Ab Bond Fund NPORTP AB Total Return Bond Portfolio (Jul 2024 report)

AB Total Return Bond Portfolio

Portfolio of Investments

July 31, 2024 (unaudited)


	Principal Amount (000)		U.S. $ Value

CORPORATES - INVESTMENT GRADE – 28.4%
Financial Institutions – 13.8%
Banking – 11.1%
Ally Financial, Inc. 6.992%, 06/13/2029	U.S.$	270	$	283,854
American Express Co. 5.098%, 02/16/2028		436		438,176
Banco Bilbao Vizcaya Argentaria SA 7.883%, 11/15/2034		200		224,100
Banco de Credito del Peru SA 3.125%, 07/01/2030^(a)		635		615,664
Banco Santander SA 4.175%, 03/24/2028		400		389,652
9.625%, 05/21/2033^(b)		200		228,276
Bank of America Corp. 2.687%, 04/22/2032		207		179,196
2.972%, 02/04/2033		535		463,444
Bank of Ireland Group PLC 5.601%, 03/20/2030^(a)		212		215,201
6.253%, 09/16/2026^(a)		215		217,010
Bank of New York Mellon Corp. (The) 5.606%, 07/21/2039		133		134,605
Barclays PLC 6.224%, 05/09/2034		232		244,076
BNP Paribas SA 5.497%, 05/20/2030^(a)		436		441,908
BPCE SA 6.508%, 01/18/2035^(a)		443		455,559
CaixaBank SA 6.037%, 06/15/2035^(a)		200		206,372
6.684%, 09/13/2027^(a)		235		241,810
Capital One Financial Corp. 5.468%, 02/01/2029		118		119,160
6.377%, 06/08/2034		319		334,226
Citigroup, Inc. 2.561%, 05/01/2032		645		550,004
Series W 4.00%, 12/10/2025^(b)		329		315,162
Credit Agricole SA 6.251%, 01/10/2035^(a)		359		371,220
Deutsche Bank AG/New York NY 3.961%, 11/26/2025		265		263,452
7.146%, 07/13/2027		298		307,873
Discover Bank Series B 5.974%, 08/09/2028		250		252,757
Goldman Sachs Group, Inc. (The) 2.615%, 04/22/2032		500		429,905
2.65%, 10/21/2032		34		28,927
Series P 8.461% (CME Term SOFR 3 Month + 3.14%), 09/03/2024^{(b) (c)}		43		43,061
Series V 4.125%, 11/10/2026^(b)		268		250,556


	Principal Amount (000)			U.S. $ Value

HSBC Holdings PLC 4.583%, 06/19/2029	U.S.$		224	$	220,364
7.39%, 11/03/2028			315		337,015
7.399%, 11/13/2034			277		307,617
Intesa Sanpaolo SpA 7.20%, 11/28/2033^(a)			219		240,966
JPMorgan Chase & Co. 2.963%, 01/25/2033			619		539,087
Lloyds Banking Group PLC 4.976%, 08/11/2033			304		298,036
5.462%, 01/05/2028			361		364,476
7.50%, 09/27/2025^(b)			381		382,467
Mizuho Financial Group, Inc. 5.376%, 05/26/2030			208		211,553
Morgan Stanley 0.406%, 10/29/2027		EUR	309		313,932
Series G 2.239%, 07/21/2032		U.S.$	287		239,700
Nationwide Building Society 2.972%, 02/16/2028^(a)			398		377,650
NatWest Group PLC 3.032%, 11/28/2035			204		176,478
8.125%, 11/10/2033^(b)			249		257,593
PNC Financial Services Group, Inc. (The) Series R 8.648% (CME Term SOFR 3 Month + 3.30%), 09/01/2024^{(b) (c)}			62		62,106
Santander Holdings USA, Inc. 6.174%, 01/09/2030			80		82,276
6.499%, 03/09/2029			28		28,914
Santander UK Group Holdings PLC 6.833%, 11/21/2026			607		617,968
Skandinaviska Enskilda Banken AB 5.125%, 03/05/2027^(a)			207		209,298
Societe Generale SA 2.797%, 01/19/2028^(a)			537		503,674
Standard Chartered PLC 3.971%, 03/30/2026^(a)			268		265,224
6.00%, 07/26/2025^{(a) (b)}			478		474,616
7.027% (CME Term SOFR 3 Month + 1.51%), 01/30/2027^{(a) (b) (c)}			400		378,936
Sumitomo Mitsui Financial Group, Inc. 5.316%, 07/09/2029			263		268,552
Swedbank AB Series NC5 5.625%, 09/17/2024^{(a) (b)}			400		399,632
UBS Group AG 6.373%, 07/15/2026^(a)			369		372,273
7.00%, 02/19/2025^{(a) (b)}			312		311,863
UniCredit SpA 1.982%, 06/03/2027^(a)			205		193,157
2.569%, 09/22/2026^(a)			391		378,027
3.127%, 06/03/2032^(a)			356		308,791


	Principal Amount (000)		U.S. $ Value

Wells Fargo & Co. 3.35%, 03/02/2033	U.S.$	598	$	530,528
5.574%, 07/25/2029		98		100,322
Series BB 3.90%, 03/15/2026^(b)		273		260,518

				18,258,815


Brokerage – 0.3%
Charles Schwab Corp. (The) Series I 4.00%, 06/01/2026^(b)		469		437,891


Finance – 0.7%
Aircastle Ltd. 5.95%, 02/15/2029^(a)		62		63,099
Aviation Capital Group LLC 1.95%, 01/30/2026^(a)		449		426,680
1.95%, 09/20/2026^(a)		133		124,258
3.50%, 11/01/2027^(a)		90		85,422
4.125%, 08/01/2025^(a)		5		4,926
4.875%, 10/01/2025^(a)		153		151,774
5.50%, 12/15/2024^(a)		294		293,168

				1,149,327


Insurance – 1.1%
Athene Global Funding 1.985%, 08/19/2028^(a)		142		125,728
2.55%, 11/19/2030^(a)		34		29,079
2.717%, 01/07/2029^(a)		53		48,100
5.583%, 01/09/2029^(a)		20		20,395
5.62%, 05/08/2026^(a)		250		252,253
MetLife Capital Trust IV 7.875%, 12/15/2037^(a)		699		757,429
Principal Life Global Funding II 5.10%, 01/25/2029^(a)		286		289,223
Swiss Re Finance Luxembourg SA 5.00%, 04/02/2049^(a)		200		194,034
Swiss Re Subordinated Finance PLC 5.698%, 04/05/2035^(a)		200		201,644

