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Bernstein Sanford C Fund Inc – ‘N-Q’ for 12/31/14

On:  Tuesday, 3/3/15, at 2:43pm ET   ·   Effective:  3/3/15   ·   For:  12/31/14   ·   Accession #:  1193125-15-74883   ·   File #:  811-05555

Previous ‘N-Q’:  ‘N-Q’ on 8/27/14 for 6/30/14   ·   Next:  ‘N-Q’ on 8/28/15 for 6/30/15   ·   Latest:  ‘N-Q’ on 2/27/19 for 12/31/18

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  As Of                Filer                Filing    For·On·As Docs:Size              Issuer               Agent

 3/03/15  Bernstein Sanford C Fund Inc      N-Q        12/31/14    2:9.3M                                   RR Donnelley/FACalifornia Municipal Portfolio 4 Classes/ContractsDiversified Municipal Portfolio 4 Classes/ContractsEmerging Markets Portfolio SNEMXIntermediate Duration Portfolio SNIDXInternational Portfolio 5 Classes/ContractsNew York Municipal Portfolio 4 Classes/ContractsOverlay A Portfolio Class 1 (SAOOX) — Class 2 (SAOTX)Overlay B Portfolio Class 1 (SBOOX) — Class 2 (SBOTX)Short Duration California Municipal Portfolio SDCMXShort Duration Diversified Municipal Portfolio SDDMXShort Duration New York Municipal Portfolio SDNYXShort Duration Plus Portfolio 5 Classes/ContractsTax-Aware Overlay A Portfolio Class 1 (SATOX) — Class 2 (SATTX)Tax-Aware Overlay B Portfolio Class 1 (SBTOX) — Class 2 (SBTTX)Tax-Aware Overlay C Portfolio Class 1 (SCTOX) — Class 2 (SCTTX)Tax-Aware Overlay N Portfolio Class 1 (SNTOX) — Class 2 (SNTTX)Tax-Managed International Portfolio 4 Classes/ContractsU.S. Government Short Duration Portfolio SNGSX

Quarterly Schedule of Portfolio Holdings of a Management Investment Company   —   Form N-Q
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: N-Q         Sanford C. Bernstein Fund, Inc.                     HTML   6.40M 
 2: EX-99.CERT  Certifications                                      HTML     12K 


N-Q   —   Sanford C. Bernstein Fund, Inc.


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  Sanford C. Bernstein Fund, Inc.  

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-05555

SANFORD C. BERNSTEIN FUND, INC.

(Exact name of registrant as specified in charter)

1345 Avenue of the Americas, New York, New York 10105

(Address of principal executive offices) (Zip code)

Joseph J.Mantineo

AllianceBernstein L.P.

1345 Avenue of the Americas

New York, New York 10105

(Name and address of agent for service)

Registrant’s telephone number, including area code: (800) 221-5672

Date of fiscal year end: September 30, 2015

Date of reporting period: December 31, 2014

 

 

 


ITEM 1. SCHEDULE OF INVESTMENTS.


Sanford C. Bernstein Fund, Inc. - Tax-Managed International Portfolio

Portfolio of Investments

December 31, 2014 (unaudited)

 

Company

   Shares        U.S. $ Value  

COMMON STOCKS - 96.8%

       

Financials - 22.3%

       

Banks - 8.6%

       

Australia & New Zealand Banking Group Ltd.

     387,740         $ 10,088,971   

Banca Popolare dell’Emilia Romagna SC (a)

     63,410           415,714   

Banca Popolare di Milano Scarl (a)

     647,040           421,503   

Bank Hapoalim BM

     2,341,940           11,012,096   

Bank of Georgia Holdings PLC

     33,480           1,076,989   

Bank of Montreal

     107,900           7,632,314   

Bank of Queensland Ltd.

     1,639,845           16,155,620   

BOC Hong Kong Holdings Ltd.

     3,340,000           11,107,905   

Chiba Bank Ltd. (The)

     178,000           1,166,416   

Commerzbank AG (a)

     960,630           12,600,191   

Danske Bank A/S

     1,200,860           32,466,263   

DBS Group Holdings Ltd.

     899,000           13,917,714   

DGB Financial Group, Inc. (a)

     67,000           688,702   

Hang Seng Bank Ltd.

     352,600           5,860,377   

HSBC Holdings PLC

     3,361,000           31,760,646   

ING Groep NV (a)

     1,472,920           19,029,624   

Liberbank SA (a)

     1,500,870           1,219,101   

Mitsubishi UFJ Financial Group, Inc.

     4,056,200           22,285,673   

National Bank of Canada

     121,600           5,174,646   

Resona Holdings, Inc.

     2,915,100           14,725,630   

Seven Bank Ltd.

     2,818,200           11,829,351   

Societe Generale SA

     603,620           25,261,598   

SpareBank 1 SR-Bank ASA

     155,540           1,095,646   

Toronto-Dominion Bank (The)

     252,370           12,058,064   

UniCredit SpA

     5,202,700           33,326,480   
       

 

 

 
          302,377,234   
       

 

 

 

Capital Markets - 3.0%

       

3i Group PLC

     173,010           1,206,360   

Daiwa Securities Group, Inc.

     5,408,000           42,345,377   

GAM Holding AG (a)

     59,120           1,062,858   

Partners Group Holding AG

     35,240           10,252,621   

UBS Group AG (a)

     3,034,117           52,155,562   
       

 

 

 
          107,022,778   
       

 

 

 

Consumer Finance - 0.1%

       

Aeon Thana Sinsap Thailand PCL

     166,000           547,447   

Aeon Thana Sinsap Thailand PCL (NVDR)

     43,000           141,534   

Credito Real SAB de CV

     282,507           604,699   

International Personal Finance PLC

     120,070           834,278   
       

 

 

 
          2,127,958   
       

 

 

 

Diversified Financial Services - 1.4%

       

Cerved Information Solutions SpA (a)

     920,533           4,861,303   

Chailease Holding Co., Ltd.

     326,960           809,758   

Challenger Ltd./Australia

     2,210,321           11,676,098   

ORIX Corp.

     2,634,100           33,144,326   
       

 

 

 
          50,491,485   
       

 

 

 

Insurance - 6.5%

       

Admiral Group PLC

     1,820,950           37,356,964   

AIA Group Ltd.

     8,294,600           45,589,537   

Anadolu Hayat Emeklilik AS

     301,911           662,009   


Company

   Shares        U.S. $ Value  

Direct Line Insurance Group PLC

     2,534,830         $ 11,466,536   

Gjensidige Forsikring ASA

     743,580           12,133,284   

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen

     251,370           50,057,165   

Prudential PLC

     1,631,300           37,714,799   

Suncorp Group Ltd.

     1,373,720           15,693,079   

Topdanmark A/S (a)

     242,107           7,857,963   

Tryg A/S

     90,010           10,057,439   
       

 

 

 
          228,588,775   
       

 

 

 

Real Estate Investment Trusts (REITs) - 0.1%

       

Allied Properties Real Estate Investment Trust

     22,170           714,447   

Concentradora Fibra Hotelera Mexicana SA de CV

     407,810           624,689   

Emlak Konut Gayrimenkul Yatirim Ortakligi AS

     570,970           675,326   

Granite Real Estate Investment Trust (Toronto)

     40,610           1,442,218   

Vastned Retail NV

     19,650           888,519   
       

 

 

 
          4,345,199   
       

 

 

 

Real Estate Management & Development - 2.6%

       

Aeon Mall Co., Ltd.

     53,000           939,211   

Altus Group Ltd./Canada

     40,490           725,251   

Ayala Land, Inc.

     8,757,800           6,530,489   

CA Immobilien Anlagen AG (a)

     45,870           857,869   

CIFI Holdings Group Co., Ltd.

     3,856,000           772,746   

Corp. Inmobiliaria Vesta SAB de CV

     323,170           641,795   

Countrywide PLC

     137,825           932,792   

Daito Trust Construction Co., Ltd.

     255,900           29,028,729   

GAGFAH SA (a)

     63,290           1,413,415   

Global Logistic Properties Ltd.

     19,326,000           36,031,431   

Kaisa Group Holdings Ltd. (b)(c)

     2,365,000           484,916   

Lend Lease Group

     87,200           1,161,405   

Mitsubishi Estate Co., Ltd.

     364,000           7,669,794   

Mitsui Fudosan Co., Ltd.

     58,000           1,555,301   

Nexity SA

     19,230           729,011   

Quintain Estates & Development PLC (a)

     694,850           1,031,552   
       

 

 

 
          90,505,707   
       

 

 

 

Thrifts & Mortgage Finance - 0.0%

       

Paragon Group of Cos. PLC (The)

     189,030           1,220,310   
       

 

 

 
          786,679,446   
       

 

 

 

Consumer Discretionary - 20.0%

       

Auto Components - 3.3%

       

Aisin Seiki Co., Ltd.

     559,400           20,098,360   

Cie Generale des Etablissements Michelin-Class B

     261,839           23,635,335   

Halla Visteon Climate Control Corp. (a)

     30,770           1,355,626   

Linamar Corp.

     21,570           1,317,259   

Plastic Omnium SA

     511,540           13,882,097   

Sumitomo Electric Industries Ltd.

     1,814,900           22,666,782   

Sumitomo Rubber Industries Ltd.

     76,900           1,143,200   

Valeo SA

     250,520           31,172,239   
       

 

 

 
          115,270,898   
       

 

 

 

Automobiles – 2.7%

       

Great Wall Motor Co., Ltd.-Class H

     2,822,500           16,019,686   

Honda Motor Co., Ltd.

     1,106,600           32,465,735   


Company

   Shares        U.S. $ Value  

Toyota Motor Corp.

     742,100         $ 46,245,701   
       

 

 

 
          94,731,122   
       

 

 

 

Distributors - 0.0%

       

Inchcape PLC

     104,550           1,174,626   
       

 

 

 

Diversified Consumer Services - 1.2%

       

Estacio Participacoes SA

     1,811,800           16,235,451   

G8 Education Ltd.

     200,860           678,556   

GAEC Educacao SA

     71,500           950,841   

Kroton Educacional SA

     3,267,200           19,051,087   

TAL Education Group (ADR) (a)

     152,200           4,275,298   
       

 

 

 
          41,191,233   
       

 

 

 

Hotels, Restaurants & Leisure - 2.8%

       

Flight Centre Travel Group Ltd.

     22,490           595,332   

Galaxy Entertainment Group Ltd.

     604,000           3,356,255   

Jollibee Foods Corp.

     293,700           1,404,020   

Melco International Development Ltd.

     5,403,000           11,841,633   

Merlin Entertainments PLC (d)

     3,233,824           20,009,759   

Oriental Land Co., Ltd./Japan

     37,300           8,601,898   

Sands China Ltd.

     834,400           4,067,304   

Sodexo SA

     242,798           23,766,108   

Tabcorp Holdings Ltd.

     1,004,450           3,390,738   

Tatts Group Ltd.

     4,735,543           13,318,718   

Yum! Brands, Inc.

     98,470           7,173,539   
       

 

 

 
          97,525,304   
       

 

 

 

Household Durables - 0.1%

       

Berkeley Group Holdings PLC

     25,980           998,916   

Rinnai Corp.

     10,300           692,079   

Techtronic Industries Co., Ltd.

     263,000           843,726   
       

 

 

 
          2,534,721   
       

 

 

 

Internet & Catalog Retail - 0.3%

       

Just Eat PLC (a)

     2,307,597           11,138,742   

Qunar Cayman Islands Ltd. (ADR) (a)

     33,845           962,213   

Stabilus SA (a)

     15,558           476,744   
       

 

 

 
          12,577,699   
       

 

 

 

Leisure Products - 0.0%

       

Merida Industry Co., Ltd.

     111,300           751,495   
       

 

 

 

Media - 3.3%

       

Cineplex, Inc.

     109,860           4,239,132   

CTS Eventim AG & Co. KGaA

     113,680           3,349,211   

Havas SA

     48,139           393,086   

Liberty Global PLC-Class A (a)

     57,684           2,896,025   

Liberty Global PLC-Series C (a)

     752,645           36,360,280   

Mediaset Espana Comunicacion SA (a)

     46,010           578,441   

Metropole Television SA

     54,060           1,019,007   

Naspers Ltd.-Class N

     234,320           30,310,491   

Reed Elsevier PLC

     726,400           12,408,352   

Sky PLC

     403,300           5,628,585   

Smiles SA

     29,400           509,318   

Thomson Reuters Corp.

     425,460           17,164,151   


Company

   Shares        U.S. $ Value  

TV Asahi Holdings Corp.

     74,100         $ 1,167,147   
       

 

 

 
          116,023,226   
       

 

 

 

Multiline Retail - 1.8%

       

B&M European Value Retail SA

     6,606,891           29,347,896   

Canadian Tire Corp., Ltd.-Class A

     59,010           6,234,195   

Dollarama, Inc.

     33,640           1,719,931   

Harvey Norman Holdings Ltd.

     430,530           1,175,164   

Next PLC

     97,860           10,378,728   

Poundland Group PLC (a)

     2,790,990           14,276,831   
       

 

 

 
          63,132,745   
       

 

 

 

Specialty Retail - 1.7%

       

Ace Hardware Indonesia Tbk PT

     12,187,000           770,451   

Fielmann AG

     37,800           2,581,529   

JUMBO SA

     84,379           857,990   

L’Occitane International SA

     309,250           781,634   

Luk Fook Holdings International Ltd.

     147,000           551,269   

Matas A/S

     27,600           628,890   

Mr. Price Group Ltd.

     68,230           1,380,217   

Shimamura Co., Ltd.

     127,200           10,976,966   

Sports Direct International PLC (a)

     2,309,661           25,407,916   

United Arrows Ltd.

     12,600           351,882   

WH Smith PLC

     39,710           830,402   

Yamada Denki Co., Ltd.

     5,040,100           16,910,140   
       

 

 

 
          62,029,286   
       

 

 

 

Textiles, Apparel & Luxury Goods - 2.8%

       

Brunello Cucinelli SpA

     32,070           716,322   

Cie Financiere Richemont SA

     531,576           47,128,789   

Eclat Textile Co., Ltd.

     158,561           1,593,602   

Global Brands Group Holding Ltd. (a)

     28,400,000           5,545,692   

HUGO BOSS AG

     137,102           16,771,908   

Nan Liu Enterprise Co., Ltd.

     205,188           908,469   

Samsonite International SA

     6,865,400           20,345,230   

Yue Yuen Industrial Holdings Ltd.

