, Class A
5.00% (LIBOR 1 Month + 2.70%), 10/27/2022(a) (c)

         110          109,842  

Series 2020-1R, Class A
4.65% (LIBOR 1 Month + 2.35%), 02/27/2023(c) (d)

         183          180,496  

Radnor Re Ltd. Series 2019-1, Class M1B
4.209% (LIBOR 1 Month + 1.95%), 02/25/2029(a) (c)

         635          624,114  

Series 2019-2, Class M1B
4.009% (LIBOR 1 Month + 1.75%), 06/25/2029(a) (c)

         114          113,422  

Series 2020-1, Class M1A
3.209% (LIBOR 1 Month + 0.95%), 01/25/2030(a) (c)

         737          733,251  

Series 2020-1, Class M2A
4.259% (LIBOR 1 Month + 2.00%), 01/25/2030(a) (c)

         850          782,241  

Traingle Re Ltd.
Series 2021-3, Class M1B
4.414% (SOFR + 2.90%), 02/25/2034(a) (c)

         530          502,072  

Wells Fargo Credit Risk Transfer Securities Trust
Series 2015-WF1, Class 1M2
7.509% (LIBOR 1 Month + 5.25%), 11/25/2025(c) (d)

         125          114,567  

Series 2015-WF1, Class 2M2
7.759% (LIBOR 1 Month + 5.50%), 11/25/2025(c) (d)

         30          28,131  
          

 

 

  
             32,998,106  
          

 

 

  

 

14

     

Principal

Amount

(000)

        U.S. $ Value  

Agency Fixed Rate – 0.6%

           

Federal Home Loan Mortgage Corp. REMICs
Series 5015, Class BI
4.00%, 09/25/2050(e)

      U.S.$        1,387        $            258,499  

Federal National Mortgage Association Grantor Trust
Series 2004-T5, Class AB4
2.164%, 05/28/2035

         60          54,273  

Federal National Mortgage Association REMICs
Series 2016-31, Class IO
5.00%, 06/25/2046(e)

         2,820          504,825  

Series 2020-89, Class KI
4.00%, 12/25/2050(e)

         3,015          559,404  
          

 

 

  
             1,377,001  
          

 

 

  

Agency Floating Rate – 0.6%

           

Federal Home Loan Mortgage Corp. REMICs
Series 4719, Class JS
4.151% (6.15% – LIBOR 1 Month), 09/15/2047(c) (f)

         657          93,902  

Series 4981, Class HS
3.841% (6.10% – LIBOR 1 Month), 06/25/2050(c) (f)

         2,015          258,319  

Federal National Mortgage Association REMICs
Series 2011-131, Class ST
4.281% (6.54% – LIBOR 1 Month), 12/25/2041(c) (f)

         465          72,957  

Series 2015-90, Class SL
3.891% (6.15% – LIBOR 1 Month), 12/25/2045(c) (f)

         930          135,293  

Series 2016-77, Class DS
3.741% (6.00% – LIBOR 1 Month), 10/25/2046(c) (f)

         724          102,437  

Series 2017-26, Class TS
3.691% (5.95% – LIBOR 1 Month), 04/25/2047(c) (f)

         923          139,625  

Series 2017-62, Class AS
3.891% (6.15% – LIBOR 1 Month), 08/25/2047(c) (f)

         798          123,244  

Series 2017-81, Class SA
3.941% (6.20% – LIBOR 1 Month), 10/25/2047(c) (f)

         942          144,627  

Series 2017-97, Class LS
3.941% (6.20% – LIBOR 1 Month), 12/25/2047(c) (f)

         928          144,499  

 

15

     

Principal
Amount
(000)

        U.S. $ Value  

Government National Mortgage Association
Series 2017-65, Class ST
4.024% (6.15% – LIBOR 1 Month), 04/20/2047(c) (f)

      U.S.$        854        $            134,472  
          

 

 

  
             1,349,375  
          

 

 

  

Non-Agency Floating Rate – 0.3%

           

Deutsche Alt-A Securities Mortgage Loan Trust
Series 2006-AR4, Class A2
2.639% (LIBOR 1 Month + 0.38%), 12/25/2036(c)

         449          173,388  

HomeBanc Mortgage Trust
Series 2005-1, Class A1
2.759% (LIBOR 1 Month + 0.50%), 03/25/2035(c)

         83          70,476  

Impac Secured Assets Corp.
Series 2005-2, Class A2D
3.119% (LIBOR 1 Month + 0.86%), 03/25/2036(c)

         151          128,684  

JPMorgan Chase Bank, NA
Series 2019-CL1, Class M3
4.359% (LIBOR 1 Month + 2.10%), 04/25/2047(a) (c)

         96          94,548  

Residential Accredit Loans, Inc. Trust
Series 2007-QS4, Class 2A4
1.964% (LIBOR 1 Month + 0.34%), 03/25/2037(c)

         502          94,716  

Structured Asset Securities Corp. Mortgage Pass-Through Certificates
Series 2002-3, Class B3
6.50%, 03/25/2032

         452          112,491  
          

 

 

  
             674,303  
          

 

 

  

Non-Agency Fixed Rate – 0.2%

           

Alternative Loan Trust
Series 2006-24CB, Class A16
5.75%, 08/25/2036

         192          122,337  

Series 2006-28CB, Class A14
6.25%, 10/25/2036

         147          91,256  

Series 2006-J1, Class 1A13
5.50%, 02/25/2036

         86          67,496  

Countrywide Home Loan Mortgage Pass-Through Trust
Series 2006-13, Class 1A19
6.25%, 09/25/2036