				1,917,885


REITs – 0.6%
American Tower Corp. 2.10%, 06/15/2030		147		126,354
5.20%, 02/15/2029		141		142,895
Crown Castle, Inc. 5.60%, 06/01/2029		100		102,733


	Principal Amount (000)		U.S. $ Value

GLP Capital LP/GLP Financing II, Inc. 3.25%, 01/15/2032	U.S.$	310	$	266,234
4.00%, 01/15/2031		114		104,330
Trust Fibra Uno 5.25%, 01/30/2026^(a)		252		247,590

				990,136

				22,754,054


Industrial – 13.0%
Basic – 0.6%
Freeport Indonesia PT 4.763%, 04/14/2027^(a)		390		385,004
Glencore Funding LLC 5.338%, 04/04/2027^(a)		322		325,040
6.50%, 10/06/2033^(a)		94		100,474
Nexa Resources SA 6.75%, 04/09/2034^(a)		200		202,830

				1,013,348


Capital Goods – 1.2%
Boeing Co. (The) 3.25%, 02/01/2028		54		50,359
3.625%, 02/01/2031		66		59,257
5.15%, 05/01/2030		61		60,066
6.298%, 05/01/2029^(a)		90		93,067
6.528%, 05/01/2034^(a)		133		139,613
CNH Industrial Capital LLC 5.10%, 04/20/2029		266		269,038
Embraer Netherlands Finance BV 5.40%, 02/01/2027		540		538,315
Flowserve Corp. 2.80%, 01/15/2032		425		359,915
Regal Rexnord Corp. 6.05%, 02/15/2026		401		404,228

				1,973,858


Communications - Media – 0.8%
Charter Communications Operating LLC/Charter Communications Operating Capital 2.25%, 01/15/2029		97		84,731
5.125%, 07/01/2049		198		156,184
6.10%, 06/01/2029		183		186,953
Discovery Communications LLC 5.20%, 09/20/2047		178		137,154
5.30%, 05/15/2049		81		63,244
Prosus NV 3.061%, 07/13/2031^(a)		361		299,179
3.257%, 01/19/2027^(a)		219		205,586
Tencent Holdings Ltd. 3.24%, 06/03/2050^(a)		328		221,794

				1,354,825


Communications - Telecommunications – 0.1%
AT&T, Inc. 4.50%, 05/15/2035		109		102,753


	Principal Amount (000)		U.S. $ Value

Consumer Cyclical - Automotive – 1.4%
Ford Motor Co. 3.25%, 02/12/2032	U.S.$	536	$	450,342
General Motors Financial Co., Inc. 5.75%, 02/08/2031		442		452,462
Harley-Davidson Financial Services, Inc. 3.05%, 02/14/2027^(a)		501		475,629
6.50%, 03/10/2028^(a)		20		20,662
Hyundai Capital America 5.25%, 01/08/2027^(a)		103		103,656
5.30%, 03/19/2027^(a)		82		82,629
6.10%, 09/21/2028^(a)		234		243,503
Nissan Motor Co., Ltd. 4.345%, 09/17/2027^(a)		522		503,333

				2,332,216


Consumer Cyclical - Entertainment – 0.1%
Hasbro, Inc. 6.05%, 05/14/2034		104		106,240


Consumer Cyclical - Other – 0.6%
Las Vegas Sands Corp. 3.90%, 08/08/2029		270		250,771
Marriott International, Inc./MD 4.90%, 04/15/2029		384		386,300
MDC Holdings, Inc. 6.00%, 01/15/2043		346		361,065

				998,136


Consumer Non-Cyclical – 2.5%
Altria Group, Inc. 3.40%, 05/06/2030		750		693,682
BAT Capital Corp. 2.259%, 03/25/2028		864		787,009
Cargill, Inc. 5.125%, 10/11/2032^(a)		248		251,906
CVS Health Corp. 5.70%, 06/01/2034		297		303,077
General Mills, Inc. 4.70%, 01/30/2027		123		122,798
Imperial Brands Finance PLC 5.875%, 07/01/2034^(a)		413		414,635
JBS USA Holding Lux SARL/JBS USA Food Co./JBS Lux Co. SARL 6.75%, 03/15/2034^(a)		212		227,896
Ochsner LSU Health System of North Louisiana Series 2021 2.51%, 05/15/2031		520		378,082
Philip Morris International, Inc. 5.375%, 02/15/2033		469		478,183
Pilgrim’s Pride Corp. 6.875%, 05/15/2034		349		378,644
Tyson Foods, Inc. 5.70%, 03/15/2034		143		146,342

				4,182,254


	Principal Amount (000)			U.S. $ Value

Energy – 2.8%
Continental Resources, Inc./OK 2.875%, 04/01/2032^(a)		U.S.$	550	$	456,819
5.75%, 01/15/2031^(a)			237		238,088
Energy Transfer LP 5.60%, 09/01/2034			414		420,930
Marathon Oil Corp. 6.80%, 03/15/2032			650		720,298
Occidental Petroleum Corp. 5.20%, 08/01/2029			128		129,219
5.375%, 01/01/2032			136		137,590
ONEOK, Inc. 6.05%, 09/01/2033			183		192,545
Ovintiv, Inc. 6.25%, 07/15/2033			92		96,193
6.50%, 02/01/2038			43		45,057
Plains All American Pipeline LP/PAA Finance Corp. 5.70%, 09/15/2034			414		420,537
Saudi Arabian Oil Co. 5.75%, 07/17/2054^(a)			412		400,670
Suncor Energy, Inc. 6.80%, 05/15/2038			534		593,525
Var Energi ASA 7.50%, 01/15/2028^(a)			314		334,350
8.00%, 11/15/2032^(a)			402		459,779

					4,645,600


Other Industrial – 0.1%
LKQ Corp. 6.25%, 06/15/2033			145		150,400


Services – 0.3%
Booking Holdings, Inc. 4.50%, 11/15/2031		EUR	320		372,062
Moody’s Corp. 5.00%, 08/05/2034		U.S.$	138		137,999

					510,061


Technology – 1.8%
Apple, Inc. 4.10%, 08/08/2062			350		293,454
Broadcom, Inc. 4.926%, 05/15/2037^(a)			547		527,686
5.05%, 07/12/2027			157		158,435
Entegris, Inc. 4.75%, 04/15/2029^(a)			395		381,092
Honeywell International, Inc. 4.125%, 11/02/2034		EUR	410		464,688
Infor, Inc. 1.75%, 07/15/2025^(a)		U.S.$	279		268,716