     1,464,000           5,254,835   
       

 

 

 
          98,264,847   
       

 

 

 
          705,207,202   
       

 

 

 

Industrials - 14.3%

       

Aerospace & Defense - 2.3%

       

Airbus Group NV

     836,813           41,370,360   

FACC AG (a)

     107,620           928,202   

Saab AB-Class B

     45,100           1,160,516   

Safran SA

     269,530           16,628,640   

Senior PLC

     321,380           1,505,683   

Zodiac Aerospace

     599,051           20,168,713   
       

 

 

 
          81,762,114   
       

 

 

 

Air Freight & Logistics - 0.3%

       

Oesterreichische Post AG

     78,080           3,815,131   

Royal Mail PLC

     142,610           950,346   

Singapore Post Ltd.

     2,803,000           4,055,104   
       

 

 

 
          8,820,581   
       

 

 

 

 


Company

   Shares        U.S. $ Value  

Airlines - 1.3%

       

International Consolidated Airlines Group SA (a)

     3,769,150         $ 28,374,412   

Qantas Airways Ltd. (a)

     8,822,222           17,135,518   

Turk Hava Yollari (a)

     316,570           1,300,775   
       

 

 

 
          46,810,705   
       

 

 

 

Building Products - 0.1%

       

Kingspan Group PLC

     93,260           1,617,054   
       

 

 

 

Commercial Services & Supplies - 1.8%

       

Babcock International Group PLC

     2,042,076           33,453,838   

Berendsen PLC

     310,510           5,307,304   

Edenred

     700,507           19,373,210   

Loomis AB-Class B

     39,800           1,149,727   

Regus PLC

     1,265,211           4,084,979   

Rentokil Initial PLC

     774,320           1,458,063   
       

 

 

 
          64,827,121   
       

 

 

 

Construction & Engineering - 0.1%

       

China State Construction International Holdings Ltd.

     812,000           1,141,858   

UGL Ltd.

     218,030           388,770   
       

 

 

 
          1,530,628   
       

 

 

 

Electrical Equipment - 0.0%

       

TKH Group NV

     37,530           1,193,843   
       

 

 

 

Industrial Conglomerates - 0.6%

       

Toshiba Corp.

     4,822,000           20,335,813   
       

 

 

 

Machinery - 1.1%

       

Duerr AG

     5,580           490,371   

Fincantieri SpA (a)

     466,151           430,603   

IHI Corp.

     233,000           1,180,019   

JTEKT Corp.

     1,506,300           25,350,704   

Krones AG

     12,680           1,232,980   

KUKA AG

     27,960           1,977,673   

Melrose Industries PLC

     216,418           895,852   

Morgan Advanced Materials PLC

     257,400           1,271,753   

Nabtesco Corp.

     48,800           1,179,430   

Nachi-Fujikoshi Corp.

     182,000           1,117,181   

Pfeiffer Vacuum Technology AG

     7,330           607,145   

Vesuvius PLC

     136,240           942,268   
       

 

 

 
          36,675,979   
       

 

 

 

Marine - 0.6%

       

Nippon Yusen KK

     7,139,000           20,164,152   

Pacific Basin Shipping Ltd.

     1,034,000           414,956   
       

 

 

 
          20,579,108   
       

 

 

 

Professional Services - 4.3%

       

Applus Services SA (a)

     936,262           10,312,484   

Bureau Veritas SA

     1,786,107           39,572,902   

Capita PLC

     3,023,617           50,699,069   

Intertek Group PLC

     1,035,620           37,481,162   

Teleperformance

     212,220           14,445,834   
       

 

 

 
          152,511,451   
       

 

 

 


Company

   Shares        U.S. $ Value  

Road & Rail - 0.7%

       

Central Japan Railway Co.

     136,200         $ 20,413,146   

ComfortDelGro Corp., Ltd.

     1,845,000           3,610,516   

Localiza Rent a Car SA

     36,745           493,629   

National Express Group PLC

     227,952           876,640   
       

 

 

 
          25,393,931   
       

 

 

 

Trading Companies & Distributors - 1.1%

       

Barloworld Ltd.

     92,050           757,706   

Brenntag AG

     502,700           28,105,993   

Bunzl PLC

     272,220           7,441,733   

Diploma PLC

     72,990           814,559   

Ramirent Oyj

     80,970           627,642   

Rexel SA

     113,690           2,036,882   
       

 

 

 
          39,784,515   
       

 

 

 
          501,842,843   
       

 

 

 

Health Care - 8.8%

       

Biotechnology - 1.5%

       

Actelion Ltd. (REG) (a)

     338,100           38,922,428   

Basilea Pharmaceutica (a)

     14,830           1,363,488   

CSL Ltd.

     158,070           11,103,737   

Medy-Tox, Inc.

     6,220           1,797,809   

Taiwan Liposome Co., Ltd. (a)

     106,000           897,376   
       

 

 

 
          54,084,838   
       

 

 

 

Health Care Equipment & Supplies - 0.1%

       

Ginko International Co., Ltd.

     81,000           854,776   

Sorin SpA (a)

     496,250           1,155,506   
       

 

 

 
          2,010,282   
       

 

 

 

Health Care Providers & Services - 0.6%

       

Shanghai Pharmaceuticals Holding Co., Ltd.-Class H

     387,400           872,296   

Sonic Healthcare Ltd.

     1,395,240           20,990,764   
       

 

 

 
          21,863,060   
       

 

 

 

Health Care Technology - 0.0%

       

M3, Inc.

     28,100           470,169   
       

 

 

 

Life Sciences Tools & Services - 1.5%

       

Eurofins Scientific SE

     204,923           52,307,005   

Horizon Discovery Group PLC (a)

     192,580           603,312   
       

 

 

 
          52,910,317   
       

 

 

 

Pharmaceuticals - 5.1%

       

Almirall SA (a)

     32,960           543,911   

Astellas Pharma, Inc.

     1,774,700           24,707,553   

GlaxoSmithKline PLC

     2,104,120           45,140,945   

Indivior PLC (a)

     202,997           472,689   

Novartis AG

     233,020           21,611,085   

Novo Nordisk A/S-Class B

     592,775           25,074,240   

Orion Oyj-Class B

     169,950           5,285,527   

Ouro Fino Saude Animal Participacoes SA (a)

     70,100           809,069   


Company

   Shares        U.S. $ Value  

Roche Holding AG

     198,650         $ 53,822,666   
       

 

 

 
          177,467,685   
       

 

 

 
          308,806,351   
       

 

 

 

Consumer Staples - 7.3%

       

Beverages - 0.9%

       

Anheuser-Busch InBev NV

     67,360           7,580,784   

Asahi Group Holdings Ltd.

     261,300           8,083,918   

Cott Corp.

     110,920           764,735   

Heineken NV

     233,320           16,567,512   
       

 

 

 
          32,996,949   
       

 

 

 

Food & Staples Retailing - 2.6%

       

Alimentation Couche-Tard, Inc.-Class B

     399,720           16,751,908   

Axfood AB

     41,710           2,489,748   

Booker Group PLC

     341,560           867,652   

Clicks Group Ltd.

     116,010           811,110   

Delhaize Group SA

     9,830           715,872   

FamilyMart Co., Ltd.

     27,800           1,047,054   

Jean Coutu Group PJC, Inc. (The)-Class A

     198,240           4,830,586   

Koninklijke Ahold NV

     1,810,834           32,183,693   

Lawson, Inc.

     87,000           5,257,247   

Lenta Ltd. (GDR) (a)(d)

     298,880           2,020,429   

MARR SpA

     61,660           1,093,717   

Metro, Inc.

     22,000           1,766,741   

Olam International Ltd.

     8,355,273           12,679,787   

Sugi Holdings Co., Ltd.

     90,400           3,690,077   

Tsuruha Holdings, Inc.

     66,400           3,842,111   
       

 

 

 
          90,047,732   
       

 

 

 

Food Products - 0.6%

       

Calbee, Inc.

     40,200           1,384,761   

Glanbia PLC

     75,045           1,151,181   

Mayora Indah Tbk PT

     429,700           724,985   

Nestle SA

     192,650           14,044,375   

Salmar ASA

     28,500           485,170   

Unilever PLC

     115,200           4,680,366   
       

 

 

 
          22,470,838   
       

 

 

 

Household Products - 0.5%

       

Pigeon Corp.

     21,300           1,241,919   

Reckitt Benckiser Group PLC

     202,997           16,441,526   
       

 

 

 
          17,683,445   
       

 

 

 

Personal Products - 0.4%

       

Cosmax, Inc. (a)

     11,340           1,023,694   

Kao Corp.

     296,600           11,696,281   
       

 

 

 
          12,719,975   
       

 

 

 

Tobacco - 2.3%

       

British American Tobacco PLC

     1,092,290           59,192,228   

Imperial Tobacco Group PLC

     513,960           22,624,264   
       

 

 

 
          81,816,492   
       

 

 

 
          257,735,431   
       

 

 

 

 


Company

   Shares        U.S. $ Value  

Information Technology - 6.9%

       

Communications Equipment - 0.3%

       

Pace PLC

     176,520         $ 946,458   

VTech Holdings Ltd.

     578,000           8,303,302   
       

 

 

 
          9,249,760   
       

 

 

 

Electronic Equipment, Instruments & Components - 0.1%

       

Ju Teng International Holdings Ltd.

     1,194,000           589,095   

PAX Global Technology Ltd.(a)

     892,000           913,680   

Samsung Electro-Mechanics Co., Ltd. (a)

     13,850           684,815   
       

 

 

 
          2,187,590   
       

 

 

 

Internet Software & Services - 1.3%

       

Baidu, Inc. (Sponsored ADR) (a)

     93,460           21,306,076   

Telecity Group PLC

     1,930,000           24,105,299   
       

 

 

 
          45,411,375   
       

 

 

 

IT Services - 0.6%

       

Alten SA

     29,020           1,237,422   

Computacenter PLC

     94,883           867,344   

DH Corp.

     106,300           3,355,157   

Itochu Techno-Solutions Corp.

     34,400           1,213,781   

Obic Co., Ltd.

     391,400           12,700,808   

Wirecard AG

     23,430           1,021,644   
       

 

 

 
          20,396,156   
       

 

 

 

Semiconductors & Semiconductor Equipment - 1.9%

       

Advanced Semiconductor Engineering, Inc.

     9,170,000           10,890,541   

ASM International NV

     46,200           1,956,506   

Hermes Microvision, Inc.

     22,000           1,100,234   

Infineon Technologies AG

     448,023           4,740,914   

Kinsus Interconnect Technology Corp.

     293,000           968,106   

Novatek Microelectronics Corp.

     2,746,000           15,344,915   

Sanken Electric Co., Ltd.

     122,000           970,125   

SCREEN Holdings Co., Ltd.

     106,000           622,895   

Sumco Corp.

     1,286,300           18,414,801   

Tokyo Electron Ltd.

     165,600           12,557,484   
       

 

 

 
          67,566,521   
       

 

 

 

Software – 1.3%

       

Capcom Co., Ltd.

     51,800           778,138   

Dassault Systemes

     280,178           17,085,354   

Open Text Corp.

     80,750           4,699,180   

Oracle Corp. Japan

     406,800           16,575,565   

SAP SE

     71,121           4,966,263   

SDL PLC (a)

     146,980           943,132   

UBISOFT Entertainment (a)

     92,170           1,680,301   
       

 

 

 
          46,727,933   
       

 

 

 

Technology Hardware, Storage & Peripherals - 1.4%

       

Asustek Computer, Inc.

     1,129,000           12,318,519   

Casetek Holdings Ltd.

     169,000           951,636   

Catcher Technology Co., Ltd.

     2,457,000           18,974,021   

Samsung Electronics Co., Ltd.

     8,940           10,748,062   

Samsung Electronics Co., Ltd. (GDR) (d)

     4,200           1,947,823   


Company

   Shares        U.S. $ Value  

Samsung Electronics Co., Ltd. (GDR) (London) (d)

     10,190         $ 6,116,518   
       

 

 

 
          51,056,579   
       

 

 

 
          242,595,914   
       

 

 

 

Telecommunication Services - 6.2%

       

Diversified Telecommunication Services - 4.0%

       

Bezeq The Israeli Telecommunication Corp., Ltd.

     3,659,587           6,491,431   

Com Hem Holding AB (a)

     132,730           1,072,662   

Hellenic Telecommunications Organization SA (a)

     53,470           584,679   

Nippon Telegraph & Telephone Corp.

     656,300           33,525,508   

Singapore Telecommunications Ltd.

     2,576,000           7,554,032   

Swisscom AG

     18,850           9,891,297   

Telecom Italia SpA (savings shares)

     30,382,407           25,401,037   

Telenor ASA

     913,940           18,487,740   

Telstra Corp., Ltd.

     2,305,110           11,190,906   

Vivendi SA (a)

     1,076,572           26,796,447   
       

 

 

 
          140,995,739   
       

 

 

 

Wireless Telecommunication Services - 2.2%

       

China Mobile Ltd.

     1,161,500           13,634,419   

SoftBank Corp.

     508,500           30,267,573   

StarHub Ltd.

     1,056,000           3,299,327   

Vodafone Group PLC

     8,918,552           30,578,381   
       

 

 

 
          77,779,700   
       

 

 

 
          218,775,439   
       

 

 

 

Materials - 6.0%

       

Chemicals - 4.7%

       

Arkema SA

     236,754           15,658,156   

Chr Hansen Holding A/S

     387,100           17,149,824   

Denki Kagaku Kogyo KK

     3,002,000           10,995,046   

Essentra PLC

     4,278,778           48,504,615   

Fuchs Petrolub SE (Preference Shares)

     26,900           1,071,399   

Givaudan SA (a)

     6,370           11,426,867   

Hyosung Corp. (a)

     16,320           1,012,817   

IMCD Group NV (a)

     132,657           4,526,710   

JSR Corp.

     1,388,300           23,829,171   

Kansai Paint Co., Ltd.

     99,000           1,533,705   

Koninklijke DSM NV

     316,323           19,293,484   

Lanxess AG

     16,790           777,582   

Mitsubishi Gas Chemical Co., Inc.

     2,101,000           10,544,696   

Teijin Ltd.

     350,000           930,265   
       

 

 

 
          167,254,337   
       

 

 

 

Construction Materials - 0.1%

       

Cementos Pacasmayo SAA

     305,660           543,715   

Cemex Latam Holdings SA (a)

     137,860           928,155   

West China Cement Ltd.