         47          24,680  

JPMorgan Alternative Loan Trust
Series 2006-A3, Class 2A1
3.545%, 07/25/2036

         370          295,231  
          

 

 

  
             601,000  
          

 

 

  

Total Collateralized Mortgage Obligations
(cost $39,786,874)

                    36,999,785  
          

 

 

  

 

16

     

Principal
Amount
(000)

        U.S. $ Value  

GOVERNMENTS - TREASURIES – 9.6%

           

United States – 9.6%

           

U.S. Treasury Bonds
2.375%, 02/15/2042

      U.S.$        734        $            644,658  

3.125%, 08/15/2044(g)

         3,034          2,966,126  

3.25%, 05/15/2042

         637          643,471  

U.S. Treasury Notes
2.625%, 02/28/2023

         14,141          14,114,386  

2.75%, 07/31/2027

         993          995,583  

2.875%, 05/15/2032

         1,629          1,661,478  

3.00%, 06/30/2024(g)

         1,214          1,215,507  
          

 

 

  

Total Governments - Treasuries
(cost $22,427,698)

                    22,241,209  
          

 

 

  

COMMERCIAL MORTGAGE-BACKED SECURITIES – 9.4%

           

Non-Agency Fixed Rate CMBS – 6.3%

           

BAMLL Commercial Mortgage Securities Trust
Series 2013-WBRK, Class D
3.534%, 03/10/2037(a)

         960          841,787  

Banc of America Commercial Mortgage Trust
Series 2015-UBS7, Class AS
3.989%, 09/15/2048

         860          840,445  

CFCRE Commercial Mortgage Trust
Series 2016-C4, Class AM
3.691%, 05/10/2058

         375          359,391  

CGRBS Commercial Mortgage Trust
Series 2013-VN05, Class A
3.369%, 03/13/2035(a)

         1,305          1,303,732  

Citigroup Commercial Mortgage Trust
Series 2013-GC11, Class B
3.732%, 04/10/2046

         500          494,736  

Series 2013-GC17, Class D
5.101%, 11/10/2046(a)

         565          515,395  

COMM Mortgage Trust
Series 2013-LC6, Class B
3.739%, 01/10/2046

         1,580          1,564,581  

Commercial Mortgage Trust
Series 2013-SFS, Class A1
1.873%, 04/12/2035(a)

         58          56,858  

Series 2014-LC17, Class B
4.49%, 10/10/2047

         800          780,550  

Series 2014-UBS6, Class AM
4.048%, 12/10/2047

         375          367,890  

GS Mortgage Securities Trust
Series 2011-GC5, Class D
5.159%, 08/10/2044(a)

         252          107,201  

Series 2013-G1, Class A2
3.557%, 04/10/2031(a)

         766          758,568  

GSF
Series 2021-1, Class A1
1.433%, 08/15/2026(d) (h)

         277          258,564  

Series 2021-1, Class A2
2.435%, 08/15/2026(d) (h)    

         620          588,192  

Series 2021-1, Class AS
2.638%, 08/15/2026(d) (h)

         25          23,164  

 

17

     

Principal
Amount
(000)

        U.S. $ Value  

JPMBB Commercial Mortgage Securities Trust
Series 2014-C24, Class C
4.384%, 11/15/2047

    U.S.$          890        $            780,991  

JPMorgan Chase Commercial Mortgage Securities Trust
Series 2012-C6, Class D
4.95%, 05/15/2045

         690          659,778  

Series 2012-C6, Class E
4.95%, 05/15/2045(a)

         389          300,423  

LB-UBS Commercial Mortgage Trust
Series 2006-C6, Class AJ
5.452%, 09/15/2039

         77          33,804  

LSTAR Commercial Mortgage Trust
Series 2016-4, Class A2
2.579%, 03/10/2049(a)

         183          181,091  

UBS-Barclays Commercial Mortgage Trust
Series 2012-C4, Class C
4.402%, 12/10/2045(a)

         820          809,998  

Wells Fargo Commercial Mortgage Trust
Series 2016-LC24, Class XA
1.613%, 10/15/2049(e)

         7,684          398,657  

Series 2016-LC25, Class C
4.339%, 12/15/2059

         545          504,057  

Series 2016-NXS6, Class C
4.394%, 11/15/2049

         600          557,095  

WF-RBS Commercial Mortgage Trust
Series 2013-C11, Class B
3.714%, 03/15/2045

         480          475,531  

Series 2013-C11, Class XA
1.108%, 03/15/2045(a) (e)

         5,607          9,947  

Series 2014-C24, Class AS
3.931%, 11/15/2047

         945          924,604  
          

 

 

  
                   14,497,030  
          

 

 

  

Non-Agency Floating Rate CMBS – 3.1%

           

AREIT Trust
Series 2022-CRE6, Class A
2.722% (SOFR + 1.25%), 01/16/2037(a) (c)

         1,055          1,013,698  

Ashford Hospitality Trust
Series 2018-KEYS, Class A
3.00% (LIBOR 1 Month + 1.00%), 06/15/2035(a) (c)

         526          507,913  

BAMLL Commercial Mortgage Securities Trust
Series 2017-SCH, Class AF
3.00% (LIBOR 1 Month + 1.00%), 11/15/2033(a) (c)

         1,330          1,251,364  

BBCMS Mortgage Trust
Series 2020-BID, Class A
4.139% (LIBOR 1 Month + 2.14%), 10/15/2037(a) (c)

         692          680,874  

 

18

     

Principal
Amount
(000)

        U.S. $ Value  

BFLD Trust
Series 2021-FPM, Class A
3.60% (LIBOR 1 Month + 1.60%), 06/15/2038(a) (c)

