AB Taxable Multi-Sector Income Shares

Portfolio of Investments

July 31, 2022 (unaudited)

 

      Principal
Amount
(000)		        U.S. $ Value  

CORPORATES - INVESTMENT GRADE – 66.5%

 

Industrial – 46.9%

 

Basic – 3.4%

 

Air Products and Chemicals, Inc.
1.50%, 10/15/2025

    $ 1,600        $         1,521,808  

DuPont de Nemours, Inc.
4.205%, 11/15/2023

      2,200          2,221,340  

Eastman Chemical Co.
3.80%, 03/15/2025

      2,000          1,991,600  

EI du Pont de Nemours and Co.
1.70%, 07/15/2025

      1,265          1,208,961  

Georgia-Pacific LLC
0.625%, 05/15/2024(a)

      1,750          1,658,702  

Glencore Funding LLC
3.00%, 10/27/2022(a)

      225          224,478  

LyondellBasell Industries NV
5.75%, 04/15/2024

      1,140          1,168,500  
       

 

 

  
          9,995,389  
       

 

 

  

Capital Goods – 4.7%

 

Caterpillar Financial Services Corp.
1.668% (SOFR + 0.27%), 09/13/2024(b)

      1,000          980,820  

CNH Industrial Capital LLC
1.95%, 07/02/2023

      2,000          1,960,360  

Eaton Corp.
2.75%, 11/02/2022

      1,265          1,263,229  

General Dynamics Corp.
3.25%, 04/01/2025

      1,665          1,669,878  

Illinois Tool Works, Inc.
3.50%, 03/01/2024

      1,550          1,557,146  

John Deere Capital Corp.
1.651% (SOFR + 0.12%), 07/10/2023(b)

      1,000          995,790  

Parker-Hannifin Corp.
2.70%, 06/14/2024

      1,000          985,520  

Republic Services, Inc.
2.50%, 08/15/2024

      1,000          979,730  

Trane Technologies Luxembourg Finance SA
3.55%, 11/01/2024

      2,000          1,989,560  

Waste Management, Inc.
2.40%, 05/15/2023

      1,630          1,618,557  
       

 

 

  
          14,000,590  
       

 

 

  

Communications - Media – 1.4%

 

Omnicom Group, Inc./Omnicom Capital, Inc.
3.65%, 11/01/2024

      2,000          1,995,400  

TWDC Enterprises 18 Corp.
2.35%, 12/01/2022

      250          249,410  

Walt Disney Co. (The)
1.65%, 09/01/2022

      500          499,535  

3.00%, 09/15/2022

      1,500          1,500,315  
       

 

 

  
          4,244,660  
       

 

 

  

 

1

      Principal
Amount
(000)		        U.S. $ Value  

Communications - Telecommunications – 1.7%

 

Rogers Communications, Inc.
3.00%, 03/15/2023

    $ 2,000        $         1,994,940  

T-Mobile USA, Inc.
2.625%, 04/15/2026

      1,402          1,321,343  

Verizon Communications, Inc.
2.355%, 03/15/2032

      2,169          1,872,584  
       

 

 

  
          5,188,867  
       

 

 

  

Consumer Cyclical - Automotive – 1.2%

 

BMW Finance NV
2.25%, 08/12/2022(a)

      675          674,879  

General Motors Financial Co., Inc.
2.833% (SOFR + 1.30%), 04/07/2025(b)

      1,500          1,472,625  

5.10%, 01/17/2024

      1,500          1,523,700  
       

 

 

  
          3,671,204  
       

 

 

  

Consumer Cyclical - Entertainment – 0.6%

 

YMCA of Greater New York
2.303%, 08/01/2026

      1,765          1,641,221  
       

 

 

  

Consumer Cyclical - Other – 3.6%

 

DR Horton, Inc.
2.50%, 10/15/2024

      2,875          2,778,141  

Las Vegas Sands Corp.
3.20%, 08/08/2024

      2,885          2,801,220  

Lennar Corp.
4.50%, 04/30/2024

      3,025          3,035,799  

Marriott International, Inc./MD
3.75%, 03/15/2025

      1,075          1,069,131  

PulteGroup, Inc.
5.50%, 03/01/2026

      1,000          1,033,920  
       

 

 

  
          10,718,211  
       

 

 

  

Consumer Cyclical - Restaurants – 0.3%

 