     6,778,000           710,115   
       

 

 

 
          2,181,985   
       

 

 

 

Containers & Packaging - 0.0%

       

Smurfit Kappa Group PLC

     50,520           1,136,115   
       

 

 

 

Metals & Mining - 0.7%

       

BlueScope Steel Ltd. (a)

     222,924           1,008,986   


Company

   Shares        U.S. $ Value  

Dowa Holdings Co., Ltd.

     897,000         $ 7,126,679   

Rio Tinto PLC

     334,670           15,427,303   

Western Areas Ltd.

     306,010           926,784   
       

 

 

 
          24,489,752   
       

 

 

 

Paper & Forest Products - 0.5%

       

Mondi PLC

     993,250           16,135,827   

Sappi Ltd. (a)

     415,370           1,506,024   
       

 

 

 
          17,641,851   
       

 

 

 
          212,704,040   
       

 

 

 

Energy - 3.3%

       

Energy Equipment & Services - 0.0%

       

Aker Solutions ASA (a)(d)

     84,270           468,731   

Deep Sea Supply PLC

     796,140           563,907   
       

 

 

 
          1,032,638   
       

 

 

 

Oil, Gas & Consumable Fuels - 3.3%

       

BG Group PLC

     2,040,874           27,310,366   

Gaztransport Et Technigaz SA

     12,591           745,028   

Gran Tierra Energy, Inc. (a)

     81,360           312,331   

JX Holdings, Inc.

     7,927,700           30,851,480   

KrisEnergy Ltd. (a)

     919,000           434,356   

Petroleo Brasileiro SA (Sponsored ADR)

     1,023,540           7,758,433   

Royal Dutch Shell PLC-Class B

     357,745           12,360,469   

Statoil ASA

     468,380           8,246,690   

Total SA

     540,000           27,665,278   
       

 

 

 
          115,684,431   
       

 

 

 
          116,717,069   
       

 

 

 

Utilities - 1.7%

       

Electric Utilities - 1.3%

       

Electricite de France SA

     877,090           24,144,875   

Elia System Operator SA/NV

     150,360           7,001,810   

Power Assets Holdings Ltd.

     1,446,000           13,970,652   
       

 

 

 
          45,117,337   
       

 

 

 

Gas Utilities - 0.0%

       

ENN Energy Holdings Ltd.

     124,000           701,506   
       

 

 

 

Independent Power Producers & Energy Traders - 0.2%

       

APR Energy PLC

     1,420,187           4,097,645   

Electric Power Development Co., Ltd.

     32,000           1,081,310   

Huadian Fuxin Energy Corp., Ltd.-Class H

     2,408,000           1,127,720   

Huadian Power International Corp. Ltd.-Class H

     1,162,000           1,008,075   
       

 

 

 
          7,314,750   
       

 

 

 

Multi-Utilities - 0.1%

       

United Utilities Group PLC

     248,670           3,532,088   
       

 

 

 

Water Utilities - 0.1%

       

Cia de Saneamento Basico do Estado de Sao Paulo

     182,800           1,177,313   

CT Environmental Group Ltd.

     282,000           287,565   


Company

   Shares        U.S. $ Value  

Pennon Group PLC

     78,390         $ 1,119,933   
       

 

 

 
          2,584,811   
       

 

 

 
          59,250,492   
       

 

 

 

Total Common Stocks
(cost $3,173,040,379)

          3,410,314,227   
       

 

 

 

WARRANTS - 1.8%

       

Financials - 1.0%

       

Banks - 0.0%

       

Bank of Baroda, JPMorgan Chase Bank, expiring 5/05/16 (a)(d)

     30,640           527,195   
       

 

 

 

Thrifts & Mortgage Finance - 0.7%

       

Housing Development Finance Corp., Ltd., Deutsche Bank AG London, expiring 1/30/17 (a)(d)

     1,395,910           25,136,567   

LIC Housing Finance Ltd., JPMorgan Structured Products, expiring 3/06/17 (a)(d)

     79,670           550,473   
       

 

 

 
          25,687,040   
       

 

 

 

Consumer Finance - 0.3%

       

Muthoot Finance Ltd., Merrill Lynch Intl & Co., expiring 5/22/18(a)

     2,081,596           6,324,380   

Shriram Transport Finance Co., Ltd., Merrill Lynch Intl & Co., expiring 1/22/15 (a)(d)

     111,470           1,963,502   
       

 

 

 
          8,287,882   
       

 

 

 
          34,502,117   
       

 

 

 

Information Technology - 0.4%

       

IT Services - 0.4%

       

HCL Technologies Ltd., Merrill Lynch Intl & Co., expiring 11/29/18 (a)

     206,510           5,255,308   

Tata Consultancy Services Ltd., Merrill Lynch Intl & Co., expiring 12/14/15 (a)

     95,710           3,879,269   

Tata Consultancy Services Ltd., Merrill Lynch Intl & Co., expiring 1/08/19 (a)

     105,358           4,285,862   
       

 

 

 
          13,420,439   
       

 

 

 

Health Care - 0.2%

       

Pharmaceuticals - 0.2%

       

Lupin Ltd., Merrill Lynch Intl & Co., expiring 12/19/18 (a)

     37,890           859,002   

Sun Pharmaceutical Industries Ltd., Merrill Lynch Intl & Co., expiring 7/27/18 (a)

     541,600           7,106,191   
       

 

 

 
          7,965,193   
       

 

 

 

Consumer Discretionary - 0.1%

       

Textiles, Apparel & Luxury Goods - 0.1%

       

Titan Co., Ltd., JPMorgan Structured Products, expiring 8/24/16 (a)

     472,390           2,861,096   
       

 

 

 

 


Company

   Shares        U.S. $ Value  

Auto Components - 0.0%

       

Motherson Sumi Systems Ltd., JPMorgan Chase Bank, expiring 11/05/18 (a)

     108,040         $ 786,603   
       

 

 

 
          3,647,699   
       

 

 

 

Energy - 0.1%

       

Oil, Gas & Consumable Fuels - 0.1%

       

Petronet LNG Ltd., Deutsch Bank AG London, expiring 8/14/18 (a)

     307,670           1,019,709   
       

 

 

 

Industrials - 0.0%

       

Transportation Infrastructure - 0.0%

       

Adani Ports & Special Economic Zone Ltd., Merrill Lynch Intl & Co., expiring 11/07/18 (a)

     169,410           860,086   
       

 

 

 

Utilities - 0.0%

       

Multi-Utilities - 0.0%

       

Qatar Electricity & Water Co., Credit Suisse International, expiring 8/24/15 (a)(d)

     15,820           814,680   
       

 

 

 

Total Warrants
(cost $50,374,888)

          62,229,923   
       

 

 

 
     Principal
Amount
(000)
          

SHORT-TERM INVESTMENTS - 1.1%

       

Repurchase Agreements - 1.1%

       

State Street Bank & Trust Co. 0.00%, dated 12/31/14 due 1/02/15 in the amount of $38,200,089 (collateralized by $37,120,000 U.S. Treasury Notes, 2.125% to 2.625%, due 8/15/20 to 8/31/20, value $38,966,564)
(cost $38,200,089)

   $ 38,200           38,200,089   
       

 

 

 

Total Investments - 99.7%
(cost $3,261,615,356)(e)

          3,510,744,239   

Other assets less liabilities - 0.3%

          10,511,022   
       

 

 

 

Net Assets - 100.0%

        $ 3,521,255,261   
       

 

 

 

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty

   Contracts to
Deliver
(000)
     In Exchange
For
(000)
     Settlement
Date
     Unrealized
Appreciation/
(Depreciation)
 

Bank of America, NA

     USD         68,975         SEK         497,944         1/15/15       $ (5,097,876

Barclays Bank PLC

     CHF         38,238         USD         40,010         1/15/15         1,543,048   

Barclays Bank PLC

     HKD         1,221,831         USD         157,516         1/15/15         (43,049

Barclays Bank PLC

     NOK         228,916         USD         33,428         1/15/15         2,721,874   

Barclays Bank PLC

     USD         17,610         CAD         20,135         1/15/15         (284,403

Barclays Bank PLC

     USD         60,431         EUR         47,482         1/15/15         (2,969,420

Barclays Bank PLC

     USD         33,455         SEK         246,617         1/15/15         (1,817,971

BNP Paribas SA

     USD         95,236         AUD         110,752         1/15/15         (4,883,855

BNP Paribas SA

     USD         6,593         CAD         7,680         1/15/15         15,857   

BNP Paribas SA

     USD         274,673         EUR         216,673         1/15/15         (12,459,522

BNP Paribas SA

     USD         71,778         NZD         91,169         1/15/15         (724,407

Citibank

     CAD         106,290         USD         94,787         1/15/15         3,325,087   


Counterparty

   Contracts to
Deliver
(000)
     In Exchange
For
(000)
     Settlement
Date
     Unrealized
Appreciation/
(Depreciation)
 

Goldman Sachs Bank USA

     BRL         95,631         USD         36,003         1/05/15       $ 27,088   

Goldman Sachs Bank USA

     USD         36,019         BRL         95,631         1/05/15         (43,361

Goldman Sachs Bank USA

     EUR         134,364         USD         168,772         1/15/15         6,167,886   

Goldman Sachs Bank USA

     JPY         5,859,009         USD         49,782         1/15/15         863,250   

Goldman Sachs Bank USA

     KRW         9,152,061         USD         8,473         1/15/15         137,927   

Goldman Sachs Bank USA

     USD         103,716         CHF         99,992         1/15/15         (3,126,728

Goldman Sachs Bank USA

     USD         20,024         NZD         26,117         1/15/15         330,645   

Goldman Sachs Bank USA

     BRL         95,631         USD         35,711         2/03/15         14,813   

HSBC Bank USA

     GBP         98,431         USD         158,685         1/15/15         5,282,115   

HSBC Bank USA

     USD         23,245         JPY         2,508,651         1/15/15         (2,299,498

JPMorgan Chase Bank

     BRL         95,631         USD         37,553         1/05/15         1,577,312   

JPMorgan Chase Bank

     USD         36,003         BRL         95,631         1/05/15         (27,088

JPMorgan Chase Bank

     USD         7,220         GBP         4,520         1/15/15         (176,106

Morgan Stanley & Co., Inc.

     USD         31,366         EUR         25,265         1/15/15         (790,661

Royal Bank of Scotland PLC

     GBP         44,313         USD         71,934         1/15/15         2,872,880   

Royal Bank of Scotland PLC

     JPY         14,552,688         USD         127,089         1/15/15         5,584,362   

Standard Chartered Bank

     JPY         2,508,651         USD         23,116         1/15/15         2,170,832   

Standard Chartered Bank

     USD         61,869         AUD         70,267         1/15/15         (4,545,194

Standard Chartered Bank

     USD         13,729         HKD         106,494         1/15/15         3,451   

State Street Bank & Trust Co.

     NOK         77,492         USD         11,685         1/15/15         1,290,437   

State Street Bank & Trust Co.

     USD         18,219         HKD         141,264         1/15/15         (2,543

State Street Bank & Trust Co.

     USD         11,923         NOK         77,492         1/15/15         (1,528,835

UBS AG

     GBP         16,450         USD         25,728         1/15/15         91,487   
                 

 

 

 
                  $ (6,800,166
                 

 

 

 

 

(a) Non-income producing security.
(b) Fair valued by the Adviser.
(c) Illiquid security.
(d) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2014, the aggregate market value of these securities amounted to $59,555,677 or 1.7% of net assets.
(e) As of December 31, 2014, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $431,189,307 and gross unrealized depreciation of investments was $(182,060,424), resulting in net unrealized appreciation of $249,128,883.

Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market.

Currency Abbreviations:

 

AUD    -    Australian Dollar
BRL    -    Brazilian Real
CAD    -    Canadian Dollar
CHF    -    Swiss Franc
EUR    -    Euro
GBP    -    Great British Pound
HKD    -    Hong Kong Dollar
JPY    -    Japanese Yen
KRW    -    South Korean Won
NOK    -    Norwegian Krone
NZD    -    New Zealand Dollar
SEK    -    Swedish Krona
USD    -    United States Dollar


Glossary:

 

ADR    -    American Depositary Receipt
GDR    -    Global Depositary Receipt
NVDR    -    Non Voting Depositary Receipt
REG    -    Registered Shares

Country Breakdow*

December 31, 2014 (unaudited)

 

  21.3%        

United Kingdom

  19.7%        

Japan

  12.6%        

France

  7.5%        

Switzerland

  3.9%        

Australia

  3.7%        

Germany

  3.3%        

Hong Kong

  3.1%        

Netherlands

  2.7%        

Denmark

  2.3%        

Singapore

  2.1%        

Canada

  1.9%        

Italy

  1.9%        

Taiwan

  14.0%        

Other

 

 

      
  100.0%        

Total Investments

 

 

      

 

* All data are as of December 31, 2014. The Portfolio’s country breakdown is expressed as a percentage of long-term investments and may vary over time. “Other” country weightings represent 1.9% or less in the following countries: Austria, Belgium, Brazil, China, Colombia, Finland, Georgia, Greece, India, Indonesia, Ireland, Israel, Luxembourg, Mexico, Norway, Peru, Philippines, Qatar, Russia, South Africa, South Korea, Spain, Sweden, Thailand, Turkey and United States.


Sanford C. Bernstein Fund, Inc.

Tax-Managed International Portfolio

December 31, 2014 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolio. Unobservable inputs reflect the Portfolio’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

   

Level 1—quoted prices in active markets for identical investments

   

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

   

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

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.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2014:

 

Investments in Securities:

   Level 1     Level 2     Level 3     Total  

Assets:

        

Common Stock:

        

Financials

   $ 83,900,883      $ 702,293,647      $ 484,916      $ 786,679,446   

Consumer Discretionary

     174,633,823        530,573,379        – 0  –      705,207,202   

Industrials

     5,580,513        496,262,330        – 0  –      501,842,843   

Health Care

     1,885,070        306,921,281        – 0  –      308,806,351   

Consumer Staples

     26,134,399        231,601,032        – 0  –      257,735,431   

Information Technology

     38,531,059        204,064,855        – 0  –      242,595,914   

Telecommunication Services

     1,072,662        217,702,777        – 0  –      218,775,439   

Materials

     5,998,580        206,705,460        – 0  –      212,704,040   

Energy

     8,815,792        107,901,277        – 0  –      116,717,069   

Utilities

     – 0  –      59,250,492        – 0  –      59,250,492   

Warrants

     – 0  –      62,229,923        – 0  –      62,229,923   

Short-Term Investments

     38,200,089        – 0  –      – 0  –      38,200,089   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments in Securities

     384,752,870        3,125,506,453+        484,916        3,510,744,239   

Other Financial Instruments* :

        

Assets:

        

Forward Currency Exchange Contracts

     – 0  –      34,020,351        – 0  –      34,020,351   

Liabilities:

        

Forward Currency Exchange Contracts

     – 0  –      (40,820,517     – 0  –      (40,820,517
  

 

 

   

 

 

   

 

 

   

 

 

 

Total(a)^

   $     384,752,870      $     3,118,706,287      $     484,916      $     3,503,944,073   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
+ A significant portion of the Portfolio’s foreign equity investments are categorized as Level 2 investments since they are valued using fair value prices based on third party vendor modeling tools to the extent available.
(a) An amount of $83,990,083 was transferred from Level 1 to Level 2 due to the above mentioned foreign equity fair valuation using third party vendor modeling tools during the reporting period.
^ There were de minimis transfers under 1% of net assets from level 2 to level 1 during the reporting period.