      U.S.$        1,060        $         1,023,084  

BX Commercial Mortgage Trust
Series 2019-IMC, Class D
3.899% (LIBOR 1 Month + 1.90%), 04/15/2034(a) (c)

         142          134,865  

Series 2019-IMC, Class E
4.149% (LIBOR 1 Month + 2.15%), 04/15/2034(a) (c)

         566          529,174  

CLNY Trust
Series 2019-IKPR, Class D
4.024% (LIBOR 1 Month + 2.03%), 11/15/2038(a) (c)

         540          503,351  

Federal Home Loan Mortgage Corp. Multifamily Structured Credit Risk
Series 2021-MN1, Class M1
3.514% (SOFR + 2.00%), 01/25/2051(a) (c)

         81          75,863  

HFX Funding Issuer
Series 2017-1A, Class A3
3.647%, 03/15/2035(d)

         710          662,158  

Morgan Stanley Capital I Trust
Series 2019-BPR, Class C
5.299% (LIBOR 1 Month + 3.30%), 05/15/2036(a) (c)

         520          491,737  

Natixis Commercial Mortgage Securities Trust
Series 2019-MILE, Class A
3.499% (LIBOR 1 Month + 1.50%), 07/15/2036(a) (c)

         379          372,530  
          

 

 

  
             7,246,611  
          

 

 

  

Agency CMBS – 0.0%

           

Government National Mortgage Association
Series 2006-39, Class IO
0.00%, 07/16/2046(e)

         428          4  
          

 

 

  

Total Commercial Mortgage-Backed Securities
(cost $23,019,133)

              21,743,645  
          

 

 

  

ASSET-BACKED SECURITIES – 7.7%

           

Autos - Fixed Rate – 3.7%

           

ACM Auto Trust
Series 2022-1A, Class A
3.23%, 04/20/2029(a)

         523          521,270  

Avis Budget Rental Car Funding AESOP LLC
Series 2017-2A, Class D
4.56%, 03/20/2024(a)

         482          479,727  

Series 2018-1A, Class A
3.70%, 09/20/2024(a)

         920          917,668  

Series 2018-2A, Class A
4.00%, 03/20/2025(a)

         755          750,675  

 

19

     

Principal
Amount
(000)

        U.S. $ Value  

Carvana Auto Receivables Trust
Series 2021-N3, Class C
1.02%, 06/12/2028

      U.S.$        313        $            299,095  

Series 2021-N4, Class D
2.30%, 09/11/2028

         266          248,668  

CPS Auto Receivables Trust
Series 2021-C, Class D
1.69%, 06/15/2027(a)

         470          435,437  

FHF Trust
Series 2021-2A, Class A
0.83%, 12/15/2026(a)

         227          217,207  

First Investors Auto Owner Trust
Series 2018-1A, Class E
5.35%, 07/15/2024(a)

         1,000          1,000,855  

Flagship Credit Auto Trust
Series 2019-3, Class E
3.84%, 12/15/2026(a)

         960          925,443  

Series 2020-1, Class E
3.52%, 06/15/2027(a)

         1,000          946,938  

Ford Credit Auto Owner Trust
Series 2021-1, Class D
2.31%, 10/17/2033(a)

         542          488,912  

Hertz Vehicle Financing III LLC
Series 2022-1A, Class C
2.63%, 06/25/2026(a)

         450          414,827  

Octane Receivables Trust
Series 2021-2A, Class C
2.53%, 05/21/2029(a)

         541          470,086  

Santander Bank Auto Credit-Linked Notes
Series 2022-A, Class B
5.281%, 05/15/2032(a)

         514          508,420  
          

 

 

  
             8,625,228  
          

 

 

  

Other ABS - Fixed Rate – 3.6%

           

AB Issuer LLC
Series 2021-1, Class A2
3.734%, 07/30/2051(a)

         739          662,497  

Affirm Asset Securitization Trust
Series 2021-Z1, Class A
1.07%, 08/15/2025(a)

         175          170,318  

Series 2021-Z2, Class A
1.17%, 11/16/2026(a)

         164          159,256  

Series 2022-X1, Class A
1.75%, 02/15/2027(a)

         470          460,217  

Atalaya Equipment Leasing Trust
Series 2021-1A, Class C
2.69%, 06/15/2028(a)

         600          567,401  

Cajun Global LLC
Series 2021-1, Class A2
3.931%, 11/20/2051(a)

         140          125,822  

College Ave Student Loans LLC
Series 2021-C, Class C
3.06%, 07/26/2055(a)

         213          191,812  

 

20

     

Principal

Amount

(000)

        U.S. $ Value  

Conn’s Receivables Funding LLC
Series 2021-A, Class A
1.05%, 05/15/2026(a)

      U.S.$        272        $            269,803  

Dext ABS LLC
Series 2021-1, Class C
2.29%, 09/15/2028(a)

         519          470,866  

Series 2021-1, Class D
2.81%, 03/15/2029(a)

         260          232,122  

Diamond Issuer
Series 2021-1A, Class B
2.701%, 11/20/2051(a)

         566          501,369  

Domino’s Pizza Master Issuer LLC
Series 2021-1A, Class A2I
2.662%, 04/25/2051(a)

         411          361,724  

GCI Funding I LLC
Series 2021-1, Class A
2.38%, 06/18/2046(a)

         276          249,161  

Hardee’s Funding LLC
Series 2018-1A, Class A23
5.71%, 06/20/2048(a)

         328          321,257  

Series 2020-1A, Class A2
3.981%, 12/20/2050(a)