McDonald’s Corp.
3.375%, 05/26/2025

      1,000          1,001,650  
       

 

 

  

Consumer Cyclical - Retailers – 3.1%

 

AutoZone, Inc.
3.25%, 04/15/2025

      2,000          1,976,140  

Costco Wholesale Corp.
2.75%, 05/18/2024

      1,000          997,770  

Dollar Tree, Inc.
4.00%, 05/15/2025

      2,000          2,013,600  

NIKE, Inc.
2.40%, 03/27/2025

      2,250          2,219,332  

VF Corp.
2.40%, 04/23/2025

      1,670          1,619,850  

Walmart, Inc.
3.30%, 04/22/2024

      500          502,305  
       

 

 

  
          9,328,997  
       

 

 

  

Consumer Non-Cyclical – 9.7%

 

AbbVie, Inc.
2.30%, 11/21/2022

      1,325          1,322,536  

2.90%, 11/06/2022

      1,000          999,010  

 

2

      Principal
Amount
(000)		        U.S. $ Value  

AmerisourceBergen Corp.
0.737%, 03/15/2023

    $ 701        $ 688,445  

3.25%, 03/01/2025

      1,350          1,335,906  

Baxter International, Inc.
0.868%, 12/01/2023

      2,300          2,218,557  

Baylor Scott & White Holdings
Series 2021
0.827%, 11/15/2025

      2,275          2,071,479  

Cardinal Health, Inc.
3.079%, 06/15/2024

      1,000          987,940  

3.20%, 03/15/2023

      1,000          998,550  

CommonSpirit Health
2.76%, 10/01/2024

      1,000          975,120  

CVS Health Corp.
2.75%, 12/01/2022

      2,175          2,171,128  

DH Europe Finance II Sarl
2.05%, 11/15/2022

      1,850          1,843,433  

Gilead Sciences, Inc.
3.65%, 03/01/2026

      1,000          1,003,310  

3.70%, 04/01/2024

      1,300          1,310,660  

Hershey Co. (The)
0.90%, 06/01/2025

      1,300          1,219,023  

Newell Brands, Inc.
4.45%, 04/01/2026

      613          605,534  

4.875%, 06/01/2025

      183          184,182  

Philip Morris International, Inc.
3.375%, 08/11/2025

      2,000          1,990,980  

Shire Acquisitions Investments Ireland DAC
2.875%, 09/23/2023

      640          634,291  

Tyson Foods, Inc.
3.95%, 08/15/2024

      3,000          3,013,200  

UPMC
Series D-1
3.60%, 04/03/2025

      2,250          2,262,217  

Zoetis, Inc.
3.25%, 02/01/2023

      1,000          997,920  
       

 

 

  
                28,833,421  
       

 

 

  

Energy – 6.3%

 

BP Capital Markets America, Inc.
3.194%, 04/06/2025

      2,000          2,000,000  

Canadian Natural Resources Ltd.
3.80%, 04/15/2024

      3,000          2,988,270  

Chevron Corp.
1.141%, 05/11/2023

      1,665          1,639,908  

Continental Resources, Inc./OK
3.80%, 06/01/2024

      3,000          2,970,060  

EQT Corp.
6.625%, 02/01/2025

      1,500          1,562,820  

Exxon Mobil Corp.
1.571%, 04/15/2023

      1,655          1,639,228  

2.992%, 03/19/2025

      2,000          1,991,460  

Ovintiv Exploration Inc.
5.375%, 01/01/2026

      2,200          2,242,812  

 

3

      Principal
Amount
(000)		        U.S. $ Value  

Phillips 66
0.90%, 02/15/2024

    $ 1,900        $ 1,828,427  
       

 

 

  
          18,862,985  
       

 

 

  

Services – 4.3%

 

Alibaba Group Holding Ltd.
3.60%, 11/28/2024

      1,000          991,960  

Amazon.com, Inc.
2.40%, 02/22/2023

      875          871,570  

2.50%, 11/29/2022

      1,305          1,304,713  

Booking Holdings, Inc.
3.65%, 03/15/2025

      1,000          1,011,620  

eBay, Inc.
2.75%, 01/30/2023

      1,500          1,495,005  

Enterprise Community Loan Fund, Inc.
Series 2018
3.685%, 11/01/2023

      1,180          1,181,263  

Mastercard, Inc.
2.00%, 03/03/2025

      2,250          2,196,135  

Moody’s Corp.
2.625%, 01/15/2023

      750          747,487  

4.875%, 02/15/2024

      500          509,890  

Verisk Analytics, Inc.
4.00%, 06/15/2025

      2,500          2,513,075  
       

 