The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

 

     Common Stocks     Total  

Balance as of 9/30/14

   $             –0  –    $             –0  – 

Accrued discounts/(premiums)

     – 0  –      – 0  – 

Realized gain (loss)

     – 0  –      – 0  – 

Change in unrealized appreciation/depreciation

     (420,046     (420,046

Purchases

     14,516        14,516   

Sales

     – 0  –      – 0  – 

Transfers in to Level 3

     890,446        890,446   

Transfers out of Level 3

     – 0  –      – 0  – 
  

 

 

   

 

 

 

Balance as of 12/31/14

   $ 484,916      $ 484,916 +   
  

 

 

   

 

 

 

Net change in unrealized appreciation/depreciation from Investments held as of 12/31/14

   $ (420,046   $ (420,046
  

 

 

   

 

 

 

 

+ There were de minimis transfers under 1% of net assets during the reporting period.

The Adviser has established a Valuation Committee (the “Committee”) which is responsible for overseeing the pricing and valuation of all securities held in the Portfolio. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily compare of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).


Sanford C. Bernstein Fund, Inc.

International Portfolio

Portfolio of Investments

December 31, 2014 (unaudited)

 

Company

   Shares        U.S. $ Value  

COMMON STOCKS - 92.4%

       

Financials - 21.1%

       

Banks - 8.1%

       

Australia & New Zealand Banking Group Ltd.

     171,440         $ 4,460,858   

Banca Popolare dell’Emilia Romagna SC (a)

     26,440           173,340   

Banca Popolare di Milano Scarl (a)

     269,820           175,770   

Bank Hapoalim BM

     962,660           4,526,548   

Bank of Georgia Holdings PLC

     14,560           468,368   

Bank of Montreal

     44,080           3,118,002   

Bank of Queensland Ltd.

     716,188           7,055,826   

BOC Hong Kong Holdings Ltd.

     1,472,000           4,895,460   

Chiba Bank Ltd. (The)

     74,000           484,915   

Commerzbank AG (a)

     210,770           2,764,584   

Danske Bank A/S

     530,800           14,350,626   

DBS Group Holdings Ltd.

     301,000           4,659,880   

DGB Financial Group, Inc. (a)

     28,390           291,824   

Hang Seng Bank Ltd.

     155,400           2,582,821   

HSBC Holdings PLC

     1,382,660           13,065,806   

ING Groep NV (a)

     601,740           7,774,275   

Liberbank SA (a)

     643,060           522,334   

Mitsubishi UFJ Financial Group, Inc.

     1,661,100           9,126,456   

National Bank of Canada

     55,620           2,366,890   

Resona Holdings, Inc.

     1,286,100           6,496,735   

Seven Bank Ltd.

     1,386,300           5,818,973   

Societe Generale SA

     266,179           11,139,636   

SpareBank 1 SR-Bank ASA

     63,890           450,050   

Toronto-Dominion Bank (The)

     97,050           4,636,982   

UniCredit SpA

     2,267,270           14,523,253   
       

 

 

 
          125,930,212   
       

 

 

 

Capital Markets - 3.0%

       

3i Group PLC

     75,210           524,422   

Daiwa Securities Group, Inc.

     2,380,000           18,635,725   

GAM Holding AG (a)

     25,710           462,214   

Partners Group Holding AG

     15,550           4,524,071   

UBS Group AG (a)

     1,328,033           22,828,489   
       

 

 

 
          46,974,921   
       

 

 

 

Consumer Finance - 0.1%

       

Aeon Thana Sinsap Thailand PCL

     72,200           238,107   

Aeon Thana Sinsap Thailand PCL (NVDR)

     18,300           60,234   

Credito Real SAB de CV

     122,802           262,854   

International Personal Finance PLC

     52,210           362,769   
       

 

 

 
          923,964   
       

 

 

 

Diversified Financial Services - 1.2%

       

Cerved Information Solutions SpA (a)

     405,374           2,140,766   

Chailease Holding Co., Ltd.

     143,010           354,182   

Challenger Ltd./Australia

     599,912           3,169,056   

ORIX Corp.

     1,077,900           13,562,989   
       

 

 

 
          19,226,993   
       

 

 

 

Insurance - 6.1%

       

Admiral Group PLC

     789,252           16,191,580   

AIA Group Ltd.

     3,661,000           20,121,922   

Anadolu Hayat Emeklilik AS

     131,235           287,763   


Company

   Shares        U.S. $ Value  

Direct Line Insurance Group PLC

     1,035,780         $ 4,685,446   

Gjensidige Forsikring ASA

     237,170           3,869,995   

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen

     111,110           22,126,155   

Prudential PLC

     682,350           15,775,574   

Suncorp Group Ltd.

     566,546           6,472,098   

Topdanmark A/S (a)

     67,250           2,182,705   

Tryg A/S

     36,760           4,107,449   
       

 

 

 
          95,820,687   
       

 

 

 

Real Estate Investment Trusts (REITs) - 0.1%

       

Allied Properties Real Estate Investment Trust

     9,170           295,511   

Concentradora Fibra Hotelera Mexicana SA de CV

     177,270           271,545   

Emlak Konut Gayrimenkul Yatirim Ortakligi AS

     248,190           293,551   

Granite Real Estate Investment Trust (Toronto)

     16,790           596,278   

Vastned Retail NV

     8,110           366,712   
       

 

 

 
          1,823,597   
       

 

 

 

Real Estate Management & Development - 2.5%

       

Aeon Mall Co., Ltd.

     21,200           375,685   

Altus Group Ltd./Canada

     17,600           315,249   

Ayala Land, Inc.

     3,861,400           2,879,357   

CA Immobilien Anlagen AG (a)

     19,700           368,433   

CIFI Holdings Group Co., Ltd.

     1,584,000           317,435   

Corp. Inmobiliaria Vesta SAB de CV

     140,490           279,004   

Countrywide PLC

     59,918           405,521   

Daito Trust Construction Co., Ltd.

     104,900           11,899,623   

GAGFAH SA (a)

     27,510           614,363   

Global Logistic Properties Ltd.

     8,647,833           16,123,036   

Kaisa Group Holdings Ltd. (b)(c)

     961,000           197,042   

Lend Lease Group

     36,370           484,407   

Mitsubishi Estate Co., Ltd.

     163,000           3,434,551   

Mitsui Fudosan Co., Ltd.

     26,000           697,204   

Nexity SA

     8,360           316,928   

Quintain Estates & Development PLC (a)

     302,040           448,399   
       

 

 

 
          39,156,237   
       

 

 

 

Thrifts & Mortgage Finance - 0.0%

       

Paragon Group of Cos. PLC (The)

     78,820           508,834   
       

 

 

 
          330,365,445   
       

 

 

 

Consumer Discretionary - 19.0%

       

Auto Components - 3.1%

       

Aisin Seiki Co., Ltd.

     247,900           8,906,656   

Cie Generale des Etablissements Michelin-Class B

     109,464           9,880,951   

Halla Visteon Climate Control Corp. (a)

     13,380           589,479   

Linamar Corp.

     9,380           572,828   

Plastic Omnium SA

     209,946           5,697,483   

Sumitomo Electric Industries Ltd.

     742,800           9,277,032   

Sumitomo Rubber Industries Ltd.

     32,100           477,201   

Valeo SA

     110,142           13,704,985   
       

 

 

 
          49,106,615   
       

 

 

 

Automobiles - 2.7%

       

Great Wall Motor Co., Ltd.-Class H

     1,136,000           6,447,604   

Honda Motor Co., Ltd.

     489,600           14,364,019   


Company

   Shares        U.S. $ Value  

Toyota Motor Corp.

     328,900         $ 20,496,175   
       

 

 

 
          41,307,798   
       

 

 

 

Distributors - 0.0%

       

Inchcape PLC

     45,450           510,634   
       

 

 

 

Diversified Consumer Services - 1.1%

       

Estacio Participacoes SA

     742,800           6,656,194   

G8 Education Ltd.

     87,310           294,955   

GAEC Educacao SA

     31,100           413,583   

Kroton Educacional SA

     1,339,600           7,811,226   

TAL Education Group (ADR) (a)

     67,000           1,882,030   
       

 

 

 
          17,057,988   
       

 

 

 

Hotels, Restaurants & Leisure - 2.6%

       

Flight Centre Travel Group Ltd.

     9,780           258,886   

Galaxy Entertainment Group Ltd.

     267,000           1,483,642   

Jollibee Foods Corp.

     127,700           610,464   

Melco International Development Ltd.

     2,219,000           4,863,332   

Merlin Entertainments PLC (d)

     1,425,821           8,822,476   

Oriental Land Co., Ltd./Japan

     16,400           3,782,068   

Sands China Ltd.

     368,800           1,797,725   

Sodexo SA

     107,100           10,483,407   

Tatts Group Ltd.

     1,997,975           5,619,306   

Yum! Brands, Inc.

     40,500           2,950,425   
       

 

 

 
          40,671,731   
       

 

 

 

Household Durables - 0.1%

       

Berkeley Group Holdings PLC

     11,290           434,094   

Rinnai Corp.

     4,500           302,365   

Techtronic Industries Co., Ltd.

     114,500           367,325   
       

 

 

 
          1,103,784   
       

 

 

 

Internet & Catalog Retail - 0.3%

       

Just Eat PLC (a)

     958,796           4,628,096   

Qunar Cayman Islands Ltd. (ADR) (a)

     14,713           418,291   

Stabilus SA (a)

     6,392           195,870   
       

 

 

 
          5,242,257   
       

 

 

 

Leisure Products - 0.0%

       

Merida Industry Co., Ltd.

     48,300           326,120   
       

 

 

 

Media – 3.1%

       

Cineplex, Inc.

     49,130           1,895,764   

CTS Eventim AG & Co. KGaA

     50,180           1,478,390   

Havas SA

     20,925           170,866   

Liberty Global PLC-Class A (a)

     26,215           1,316,124   

Liberty Global PLC-Series C (a)

     325,217           15,711,233   

Mediaset Espana Comunicacion SA (a)

     20,080           252,447   

Metropole Television SA

     23,490           442,776   

Naspers Ltd.-Class N

     95,650           12,372,817   

Reed Elsevier PLC

     296,920           5,071,982   

Sky PLC

     166,360           2,321,774   

Smiles SA

     12,300           213,082   

Thomson Reuters Corp.

     174,730           7,049,058   

TV Asahi Holdings Corp.

     30,900           486,705   
       

 

 

 
          48,783,018   
       

 

 

 


Company

   Shares        U.S. $ Value  

Multiline Retail - 1.6%

       

B&M European Value Retail SA

     2,704,550         $ 12,013,646   

Canadian Tire Corp., Ltd.-Class A

     13,400           1,415,662   

Dollarama, Inc.

     14,620           747,485   

Harvey Norman Holdings Ltd.

     178,720           487,830   

Next PLC

     40,000           4,242,276   

Poundland Group PLC (a)

     1,140,710           5,835,106   
       

 

 

 
          24,742,005   
       

 

 

 

Specialty Retail - 1.7%

       

Ace Hardware Indonesia Tbk PT

     5,299,500           335,030   

Fielmann AG

     15,400           1,051,734   

JUMBO SA

     36,675           372,922   

L’Occitane International SA

     123,250           311,516   

Luk Fook Holdings International Ltd.

     62,000           232,508   

Matas A/S

     12,000           273,431   

Mr. Price Group Ltd.

     29,660           599,989   

Shimamura Co., Ltd.

     57,600           4,970,702   

Sports Direct International PLC (a)

     1,039,231           11,432,281   

United Arrows Ltd.

     5,600           156,392   

WH Smith PLC

     16,560           346,297   

Yamada Denki Co., Ltd.

     2,058,700           6,907,185   
       

 

 

 
          26,989,987   
       

 

 

 

Textiles, Apparel & Luxury Goods - 2.7%

       

Brunello Cucinelli SpA

     13,940           311,367   

Cie Financiere Richemont SA

     217,607           19,292,734   

Eclat Textile Co., Ltd.

     68,336           686,804   

Global Brands Group Holding Ltd. (a)

     11,628,000           2,270,609   

HUGO BOSS AG

     60,504           7,401,551   

Nan Liu Enterprise Co., Ltd.

     89,230           395,066   

Samsonite International SA

     3,037,300           9,000,869   

Yue Yuen Industrial Holdings Ltd.

     646,000           2,318,732   
       

 

 

 
          41,677,732   
       

 

 

 
          297,519,669   
       

 

 

 

Industrials - 13.7%

       

Aerospace & Defense - 2.3%

       

Airbus Group NV

     370,247           18,304,271   

FACC AG (a)

     44,870           386,995   

Saab AB-Class B

     18,800           483,763   

Safran SA

     118,900           7,335,530   

Senior PLC

     132,030           618,568   

Zodiac Aerospace

     265,901           8,952,294   
       

 

 

 
          36,081,421   
       

 

 

 

Air Freight & Logistics - 0.2%

       

Oesterreichische Post AG

     31,890           1,558,203   

Royal Mail PLC

     59,450           396,172   

Singapore Post Ltd.

     1,203,000           1,740,382   
       

 

 

 
          3,694,757   
       

 

 

 

 


Company

   Shares        U.S. $ Value  

Airlines - 1.2%

       

International Consolidated Airlines Group SA (a)

     1,282,550         $ 9,655,122   

Qantas Airways Ltd. (a)

     4,092,090           7,948,120   

Turk Hava Yollari (a)

     132,000           542,384   
       

 

 

 
          18,145,626   
       

 

 

 

Building Products - 0.1%

       

Kingspan Group PLC

     40,540           702,931   
       

 

 

 

Commercial Services & Supplies - 1.8%

       

Babcock International Group PLC

     904,149           14,812,012   

Berendsen PLC

     126,810           2,167,464   

Edenred

     310,475           8,586,492   

Loomis AB-Class B

     17,300           499,755   

Regus PLC

     518,013           1,672,505   

Rentokil Initial PLC

     322,880           607,991   
       

 

 

 
          28,346,219   
       

 

 

 

Construction & Engineering - 0.1%

       

China State Construction International Holdings Ltd.