         985          910,527  

MVW LLC
Series 2021-2A, Class C
2.23%, 05/20/2039(a)

         784          720,267  

Neighborly Issuer
Series 2022-1A, Class A2
3.695%, 01/30/2052(a)

         366          318,704  

Neighborly Issuer LLC
Series 2021-1A, Class A2
3.584%, 04/30/2051(a)

         300          262,738  

Nelnet Student Loan Trust
Series 2021-BA, Class B
2.68%, 04/20/2062(a)

         220          191,383  

SEB Funding LLC
Series 2021-1A, Class A2
4.969%, 01/30/2052(a)

         690          621,269  

Upstart Securitization Trust
Series 2020-3, Class A
1.702%, 11/20/2030(a)

         37          36,893  

Series 2021-3, Class B
1.66%, 07/20/2031(a)

         480          442,966  
          

 

 

  
             8,248,372  
          

 

 

  

Credit Cards - Fixed Rate – 0.4%

           

Brex Commercial Charge Card Master Trust
Series 2021-1, Class A
2.09%, 07/15/2024(a)

         397          389,820  

Series 2022-1, Class A
4.63%, 07/15/2025(a)

         565          556,555  
          

 

 

  
             946,375  
          

 

 

  

Total Asset-Backed Securities
(cost $18,973,482)

              17,819,975  
          

 

 

  

 

21

     

Principal

Amount

(000)

        U.S. $ Value  

COLLATERALIZED LOAN OBLIGATIONS – 3.8%

           

CLO - Floating Rate – 3.8%

           

AGL CLO 12 Ltd.
Series 2021-12A, Class D
5.56% (LIBOR 3 Month + 2.85%), 07/20/2034(a) (c)

      U.S.$        500        $            449,578  

Balboa Bay Loan Funding Ltd.
Series 2021-1A, Class D
5.76% (LIBOR 3 Month + 3.05%), 07/20/2034(a) (c)

         709          637,998  

Ballyrock CLO 16 Ltd.
Series 2021-16A, Class C
5.61% (LIBOR 3 Month + 2.90%), 07/20/2034(a) (c)

         400          359,657  

Elevation CLO Ltd.
Series 2020-11A, Class D1
6.362% (LIBOR 3 Month + 3.85%), 04/15/2033(a) (c)

         1,000          929,263  

Elmwood CLO IX Ltd.
Series 2021-2A, Class D
5.66% (LIBOR 3 Month + 2.95%), 07/20/2034(a) (c)

         700          646,072  

Flatiron CLO 21 Ltd.
Series 2021-1A, Class D
5.638% (LIBOR 3 Month + 2.90%), 07/19/2034(a) (c)

         700          633,810  

Goldentree Loan Management US CLO 7 Ltd.
Series 2020-7A, Class AR
3.78% (LIBOR 3 Month + 1.07%), 04/20/2034(a) (c)

         581          561,765  

Neuberger Berman Loan Advisers CLO 42 Ltd.
Series 2021-42A, Class D
5.54% (LIBOR 3 Month + 2.80%), 07/16/2035(a) (c)

         698          637,402  

OCP CLO Ltd.
Series 2020-18A, Class AR
3.80% (LIBOR 3 Month + 1.09%), 07/20/2032(a) (c)

         761          742,376  

Peace Park CLO Ltd.
Series 2021-1A, Class D
5.66% (LIBOR 3 Month + 2.95%), 10/20/2034(a) (c)

         300          276,305  

Pikes Peak CLO 8
Series 2021-8A, Class A
3.88% (LIBOR 3 Month + 1.17%), 07/20/2034(a) (c)

         675          656,288  

 

22

     

Principal

Amount

(000)

        U.S. $ Value  

Regatta XX Funding Ltd.
Series 2021-2A, Class A
3.672% (LIBOR 3 Month + 1.16%), 10/15/2034(a) (c)

      U.S.$        1,019        $            977,224  

Rockford Tower CLO Ltd.
Series 2021-1A, Class D
5.71% (LIBOR 3 Month + 3.00%), 07/20/2034(a) (c)

         711          645,553  

Series 2021-2A, Class A1
3.87% (LIBOR 3 Month + 1.16%), 07/20/2034(a) (c)

         504          487,995  

Voya CLO Ltd.
Series 2019-1A, Class DR
5.362% (LIBOR 3 Month + 2.85%), 04/15/2031(a) (c)

         210          182,123  
          

 

 

  

Total Collateralized Loan Obligations
(cost $9,468,061)

              8,823,409  
          

 

 

  

CORPORATES - NON-INVESTMENT GRADE – 3.4%

           

Industrial – 2.4%

           

Basic – 0.3%

           

INEOS Quattro Finance 2 PLC
2.50%, 01/15/2026(a)

      EUR        313          288,980  

Sealed Air Corp.
4.00%, 12/01/2027(a)

      U.S.$        379          360,410  
          

 

 

  
             649,390  
          

 

 

  

Capital Goods – 0.1%

           

TK Elevator Midco GmbH
4.375%, 07/15/2027(a)

      EUR        181          169,724  
          

 

 

  

Communications - Media – 0.6%

           

Altice Financing SA
3.00%, 01/15/2028(a)

         181          156,380  

CCO Holdings LLC/CCO Holdings Capital Corp.
4.50%, 08/15/2030(a)

      U.S.$        136          121,013  

4.50%, 06/01/2033(a)

         483          406,532  

4.75%, 02/01/2032(a)

         146          128,896  

DISH DBS Corp.
5.75%, 12/01/2028(a)

         322          261,132  

Summer BC Holdco B SARL
5.75%, 10/31/2026(a)