 

  
          12,822,718  
       

 

 

  

Technology – 6.6%

 

Alphabet, Inc.
3.375%, 02/25/2024

      1,500          1,512,900  

Apple, Inc.
2.40%, 05/03/2023

      1,250          1,243,450  

2.85%, 05/11/2024

      250          249,838  

3.00%, 02/09/2024

      1,400          1,400,560  

Autodesk, Inc.
4.375%, 06/15/2025

      800          816,072  

Fidelity National Information Services, Inc.
0.375%, 03/01/2023

      2,250          2,208,982  

Fiserv, Inc.
2.75%, 07/01/2024

      2,250          2,217,172  

Hewlett Packard Enterprise Co.
1.45%, 04/01/2024

      1,715          1,658,611  

2.25%, 04/01/2023

      500          496,255  

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

      1,751          1,487,947  

Microchip Technology, Inc.
4.25%, 09/01/2025

      1,000          995,070  

Oracle Corp.
2.50%, 04/01/2025

      3,100          2,995,654  

QUALCOMM, Inc.
3.45%, 05/20/2025

      1,800          1,811,088  

Salesforce, Inc.
3.25%, 04/11/2023

      625          625,244  
       

 

 

  
          19,718,843  
       

 

 

  
              140,028,756  
       

 

 

  

 

4

      Principal
Amount
(000)		        U.S. $ Value  

Financial Institutions – 17.2%

 

Banking – 12.3%

 

American Express Co.
3.40%, 02/27/2023

    $ 1,300        $ 1,303,120  

Bank of America Corp.
1.938% (BSBY 3 Month + 0.43%), 05/28/2024(b)

      1,000          981,920  

3.004%, 12/20/2023

      615          613,450  

3.093%, 10/01/2025

      1,250          1,217,375  

3.458%, 03/15/2025

      500          494,060  

Barclays PLC
1.007%, 12/10/2024

      1,500          1,428,075  

3.932%, 05/07/2025

      1,000          984,430  

Capital One Financial Corp.
2.636%, 03/03/2026

      1,000          952,000  

3.90%, 01/29/2024

      500          500,540  

Citigroup, Inc.
1.678%, 05/15/2024

      1,000          984,030  

4.14%, 05/24/2025

      2,000          2,002,260  

Danske Bank A/S
2.781% (LIBOR 3 Month + 1.06%), 09/12/2023(a) (b)

      2,250          2,245,995  

HSBC Holdings PLC
1.645%, 04/18/2026

      2,210          2,039,653  

ING Groep NV
2.531% (SOFR + 1.01%), 04/01/2027(b)

      1,350          1,287,576  

JPMorgan Chase & Co.
1.514%, 06/01/2024

      1,800          1,764,342  

1.804% (SOFR + 0.54%), 06/01/2025(b)

      1,300          1,267,721  

3.797%, 07/23/2024

      725          723,499  

KeyBank NA/Cleveland OH
0.423%, 01/03/2024

      2,000          1,973,180  

Mitsubishi UFJ Financial Group, Inc.
1.412%, 07/17/2025

      2,300          2,145,440  

Mizuho Financial Group, Inc.
1.241%, 07/10/2024

      2,000          1,946,240  

Morgan Stanley
2.72%, 07/22/2025

      1,000          974,570  

3.737%, 04/24/2024

      2,000          1,996,880  

Nationwide Building Society
4.363%, 08/01/2024(a)

      200          199,560  

Natwest Group PLC
4.269%, 03/22/2025

      2,000          1,982,320  

Toronto-Dominion Bank (The)
1.735% (SOFR + 0.35%), 09/10/2024(b)

      2,000          1,960,240  

Wells Fargo & Co.
2.188%, 04/30/2026

      1,850          1,756,668  

2.406%, 10/30/2025

      1,150          1,106,266  
       

 

 

  
                36,831,410  
       

 

 

  

Brokerage – 1.0%

 

Charles Schwab Corp. (The)
2.009% (SOFR + 0.50%), 03/18/2024(b)