     352,000           494,993   

UGL Ltd.

     92,020           164,081   
       

 

 

 
          659,074   
       

 

 

 

Electrical Equipment - 0.0%

       

TKH Group NV

     15,630           497,196   
       

 

 

 

Industrial Conglomerates - 0.5%

       

Toshiba Corp.

     1,971,000           8,312,295   
       

 

 

 

Machinery - 1.0%

       

Duerr AG

     2,330           204,761   

Fincantieri SpA (a)

     191,463           176,863   

IHI Corp.

     105,000           531,768   

JTEKT Corp.

     615,300           10,355,366   

Krones AG

     5,510           535,782   

KUKA AG

     11,910           842,421   

Melrose Industries PLC

     94,076           389,423   

Morgan Advanced Materials PLC

     107,280           530,045   

Nabtesco Corp.

     21,800           526,877   

Nachi-Fujikoshi Corp.

     79,000           484,930   

Pfeiffer Vacuum Technology AG

     3,190           264,228   

Vesuvius PLC

     55,950           386,963   
       

 

 

 
          15,229,427   
       

 

 

 

Marine - 0.5%

       

Nippon Yusen KK

     2,918,000           8,241,910   

Pacific Basin Shipping Ltd.

     431,000           172,965   
       

 

 

 
          8,414,875   
       

 

 

 

Professional Services - 4.2%

       

Applus Services SA (a)

     386,040           4,252,049   

Bureau Veritas SA

     734,930           16,283,074   

Capita PLC

     1,321,542           22,159,205   

Intertek Group PLC

     458,296           16,586,650   

Teleperformance

     93,300           6,350,939   
       

 

 

 
          65,631,917   
       

 

 

 


Company

   Shares        U.S. $ Value  

Road & Rail - 0.7%

       

Central Japan Railway Co.

     60,100         $ 9,007,563   

ComfortDelGro Corp., Ltd.

     753,000           1,473,560   

Localiza Rent a Car SA

     15,940           214,137   

National Express Group PLC

     99,095           381,092   
       

 

 

 
          11,076,352   
       

 

 

 

Trading Companies & Distributors - 1.1%

       

Barloworld Ltd.

     40,010           329,341   

Brenntag AG

     222,200           12,423,218   

Bunzl PLC

     111,340           3,043,724   

Diploma PLC

     31,740           354,214   

Ramirent Oyj

     33,750           261,614   

Rexel SA

     48,250           864,452   
       

 

 

 
          17,276,563   
       

 

 

 
          214,068,653   
       

 

 

 

Health Care - 8.5%

       

Biotechnology - 1.4%

       

Actelion Ltd. (REG) (a)

     138,100           15,898,218   

Basilea Pharmaceutica (a)

     6,110           561,761   

CSL Ltd.

     70,040           4,920,008   

Medy-Tox, Inc.

     2,700           780,399   

Taiwan Liposome Co., Ltd. (a)

     46,000           389,427   
       

 

 

 
          22,549,813   
       

 

 

 

Health Care Equipment & Supplies - 0.1%

       

Ginko International Co., Ltd.

     35,000           369,348   

Sorin SpA (a)

     203,720           474,357   
       

 

 

 
          843,705   
       

 

 

 

Health Care Providers & Services - 0.6%

       

Shanghai Pharmaceuticals Holding Co., Ltd.-Class H

     201,500           453,711   

Sonic Healthcare Ltd.

     613,270           9,226,374   
       

 

 

 
          9,680,085   
       

 

 

 

Health Care Technology - 0.0%

       

M3, Inc.

     12,200           204,130   
       

 

 

 

Life Sciences Tools & Services - 1.5%

       

Eurofins Scientific SE

     88,823           22,672,248   

Horizon Discovery Group PLC (a)

     83,728           262,302   
       

 

 

 
          22,934,550   
       

 

 

 

Pharmaceuticals - 4.9%

       

Almirall SA (a)

     13,540           223,439   

Astellas Pharma, Inc.

     726,400           10,113,015   

GlaxoSmithKline PLC

     910,919           19,542,490   

Indivior PLC (a)

     95,023           221,266   

Novartis AG

     95,240           8,832,889   

Novo Nordisk A/S-Class B

     262,637           11,109,482   

Orion Oyj-Class B

     76,790           2,388,206   

Ouro Fino Saude Animal Participacoes SA (a)

     30,500           352,020   

Roche Holding AG

     85,570           23,184,523   
       

 

 

 
          75,967,330   
       

 

 

 
          132,179,613   
       

 

 

 


Company

   Shares        U.S. $ Value  

Consumer Staples - 7.0%

       

Beverages - 0.8%

       

Anheuser-Busch InBev NV

     29,690         $ 3,341,352   

Asahi Group Holdings Ltd.

     102,000           3,155,605   

Cott Corp.

     46,230           318,731   

Heineken NV

     84,720           6,015,771   
       

 

 

 
          12,831,459   
       

 

 

 

Food & Staples Retailing - 2.4%

       

Alimentation Couche-Tard, Inc.-Class B

     148,328           6,216,294   

Axfood AB

     19,190           1,145,487   

Booker Group PLC

     148,510           377,254   

Clicks Group Ltd.

     50,430           352,592   

Delhaize Group SA

     4,100           298,584   

FamilyMart Co., Ltd.

     12,100           455,732   

Jean Coutu Group PJC, Inc. (The)-Class A

     119,609           2,914,556   

Koninklijke Ahold NV

     739,725           13,147,026   

Lawson, Inc.

     38,400           2,320,440   

Lenta Ltd. (GDR) (a)(d)

     121,760           823,098   

MARR SpA

     26,800           475,375   

Metro, Inc.

     9,170           736,410   

Olam International Ltd.

     3,426,746           5,200,358   

Sugi Holdings Co., Ltd.

     37,900           1,547,057   

Tsuruha Holdings, Inc.

     34,300           1,984,705   
       

 

 

 
          37,994,968   
       

 

 

 

Food Products - 0.6%

       

Calbee, Inc.

     17,500           602,819   

Glanbia PLC

     32,636           500,632   

Mayora Indah Tbk PT

     177,067           298,746   

Nestle SA

     78,690           5,736,578   

Salmar ASA

     11,710           199,345   

Unilever PLC

     46,977           1,908,590   
       

 

 

 
          9,246,710   
       

 

 

 

Household Products - 0.5%

       

Pigeon Corp.

     9,300           542,246   

Reckitt Benckiser Group PLC

     95,023           7,696,287   
       

 

 

 
          8,238,533   
       

 

 

 

Personal Products - 0.4%

       

Cosmax, Inc. (a)

     4,930           445,045   

Kao Corp.

     121,000           4,771,578   
       

 

 

 
          5,216,623   
       

 

 

 

Tobacco - 2.3%

       

British American Tobacco PLC

     482,074           26,124,046   

Imperial Tobacco Group PLC

     222,590           9,798,302   
       

 

 

 
          35,922,348   
       

 

 

 
          109,450,641   
       

 

 

 

 


Company

   Shares        U.S. $ Value  

Information Technology - 6.2%

       

Communications Equipment - 0.2%

       

Pace PLC

     72,790         $ 390,283   

VTech Holdings Ltd.

     166,000           2,384,685   
       

 

 

 
          2,774,968   
       

 

 

 

Electronic Equipment, Instruments & Components - 0.1%

       

Ju Teng International Holdings Ltd.

     498,000           245,703   

PAX Global Technology Ltd. (a)

     388,000           397,430   

Samsung Electro-Mechanics Co., Ltd. (a)

     5,770           285,298   
       

 

 

 
          928,431   
       

 

 

 

Internet Software & Services - 1.2%

       

Baidu, Inc. (Sponsored ADR) (a)

     38,250           8,719,853   

Telecity Group PLC

     859,796           10,738,673   
       

 

 

 
          19,458,526   
       

 

 

 

IT Services - 0.5%

       

Alten SA

     12,610           537,694   

Computacenter PLC

     41,245           377,029   

DH Corp.

     43,540           1,374,257   

Itochu Techno-Solutions Corp.

     14,900           525,736   

Obic Co., Ltd.

     162,500           5,273,075   

Wirecard AG

     10,190           444,326   
       

 

 

 
          8,532,117   
       

 

 

 

Semiconductors & Semiconductor Equipment - 1.7%

       

Advanced Semiconductor Engineering, Inc.

     3,738,000           4,439,350   

ASM International NV

     19,230           814,364   

Hermes Microvision, Inc.

     10,000           500,107   

Infineon Technologies AG

     173,088           1,831,592   

Kinsus Interconnect Technology Corp.

     120,000           396,494   

Novatek Microelectronics Corp.

     1,131,000           6,320,138   

Sanken Electric Co., Ltd.

     53,000           421,448   

SCREEN Holdings Co., Ltd.

     47,000           276,189   

Sumco Corp.

     521,500           7,465,847   

Tokyo Electron Ltd.

     67,600           5,126,122   
       

 

 

 
          27,591,651   
       

 

 

 

Software - 1.2%

       

Capcom Co., Ltd.

     21,600           324,475   

Dassault Systemes

     124,210           7,574,370   

Open Text Corp.

     32,570           1,895,385   

Oracle Corp. Japan

     128,700           5,244,039   

SAP SE

     31,471           2,197,568   

SDL PLC (a)

     63,890           409,966   

UBISOFT Entertainment (a)

     38,400           700,049   
       

 

 

 
          18,345,852   
       

 

 

 

Technology Hardware, Storage & Peripherals - 1.3%

       

Asustek Computer, Inc.

     459,000           5,008,149   

Casetek Holdings Ltd.

     70,000           394,169   

Catcher Technology Co., Ltd.

     888,000           6,857,521   

Samsung Electronics Co., Ltd.

     900           1,082,020   


Company

   Shares        U.S. $ Value  

Samsung Electronics Co., Ltd. (GDR) (London) (d)

     11,020         $ 6,614,723   
       

 

 

 
          19,956,582   
       

 

 

 
          97,588,127   
       

 

 

 

Telecommunication Services - 6.1%

       

Diversified Telecommunication Services - 3.9%

       

Bezeq The Israeli Telecommunication Corp., Ltd.

     2,161,844           3,834,712   

Com Hem Holding AB (a)

     55,100           445,292   

Hellenic Telecommunications Organization SA (a)

     22,290           243,735   

Nippon Telegraph & Telephone Corp.

     289,500           14,788,412   

Singapore Telecommunications Ltd.

     1,284,000           3,765,286   

Swisscom AG

     8,340           4,376,309   

Telecom Italia SpA (savings shares)

     13,429,542           11,227,691   

Telenor ASA

     402,700           8,146,063   

Telstra Corp., Ltd.

     1,015,960           4,932,308   

Vivendi SA (a)

     364,935           9,083,425   
       

 

 

 
          60,843,233   
       

 

 

 

Wireless Telecommunication Services - 2.2%

       

China Mobile Ltd.

     477,000           5,599,327   

SoftBank Corp.

     224,300           13,351,065   

StarHub Ltd.

     443,000           1,384,093   

Vodafone Group PLC

     3,929,399           13,472,440   
       

 

 

 
          33,806,925   
       

 

 

 
          94,650,158   
       

 

 

 

Materials - 5.9%

       

Chemicals - 4.7%

       

Arkema SA

     118,652           7,847,266   

Chr Hansen Holding A/S

     159,020           7,045,117   

Denki Kagaku Kogyo KK

     1,490,000           5,457,235   

Essentra PLC

     1,884,868           21,367,034   

Fuchs Petrolub SE (Preference Shares)

     11,690           465,601   

Givaudan SA (a)

     2,800           5,022,799   

Hyosung Corp. (a)

     6,800           422,007   

IMCD Group NV (a)

     54,049           1,844,337   

JSR Corp.

     643,700           11,048,647   

Kansai Paint Co., Ltd.

     43,000           666,155   

Koninklijke DSM NV

     134,935           8,230,088   

Lanxess AG

     7,300           338,079   

Mitsubishi Gas Chemical Co., Inc.

     861,000           4,321,268   

Teijin Ltd.

     146,000           388,053   
       

 

 

 
          74,463,686   
       

 

 

 

Construction Materials - 0.1%

       

Cementos Pacasmayo SAA

     132,870           236,352   

Cemex Latam Holdings SA (a)

     59,930           403,484   

West China Cement Ltd.

     2,808,000           294,188   
       

 

 

 
          934,024   
       

 

 

 

Containers & Packaging - 0.0%

       

Smurfit Kappa Group PLC

     20,750           466,634   
       

 

 

 

Metals & Mining - 0.7%

       

BlueScope Steel Ltd. (a)

     92,912           420,533   


Company

   Shares        U.S. $ Value  

Dowa Holdings Co., Ltd.

     411,139         $ 3,266,506   

Rio Tinto PLC

     137,350           6,331,431   

Western Areas Ltd.

     127,540           386,269   
       

 

 

 
          10,404,739   
       

 

 

 

Paper & Forest Products - 0.4%

       

Mondi PLC

     378,640           6,151,190   

Sappi Ltd. (a)

     173,120           627,688   
       

 

 

 
          6,778,878   
       

 

 

 
          93,047,961   
       

 

 

 

Energy - 3.2%

       

Energy Equipment & Services - 0.0%

       

Aker Solutions ASA (a)(d)

     34,610           192,509   

Deep Sea Supply PLC

     331,956           235,125   
       

 

 

 
          427,634   
       

 

 

 

Oil, Gas & Consumable Fuels - 3.2%

       

BG Group PLC

     841,726           11,263,726   

Gaztransport Et Technigaz SA

     5,474           323,905   

Gran Tierra Energy, Inc. (a)

     35,360           135,742   

JX Holdings, Inc.

     3,335,700           12,981,228   

KrisEnergy Ltd. (a)

     395,000           186,693   

Petroleo Brasileiro SA (Sponsored ADR)

     450,510           3,414,866   

Royal Dutch Shell PLC (Euronext Amsterdam)-Class A

     160,018           5,333,263   

Statoil ASA

     195,550           3,443,017   

Total SA

     238,770           12,232,664   
       

 

 

 
          49,315,104   
       

 

 

 
          49,742,738   
       

 

 

 

Utilities - 1.7%

       

Electric Utilities - 1.3%

       

Electricite de France SA

     384,800           10,592,924   

Elia System Operator SA/NV

     62,550           2,912,764   

Power Assets Holdings Ltd.