	Principal Amount (000)		U.S. $ Value

NXP BV/NXP Funding LLC 5.55%, 12/01/2028	U.S.$	277	$	284,296
NXP BV/NXP Funding LLC/NXP USA, Inc. 3.40%, 05/01/2030		298		276,076
TSMC Arizona Corp. 3.875%, 04/22/2027		241		236,180

				2,890,623


Transportation - Airlines – 0.2%
Delta Air Lines, Inc./SkyMiles IP Ltd. 4.75%, 10/20/2028^(a)		401		396,336


Transportation - Railroads – 0.1%
Lima Metro Line 2 Finance Ltd. 5.875%, 07/05/2034^(a)		148		146,543


Transportation - Services – 0.4%
ENA Master Trust 4.00%, 05/19/2048^(a)		457		325,900
Ryder System, Inc. 5.375%, 03/15/2029		347		354,353

				680,253

				21,483,446


Utility – 1.6%
Electric – 1.6%
AES Panama Generation Holdings SRL 4.375%, 05/31/2030^(a)		264		233,373
Alexander Funding Trust II 7.467%, 07/31/2028^(a)		184		196,823
American Electric Power Co., Inc. 6.95%, 12/15/2054		153		155,231
Duke Energy Carolinas NC Storm Funding LLC Series A-2 2.617%, 07/01/2041		306		243,423
Electricite de France SA 9.125%, 03/15/2033^{(a) (b)}		283		313,768
Enel Finance International NV 5.50%, 06/26/2034^(a)		413		413,752
Engie Energia Chile SA 3.40%, 01/28/2030^(a)		349		308,647
NextEra Energy Capital Holdings, Inc. 6.70%, 09/01/2054		56		56,987
Niagara Mohawk Power Corp. 5.29%, 01/17/2034^(a)		161		159,960
NRG Energy, Inc. 7.00%, 03/15/2033^(a)		362		389,038
Pacific Gas and Electric Co. 5.55%, 05/15/2029		81		82,682
Vistra Operations Co., LLC 6.95%, 10/15/2033^(a)		134		145,896

				2,699,580


Total Corporates - Investment Grade (cost $47,928,220)				46,937,080


	Principal Amount (000)		U.S. $ Value

MORTGAGE PASS-THROUGHS – 22.2%
Agency Fixed Rate 30-Year – 21.3%
Federal Home Loan Mortgage Corp. Series 2019 3.50%, 10/01/2049	U.S.$	154	$	141,996
3.50%, 11/01/2049		209		192,205
Series 2022 2.00%, 03/01/2052		1,733		1,406,968
2.50%, 04/01/2052		2,056		1,745,598
3.00%, 03/01/2052		1,154		1,018,669
Federal Home Loan Mortgage Corp. Gold Series 2005 5.50%, 01/01/2035		61		62,781
Series 2007 5.50%, 07/01/2035		9		9,600
Series 2016 4.00%, 02/01/2046		450		435,274
Series 2017 4.00%, 07/01/2044		303		292,697
Series 2018 4.50%, 03/01/2048		115		112,654
4.50%, 10/01/2048		285		280,328
4.50%, 11/01/2048		361		354,269
5.00%, 11/01/2048		148		148,887
Federal National Mortgage Association Series 2003 5.50%, 04/01/2033		18		18,418
5.50%, 07/01/2033		39		40,393
Series 2004 5.50%, 04/01/2034		5		5,024
5.50%, 05/01/2034		12		12,150
5.50%, 11/01/2034		18		18,032
5.50%, 01/01/2035		170		174,089
Series 2005 5.50%, 02/01/2035		24		24,939
Series 2007 5.50%, 08/01/2037		121		124,229
Series 2010 4.00%, 12/01/2040		185		178,799
Series 2012 3.50%, 02/01/2042		119		111,536
3.50%, 11/01/2042		1,276		1,199,134
3.50%, 01/01/2043		214		200,617
Series 2013 3.50%, 04/01/2043		748		702,142
4.00%, 10/01/2043		442		425,604
Series 2016 3.50%, 01/01/2047		335		309,629
Series 2018 4.50%, 09/01/2048		615		604,069
Series 2019 3.50%, 08/01/2049		495		455,488
3.50%, 09/01/2049		221		203,794
3.50%, 11/01/2049		444		408,606


	Principal Amount (000)		U.S. $ Value

Series 2021 2.00%, 07/01/2051	U.S.$	1,853	$	1,499,348
2.00%, 12/01/2051		1,873		1,510,580
2.50%, 01/01/2052		582		494,410
Series 2022 2.50%, 03/01/2052		1,286		1,092,709
2.50%, 04/01/2052		1,301		1,104,484
2.50%, 05/01/2052		1,745		1,481,294
3.00%, 02/01/2052		1,511		1,333,193
3.00%, 03/01/2052		1,950		1,720,947
Government National Mortgage Association Series 2016 3.00%, 04/20/2046		63		57,132
3.00%, 05/20/2046		152		137,786
Series 2023 5.50%, 04/20/2053		1,038		1,040,618
Series 2024 4.50%, 08/15/2054, TBA		994		962,961
5.00%, 08/15/2054, TBA		2,900		2,867,200
6.00%, 08/15/2054, TBA		2,807		2,841,173
Uniform Mortgage-Backed Security Series 2024 3.00%, 08/13/2054, TBA		968		845,147
5.50%, 08/15/2054, TBA		3,163		3,168,437
6.00%, 08/15/2054, TBA		1,614		1,637,705

				35,213,742


Agency Fixed Rate 15-Year – 0.9%
Federal National Mortgage Association Series 2016 2.50%, 08/01/2031		78		73,618
2.50%, 11/01/2031		341		322,721
2.50%, 12/01/2031		457		432,393
2.50%, 01/01/2032		110		104,215
Series 2017 2.50%, 02/01/2032		514		487,397

				1,420,344


Agency ARMs – 0.0%
Federal Home Loan Mortgage Corp. Series 2006 6.25% (RFUCCT1Y + 2.00%), 01/01/2037^(c)		7		7,556


Total Mortgage Pass-Throughs (cost $38,723,440)				36,641,642


GOVERNMENTS - TREASURIES – 18.9%
United States – 18.9%
U.S. Treasury Bonds 1.25%, 05/15/2050		358		182,711
3.25%, 05/15/2042		517		440,962
3.375%, 08/15/2042		992		861,285
3.625%, 05/15/2053		481		421,050
3.875%, 02/15/2043		3,078		2,856,473
3.875%, 05/15/2043		213		196,828