      3,000          2,979,150  
       

 

 

  

 

5

      Principal
Amount
(000)		        U.S. $ Value  

Finance – 1.5%

 

AerCap Ireland Capital DAC/AerCap Global Aviation Trust
1.65%, 10/29/2024

    $ 1,000        $ 929,900  

2.45%, 10/29/2026

      1,000          892,310  

Air Lease Corp.
2.30%, 02/01/2025

      1,000          947,700  

3.875%, 07/03/2023

      300          297,735  

Aircastle Ltd.
4.125%, 05/01/2024

      1,500          1,468,980  
       

 

 

  
          4,536,625  
       

 

 

  

REITs – 2.4%

 

American Tower Corp.
3.375%, 05/15/2024

      2,100          2,082,276  

GLP Capital LP/GLP Financing II, Inc.
5.375%, 04/15/2026

      3,000          2,979,840  

Host Hotels & Resorts LP
Series E
4.00%, 06/15/2025

      1,002          984,535  

Simon Property Group LP
3.50%, 09/01/2025

      1,000          994,390  
       

 

 

  
          7,041,041  
       

 

 

  
          51,388,226  
       

 

 

  

Utility – 2.4%

 

Electric – 0.8%

 

WEC Energy Group, Inc.
0.80%, 03/15/2024

      2,400          2,294,232  
       

 

 

  

Natural Gas – 0.7%

 

Southern Co. Gas Capital Corp.
2.45%, 10/01/2023

      2,200          2,169,706  
       

 

 

  

Other Utility – 0.9%

 

American Water Capital Corp.
3.40%, 03/01/2025

      1,135          1,136,249  

3.85%, 03/01/2024

      1,650          1,657,441  
       

 

 

  
          2,793,690  
       

 

 

  
          7,257,628  
       

 

 

  

Total Corporates - Investment Grade
(cost $206,234,049)

 

            198,674,610  
       

 

 

  

LOCAL GOVERNMENTS - US MUNICIPAL BONDS – 13.6%

 

United States – 13.6%

 

Antonio B Won Pat International Airport Authority
Series 2021-A
2.499%, 10/01/2025

      740          701,401  

Central Texas Turnpike System
Series 2020-B
1.98%, 08/15/2042

      1,000          999,853  

Chicago O’Hare International Airport
Series 2020-D
1.168%, 01/01/2024

      2,000          1,936,623  

City & County of Denver CO. Airport System Revenue
Series 2020-C
1.115%, 11/15/2024

      750          714,993  

 

6

      Principal
Amount
(000)		        U.S. $ Value  

City of Glendale AZ

(City of Glendale AZ COP)
Series 2021
0.897%, 07/01/2024

    $ 3,000        $         2,854,451  

City of Houston TX Airport System Revenue
Series 2020-C
1.272%, 07/01/2024

      1,000          960,838  

City of Jacksonville FL

(City of Jacksonville FL Lease)
Series 2020-C
0.594%, 10/01/2023

      1,500          1,452,937  

City of New York NY
Series 2021-D
0.59%, 08/01/2023

      1,625          1,582,782  

Series 2021
0.982%, 08/01/2025

      380          355,300  

Colorado Health Facilities Authority

(Sanford Obligated Group)
Series 2019-B
2.237%, 11/01/2022

      100          99,811  

2.396%, 11/01/2023

      1,050          1,034,832  

County of Broward FL Airport System Revenue
Series 2019-C
2.384%, 10/01/2026

      1,000          958,416  

County of Riverside CA
Series 2020
2.363%, 02/15/2023

      200          198,971  

Florida Development Finance Corp.

(Brightline Trains Florida LLC)
Series 2022
2.90%, 12/01/2056

      1,000          999,437  

Florida Municipal Power Agency

(Florida Municipal Power Agency All-Requirements Power Supply Project Revenue)
Series 2021
1.425%, 10/01/2026

      1,000          920,069  

Golden State Tobacco Securitization Corp.
Series 2021
1.85%, 06/01/2031

      360          353,942  

Inland Empire Tobacco Securitization Corp.
Series 2019
3.678%, 06/01/2038

      775          741,098  

Kansas Development Finance Authority

(State of Kansas Department of Administration Lease)
BAM Series 2021-K
0.407%, 05/01/2023