     678,500           6,555,386   
       

 

 

 
          20,061,074   
       

 

 

 

Gas Utilities - 0.0%

       

ENN Energy Holdings Ltd.

     54,000           305,495   
       

 

 

 

Independent Power Producers & Energy Traders - 0.2%

       

APR Energy PLC

     602,804           1,739,262   

Electric Power Development Co., Ltd.

     13,600           459,557   

Huadian Fuxin Energy Corp., Ltd.-Class H

     1,046,000           489,865   

Huadian Power International Corp. Ltd.-Class H

     484,000           419,886   
       

 

 

 
          3,108,570   
       

 

 

 

Multi-Utilities - 0.1%

       

United Utilities Group PLC

     111,100           1,578,055   
       

 

 

 

Water Utilities - 0.1%

       

Cia de Saneamento Basico do Estado de Sao Paulo

     76,200           490,762   

CT Environmental Group Ltd.

     122,000           124,407   


Company

   Shares        U.S. $ Value  

Pennon Group PLC

     32,210         $ 460,174   
       

 

 

 
          1,075,343   
       

 

 

 
          26,128,537   
       

 

 

 

Total Common Stocks
(cost $1,376,455,650)

          1,444,741,542   
       

 

 

 

INVESTMENT COMPANIES - 4.4%

       

Funds and Investment Trusts - 4.4%

       

iShares Core MSCI EAFE ETF
(cost $69,990,972)

     1,243,360           68,782,675   
       

 

 

 

WARRANTS - 1.7%

       

Financials - 1.0%

       

Banks - 0.0%

       

Bank of Baroda, JPMorgan Chase Bank, expiring 5/05/16 (a)(d)

     12,770           219,722   
       

 

 

 

Consumer Finance - 0.3%

       

Muthoot Finance Ltd., Merrill Lynch Intl & Co., expiring 5/22/18 (a)

     883,608           2,684,609   

Shriram Transport Finance Co., Ltd., Merrill Lynch Intl & Co., expiring 1/22/15 (a)(d)

     49,340           869,106   
       

 

 

 
          3,553,715   
       

 

 

 

Thrifts & Mortgage Finance - 0.7%

       

Housing Development Finance Corp., Ltd., Deutsche Bank AG London, expiring 1/30/17 (a)(d)

     586,810           10,566,863   

LIC Housing Finance Ltd., JPMorgan Structured Products, expiring 3/06/17 (a)(d)

     33,300           230,083   
       

 

 

 
          10,796,946   
       

 

 

 
          14,570,383   
       

 

 

 

Information Technology - 0.4%

       

IT Services - 0.4%

       

HCL Technologies Ltd., Merrill Lynch Intl & Co., expiring 11/29/18 (a)

     85,170           2,167,423   

Tata Consultancy Services Ltd., Merrill Lynch Intl & Co., expiring 12/14/15 (a)

     34,950           1,416,576   

Tata Consultancy Services Ltd., Merrill Lynch Intl & Co., expiring 1/08/19 (a)

     49,965           2,032,528   
       

 

 

 
          5,616,527   
       

 

 

 

Health Care - 0.2%

       

Pharmaceuticals - 0.2%

       

Lupin Ltd., Merrill Lynch Intl & Co., expiring 12/19/18 (a)

     16,420           372,257   

Sun Pharmaceutical Industries Ltd., Merrill Lynch Intl & Co., expiring 7/27/18 (a)

     222,800           2,923,300   
       

 

 

 
          3,295,557   
       

 

 

 

 


Company

   Shares      U.S. $ Value  

Consumer Discretionary - 0.1%

     

Auto Components - 0.0%

     

Motherson Sumi Systems Ltd., JPMorgan Chase Bank, expiring 11/05/18 (a)

     46,960       $ 341,900   
     

 

 

 

Textiles, Apparel & Luxury Goods - 0.1%

     

Titan Co., Ltd., JPMorgan Structured Products, expiring 8/24/16 (a)

     193,510         1,172,020   
     

 

 

 
        1,513,920   
     

 

 

 

Energy - 0.0%

     

Oil, Gas & Consumable Fuels - 0.0%

     

Petronet LNG Ltd., Deutsch Bank AG London, expiring 8/14/18 (a)

     128,250         425,058   
     

 

 

 

Industrials - 0.0%

     

Transportation Infrastructure - 0.0%

     

Adani Ports & Special Economic Zone Ltd., Merrill Lynch Intl & Co., expiring 11/07/18 (a)

     73,640         373,867   
     

 

 

 

Utilities - 0.0%

     

Multi-Utilities - 0.0%

     

Qatar Electricity & Water Co., Credit Suisse International, expiring 8/24/15 (a)(d)

     6,876         354,092   
     

 

 

 

Total Warrants
(cost $21,238,885)

        26,149,404   
     

 

 

 
     Principal
Amount

(000)
        

SHORT-TERM INVESTMENTS - 0.9%

     

Repurchase Agreements - 0.9%

     

State Street Bank & Trust Co. 0.00%, dated 12/31/14 due 1/02/15 in the amount of $13,656,815 (collateralized by $13,595,000 U.S. Treasury Notes, 2.125% due 8/31/20, value $13,933,361)

   $ 13,657         13,656,815   
     

 

 

 

Total Investments - 99.4%
(cost $1,481,342,322) (e)

        1,553,330,436   

Other assets less liabilities - 0.6%

        9,886,943   
     

 

 

 

Net Assets - 100.0%

      $ 1,563,217,379   
     

 

 

 

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty

   Contracts to
Deliver
(000)
     In Exchange
For
(000)
     Settlement
Date
     Unrealized
Appreciation/
(Depreciation)
 

Barclays Bank PLC

     NOK         61,515         USD         8,964         3/18/15       $ 727,019   

Barclays Bank PLC

     USD         17,068         SEK         125,803         3/18/15         (926,435

BNP Paribas SA

     USD         38,894         AUD         45,406         3/18/15         (2,017,700

BNP Paribas SA

     USD         3,492         CAD         4,073         3/18/15         8,404   

Credit Suisse International

     USD         98,587         EUR         79,936         3/18/15         (1,796,148

Deutsche Bank AG

     USD         26,817         SEK         202,865         3/18/15         (786,562

Goldman Sachs Bank USA

     BRL         37,807         USD         14,233         1/05/15         10,709   


Counterparty

   Contracts to
Deliver
(000)
     In Exchange
For
(000)
     Settlement
Date
     Unrealized
Appreciation/
(Depreciation)
 

Goldman Sachs Bank USA

     USD         14,240         BRL         37,807         1/05/15       $ (17,142

Goldman Sachs Bank USA

     BRL         37,807         USD         14,118         2/03/15         5,856   

Goldman Sachs Bank USA

     JPY         2,727,633         USD         23,188         3/18/15         401,241   

Goldman Sachs Bank USA

     KRW         4,382,844         USD         3,918         3/18/15         (75,119

Goldman Sachs Bank USA

     USD         26,492         AUD         32,128         3/18/15         (399,401

Goldman Sachs Bank USA

     USD         31,407         CHF         30,257         3/18/15         (932,752

Goldman Sachs Bank USA

     USD         7,899         NZD         10,365         3/18/15         130,400   

HSBC Bank USA

     HKD         36,564         USD         4,717         3/18/15         2,038   

JPMorgan Chase Bank

     BRL         37,807         USD         14,846         1/05/15         623,578   

JPMorgan Chase Bank

     USD         14,233         BRL         37,807         1/05/15         (10,709

Morgan Stanley & Co., Inc.

     USD         10,832         EUR         8,721         3/18/15         (272,032

Royal Bank of Scotland PLC

     JPY         4,878,003         USD         42,625         3/18/15         1,874,549   

Royal Bank of Scotland PLC

     USD         31,363         NZD         41,311         3/18/15         637,874   

Standard Chartered Bank

     HKD         442,772         USD         57,119         3/18/15         22,833   

Standard Chartered Bank

     USD         6,501         HKD         50,431         3/18/15         1,635   

State Street Bank & Trust Co.

     CAD         36,939         USD         32,112         3/18/15         370,450   

State Street Bank & Trust Co.

     NOK         36,368         USD         5,053         3/18/15         183,170   

UBS AG

     GBP         58,737         USD         91,731         3/18/15         236,605   
                 

 

 

 
                  $ (1,997,639
                 

 

 

 

 

(a) Non-income producing security.
(b) Fair valued by the Adviser.
(c) Illiquid security.
(d) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2014, the aggregate market value of these securities amounted to $28,692,672 or 1.8% of net assets.
(e) As of December 31, 2014, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $149,784,613 and gross unrealized depreciation of investments was $(77,796,499), resulting in net unrealized appreciation of $71,988,114.

Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market.

Currency Abbreviations:

 

AUD    -    Australian Dollar
BRL    -    Brazilian Real
CAD    -    Canadian Dollar
CHF    -    Swiss Franc
EUR    -    Euro
GBP    -    Great British Pound
HKD    -    Hong Kong Dollar
JPY    -    Japanese Yen
KRW    -    South Korean Won
NOK    -    Norwegian Krone
NZD    -    New Zealand Dollar
SEK    -    Swedish Krona
USD    -    United States Dollar


Glossary:

 

ADR    -    American Depositary Receipt
EAFE    -    Europe, Australia, and Far East
ETF    -    Exchange Traded Fund
GDR    -    Global Depositary Receipt
MSCI    -    Morgan Stanley Capital International
NVDR    -    Non Voting Depositary Receipt
REG    -    Registered Shares

Country Breakdown*

December 31, 2014 (unaudited)

 

  20.6%        

United Kingdom

  19.0%        

Japan

  12.2%        

France

  7.1%        

Switzerland

  5.7%        

United States

  3.6%        

Australia

  3.6%        

Germany

  3.3%        

Hong Kong

  2.8%        

Netherlands

  2.5%        

Denmark

  2.2%        

Singapore

  1.9%        

Italy

  1.9%        

Canada

  12.7%        

Other

  0.9%        

Short-Term

 

 

      
  100.0%        

Total Investments

 

 

      

 

* All data are as of December 31, 2014. The Portfolio’s country breakdown is expressed as a percentage of long-term investments and may vary over time. “Other” country weightings represent 1.7% or less in the following countries: Austria, Belgium, Brazil, China, Colombia, Finland, Georgia, Greece, India, Indonesia, Ireland, Israel, Luxembourg, Mexico, Norway, Peru, Philippines, Qatar, Russia, South Africa, South Korea, Spain, Sweden, Taiwan, Thailand, and Turkey.


Sanford C. Bernstein Fund, Inc. - International Portfolio

December 31, 2014 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolio. Unobservable inputs reflect the Portfolio’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

   

Level 1—quoted prices in active markets for identical investments

   

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

   

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

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.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2014:

 

Investments in Securities:

   Level 1      Level 2     Level 3      Total  

Assets:

          

Common Stock:

          

Financials

   $ 35,869,253       $ 294,299,150      $ 197,042       $ 330,365,445   

Consumer Discretionary

     71,841,349         225,678,320        – 0 –         297,519,669   

Industrials

     2,302,385         211,766,268        – 0 –         214,068,653   

Health Care

     835,588         131,344,025        – 0 –         132,179,613   

Consumer Staples

     11,009,089         98,441,552        – 0 –         109,450,641   

Information Technology

     14,751,209         82,836,918        – 0 –         97,588,127   

Telecommunication Services

     445,292         94,204,866        – 0 –         94,650,158   

Materials

     2,484,173         90,563,788        – 0 –         93,047,961   

Energy

     3,874,513         45,868,225        – 0 –         49,742,738   

Utilities

     – 0 –         26,128,537        – 0 –         26,128,537   

Investment Companies

     68,782,675         – 0 –        – 0 –         68,782,675   

Warrants

     – 0 –         26,149,404        – 0 –         26,149,404   

Short-Term Investments

     13,656,815         – 0 –        – 0 –         13,656,815   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total Investments in Securities

     225,852,341         1,327,281,053     197,042         1,553,330,436   

Other Financial Instruments* :

          

Assets:

          

Forward Currency Exchange Contracts

     – 0 –         5,236,361        – 0 –         5,236,361   

Liabilities:

          

Forward Currency Exchange Contracts

     – 0 –         (7,234,000     – 0 –         (7,234,000
  

 

 

    

 

 

   

 

 

    

 

 

 

Total^

   $     225,852,341       $     1,325,283,414      $     197,042       $     1,551,332,797   
  

 

 

    

 

 

   

 

 

    

 

 

 

 

* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
+ A significant portion of the Portfolio’s foreign equity investments are categorized as Level 2 investments since they are valued using fair value prices based on third party vendor modeling tools to the extent available.
^ There were de minimis transfers under 1% of net assets between Level 1 and Level 2 during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.


The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

 

     Common
Stocks
    Total  

Balance as of 9/30/14

   $ – 0 –      $ – 0 –   

Accrued discounts/(premiums)

     – 0 –        – 0 –   

Realized gain (loss)

     – 0 –        – 0 –   

Change in unrealized appreciation/depreciation

     (170,795     (170,795

Purchases

     8,065        8,065   

Sales

     – 0 –        – 0 –   

Transfers in to Level 3

     359,772        359,772   

Transfers out of Level 3

     – 0 –        – 0 –   
  

 

 

   

 

 

 

Balance as of 12/31/14

   $ 197,042      $ 197,042  + 
  

 

 

   

 

 

 

Net change in unrealized appreciation/depreciation from Investments held as of 12/31/14

   $ (170,795   $ (170,795
  

 

 

   

 

 

 

 

+ There were de minimis transfers under 1% of net assets during the reporting period.

The Adviser has established a Valuation Committee (the “Committee”) which is responsible for overseeing the pricing and valuation of all securities held in the Portfolio. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily compare of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).


Sanford C. Bernstein Fund, Inc.

Emerging Markets Portfolio

Portfolio of Investments

December 31, 2014 (unaudited)

 

Company

   Shares        U.S. $ Value  

COMMON STOCKS - 96.8%

       

Financials - 31.3%

       

Banks - 19.2%

       

Axis Bank Ltd.