      EUR        181          171,577  

VZ Vendor Financing II BV
2.875%, 01/15/2029(a)

         181          148,931  
          

 

 

  
             1,394,461  
          

 

 

  

Communications - Telecommunications – 0.1%

           

Altice France SA/France
3.375%, 01/15/2028(a)

         181          153,911  

Lorca Telecom Bondco SA
4.00%, 09/18/2027(a)

         181          169,376  
          

 

 

  
             323,287  
          

 

 

  

 

23

     

Principal

Amount

(000)

        U.S. $ Value  

Consumer Cyclical - Automotive – 0.4%

           

Adient Global Holdings Ltd.
3.50%, 08/15/2024(a)

      EUR        181        $            176,740  

Clarios Global LP/Clarios US Finance Co.
4.375%, 05/15/2026(a)

         130          123,151  

Ford Motor Credit Co., LLC
4.95%, 05/28/2027

      U.S.$        397          390,025  

ZF Finance GmbH
3.75%, 09/21/2028(a)

      EUR        200          181,314  
          

 

 

  
             871,230  
          

 

 

  

Consumer Cyclical - Entertainment – 0.4%

           

Carnival Corp.
4.00%, 08/01/2028(a)

      U.S.$        712          620,593  

Royal Caribbean Cruises Ltd.
11.50%, 06/01/2025(a)

         391          417,756  
          

 

 

  
             1,038,349  
          

 

 

  

Consumer Cyclical - Other – 0.1%

           

NH Hotel Group SA
4.00%, 07/02/2026(a)

      EUR        181          171,389  
          

 

 

  

Consumer Non-Cyclical – 0.3%

           

Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC
3.50%, 03/15/2029(a)

      U.S.$        373          323,898  

IQVIA, Inc.
2.25%, 03/15/2029(a)

      EUR        100          88,898  

Nobel Bidco BV
3.125%, 06/15/2028(a)

         181          139,676  

Organon & Co./Organon Foreign Debt Co-Issuer BV
2.875%, 04/30/2028(a)

         100          92,996  
          

 

 

  
             645,468  
          

 

 

  

Services – 0.1%

           

APCOA Parking Holdings GmbH
4.625%, 01/15/2027(a)

         181          151,267  
          

 

 

  

Transportation - Airlines – 0.0%

           

Deutsche Lufthansa AG
3.00%, 05/29/2026(a)

         100          91,318  
          

 

 

  
             5,505,883  
          

 

 

  

Financial Institutions – 0.9%

           

Banking – 0.9%

           

Credit Suisse Group AG
7.50%, 07/17/2023(a)

      U.S.$        560          521,690  

7.50%, 07/17/2023(a) (b)

         255          237,555  

Discover Financial Services
Series D
6.125%, 06/23/2025(b)

         1,087          1,122,317  

 

24

     

Principal

Amount

(000)

        U.S. $ Value  

Intesa Sanpaolo SpA
5.017%, 06/26/2024(a)

      U.S.$        288        $            278,050  
          

 

 

  
             2,159,612  
          

 

 

  

Utility – 0.1%

           

Electric – 0.1%

           

Vistra Corp.
7.00%, 12/15/2026(a) (b)

         218          199,356  
          

 

 

  

Total Corporates - Non-Investment Grade
(cost $8,890,631)

              7,864,851  
          

 

 

  

EMERGING MARKETS - CORPORATE BONDS – 1.3%

           

Industrial – 1.3%

           

Basic – 0.3%

           

Stillwater Mining Co.
4.00%, 11/16/2026(a)

         446          381,330  

Vedanta Resources Finance II PLC
13.875%, 01/21/2024(a)

         377          324,055  

Volcan Cia Minera SAA
4.375%, 02/11/2026(a)

         76          66,206  
          

 

 

  
             771,591  
          

 

 

  

Capital Goods – 0.5%

           

Cemex SAB de CV
3.875%, 07/11/2031(a)

         572          458,422  

Embraer Netherlands Finance BV
5.40%, 02/01/2027

         540          522,963  

6.95%, 01/17/2028(a)

         219          219,274  

Odebrecht Holdco Finance Ltd.
Zero Coupon, 09/10/2058(a)

         477          2,753  
          

 

 

  
             1,203,412  
          

 

 

  

Communications - Media – 0.2%

           

Globo Comunicacao e Participacoes SA
4.875%, 01/22/2030(a)

         417          333,418  
          

 

 

  

Consumer Cyclical - Other – 0.1%

           

Wynn Macau Ltd.
5.625%, 08/26/2028(a)

         330          250,800  
          

 

 

  

Consumer Non-Cyclical – 0.1%

           

Natura Cosmeticos SA
4.125%, 05/03/2028(a)

         283          238,074  

Virgolino de Oliveira Finance SA
10.50%, 01/28/2018(d) (h) (i) (j) (k)

         660          66  
          

 

 

  
             238,140  
          

 

 

  

Services – 0.1%

           

MercadoLibre, Inc.
2.375%, 01/14/2026

         200          180,162  
          

 

 

  
             2,977,523  
          

 

 

  

 

25

     

Principal

Amount

(000)

        U.S. $ Value  

Utility – 0.0%

           

Electric – 0.0%

           

Terraform Global Operating LLC
6.125%, 03/01/2026(d)

      U.S.$        60        $              57,290  
          

 

 

  

Financial Institutions – 0.0%

           

Other Finance – 0.0%

           

OEC Finance Ltd.
5.25%, 12/27/2033(a) (l)

         198          4,560  

7.125%, 12/26/2046(a) (l)