	Principal Amount (000)		U.S. $ Value

4.00%, 11/15/2042^(d)	U.S.$	2,061	$	1,950,070
4.125%, 08/15/2053		119		113,943
4.375%, 08/15/2043		286		283,805
4.50%, 02/15/2044		270		271,318
4.625%, 05/15/2044		4,190		4,283,170
4.625%, 05/15/2054		1,675		1,746,500
4.75%, 11/15/2043		638		663,000
4.75%, 11/15/2053		497		528,295
U.S. Treasury Notes 4.125%, 03/31/2029		3,157		3,171,698
4.25%, 02/28/2029		5,050		5,100,784
4.375%, 08/31/2028		1,227		1,241,853
4.375%, 11/30/2028		1,783		1,807,415
4.875%, 10/31/2028		4,850		5,006,764


Total Governments - Treasuries (cost $31,346,119)				31,127,924


ASSET-BACKED SECURITIES – 9.7%
Other ABS - Fixed Rate – 5.0%
AB Issuer LLC Series 2021-1, Class A2 3.734%, 07/30/2051^(a)		726		654,438
ACHV ABS Trust Series 2023-4CP, Class B 7.24%, 11/25/2030^(a)		437		439,166
Affirm Asset Securitization Trust Series 2021-Z2, Class A 1.17%, 11/16/2026^(a)		16		15,554
Series 2022-X1, Class A 1.75%, 02/15/2027^(a)		8		7,752
Atalaya Equipment Leasing Trust Series 2021-1A, Class C 2.69%, 06/15/2028^(a)		600		593,272
Cajun Global LLC Series 2021-1, Class A2 3.931%, 11/20/2051^(a)		137		126,227
College Ave Student Loans LLC Series 2021-C, Class C 3.06%, 07/26/2055^(a)		206		185,712
Conn’s Receivables Funding LLC Series 2024-A, Class A 7.05%, 01/16/2029^(a)		61		60,339
Dext ABS LLC Series 2021-1, Class C 2.29%, 09/15/2028^(a)		519		496,812
Series 2021-1, Class D 2.81%, 03/15/2029^(a)		260		243,337
Series 2023-1, Class A2 5.99%, 03/15/2032^(a)		363		363,509
Diamond Issuer LLC Series 2021-1A, Class B 2.701%, 11/20/2051^(a)		566		494,147


	Principal Amount (000)		U.S. $ Value

GCI Funding I LLC Series 2021-1, Class A 2.38%, 06/18/2046^(a)	U.S.$	221	$	199,714
Granite Park Equipment Leasing LLC Series 2023-1A, Class A3 6.46%, 09/20/2032^(a)		206		212,275
Hardee’s Funding LLC Series 2018-1A, Class A23 5.71%, 06/20/2048^(a)		321		310,761
Series 2020-1A, Class A2 3.981%, 12/20/2050^(a)		965		892,574
MVW LLC Series 2021-2A, Class C 2.23%, 05/20/2039^(a)		375		348,463
Neighborly Issuer LLC Series 2022-1A, Class A2 3.695%, 01/30/2052^(a)		358		320,761
Series 2023-1A, Class A2 7.308%, 01/30/2053^(a)		389		396,220
Nelnet Student Loan Trust Series 2021-BA, Class B 2.68%, 04/20/2062^(a)		220		186,360
Pagaya AI Debt Trust Series 2024-1, Class A 6.66%, 07/15/2031^(a)		258		260,370
Series 2024-2, Class A 6.319%, 08/15/2031^(a)		167		167,614
Series 2024-3, Class A 6.258%, 10/15/2031^(a)		305		306,027
Prosper Marketplace Issuance Trust Series 2024-1A, Class A 6.12%, 08/15/2029^(a)		288		287,895
SEB Funding LLC Series 2021-1A, Class A2 4.969%, 01/30/2052^(a)		690		667,689

				8,236,988


Autos - Fixed Rate – 4.5%
ACM Auto Trust Series 2024-1A, Class A 7.71%, 01/21/2031^(a)		228		229,062
Arivo Acceptance Auto Loan Receivables Trust Series 2024-1A, Class A 6.46%, 04/17/2028^(a)		116		116,304
Avis Budget Rental Car Funding AESOP LLC Series 2023-3A, Class A 5.44%, 02/22/2028^(a)		475		478,743
Carvana Auto Receivables Trust Series 2021-N3, Class C 1.02%, 06/12/2028		54		51,355
Series 2021-N4, Class D 2.30%, 09/11/2028		132		127,524


	Principal Amount (000)		U.S. $ Value

CPS Auto Receivables Trust Series 2021-C, Class D 1.69%, 06/15/2027^(a)	U.S.$	397	$	387,850
Enterprise Fleet Financing LLC Series 2023-2, Class A2 5.56%, 04/22/2030^(a)		395		396,612
FHF Trust Series 2021-2A, Class A 0.83%, 12/15/2026^(a)		45		44,524
Series 2023-1A, Class A2 6.57%, 06/15/2028^(a)		133		134,150
Flagship Credit Auto Trust Series 2019-3, Class E 3.84%, 12/15/2026^(a)		960		946,591
Series 2020-1, Class E 3.52%, 06/15/2027^(a)		1,000		970,052
Ford Credit Auto Owner Trust Series 2021-1, Class D 2.31%, 10/17/2033^(a)		542		509,021
Hertz Vehicle Financing III LLC Series 2022-1A, Class C 2.63%, 06/25/2026^(a)		450		437,092
Lendbuzz Securitization Trust Series 2023-1A, Class A2 6.92%, 08/15/2028^(a)		411		415,326
Series 2023-2A, Class A2 7.09%, 10/16/2028^(a)		180		182,431
Lobel Automobile Receivables Trust Series 2023-2, Class A 7.59%, 04/16/2029^(a)		286		287,136
Octane Receivables Trust Series 2021-2A, Class C 2.53%, 05/21/2029^(a)		541		515,743
Prestige Auto Receivables Trust Series 2024-1A, Class A1 5.648%, 04/15/2025^(a)		71		70,854
Research-Driven Pagaya Motor Trust Series 2024-1A, Class A 7.09%, 06/25/2032^(a)		165		166,138
Santander Bank Auto Credit-Linked Notes Series 2022-A, Class B 5.281%, 05/15/2032^(a)		100		99,944
Santander Drive Auto Receivables Trust Series 2023-3, Class B 5.61%, 07/17/2028		228		229,103
Tesla Auto Lease Trust Series 2024-A, Class A3 5.30%, 06/21/2027^(a)		141		141,470
Tricolor Auto Securitization Trust Series 2024-2A, Class A 6.36%, 12/15/2027^(a)		174		174,188
United Auto Credit Securitization Trust Series 2024-1, Class A 6.17%, 08/10/2026^(a)		54		54,141