     1,044,880         $ 8,260,259   

Banco Bradesco SA (Preference Shares)

     185,000           2,440,035   

Banco Davivienda SA (Preference Shares)

     385,677           4,560,288   

Banco do Brasil SA

     829,700           7,419,295   

Banco Macro SA (ADR)

     34,580           1,512,183   

Bangkok Bank PCL (NVDR)

     996,700           5,854,224   

Bank Mandiri Persero Tbk PT

     13,452,000           11,698,367   

Bank Muscat SAOG

     296,091           444,073   

Bank of Baroda

     472,052           8,069,559   

Bank of China Ltd.-Class H

     42,962,000           24,113,241   

Bank of Communications Co., Ltd.-Class H

     3,489,000           3,230,522   

China CITIC Bank Corp. Ltd.-Class H

     6,073,000           4,833,851   

China Construction Bank Corp.-Class H

     38,561,400           31,397,388   

China Merchants Bank Co., Ltd.-Class H

     3,683,500           9,194,575   

Credicorp Ltd.

     61,330           9,823,839   

DGB Financial Group, Inc. (a)

     565,580           5,813,670   

First Gulf Bank PJSC

     346,377           1,591,030   

HDFC Bank Ltd.

     916,590           13,755,868   

ICICI Bank Ltd.

     631,150           3,503,858   

ICICI Bank Ltd. (Sponsored ADR)

     364,300           4,207,665   

Industrial & Commercial Bank of China Ltd.-Class H

     17,073,000           12,466,565   

Itausa-Investimentos Itau SA (Preference Shares)

     2,463,100           8,700,816   

Kasikornbank PCL (NVDR)

     877,400           6,068,308   

KB Financial Group, Inc. (a)

     673,467           22,018,342   

Komercni banka AS

     58,289           11,995,936   

Punjab National Bank

     1,486,355           5,118,391   

Shinhan Financial Group Co., Ltd. (a)

     193,560           7,780,165   

State Bank of India

     453,200           2,232,813   

Union Bank of India

     479,778           1,801,267   
       

 

 

 
          239,906,393   
       

 

 

 

Capital Markets - 0.1%

       

China Cinda Asset Management Co., Ltd.-Class H (a)

     1,534,931           747,229   
       

 

 

 

Consumer Finance - 1.1%

       

Muthoot Finance Ltd.

     1,470,823           4,462,159   

Shriram Transport Finance Co., Ltd.

     561,191           9,789,090   
       

 

 

 
          14,251,249   
       

 

 

 

Diversified Financial Services - 0.9%

       

Cielo SA

     198,200           3,106,987   

Power Finance Corp. Ltd.

     1,044,580           4,961,884   

Premium Leisure Corp. (a)

     73,959,000           3,514,612   
       

 

 

 
          11,583,483   
       

 

 

 

Insurance - 2.2%

       

AIA Group Ltd.

     2,815,400           15,474,259   

BB Seguridade Participacoes SA

     1,035,500           12,527,906   
       

 

 

 
          28,002,165   
       

 

 

 


Company

   Shares        U.S. $ Value  

Real Estate Management & Development - 5.9%

       

Ayala Land, Inc.

     11,915,300         $ 8,884,964   

China Overseas Land & Investment Ltd.

     2,486,000           7,370,109   

China Vanke Co., Ltd.-Class H (a)

     2,622,500           5,804,161   

CIFI Holdings Group Co., Ltd.

     13,848,000           2,775,152   

Country Garden Holdings Co., Ltd.

     8,264,133           3,265,628   

Emaar Properties PJSC

     2,159,771           4,162,516   

Global Logistic Properties Ltd.

     8,246,000           15,373,858   

Huaku Development Co., Ltd.

     627,000           1,124,352   

Kaisa Group Holdings Ltd. (b)(c)

     4,618,000           946,867   

KWG Property Holding Ltd.

     12,647,800           8,612,554   

Pruksa Real Estate PCL

     4,115,700           3,596,546   

Shimao Property Holdings Ltd.

     1,863,000           4,135,313   

Sunac China Holdings Ltd.

     8,203,000           8,296,902   
       

 

 

 
          74,348,922   
       

 

 

 

Thrifts & Mortgage Finance - 1.9%

       

Housing Development Finance Corp. Ltd.

     1,165,525           20,846,319   

LIC Housing Finance Ltd.

     401,195           2,757,622   
       

 

 

 
          23,603,941   
       

 

 

 
          392,443,382   
       

 

 

 

Information Technology - 19.0%

       

Communications Equipment - 0.6%

       

BYD Electronic International Co., Ltd.

     8,199,000           7,885,535   
       

 

 

 

Electronic Equipment, Instruments & Components - 0.9%

       

Innolux Corp.

     4,460,751           2,155,933   

Ju Teng International Holdings Ltd.

     4,620,000           2,279,412   

LG Display Co., Ltd. (a)

     102,360           3,104,513   

Unimicron Technology Corp.

     3,493,000           2,645,662   

Yageo Corp.

     684,109           1,097,572   
       

 

 

 
          11,283,092   
       

 

 

 

Internet Software & Services - 3.0%

       

Alibaba Group Holding Ltd. (ADR) (a)

     37,880           3,937,247   

Baidu, Inc. (Sponsored ADR) (a)

     92,526           21,093,152   

Just Dial Ltd.

     165,458           3,542,259   

Tencent Holdings Ltd.

     609,900           8,824,596   
       

 

 

 
          37,397,254   
       

 

 

 

IT Services - 2.1%

       

HCL Technologies Ltd.

     605,809           15,368,002   

QIWI PLC (Sponsored ADR)

     40,223           812,102   

Tata Consultancy Services Ltd.

     241,310           9,801,875   
       

 

 

 
          25,981,979   
       

 

 

 

Semiconductors & Semiconductor Equipment - 7.6%

       

Advanced Semiconductor Engineering, Inc.

     11,319,794           13,443,695   

Advanced Semiconductor Engineering, Inc. (ADR)

     1,130,920           6,932,540   

King Yuan Electronics Co., Ltd.

     4,036,000           3,220,063   

Kinsus Interconnect Technology Corp.

     2,442,000           8,068,655   

Novatek Microelectronics Corp.

     976,000           5,453,983   

SK Hynix, Inc. (a)

     475,640           20,326,672   


Company

   Shares        U.S. $ Value  

Taiwan Semiconductor Manufacturing Co., Ltd.

     8,610,120         $ 37,931,638   
       

 

 

 
          95,377,246   
       

 

 

 

Technology Hardware, Storage & Peripherals - 4.8%

       

Asustek Computer, Inc.

     946,000           10,321,806   

Casetek Holdings Ltd.

     1,329,000           7,483,578   

Catcher Technology Co., Ltd.

     1,443,000           11,143,473   

Inventec Corp.

     4,622,000           3,091,193   

Lite-On Technology Corp.

     2,651,539           3,029,061   

Samsung Electronics Co., Ltd.

     21,131           25,404,618   
       

 

 

 
          60,473,729   
       

 

 

 
          238,398,835   
       

 

 

 

Consumer Discretionary - 17.7%

       

Automobiles - 2.8%

       

Great Wall Motor Co., Ltd.-Class H

     1,366,500           7,755,855   

Hyundai Motor Co. (a)

     39,130           5,977,345   

Kia Motors Corp. (a)

     127,030           6,035,956   

Tata Motors Ltd.

     640,630           5,008,827   

Tata Motors Ltd.-Class A

     1,861,100           9,851,542   
       

 

 

 
          34,629,525   
       

 

 

 

Diversified Consumer Services - 2.5%

       

Estacio Participacoes SA

     945,700           8,474,371   

Kroton Educacional SA

     2,030,400           11,839,290   

New Oriental Education & Technology Group, Inc. (ADR) (a)

     233,320           4,762,061   

TAL Education Group (ADR) (a)

     202,810           5,696,933   
       

 

 

 
          30,772,655   
       

 

 

 

Hotels, Restaurants & Leisure - 3.0%

       

Ajisen China Holdings Ltd.

     6,397,000           4,860,638   

Galaxy Entertainment Group Ltd.

     560,000           3,111,759   

Melco International Development Ltd.

     4,030,000           8,832,460   

NagaCorp Ltd.

     3,566,000           2,905,953   

Sands China Ltd.

     288,000           1,403,863   

Yum! Brands, Inc.

     235,610           17,164,188   
       

 

 

 
          38,278,861   
       

 

 

 

Household Durables - 1.1%

       

Even Construtora e Incorporadora SA

     1,486,700           3,042,528   

Hanssem Co., Ltd. (a)

     31,003           3,222,550   

Rossi Residencial SA (a)

     432,319           551,336   

Skyworth Digital Holdings Ltd.

     12,436,000           6,729,846   
       

 

 

 
          13,546,260   
       

 

 

 

Internet & Catalog Retail - 1.0%

       

JD.com, Inc. (ADR) (a)

     172,326           3,987,624   

Vipshop Holdings Ltd. (ADR) (a)

     459,080           8,970,423   
       

 

 

 
          12,958,047   
       

 

 

 

Media - 3.2%

       

Naspers Ltd.-Class N

     247,550           32,021,860   

Smiles SA

     354,900           6,148,200   


Company

   Shares        U.S. $ Value  

Surya Citra Media Tbk PT

     6,626,000         $ 1,869,874   
       

 

 

 
          40,039,934   
       

 

 

 

Multiline Retail - 0.5%

       

Matahari Department Store Tbk PT

     4,803,000           5,787,427   
       

 

 

 

Specialty Retail - 0.6%

       

Chow Tai Fook Jewellery Group Ltd.

     2,462,571           3,298,105   

Foschini Group Ltd. (The)

     130,672           1,500,170   

Luk Fook Holdings International Ltd.

     169,000           633,772   

Mr. Price Group Ltd.

     123,110           2,490,378   
       

 

 

 
          7,922,425   
       

 

 

 

Textiles, Apparel & Luxury Goods - 3.0%

       

Cie Financiere Richemont SA (Johannesburg)

     1,682,943           15,212,763   

Eclat Textile Co., Ltd.

     1,096,440           11,019,663   

Titan Co., Ltd.

     849,144           5,115,102   

Yue Yuen Industrial Holdings Ltd.

     1,788,000           6,417,790   
       

 

 

 
          37,765,318   
       

 

 

 
          221,700,452   
       

 

 

 

Consumer Staples - 5.5%

       

Food & Staples Retailing - 2.6%

       

7-Eleven Malaysia Holdings Bhd (a)

     4,717,509           2,023,813   

Bizim Toptan Satis Magazalari AS

     109,634           894,044   

CP ALL PCL

     1,218,300           1,573,792   

Lenta Ltd. (GDR) (a)(d)

     1,047,334           7,079,978   

Magnit PJSC (Sponsored GDR) (d)

     249,070           11,282,515   

Olam International Ltd.

     3,731,181           5,662,362   

X5 Retail Group NV (GDR) (a)(d)

     361,950           4,415,790   
       

 

 

 
          32,932,294   
       

 

 

 

Food Products - 1.2%

       

Gruma SAB de CV-Class B

     262,075           2,802,512   

JBS SA

     1,695,300           7,142,939   

MHP SA (GDR) (d)

     178,090           1,638,428   

Universal Robina Corp.

     372,150           1,622,532   

WH Group Ltd. (a)(d)

     4,003,500           2,277,961   
       

 

 

 
          15,484,372   
       

 

 

 

Tobacco - 1.7%

       

British American Tobacco PLC

     318,590           17,264,694   

KT&G Corp. (a)

     55,930           3,883,406   
       

 

 

 
          21,148,100   
       

 

 

 
          69,564,766   
       

 

 

 

Industrials - 5.1%

       

Airlines - 0.6%

       

Air Arabia PJSC

     4,170,300           1,678,866   

Turk Hava Yollari (a)

     1,510,867           6,208,102   
       

 

 

 
          7,886,968   
       

 

 

 


Company

   Shares        U.S. $ Value  

Commercial Services & Supplies - 0.8%

       

Edenred

     354,779         $ 9,811,762   
       

 

 

 

Construction & Engineering - 0.7%

       

IRB Infrastructure Developers Ltd.

     1,137,850           4,732,511   

Larsen & Toubro Ltd.

     179,490           4,226,895   
       

 

 

 
          8,959,406   
       

 

 

 

Electrical Equipment - 0.6%

       

Amara Raja Batteries Ltd.

     603,264           7,870,833   
       

 

 

 

Industrial Conglomerates - 1.6%

       

Alliance Global Group, Inc.

     15,849,300           7,917,288   

Bidvest Group Ltd. (The)

     256,978           6,718,397   

SM Investments Corp.

     264,037           4,770,883   
       

 

 

 
          19,406,568   
       

 

 

 

Professional Services - 0.4%

       

51job, Inc. (ADR) (a)

     143,046           5,128,199   
       

 

 

 

Road & Rail - 0.4%

       

CAR, Inc. (a)

     2,112,000           2,825,759   

Globaltrans Investment PLC (Sponsored GDR) (d)

     358,272           1,809,273   
       

 

 

 
          4,635,032   
       

 

 

 
          63,698,768   
       

 

 

 

Telecommunication Services - 4.5%

       

Diversified Telecommunication Services - 0.4%

       

Telekomunikasi Indonesia Persero Tbk PT

     19,171,500           4,406,162   
       

 

 

 

Wireless Telecommunication Services - 4.1%

       

China Mobile Ltd.

     1,983,500           23,283,573   

SK Telecom Co., Ltd.

     28,460           6,961,112   

Tower Bersama Infrastructure Tbk PT

     18,089,500           14,148,088   

Turkcell Iletisim Hizmetleri AS (a)

     1,167,190           7,122,761   
       

 

 

 
          51,515,534   
       

 

 

 
          55,921,696   
       

 

 

 

Energy - 4.4%

       

Oil, Gas & Consumable Fuels - 4.4%

       

China Petroleum & Chemical Corp.-Class H

     7,705,100           6,239,891   

Gazprom OAO (Sponsored ADR)

     2,547,612           11,540,682   

KazMunaiGas Exploration Production JSC (GDR) (d)

     220,704           3,200,208   

Lukoil OAO (London) (Sponsored ADR)

     421,000           16,145,350   

Petroleo Brasileiro SA (Sponsored ADR)

     1,445,389           10,956,049   

Petronet LNG Ltd.

     2,050,208           6,772,131   
       

 

 

 
          54,854,311   
       

 

 

 

Materials - 4.0%

       

Chemicals - 1.6%

       

Huabao International Holdings Ltd.

     4,079,000           3,324,130   

Hyosung Corp. (a)

     160,010           9,930,203   

UPL Ltd.

     1,191,620           6,523,611   
       

 

 

 
          19,777,944   
       

 

 

 


Company

   Shares        U.S. $ Value  

Construction Materials - 0.7%

       

Cemex Latam Holdings SA (a)

     400,385         $ 2,695,628   

Grasim Industries Ltd.