         248          7,562  
          

 

 

  
             12,122  
          

 

 

  

Total Emerging Markets - Corporate Bonds
(cost $4,434,791)

              3,046,935  
          

 

 

  

LOCAL GOVERNMENTS - US MUNICIPAL BONDS – 0.9%

           

United States – 0.9%

           

State of California
Series 2010
7.625%, 03/01/2040

         970          1,317,003  

Tobacco Settlement Finance Authority/WV
Series 2020
3.00%, 06/01/2035

         193          188,054  

University of California
Series 2021-B
3.071%, 05/15/2051

         730          556,091  
          

 

 

  

Total Local Governments - US Municipal Bonds
(cost $2,270,562)

              2,061,148  
          

 

 

  
     Shares           

COMMON STOCKS – 0.4%

           

Financials – 0.4%

           

Insurance – 0.4%

           

Mt. Logan Re Ltd.(h) (i) (j) (m)

         150          133,087  

Mt. Logan Re Ltd. (Preference Shares)(h) (i) (j) (m)

         944          853,693  
          

 

 

  

Total Common Stocks
(cost $945,040)

              986,780  
          

 

 

  
     Principal
Amount
(000)		           

EMERGING MARKETS - SOVEREIGNS – 0.4%

           

Dominican Republic – 0.3%

           

Dominican Republic International Bond
4.875%, 09/23/2032(a)

      U.S.$        763          639,156  
          

 

 

  

Egypt – 0.1%

           

Egypt Government International Bond
5.875%, 02/16/2031(a)

         412          254,410  
          

 

 

  

Total Emerging Markets - Sovereigns
(cost $1,163,252)

              893,566  
          

 

 

  

 

26

     

Principal

Amount

(000)

        U.S. $ Value  

QUASI-SOVEREIGNS – 0.3%

           

Quasi-Sovereign Bonds – 0.3%

           

Mexico – 0.3%

           

Comision Federal de Electricidad
3.348%, 02/09/2031(a)

      U.S.$        653        $            521,502  

4.688%, 05/15/2029(a)

         295          272,101  
          

 

 

  

Total Quasi-Sovereigns
(cost $947,944)

              793,603  
          

 

 

  

GOVERNMENTS - SOVEREIGN BONDS – 0.1%

           

Colombia – 0.1%

           

Colombia Government International Bond
3.125%, 04/15/2031
(cost $373,874)

         375          296,203  
          

 

 

  
     Shares           

SHORT-TERM INVESTMENTS – 2.7%

           

Investment Companies – 2.2%

           

AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 1.72%(n) (o) (p)
(cost $5,127,152)

         5,127,152          5,127,152  
          

 

 

  
     Principal
Amount
(000)		           

Governments - Treasuries – 0.3%

           

Japan – 0.3%

           

Japan Treasury Discount Bill
Series 1083
Zero Coupon, 08/29/2022
(cost $583,177)

      JPY        76,900          576,764  
          

 

 

  

U.S. Treasury Bills – 0.2%

           

U.S. Treasury Bills
Zero Coupon, 12/08/2022
(cost $468,942)

      U.S.$        472          467,478  
          

 

 

  

Total Short-Term Investments
(cost $6,179,271)

              6,171,394  
          

 

 

  

Total Investments – 105.9%
(cost $262,848,579)(q)

              245,797,056  

Other assets less liabilities – (5.9)%

              (13,705,510 ) 
          

 

 

  

Net Assets – 100.0%

            $     232,091,546  
          

 

 

  

 

27

FUTURES

 

Description      Number
of
Contracts		      Expiration
Month		     

Current

Notional

     

Value and

Unrealized
Appreciation/

(Depreciation)

Purchased Contracts

 

Euro-Bund Futures          40          September 2022        $ 6,444,637        $     392,080
U.S. T-Note 2 Yr (CBT) Futures          52          September 2022              10,943,969          (12,251 )
U.S. Ultra Bond (CBT) Futures          151          September 2022          23,905,188          282,112
Sold Contracts

 

10 Yr Japan Bond (OSE) Futures          7          September 2022          7,900,787          (163,062 )
U.S. 10 Yr Ultra Futures          19          September 2022          2,493,750          (114,729 )
                           

 

 

  
                            $ 384,150
                           

 

 

  

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty    Contracts to
Deliver
(000)		       

In Exchange

For

(000)

       

Settlement

Date

       

Unrealized

Appreciation/

(Depreciation)

  
Bank of America, NA      EUR        2,384          USD        2,427          09/29/2022        $ (19,597 ) 
Morgan Stanley Capital Services, Inc.      JPY        77,020          USD        563          09/08/2022          (16,057 ) 
State Street Bank & Trust Co.      EUR        375          USD        382          09/29/2022          (2,632 ) 
                       

 

 

  
                        $     (38,286 ) 
                       

 

 

  

CENTRALLY CLEARED CREDIT DEFAULT SWAPS

 

Description    Fixed
Rate
(Pay)
Receive		    

Payment

Frequency

   

Implied

Credit

Spread at

July 31,

2022

  

Notional

Amount

(000)

     

Market

Value

    

Upfront
Premiums

Paid/

(Received)

    

Unrealized

Appreciation/

(Depreciation)

  
Buy Contracts

 

CDX-NAHY Series 38, 5 Year Index, 06/20/2027*

      (5.00 )%    Quarterly    4.71%     USD        2,998      $     (50,755 )    $     (133,852 )    $     83,097  

 

*

Termination date

CENTRALLY CLEARED INTEREST RATE SWAPS

 

                   Rate Type                                  

Notional

Amount

(000)

     