	Principal Amount (000)		U.S. $ Value

US Bank NA Series 2023-1, Class B 6.789%, 08/25/2032^(a)	U.S.$	282	$	284,512

				7,449,866


Credit Cards - Fixed Rate – 0.2%
Brex Commercial Charge Card Master Trust Series 2024-1, Class A1 6.05%, 07/15/2027^(a)		251		252,609


Total Asset-Backed Securities (cost $16,493,238)				15,939,463


COLLATERALIZED MORTGAGE OBLIGATIONS – 6.4%
Risk Share Floating Rate – 5.2%
Bellemeade Re Ltd. Series 2022-1, Class M1C 9.047% (CME Term SOFR + 3.70%), 01/26/2032^{(a) (c)}		672		688,384
Series 2023-1, Class M1A 7.547% (CME Term SOFR + 2.20%), 10/25/2033^{(a) (c)}		254		256,651
Connecticut Avenue Securities Trust Series 2019-R01, Class 2M2 7.912% (CME Term SOFR + 2.56%), 07/25/2031^{(a) (c)}		5		4,938
Series 2020-R01, Class 1B1 8.712% (CME Term SOFR + 3.36%), 01/25/2040^{(a) (c)}		500		519,283
Series 2022-R01, Class 1B1 8.497% (CME Term SOFR + 3.15%), 12/25/2041^{(a) (c)}		625		646,878
Series 2022-R02, Class 2M1 6.547% (CME Term SOFR + 1.20%), 01/25/2042^{(a) (c)}		227		227,296
Series 2023-R02, Class 1M1 7.647% (CME Term SOFR + 2.30%), 01/25/2043^{(a) (c)}		183		187,714
Series 2023-R07, Class 2M1 7.298% (CME Term SOFR + 1.95%), 09/25/2043^{(a) (c)}		350		352,305
Series 2024-R02, Class 1M1 6.447% (CME Term SOFR + 1.10%), 02/25/2044^{(a) (c)}		153		152,554
Series 2024-R04, Class 1M1 6.447% (CME Term SOFR + 1.10%), 05/25/2044^{(a) (c)}		266		266,551
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2015-HQA2, Class M3 10.262% (CME Term SOFR + 4.91%), 05/25/2028^(c)		112		116,174


	Principal Amount (000)		U.S. $ Value

Series 2019-FTR3, Class B2 10.25% (CME Term SOFR + 4.91%), 09/25/2047^{(a) (c)}	U.S.$	700	$	745,867
Series 2021-HQA4, Class M2 7.697% (CME Term SOFR + 2.35%), 12/25/2041^{(a) (c)}		513		518,744
Series 2022-DNA2, Class M2 9.097% (CME Term SOFR + 3.75%), 02/25/2042^{(a) (c)}		605		636,108
Series 2024-DNA1, Class M1 6.697% (CME Term SOFR + 1.35%), 02/25/2044^{(a) (c)}		324		324,795
Series 2024-HQA1, Class M1 6.597% (CME Term SOFR + 1.25%), 03/25/2044^{(a) (c)}		328		328,408
Federal National Mortgage Association Connecticut Avenue Securities Series 2016-C02, Class 1B 17.712% (CME Term SOFR + 12.36%), 09/25/2028^(c)		149		171,693
Series 2016-C03, Class 1B 17.212% (CME Term SOFR + 11.86%), 10/25/2028^(c)		99		114,025
Series 2016-C06, Class 1B 14.712% (CME Term SOFR + 9.36%), 04/25/2029^(c)		376		425,455
Series 2016-C07, Class 2B 14.962% (CME Term SOFR + 9.61%), 05/25/2029^(c)		378		432,473
Series 2017-C04, Class 2M2 8.312% (CME Term SOFR + 2.96%), 11/25/2029^(c)		160		164,737
Series 2021-R02, Class 2B1 8.647% (CME Term SOFR + 3.30%), 11/25/2041^{(a) (c)}		441		456,542
Home Re Ltd. Series 2023-1, Class M1A 7.497% (CME Term SOFR + 2.15%), 10/25/2033^{(a) (c)}		259		260,425
JPMorgan Madison Avenue Securities Trust Series 2014-CH1, Class M2 9.712% (CME Term SOFR + 4.36%), 11/25/2024^{(a) (c)}		16		17,199
PMT Credit Risk Transfer Trust Series 2019-2R, Class A 9.212% (CME Term SOFR 1 Month + 3.86%), 05/30/2025^{(a) (c)}		212		212,103
Series 2019-3R, Class A 9.164% (CME Term SOFR + 3.81%), 11/27/2031^{(a) (c)}		80		80,585
Series 2020-1R, Class A 8.814% (CME Term SOFR + 3.46%), 02/25/2025^{(a) (c)}		135		134,611


	Principal Amount (000)		U.S. $ Value

Wells Fargo Credit Risk Transfer Securities Trust Series 2015-WF1, Class 1M2 10.712% (CME Term SOFR + 5.36%), 11/25/2025^{(a) (c)}	U.S.$	102	$	105,122
Series 2015-WF1, Class 2M2 10.962% (CME Term SOFR + 5.61%), 11/25/2025^{(a) (c)}		23		24,103

				8,571,723


Agency Floating Rate – 0.4%
Federal Home Loan Mortgage Corp. REMICs Series 4719, Class JS 0.698% (6.04% - CME Term SOFR), 09/15/2047^{(c) (e)}		514		63,569
Series 4981, Class HS 0.638% (5.99% - CME Term SOFR), 06/25/2050^{(c) (e)}		1,533		154,911
Federal National Mortgage Association REMICs Series 2015-90, Class SL 0.688% (6.04% - CME Term SOFR), 12/25/2045^{(c) (e)}		677		85,551
Series 2016-77, Class DS 0.538% (5.89% - CME Term SOFR), 10/25/2046^{(c) (e)}		553		65,248
Series 2017-26, Class TS 0.488% (5.84% - CME Term SOFR), 04/25/2047^{(c) (e)}		702		93,055
Series 2017-62, Class AS 0.688% (6.04% - CME Term SOFR), 08/25/2047^{(c) (e)}		597		76,466
Series 2017-97, Class LS 0.738% (6.09% - CME Term SOFR), 12/25/2047^{(c) (e)}		701		100,977
Government National Mortgage Association Series 2017-65, Class ST 0.69% (6.04% - CME Term SOFR 1 Month), 04/20/2047^{(c) (e)}		680		81,832