      1,415          1,384,207  

Massachusetts Development Finance Agency

(Berklee College of Music, Inc.)
Series 2020
1.494%, 10/01/2023

      385          374,662  

Metropolitan Pier & Exposition Authority
Series 2022
3.00%, 06/15/2024

      1,000          1,000,296  

Metropolitan Transportation Authority
Series 2019-A
5.00%, 11/15/2048

      2,000          2,103,053  

 

7

      Principal
Amount
(000)		        U.S. $ Value  

Michigan Finance Authority

(Michigan Finance Authority School Loan Revolving Fund)
Series 2019
2.366%, 09/01/2049

    $ 1,000        $ 990,939  

Municipal Electric Authority of Georgia
Series 2021
1.897%, 01/01/2027

      385          352,613  

New Jersey Economic Development Authority

(New Jersey Economic Development Authority State Lease)
Series 2019-H
5.25%, 09/01/2022(a)

      1,000          1,002,867  

Series 2021-G
5.25%, 09/01/2023(a)

      1,440          1,491,430  

New Jersey Turnpike Authority
Series 2021-B
0.638%, 01/01/2024

      1,000          962,797  

0.897%, 01/01/2025

      2,000          1,878,408  

New York State Urban Development Corp.

(State of New York Pers Income Tax)
Series 2020-F
0.87%, 03/15/2025

      1,400          1,305,488  

Ohio Turnpike & Infrastructure Commission
Series 2020
1.746%, 02/15/2023

      700          694,307  

Pennsylvania Turnpike Commission
Series 2019
2.556%, 12/01/2025

      760          729,931  

Port of Portland OR Airport Revenue
Series 2020-T
1.00%, 07/01/2023

      1,200          1,175,314  

Reedy Creek Improvement District
Series 2020-A
1.549%, 06/01/2023

      700          685,400  

State Board of Administration Finance Corp.
Series 2020-A
1.258%, 07/01/2025

      1,010          951,081  

State of Connecticut
Series 2021-A
0.309%, 06/01/2023

      150          146,476  

0.508%, 06/01/2024

      1,000          951,628  

Series 2022-A
3.292%, 06/15/2025

      1,000          1,000,253  

State of Hawaii Airports System Revenue
Series 2020-E
1.392%, 07/01/2025

      1,000          934,247  

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

      887          865,623  

University of California
Series 2022-S
5.00%, 05/15/2024

      2,500          2,650,202  
       

 

 

  

Total Local Governments - US Municipal Bonds
(cost $42,111,574)

 

              40,496,976  
       

 

 

  

 

8

      Principal
Amount
(000)		        U.S. $ Value  

GOVERNMENTS - TREASURIES – 8.6%

 

United States – 8.6%

 

U.S. Treasury Notes
1.00%, 12/15/2024
(cost $26,821,631)

    $ 26,800        $       25,652,625  
       

 

 

  

ASSET-BACKED SECURITIES – 3.6%

 

Autos - Fixed Rate – 2.9%

 

Carmax Auto Owner Trust
Series 2021-1, Class C
0.94%, 12/15/2026

      500          465,700  

Carvana Auto Receivables Trust
Series 2021-N1, Class C
1.30%, 01/10/2028

      792          768,097  

CPS Auto Receivables Trust
Series 2021-A, Class C
0.83%, 09/15/2026(a)

      500          490,689  

Series 2021-B, Class C
1.23%, 03/15/2027(a)

      1,000          963,957  

DT Auto Owner Trust
Series 2021-1A, Class C
0.84%, 10/15/2026(a)

      500          477,874  

Exeter Automobile Receivables Trust
Series 2021-1A, Class C
0.74%, 01/15/2026

      2,000          1,959,048  

Foursight Capital Automobile Receivables Trust
Series 2021-1, Class C
1.02%, 09/15/2026(a)

      850          807,453  

JPMorgan Chase Bank NA - CACLN
Series 2021-1, Class B
0.875%, 09/25/2028(a)

      992          962,399  

Westlake Automobile Receivables Trust
Series 2021-1A, Class C
0.95%, 03/16/2026(a)

      2,000          1,922,832  
       

 

 

  
          8,818,049  
       

 

 

  

Other ABS - Fixed Rate – 0.7%

 

Affirm Asset Securitization Trust
Series 2021-A, Class A
0.88%, 08/15/2025(a)