Termination

Date

     

Payments

made

by the

Fund

     

Payments

received

by the

Fund

     

Payment
Frequency
Paid/

Received

     

Market

Value

       

Upfront

Premiums

Paid/

(Received)

       

Unrealized

Appreciation/

(Depreciation)

  
USD      2,000      12/13/2029      1.764%      3 Month

LIBOR

      Semi-Annual/

Quarterly

      $     122,640        $     —        $     122,640  

 

28

CREDIT DEFAULT SWAPS

 

Swap Counterparty &

Referenced Obligation

  

Fixed

Rate

(Pay)

Receive

    

Payment

Frequency

    

Implied

Credit

Spread at

July 31,

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       4     $ (979)     $ (657)     $ (322)  

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

     3.00       Monthly       7.50          USD       4       (980)       (526)       (454)  

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

     3.00       Monthly       7.50          USD       10       (2,155)       (1,219)       (936)  

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

     3.00       Monthly       7.50          USD       11       (2,547)       (1,280)       (1,267)  

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

     3.00       Monthly       7.50          USD       12       (2,743)       (1,162)       (1,581)  

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

     3.00       Monthly       7.50          USD       22       (4,899)       (2,707)       (2,192)  
Credit Suisse International                

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

     3.00       Monthly       7.50          USD       135       (30,368)       (8,748)       (21,620)  

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

     3.00       Monthly       7.50          USD       1,635       (368,698)       (62,808)       (305,890)  
Deutsche Bank AG                

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

     3.00       Monthly       7.50          USD       3       (784)       (374)       (410)  

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

     3.00       Monthly       7.50          USD       45       (10,188)       (4,976)       (5,212)  

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

     3.00       Monthly       7.50          USD       40       (9,012)       (2,155)       (6,857)  

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

     3.00       Monthly       7.50          USD       157       (35,462)       (16,894)       (18,568)  

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

     3.00       Monthly       7.50          USD       280       (63,088)       (33,123)       (29,965)  

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

     3.00       Monthly       7.50          USD       647              (145,965)             (42,623)       (103,342)  

 

29

Swap Counterparty &

Referenced Obligation

  

Fixed

Rate

(Pay)

Receive

    

Payment

Frequency

    

Implied

Credit

Spread at

July 31,

2022

    

Notional

Amount

(000)

    

Market

Value

    

Upfront

Premiums

Paid/

(Received)

    

Unrealized

Appreciation/

(Depreciation)

  
Goldman Sachs International                

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

     3.00 %      Monthly       7.50%       USD       23     $ (5,094 )    $ (1,902 )    $ (3,192 ) 

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

     3.00       Monthly       7.50          USD       45       (10,188 )      (4,193 )      (5,995 ) 

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

     3.00       Monthly       7.50          USD       45       (10,189 )      (3,875 )      (6,314 ) 

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

     3.00       Monthly       7.50          USD       90       (20,376 )      (9,165 )      (11,211 ) 

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

     3.00       Monthly       7.50          USD       226       (50,941 )      (28,886 )      (22,055 ) 

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

     3.00       Monthly       7.50          USD       190       (42,908 )      (11,852 )      (31,056 ) 

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

     3.00       Monthly       7.50          USD       309       (69,750 )      (30,962 )      (38,788 ) 

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

     3.00       Monthly       7.50          USD       270       (60,933 )      (21,938 )      (38,995 ) 

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

     3.00       Monthly       7.50          USD       660       (148,904 )      (49,391 )      (99,513 ) 
JPMorgan Securities, LLC                

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

     3.00       Monthly       7.50          USD       26       (5,878 )      (2,389 )      (3,489 ) 

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

     3.00       Monthly       7.50          USD       28       (6,270 )      (2,549 )      (3,721 ) 

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

     3.00       Monthly       7.50          USD       114       (25,666 )      (10,404 )      (15,262 ) 

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

     3.00       Monthly       7.50          USD       325       (73,277 )      (37,442 )      (35,835 ) 
Morgan Stanley & Co. International PLC                

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

     3.00       Monthly       7.50          USD       695       (156,741 )      (96,514 )      (60,227 ) 
           

 

 

    

 

 

    

 

 

  
            $     (1,364,983 )    $     (490,714 )    $     (874,269 ) 
           

 

 

    

 

 

    

 

 

  

 

*

Termination date

 

30

TOTAL RETURN SWAPS

 

Counterparty &

Referenced Obligation

   

Rate Paid/

Received

     

Payment

Frequency

     

Current

Notional

(000)

     

Maturity

Date

     

Unrealized

Appreciation/

(Depreciation)

  
Pay Total Return on Reference Obligation                  
JPMorgan Chase Bank, NA
                  

iBoxx $ Liquid High Yield Index

      1 Day SOFR        Maturity        USD        13,831        09/20/2022      $     (709,914)  

 

(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 July 31, 2022, the aggregate market value of these securities amounted to $94,779,923 or 40.8% 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 July 31, 2022.