				721,609


Non-Agency Fixed Rate – 0.3%
Alternative Loan Trust Series 2006-24CB, Class A16 5.75%, 08/25/2036		175		93,624
Series 2006-J1, Class 1A13 5.50%, 02/25/2036		72		49,249
CHL Mortgage Pass-Through Trust Series 2006-13, Class 1A19 6.25%, 09/25/2036		46		20,139
JPMorgan Alternative Loan Trust Series 2006-A3, Class 2A1 4.819%, 07/25/2036		334		263,567


	Principal Amount (000)		U.S. $ Value

Structured Asset Securities Corp. Mortgage Pass-Through Certificates Series 2002-3, Class B3 6.50%, 03/25/2032	U.S.$	452	$	90,154

				516,733


Non-Agency Floating Rate – 0.3%
Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR4, Class A2 5.844% (CME Term SOFR 1 Month + 0.49%), 12/25/2036^(c)		410		131,463
HomeBanc Mortgage Trust Series 2005-1, Class A1 5.964% (CME Term SOFR 1 Month + 0.61%), 03/25/2035^(c)		61		46,549
Impac Secured Assets Corp. Series 2005-2, Class A2D 6.324% (CME Term SOFR 1 Month + 0.97%), 03/25/2036^(c)		110		87,555
JPMorgan Chase Bank, NA Series 2019-CL1, Class M3 7.564% (CME Term SOFR 1 Month + 2.21%), 04/25/2047^{(a) (c)}		80		79,548
Residential Accredit Loans, Inc. Trust Series 2007-QS4, Class 2A4 5.804% (CME Term SOFR 1 Month + 0.45%), 03/25/2037^(c)		489		103,334

				448,449


Agency Fixed Rate – 0.2%
Federal National Mortgage Association Grantor Trust Series 2004-T5, Class AB4 4.358%, 05/28/2035		49		47,611
Federal National Mortgage Association REMICs Series 2016-31, Class IO 5.00%, 06/25/2046^(f)		2,053		293,587

				341,198


Total Collateralized Mortgage Obligations (cost $11,252,872)				10,599,712


COMMERCIAL MORTGAGE-BACKED SECURITIES – 5.3%
Non-Agency Fixed Rate CMBS – 3.5%
BAMLL Commercial Mortgage Securities Trust Series 2013-WBRK, Class D 3.534%, 03/10/2037^(a)		960		782,644
Commercial Mortgage Trust Series 2014-LC17, Class B 4.49%, 10/10/2047		800		793,611


	Principal Amount (000)		U.S. $ Value

GS Mortgage Securities Trust Series 2011-GC5, Class D 5.15%, 08/10/2044^(a)	U.S.$	252	$	119,507
GSF Series 2021-1, Class A1 1.433%, 08/15/2026^(g)		265		256,481
Series 2021-1, Class A2 2.435%, 08/15/2026^(g)		719		695,960
Series 2021-1, Class AS 2.638%, 08/15/2026^(g)		25		23,659
HFX Funding Issuer Series 2017-1A, Class A3 3.647%, 03/15/2035^(g)		615		609,603
JPMBB Commercial Mortgage Securities Trust Series 2014-C24, Class C 4.369%, 11/15/2047		890		723,990
JPMorgan Chase Commercial Mortgage Securities Trust Series 2012-C6, Class D 4.964%, 05/15/2045		389		376,040
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ 5.452%, 09/15/2039		77		25,507
Wells Fargo Commercial Mortgage Trust Series 2016-LC24, Class XA 1.60%, 10/15/2049^(f)		7,122		185,610
Series 2016-LC25, Class C 4.331%, 12/15/2059		545		484,651
Series 2016-NXS6, Class C 4.391%, 11/15/2049		600		551,009
WF-RBS Commercial Mortgage Trust Series 2013-C11, Class B 3.714%, 03/15/2045		138		132,150

				5,760,422


Non-Agency Floating Rate CMBS – 1.8%
BAMLL Commercial Mortgage Securities Trust Series 2017-SCH, Class AF 6.376% (CME Term SOFR 1 Month + 1.05%), 11/15/2033^{(a) (c)}		1,330		1,327,085
BBCMS Mortgage Trust Series 2020-BID, Class A 7.584% (CME Term SOFR 1 Month + 2.25%), 10/15/2037^{(a) (c)}		692		688,540
BX Commercial Mortgage Trust Series 2019-IMC, Class D 7.275% (CME Term SOFR 1 Month + 1.95%), 04/15/2034^{(a) (c)}		142		138,177
Series 2019-IMC, Class E 7.525% (CME Term SOFR 1 Month + 2.20%), 04/15/2034^{(a) (c)}		566		552,722


	Principal Amount (000)		U.S. $ Value

Federal Home Loan Mortgage Corp. Series 2021-MN1, Class M1 7.347% (CME Term SOFR + 2.00%), 01/25/2051^{(a) (c)}	U.S.$	60	$	59,931

Natixis Commercial Mortgage Securities Trust Series 2019-MILE, Class A 6.908% (CME Term SOFR 1 Month + 1.58%), 07/15/2036^{(a) (c)}		322		300,523

				3,066,978


Agency CMBS – 0.0%
Government National Mortgage Association Series 2006-39, Class IO 0.116%, 07/16/2046^(f)		145		1


Total Commercial Mortgage-Backed Securities (cost $9,621,013)				8,827,401


INFLATION-LINKED SECURITIES – 1.5%
United States – 1.5%
U.S. Treasury Inflation Index 0.25%, 07/15/2029 (TIPS) (cost $2,357,824)		2,602		2,417,413


EMERGING MARKETS - CORPORATE BONDS – 1.4%
Industrial – 1.2%
Basic – 0.5%
Braskem Netherlands Finance BV 4.50%, 01/10/2028^(a)		438		404,800
Stillwater Mining Co. 4.00%, 11/16/2026^(a)		446		412,968
Volcan Cia Minera SAA 4.375%, 02/11/2026^(a)		76		62,225

				879,993


Communications - Media – 0.2%
Globo Comunicacao e Participacoes SA 4.875%, 01/22/2030^(a)		417		375,561


Consumer Cyclical - Other – 0.2%
Wynn Macau Ltd. 5.625%, 08/26/2028^(a)		330		311,437


Consumer Non-Cyclical – 0.0%
Virgolino de Oliveira Finance SA 10.50%, 01/28/2018^{(g) (h) (i) (j) (k)}		660		66


	Principal Amount (000)			U.S. $ Value

Energy – 0.3%
Ecopetrol SA 8.625%, 01/19/2029		U.S.$	271	$	287,531
Oleoducto Central SA 4.00%, 07/14/2027^(a)			217		202,149