      800          791,822  

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

      450          438,963  

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

      790          695,624  

Upstart Securitization Trust
Series 2021-1, Class A
0.87%, 03/20/2031(a)

      128          126,486  
       

 

 

  
          2,052,895  
       

 

 

  

Total Asset-Backed Securities
(cost $11,301,056)

 

        10,870,944  
       

 

 

  

 

9

      Principal
Amount
(000)		        U.S. $ Value  

COMMERCIAL MORTGAGE-BACKED SECURITIES – 1.0%

 

Non-Agency Floating Rate CMBS – 0.7%

 

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

    $ 1,000        $ 940,875  

DBWF Mortgage Trust
Series 2018-GLKS, Class A
3.15% (LIBOR 1 Month + 1.03%), 12/19/2030(a) (b)

      1,000          972,933  

Invitation Homes Trust
Series 2018-SFR4, Class A
3.256% (LIBOR 1 Month + 1.10%), 01/17/2038(a) (b)

      317          314,071  
       

 

 

  
          2,227,879  
       

 

 

  

Non-Agency Fixed Rate CMBS – 0.3%

 

GS Mortgage Securities Trust
Series 2013-G1, Class A1
2.059%, 04/10/2031(a)

      45          45,009  

JPMorgan Chase Commercial Mortgage Securities Trust
Series 2012-LC9, Class AS
3.353%, 12/15/2047(a)

      750          746,337  

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

      30          29,468  
       

 

 

  
          820,814  
       

 

 

  

Total Commercial Mortgage-Backed Securities
(cost $3,123,761)

 

                  3,048,693  
       

 

 

  

COLLATERALIZED MORTGAGE OBLIGATIONS – 0.4%

 

Risk Share Floating Rate – 0.4%

 

Bellemeade Re Ltd.
Series 2019-3A, Class M1B
3.859% (LIBOR 1 Month + 1.60%), 07/25/2029(a) (b)

      133          132,860  

Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
Series 2014-DN3, Class M3
6.259% (LIBOR 1 Month + 4.00%), 08/25/2024(b)

      38          38,325  

Series 2015-DNA1, Class M3
5.559% (LIBOR 1 Month + 3.30%), 10/25/2027(b)

      54          54,607  

Series 2019-DNA3, Class M2
4.309% (LIBOR 1 Month + 2.05%), 07/25/2049(a) (b)

      37          37,368  

 

10

      Principal
Amount
(000)		        U.S. $ Value  

Federal National Mortgage Association Connecticut Avenue Securities
Series 2014-C01, Class M2
6.659% (LIBOR 1 Month + 4.40%), 01/25/2024(b)

    $ 132        $ 135,863  

Series 2014-C03, Class 2M2
5.159% (LIBOR 1 Month + 2.90%), 07/25/2024(b)

      58          58,289  

Series 2016-C01, Class 1M2
9.009% (LIBOR 1 Month + 6.75%), 08/25/2028(b)

      231          242,597  

Series 2016-C02, Class 1M2
8.259% (LIBOR 1 Month + 6.00%), 09/25/2028(b)

      214          223,207  

Series 2016-C03, Class 1M2
7.559% (LIBOR 1 Month + 5.30%), 10/25/2028(b)

      121          125,840  
       

 

 

  
                  1,048,956  
       

 

 

  

Agency Fixed Rate – 0.0%

 

Federal Home Loan Mortgage Corp. REMICs
Series 4029, Class LD
1.75%, 01/15/2027

      73          71,656  

Series 4459, Class CA
5.00%, 12/15/2034

      21          21,952  
       

 

 

  
          93,608  
       

 

 

  

Total Collateralized Mortgage Obligations
(cost $1,160,588)

 

        1,142,564  
       

 

 

  

CORPORATES - NON-INVESTMENT GRADE – 0.3%

 

Industrial – 0.3%

 

Consumer Cyclical - Automotive – 0.3%

 

Ford Motor Credit Co. LLC
4.95%, 05/28/2027
(cost $779,097)

      779          765,313  
       

 

 

  

 

11

      Shares        U.S. $ Value  

SHORT-TERM INVESTMENTS – 5.2%

 

Investment Companies – 5.2%

 

AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 1.72%(c) (d) (e)
(cost $15,531,098)

      15,531,098        $ 15,531,098  
       

 

 

  

Total Investments – 99.2%
(cost $307,062,854)(f)