(d)

Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 1.08% of net assets as of July 31, 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
Series 2019-FTR3, Class B2
6.424%, 09/25/2047

    01/07/2020    $     732,198      $     584,319      0.25%

GSF
Series 2021-1, Class A1
1.433%, 08/15/2026

    02/25/2021      269,491        258,564      0.11%

GSF
Series 2021-1, Class A2
2.435%, 08/15/2026

    02/25/2021      636,135        588,192      0.25%

GSF
Series 2021-1, Class AS
2.638%, 08/15/2026

    02/25/2021      25,564        23,164      0.01%

HFX Funding Issuer
Series 2017-1A, Class A3
3.647%, 03/15/2035

    11/19/2020      756,820        662,158      0.29%

JPMorgan Madison Avenue Securities Trust
Series 2014-CH1, Class M2
6.509%, 11/25/2024

    11/06/2015      20,793        19,923      0.01%

PMT Credit Risk Transfer Trust
Series 2020-1R, Class A
4.65%, 02/27/2023

    02/11/2020      183,062        180,496      0.08%

Terraform Global Operating LLC
6.125%, 03/01/2026

    02/08/2018      60,000        57,290      0.02%

Virgolino de Oliveira Finance SA
10.50%, 01/28/2018

    01/24/2014      365,927        66      0.00%

Wells Fargo Credit Risk Transfer Securities Trust
Series 2015-WF1, Class 1M2
7.509%, 11/25/2025

    09/28/2015      128,274        114,567      0.05%

Wells Fargo Credit Risk Transfer Securities Trust
Series 2015-WF1, Class 2M2
7.759%, 11/25/2025

    09/28/2015      30,405        28,131      0.01%

 

(e)

IO - Interest Only.

(f)

Inverse interest only security.

 

31

(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.

(i)

Non-income producing security.

(j)

Fair valued by the Adviser.

(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 July 31, 2022.

(m)

Restricted and illiquid security.

 

Restricted & Illiquid Securities   

Acquisition

Date

    Cost     

Market

Value

     

Percentage

of

Net Assets

Mt. Logan Re Ltd.

    01/20/2022    $ 0      $ 133,087      0.06%

Mt. Logan Re Ltd.
(Preference Shares)

    12/30/2014          945,040            853,693      0.37%

 

(n)

Affiliated investments.

(o)

To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618.

(p)

The rate shown represents the 7-day yield as of period end.

(q)

As of July 31, 2022, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $2,181,420 and gross unrealized depreciation of investments was $(19,746,849)resulting in net unrealized depreciation of $(17,565,429).

Currency Abbreviations:

EUR – Euro

JPY – Japanese Yen

USD – United States Dollar

Glossary:

ABS – Asset-Backed Securities

ARMs – Adjustable Rate Mortgages

CBT – Chicago Board of Trade

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

CDX-NAHY – North American High Yield Credit Default Swap Index

CLO – Collateralized Loan Obligations

CMBS – Commercial Mortgage-Backed

LIBOR – London Interbank Offered Rate

OSE – Osaka Securities Exchange

REIT – Real Estate Investment Trust

REMICs – Real Estate Mortgage Investment Conduits

SOFR – Secured Overnight Financing Rate

TBA – To Be Announced

 

32

AB Bond Fund, Inc.

AB Total Return Bond Portfolio

July 31, 2022 (unaudited)

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). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

  •  

Level 1 - quoted prices in active markets for identical investments

  •  

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

  •  

Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.

Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.

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, by pricing vendors, 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.

 

33

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.

The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of July 31, 2022:

 

Investments in Securities:

    Level 1     Level 2     Level 3      Total  
Assets:          
Corporates - Investment Grade    $ —     $ 69,877,414     $ —      $ 69,877,414  
Mortgage Pass-Throughs      —       46,177,139       —        46,177,139  
Collateralized Mortgage Obligations      —       36,999,785       —        36,999,785  
Governments - Treasuries      —       22,241,209       —        22,241,209  
Commercial Mortgage-Backed Securities      —       20,873,725       869,920        21,743,645  
Asset-Backed Securities      —       17,819,975       —        17,819,975  
Collateralized Loan Obligations      —       8,823,409       —        8,823,409  
Corporates - Non-Investment Grade      —       7,864,851       —        7,864,851  
Emerging Markets - Corporate Bonds      —       3,046,869       66        3,046,935  
Local Governments - US Municipal Bonds      —       2,061,148       —        2,061,148  
Common Stocks      —       —       986,780        986,780  
Emerging Markets - Sovereigns      —       893,566       —        893,566  
Quasi-Sovereigns      —       793,603       —        793,603  
Governments - Sovereign Bonds      —       296,203       —        296,203  
Short-Term Investments:          

Investment Companies

      5,127,152       —       —        5,127,152  

Governments - Treasuries

      —       576,764       —        576,764  

U.S. Treasury Bills

      —       467,478       —        467,478  
  

 

 

    

 

 

    

 

 

     

 

 

  
Total Investments in Securities      5,127,152       238,813,138       1,856,766        245,797,056  
Other Financial Instruments(a):          
Assets:          
Futures      674,192       —       —        674,192  
Centrally Cleared Interest Rate Swaps      —       122,640       —        122,640  
Liabilities:          
Futures      (290,042 )      —       —        (290,042 ) 
Forward Currency Exchange Contracts      —       (38,286 )      —        (38,286 ) 
Centrally Cleared Credit Default Swaps      —       (50,755 )      —        (50,755 ) 
Credit Default Swaps      —       (1,364,983 )      —        (1,364,983 ) 
Total Return Swaps      —       (709,914 )      —        (709,914 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  
Total    $     5,511,302     $     236,771,840     $     1,856,766      $     244,139,908  
  

 

 

    

 

 

    

 

 

     

 

 

  

 

(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.

 

34

A summary of the Fund’s transactions in AB mutual funds for the nine months ended July 31, 2022 is as follows:

 

Fund   

Market Value

10/31/2021

(000)

     

Purchases

at Cost

(000)

     

Sales

Proceeds

(000)

     

Market Value

07/31/2022

(000)

     

Dividend

Income

(000)

  
Government Money Market Portfolio    $     5,229      $     101,348      $     101,450      $     5,127      $     9  

 

35