					489,680

					2,056,737


Utility – 0.2%
Electric – 0.0%
Terraform Global Operating LP 6.125%, 03/01/2026^(a)			60		59,828


Other Utility – 0.2%
Aegea Finance SARL 6.75%, 05/20/2029^(a)			260		256,750

					316,578


Total Emerging Markets - Corporate Bonds (cost $2,804,992)					2,373,315


COLLATERALIZED LOAN OBLIGATIONS – 1.3%
CLO - Floating Rate – 1.3%
Elevation CLO Ltd. Series 2020-11A, Class D1 9.413% (CME Term SOFR 3 Month + 4.11%), 04/15/2033^{(a) (c)}			1,000		988,973
Pikes Peak CLO 8 Series 2021-8A, Class A 6.714% (CME Term SOFR 3 Month + 1.43%), 07/20/2034^{(a) (c)}			675		675,403
Rockford Tower CLO Ltd. Series 2021-2A, Class A1 6.704% (CME Term SOFR 3 Month + 1.42%), 07/20/2034^{(a) (c)}			504		504,544


Total Collateralized Loan Obligations (cost $2,178,814)					2,168,920


CORPORATES - NON-INVESTMENT GRADE – 1.2%
Industrial – 1.0%
Basic – 0.2%
Sealed Air Corp. 4.00%, 12/01/2027^(a)			379		359,622


Communications - Media – 0.2%
DISH DBS Corp. 5.75%, 12/01/2028^(a)			322		236,779
VZ Vendor Financing II BV 2.875%, 01/15/2029^(a)		EUR	181		175,233

					412,012


Communications - Telecommunications – 0.1%
Altice France SA 3.375%, 01/15/2028^(a)			181		138,569


	Principal Amount (000)			U.S. $ Value

Consumer Cyclical - Other – 0.1%
Hilton Domestic Operating Co., Inc. 5.875%, 04/01/2029^(a)		U.S.$	106	$	106,960
6.125%, 04/01/2032^(a)			61		61,654

					168,614


Consumer Non-Cyclical – 0.1%
Organon & Co./Organon Foreign Debt Co-Issuer BV 2.875%, 04/30/2028^(a)		EUR	100		102,991


Energy – 0.1%
Sunoco LP 7.00%, 05/01/2029^(a)		U.S.$	66		68,020
7.25%, 05/01/2032^(a)			92		95,660
Sunoco LP/Sunoco Finance Corp. 4.50%, 05/15/2029			17		16,078

					179,758


Services – 0.2%
APCOA Parking Holdings GmbH 4.625%, 01/15/2027^(a)		EUR	181		191,742
Block, Inc. 6.50%, 05/15/2032^(a)		U.S.$	133		135,325

					327,067

					1,688,633


Utility – 0.2%
Electric – 0.2%
Vistra Corp. 7.00%, 12/15/2026^{(a) (b)}			218		219,160


Total Corporates - Non-Investment Grade (cost $2,113,288)					1,907,793


LOCAL GOVERNMENTS - US MUNICIPAL BONDS – 1.0%
United States – 1.0%
State of California Series 2010 7.625%, 03/01/2040			970		1,187,457
University of California Series 2021-B 3.071%, 05/15/2051			730		516,567


Total Local Governments - US Municipal Bonds (cost $2,047,310)					1,704,024


QUASI-SOVEREIGNS – 0.6%
Quasi-Sovereign Bonds – 0.6%
Chile – 0.2%
Corp. Nacional del Cobre de Chile 6.44%, 01/26/2036^(a)			340		355,725


Hungary – 0.2%
Magyar Export-Import Bank Zrt 6.125%, 12/04/2027^(a)			387		390,023


	Principal Amount (000)		U.S. $ Value

Mexico – 0.2%
Comision Federal de Electricidad 4.688%, 05/15/2029^(a)	U.S.$	295	$	279,144


Total Quasi-Sovereigns (cost $1,028,456)				1,024,892


GOVERNMENTS - SOVEREIGN BONDS – 0.2%
Colombia – 0.2%
Colombia Government International Bond 3.125%, 04/15/2031 (cost $374,106)		375		300,938


EMERGING MARKETS - SOVEREIGNS – 0.1%
Dominican Republic – 0.1%
Dominican Republic International Bond 4.875%, 09/23/2032^(a) (cost $217,000)		217		198,759


	Shares

COMMON STOCKS – 0.1%
Financials – 0.1%
Insurance – 0.1%
Mt Logan Re Ltd. Special Investment, Series 1, December 2021 - Class U-1^{(h) (i) (k)}		72		0
Mt Logan Re Ltd. Special Investment, Series 1, December 2022 - Class U-1^{(h) (i) (k)}		104		56,417
Mt Logan Re Ltd. Special Investment, Series 2, December 2021 - Class U-1^{(h) (i) (k)}		78		0
Mt Logan Re Ltd. Special Investment, Series 2, December 2022 - Class U-1^{(h) (i) (k)}		114		61,451


Total Common Stocks (cost $326,594)				117,868


	Principal Amount (000)

SHORT-TERM INVESTMENTS – 7.5%
U.S. Treasury Bills – 7.2%
U.S. Treasury Bill Zero Coupon, 08/29/2024	U.S.$	1,770		1,762,553
Zero Coupon, 09/03/2024		999		994,065
Zero Coupon, 09/05/2024		3,188		3,171,949
Zero Coupon, 09/17/2024		3,299		3,275,784
Zero Coupon, 10/15/2024		1,007		996,362
Zero Coupon, 10/29/2024		1,660		1,638,787


Total U.S. Treasury Bills (cost $11,839,663)				11,839,500


	Shares		U.S. $ Value

Investment Companies – 0.3%
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 5.20%^{(l) (m) (n)} (cost $451,579)		451,579	$	451,579


Total Short-Term Investments (cost $12,291,242)				12,291,079


Total Investments – 105.8% (cost $181,104,528)^(o)				174,578,223
Other assets less liabilities – (5.8)%				(9,625,823	)


Net Assets – 100.0%			$	164,952,400

FUTURES


Description	Number of Contracts		Expiration Month		Current Notional			Value and Unrealized Appreciation (Depreciation)
Purchased Contracts
U.S. 10 Yr Ultra Futures		28		September 2024		$	3,236,188		$	28,835
U.S. T-Note 5 Yr (CBT) Futures		126		September 2024			13,594,219			209,354
U.S. Ultra Bond (CBT) Futures		77		September 2024			9,853,594			435,558
Sold Contracts
U.S. T-Note 2 Yr (CBT) Futures		7		September 2024			1,437,570			(8,649	)