           296,182,823  

Other assets less liabilities – 0.8%

           2,415,991  
       

 

 

  

Net Assets – 100.0%

                                $     298,598,814  
       

 

 

  

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      44,000      01/31/2024       
 1 Day
SOFR		  
 		        1.031%          Annual        $     (1,167,898 )       $     —        $     (1,167,898 ) 
USD      20,000      03/31/2027        1.478%         
 1 Day
SOFR		  
 		        Annual          820,754          —          820,754  
                         

 

 

       

 

 

       

 

 

  
                          $ (347,144 )       $ —        $ (347,144 ) 
                         

 

 

       

 

 

       

 

 

  

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        28      $ (6,270 )    $ (2,608 )    $ (3,662 ) 

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

      3.00     Monthly    7.50        USD        51        (11,560 )      (6,602 )      (4,958 ) 

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

      3.00     Monthly    7.50        USD        156        (35,267 )      (14,443 )      (20,824 ) 

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

      2.00     Monthly    7.50        USD        1,682            (178,625 )      15,038           (193,663 ) 
Credit Suisse International

 

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

      3.00     Monthly    7.50        USD        16        (3,526 )      (1,480 )      (2,046 ) 

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

      3.00     Monthly    7.50        USD        195        (43,887 )          (18,444 )      (25,443 ) 

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

      3.00     Monthly    7.50        USD        291        (65,635 )      (26,875 )      (38,760 ) 

 

12

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        253      $ (57,015 )    $ (22,660 )    $ (34,355 ) 
JPMorgan Securities, LLC

 

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

      3.00       Monthly        7.50          USD        926        (208,857 )      (132,440 )      (76,417 ) 
               

 

 

    

 

 

    

 

 

  
                $     (610,642 )    $     (210,514 )    $     (400,128 ) 
               

 

 

    

 

 

    

 

 

  

 

*

Termination date

 

(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 $19,882,878 or 6.7% of net assets.

(b)

Floating Rate Security. Stated interest/floor/ceiling rate was in effect at July 31, 2022.

(c)

Affiliated investments.

(d)

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

(e)

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

(f)

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 $66,158 and gross unrealized depreciation of investments was $(11,964,733), resulting in net unrealized depreciation of $(11,898,575).

Glossary:

ABS – Asset-Backed Securities

BAM – Build American Mutual

BSBY – Bloomberg Short-Term Bank Yield Index

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

CMBS – Commercial Mortgage-Backed Securities

COP – Certificate of Participation

LIBOR – London Interbank Offered Rate

REIT – Real Estate Investment Trust

REMICs – Real Estate Mortgage Investment Conduits

SOFR – Secured Overnight Financing Rate

 

13

AB Taxable Multi-Sector Income Shares    

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.

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.

 

14

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    $ —      $ 198,674,610     $ —      $ 198,674,610  
Local Governments - US Municipal Bonds      —        40,496,976       —        40,496,976  
Governments - Treasuries      —        25,652,625       —        25,652,625  
Asset-Backed Securities      —        10,870,944       —        10,870,944  
Commercial Mortgage-Backed Securities      —        3,048,693       —        3,048,693  
Collateralized Mortgage Obligations      —        1,142,564       —        1,142,564  
Corporates - Non-Investment Grade      —        765,313       —        765,313  
Short-Term Investments      15,531,098        —       —        15,531,098  
  

 

 

     

 

 

    

 

 

     

 

 

  
Total Investments in Securities      15,531,098        280,651,725       —        296,182,823  
Other Financial Instruments(a):           
Assets:

 

Centrally Cleared Interest Rate Swaps      —        820,754       —        820,754  
Liabilities:

 

Centrally Cleared Interest Rate Swaps      —        (1,167,898 )      —        (1,167,898 ) 
Credit Default Swaps      —        (610,642 )      —        (610,642 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  
Total    $     15,531,098      $     279,693,939     $                 —      $     295,225,037  
  

 

 

     

 

 

    

 

 

     

 

 

  

 

(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.

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

 

Fund   

Market Value

04/30/2022

(000)

     

Purchases

at Cost

(000)

     

Sales

Proceeds

(000)

     

Market Value

07/31/2022

(000)

     

Dividend

Income

(000)

  
Government Money Market Portfolio    $     5,198      $     42,575      $     32,242      $     15,531      $     22  

 

15