									$	665,098

FORWARD CURRENCY EXCHANGE CONTRACTS

Counterparty

Contracts to
Deliver
(000)

In Exchange
For
(000)

Settlement
Date

Unrealized
Appreciation
(Depreciation)

JPMorgan Chase Bank, NA

EUR

1,623

USD

1,748

08/08/2024

$ (8,780

)

CENTRALLY CLEARED CREDIT DEFAULT SWAPS


Description	Fixed Rate (Pay) Receive			Payment Frequency	Implied Credit Spread at July 31, 2024	Notional Amount (000)			Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
Buy Contracts
CDX-NAHY Series 42, 5 Year Index, 06/20/2029*		(5.00	)%	Quarterly	3.31%		USD	7,240	$	(532,942)		$	(458,966	)	$	(73,976	)
iTraxx Australia Series 41, 5 Year Index, 06/20/2029*		(1.00	)	Quarterly	0.65		USD	7,590		(126,207	)		(115,558	)		(10,649	)


Description	Fixed Rate (Pay) Receive			Payment Frequency		Implied Credit Spread at July 31, 2024		Notional Amount (000)			Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
Sale Contracts
CDX-NAIG Series 42, 5 Year Index, 06/20/2029*		1.00	%		Quarterly		0.52%		USD	7,590	$	169,954		$	156,142		$	13,812

											$	(489,195	)	$	(418,382	)	$	(70,813	)

*	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

1.537%

1 Day SOFR

Annual

258,063

159,740

98,323

CREDIT DEFAULT SWAPS


Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Payment Frequency		Implied Credit Spread at July 31, 2024		Notional Amount (000)			Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
Sale Contracts
Goldman Sachs International
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00	%		Monthly		5.00%		USD	12	$	(1,490	)	$	(926	)	$	(564	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		5.00		USD	23		(2,980	)		(2,041	)		(939	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		5.00		USD	23		(2,980	)		(1,886	)		(1,094	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		5.00		USD	46		(5,960	)		(4,462	)		(1,498	)

											$	(13,410	)	$	(9,315	)	$	(4,095	)

*	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, 2024, the aggregate market value of these securities amounted to $54,984,653 or 33.3% 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, 2024.

(d)

Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.

(e)

Inverse interest only security.

(f)

IO - Interest Only.

(g)

Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.96% of net assets as of July 31, 2024, are considered illiquid and restricted. Additional information regarding such securities follows:

144A/Restricted & Illiquid Securities

Acquisition
Date

Cost

Market
Value

Percentage
of
Net Assets

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

02/25/2021 - 08/03/2023

254,693

256,481

0.16%

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

02/25/2021 - 09/06/2022

728,840

695,960

0.42%

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

02/25/2021 - 04/01/2021

25,289

23,659

0.01%

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

11/19/2020

650,179

609,603

0.37%

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

01/24/2014 - 01/27/2014

365,927

0.00%

(h)

Security in which significant unobservable inputs (Level 3) were used in determining fair value.

(i)

Non-income producing security.

(j)

Defaulted matured security.

(k)

Fair valued by the Adviser.

(l)

Affiliated investments.

(m)

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.

(n)

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

(o)

As of July 31, 2024, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $2,779,246 and gross unrealized depreciation of investments was $(8,625,818), resulting in net unrealized depreciation of $(5,846,572).

Currency Abbreviations:

EUR – Euro

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

CDX-NAIG – North American Investment Grade Credit Default Swap Index

CLO – Collateralized Loan Obligations

CMBS – Commercial Mortgage-Backed Securities

CME – Chicago Mercantile Exchange

REIT – Real Estate Investment Trust

REMICs – Real Estate Mortgage Investment Conduits

RFUCCT1Y – Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year

SOFR – Secured Overnight Financing Rate

TBA – To Be Announced

TIPS – Treasury Inflation Protected Security

AB Total Return Bond Portfolio

July 31, 2024 (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.

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, 2024:


Investments in Securities:	Level 1			Level 2			Level 3			Total
Assets:
Corporates - Investment Grade	$	—		$	46,937,080		$	—		$	46,937,080
Mortgage Pass-Throughs		—			36,641,642			—			36,641,642
Governments - Treasuries		—			31,127,924			—			31,127,924
Asset-Backed Securities		—			15,939,463			—			15,939,463
Collateralized Mortgage Obligations		—			10,599,712			—			10,599,712
Commercial Mortgage-Backed Securities		—			8,827,401			—			8,827,401
Inflation-Linked Securities		—			2,417,413			—			2,417,413
Emerging Markets - Corporate Bonds		—			2,373,249			66			2,373,315
Collateralized Loan Obligations		—			2,168,920			—			2,168,920
Corporates - Non-Investment Grade		—			1,907,793			—			1,907,793
Local Governments - US Municipal Bonds		—			1,704,024			—			1,704,024
Quasi-Sovereigns		—			1,024,892			—			1,024,892
Governments - Sovereign Bonds		—			300,938			—			300,938
Emerging Markets - Sovereigns		—			198,759			—			198,759
Common Stocks		—			—			117,868	^(a)		117,868
Short-Term Investments:
U.S. Treasury Bills		—			11,839,500			—			11,839,500
Investment Companies		451,579			—			—			451,579

Total Investments in Securities		451,579			174,008,710			117,934	^(a)		174,578,223
Other Financial Instruments^(b):
Assets:
Futures		673,747			—			—			673,747
Centrally Cleared Credit Default Swaps		—			169,954			—			169,954
Centrally Cleared Interest Rate Swaps		—			258,063			—			258,063
Liabilities:
Futures		(8,649	)		—			—			(8,649	)
Forward Currency Exchange Contracts		—			(8,780	)		—			(8,780	)
Centrally Cleared Credit Default Swaps		—			(659,149	)		—			(659,149	)
Credit Default Swaps		—			(13,410	)		—			(13,410	)

Total	$	1,116,677		$	173,755,388		$	117,934	^(a)	$	174,989,999

^(a)

The Fund held securities with zero market value at period end.

^(b)

Other financial instruments include reverse repurchase agreements and derivative instruments, such as futures, forwards and swaps. Derivative instruments are valued at the unrealized appreciation (depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, written options and written swaptions which are valued at market value.

A summary of the Fund’s transactions in AB mutual funds for the nine months ended July 31, 2024 is as follows:

Fund

Market Value

10/31/2023

(000)

Purchases

at Cost

(000)

Sales

Proceeds

(000)

Market Value

07/31/2024

(000)

Dividend

Income

(000)

Government Money Market Portfolio

281

53,547

53,376

452

Ab Bond Fund NPORT-PAB Total Return Bond Portfolio (Jul 2024 report)