     13,134           702,165   

Grasim Industries Ltd. (GDR) (d)

     65,566           3,513,355   

West China Cement Ltd.

     13,990,400           1,465,742   
       

 

 

 
          8,376,890   
       

 

 

 

Metals & Mining - 0.7%

       

KGHM Polska Miedz SA

     37,840           1,153,548   

MMC Norilsk Nickel OJSC (ADR)

     151,260           2,150,917   

Real Gold Mining Ltd. (a)(b)(c)

     1,788,000           23   

Tata Steel Ltd.

     739,750           4,656,531   

Ternium SA (Sponsored ADR)

     90,148           1,590,211   
       

 

 

 
          9,551,230   
       

 

 

 

Paper & Forest Products - 1.0%

       

China Forestry Holdings Co., Ltd. (a)(b)(c)

     6,430,000           83   

Nine Dragons Paper Holdings Ltd.

     5,364,000           4,670,932   

Sappi Ltd. (a)

     2,125,644           7,707,032   
       

 

 

 
          12,378,047   
       

 

 

 
          50,084,111   
       

 

 

 

Utilities - 2.7%

       

Electric Utilities - 0.2%

       

Light SA

     463,700           2,968,992   
       

 

 

 

Independent Power Producers & Energy Traders - 1.7%

       

APR Energy PLC

     487,664           1,407,050   

China Resources Power Holdings Co., Ltd.

     798,000           2,050,744   

Datang International Power Generation Co., Ltd.-Class H

     2,806,000           1,515,084   

Huadian Power International Corp. Ltd.-Class H

     7,978,000           6,921,187   

Huaneng Power International, Inc.-Class H

     2,302,000           3,116,498   

NTPC Ltd.

     2,566,850           5,836,417   
       

 

 

 
          20,846,980   
       

 

 

 

Water Utilities - 0.8%

       

Cia de Saneamento Basico do Estado de Sao Paulo

     861,200           5,546,509   

Cia de Saneamento de Minas Gerais-COPASA

     522,600           4,950,368   
       

 

 

 
          10,496,877   
       

 

 

 
          34,312,849   
       

 

 

 

Health Care - 2.6%

       

Health Care Providers & Services - 0.6%

       

Bangkok Dusit Medical Services PCL-Class F

     459,000           239,964   

Shanghai Pharmaceuticals Holding Co., Ltd.-Class H

     3,119,700           7,024,524   
       

 

 

 
          7,264,488   
       

 

 

 

Pharmaceuticals - 2.0%

       

Lupin Ltd.

     209,917           4,746,071   

Richter Gedeon Nyrt

     166,170           2,237,805   


Company

   Shares        U.S. $ Value  

Sun Pharmaceutical Industries Ltd.

     1,410,875         $ 18,447,696   
       

 

 

 
          25,431,572   
       

 

 

 
          32,696,060   
       

 

 

 

Total Common Stocks
(cost $1,190,467,530)

          1,213,675,230   
       

 

 

 

WARRANTS - 0.9%

       

Financials - 0.5%

       

Banks - 0.5%

       

Commercial Bank of Qatar QSC (The), Deutsche Bank AG, expiring 5/26/17 (a)

     348,648           6,559,294   
       

 

 

 

Industrials - 0.4%

       

Industrial Conglomerates - 0.4%

       

John Keells Holdings PLC, Deutsche Bank AG, expiring 7/05/19 (a)

     2,360,440           4,499,504   
       

 

 

 

Total Warrants
(cost $9,737,609)

          11,058,798   
       

 

 

 

RIGHTS - 0.0%

       

Financials - 0.0%

       

Banks - 0.0%

       

DGB Financial Group, Inc., expiring 1/13/15 (a)
(cost $0)

     51,818           54,215   
       

 

 

 
     Principal
Amount
(000)
          

CORPORATES - INVESTMENT GRADE - 0.0%

       

Financials - 0.0%

       

Banking - 0.0%

       

Bank Muscat SAOG 4.50%, 3/20/17
(cost $0)

   OMR 92           259   
       

 

 

 
     Shares           

SHORT-TERM INVESTMENTS - 1.3%

       

Repurchase Agreements - 1.3%

       

State Street Bank & Trust Co.
(cost $16,196,856)

     16,197           16,196,856   
       

 

 

 

Total Investments - 99.0%
(cost $1,216,401,995) (e)

          1,240,985,358   

Other assets less liabilities - 1.0%

          12,373,085   
       

 

 

 

Net Assets - 100.0%

        $ 1,253,358,443   
       

 

 

 

 

(a) Non-income producing security.
(b) Fair valued by the Adviser.
(c) Illiquid security.
(d) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2014, the aggregate market value of these securities amounted to $35,217,508 or 2.8% of net assets.


(e) As of December 31, 2014, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $172,357,779 and gross unrealized depreciation of investments was $(147,774,416), resulting in net unrealized appreciation of $24,583,363.

Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market.

Currency Abbreviations:

 

OMR    -    Oman Rial

Glossary:

 

ADR    -    American Depositary Receipt
GDR    -    Global Depositary Receipt
JSC    -    Joint Stock Company
NVDR    -    Non Voting Depositary Receipt
OJSC    -    Open Joint Stock Company
PJSC    -    Public Joint Stock Company

Country Breakdown*

December 31, 2014 (unaudited)

 

  22.3%        

China

  16.9%        

India

  10.5%        

Taiwan

  9.8%        

South Korea

  7.8%        

Brazil

  4.4%        

Russia

  4.3%        

Hong Kong

  4.1%        

South Africa

  3.1%        

Indonesia

  2.2%        

Philippines

  1.7%        

Singapore

  1.5%        

United Kingdom

  1.4%        

Thailand

  10.0%        

Other

 

 

      
  100.0%        

Total Investments

 

 

      

 

* All data are as of December 31, 2014. The Portfolio’s country breakdown is expressed as a percentage of long-term investments and may vary over time. “Other” country weightings represent 1.4% or less in the following countries: Argentina, Colombia, Cyprus, Czech Republic, France, Hungary, Kazakhstan, Malaysia, Mexico, Oman, Peru, Poland, Qatar, Sri Lanka, Switzerland, Turkey, Ukraine, United Arab Emirates and United States.


Sanford C. Bernstein Fund, Inc.

Emerging Markets Portfolio

December 31, 2014 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolio. Unobservable inputs reflect the Portfolio’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

   

Level 1—quoted prices in active markets for identical investments

   

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

   

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

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

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.

Options and warrants are valued using market-based inputs to models, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency, where such inputs and models are available. Alternatively the values may be obtained through unobservable management determined inputs and/or management’s proprietary models. Where models are used, the selection of a particular model to value an option or a warrant depends upon the contractual terms of, and specific risks inherent in, the option or warrant as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, measures of volatility and correlations of such inputs. Exchange traded options generally will be classified as Level 2. For options or warrants that do not trade on exchange but trade in liquid markets, inputs can generally be verified and model selection does not involve significant management judgment. Options and warrants are classified within Level 2 on the fair value hierarchy when all of the significant inputs can be corroborated to market evidence. Otherwise such instruments are classified as Level 3.

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


The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2014:

 

Investments in Securities:

   Level 1     Level 2     Level 3     Total  

Assets:

        

Common Stock:

        

Financials

   $ 58,761,173      $ 332,735,342      $ 946,867      $ 392,443,382   

Information Technology

     42,576,916        195,821,919        – 0  –      238,398,835   

Consumer Discretionary

     70,636,954        151,063,498        – 0  –      221,700,452   

Consumer Staples

     30,872,438        38,692,328        – 0  –      69,564,766   

Industrials

     6,937,472        58,168,346        – 0  –      65,105,818   

Telecommunication Services

     – 0  –      55,921,696        – 0  –      55,921,696   

Energy

     41,842,289        13,012,022        – 0  –      54,854,311   

Materials

     8,345,332        41,738,673        106        50,084,111   

Utilities

     7,919,360        24,986,439        – 0  –      32,905,799   

Health Care

     – 0  –      32,696,060        – 0  –      32,696,060   

Warrants

     – 0  –      11,058,798        – 0  –      11,058,798   

Rights

     – 0  –      – 0  –      54,215        54,215   

Corporates - Investment Grade

     – 0  –      – 0  –      259        259   

Short-Term Investments

     16,196,856        – 0  –      – 0  –      16,196,856   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments in Securities

     284,088,790        955,895,121+        1,001,447        1,240,985,358   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total (a)(b)

   $     284,088,790      $     955,895,121      $     1,001,447      $     1,240,985,358   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

+ A significant portion of the Portfolio’s foreign equity investments are categorized as Level 2 investments since they are valued using fair value prices based on third party vendor modeling tools to the extent available.

 

(a) An amount of $34,439,826 was transferred from Level 1 to Level 2 due to the above mentioned foreign equity fair valuation using third party vendor modeling tools.

 

(b) An amount of $16,805,922 was transferred from Level 2 to Level 1 due to increase in trading volume during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

 

     Common Stocks     Rights     Corporates-
Investment
Grade
 

Balance as of 9/30/14

   $ 4,509,098      $ – 0  –    $ 256   

Accrued discounts/(premiums)

     – 0  –      – 0  –      – 0  – 

Realized gain (loss)

     – 0  –      92,511        – 0  – 

Change in unrealized appreciation/depreciation

     (795,438     54,215        3   

Purchases

     1,076,669        – 0  –      – 0  – 

Sales

     – 0 –        (92,511     – 0  – 

Transfers in to Level 3

     665,636        – 0  –      – 0  – 

Transfers out of Level 3

     (4,508,992     – 0  –      – 0  – 
  

 

 

   

 

 

   

 

 

 

Balance as of 12/31/14

   $ 946,973      $ 54,215      $ 259   
  

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation/depreciation from
Investments held as of 12/31/14

   $ (795,438   $ 54,215      $ 3   
  

 

 

   

 

 

   

 

 

 
     Total              

Balance as of 9/30/14

   $ 4,509,354       

Accrued discounts/(premiums)

     – 0  –     

Realized gain (loss)

     92,511       

Change in unrealized appreciation/depreciation

     (741,220    

Purchases

     1,076,669       

Sales

     (92,511    

Transfers in to Level 3

     665,636       

Transfers out of Level 3

     (4,508,992    
  

 

 

     

Balance as of 12/31/14

   $     1,001,447     
  

 

 

     

Net change in unrealized appreciation/depreciation from
Investments held as of 12/31/14

   $ (741,220    
  

 

 

     

 

+ There were de minimis transfers under 1% of net assets during the reporting period.

The Adviser has established a Valuation Committee (the “Committee”) which is responsible for overseeing the pricing and valuation of all securities held in the Portfolio. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily compare of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).


Sanford C. Bernstein Fund, Inc. - Intermediate Duration Portfolio

Portfolio of Investments

December 31, 2014 (unaudited)

 

      Principal
Amount
(000)
       U.S. $ Value  

CORPORATES - INVESTMENT GRADE - 22.5%

       

Industrial - 13.2%

       

Basic - 1.4%

       

Basell Finance Co. BV

       

8.10%, 3/15/27 (a)

   U.S.$   3,560         $ 4,770,631   

Cia Minera Milpo SAA

       

4.625%, 3/28/23 (a)

     5,011           4,917,944   

Dow Chemical Co. (The)

       

7.375%, 11/01/29

     700           931,853   

8.55%, 5/15/19

     3,226           4,010,712   

Glencore Funding LLC

       

4.125%, 5/30/23 (a)

     2,622           2,558,440   

International Paper Co.

       

3.65%, 6/15/24

     1,794           1,792,712   

4.75%, 2/15/22

     3,860           4,211,229   

LyondellBasell Industries NV

       

5.75%, 4/15/24

     6,074           6,946,791   

Minsur SA

       

6.25%, 2/07/24 (a)

     7,730           8,346,227   

Sociedad Quimica y Minera de Chile SA

       

3.625%, 4/03/23 (a)

     4,581           4,398,289   

Vale SA

       

5.625%, 9/11/42

     1,488           1,385,938   

Yamana Gold, Inc.

       

4.95%, 7/15/24

     7,731           7,545,278   
       

 

 

 
          51,816,044   
       

 

 

 

Capital Goods - 0.5%

       

Odebrecht Finance Ltd.

       

5.25%, 6/27/29 (a)

     4,673           4,086,539   

Owens Corning

       

6.50%, 12/01/16 (b)

     480           522,974   

Republic Services, Inc.

       

3.80%, 5/15/18

     8           8,464   

5.25%, 11/15/21

     4,903           5,551,588   

5.50%, 9/15/19

     6,718           7,568,358   

United Technologies Corp.

       

4.875%, 5/01/15

     5           5,070   
       

 

 

 
          17,742,993   
       

 

 

 

Communications - Media - 1.8%

       

21st Century Fox America, Inc.

       

6.15%, 2/15/41

     5,925           7,540,451   

6.55%, 3/15/33

     3,525           4,578,742   

DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.

       

1.75%, 1/15/18

     15           14,901   

3.80%, 3/15/22

     3,001           3,053,127   

4.45%, 4/01/24

     4,224           4,419,588   

4.60%, 2/15/21

     3,225           3,454,410   

5.00%, 3/01/21

     4,920           5,365,255   

Globo Comunicacao e Participacoes SA

       

5.307%, 5/11/22 (a)(c)

     3,075           3,214,912   


      Principal
Amount
(000)
       U.S. $ Value  

NBCUniversal Enterprise, Inc.

       

5.25%, 3/19/21 (a)(d)

   U.S.$ 5,187         $ 5,381,512   

Omnicom Group, Inc.

       

3.625%, 5/01/22

     3,557           3,651,595   

Time Warner Cable, Inc.

       

4.00%, 9/01/21

     12           12,772   

4.125%, 2/15/21

     9,385           10,043,733   

8.75%, 2/14/19

     10           12,379   

Time Warner, Inc.

       

4.70%, 1/15/21

     5,650           6,184,304   

Viacom, Inc.

       

5.25%, 4/01/44

     3,368           3,561,603   

5.625%, 9/15/19

     2,220           2,493,207   
       

 

 

 
          62,982,491   
       

 

 

 

Communications - Telecommunications - 2.0%

       

America Movil SAB de CV

       

3.125%, 7/16/22

     7,159           7,063,356   

American Tower Corp.

       

5.05%, 9/01/20

     10,745           11,657,713   

AT&T, Inc.

       

1.40%, 12/01/17

     16           15,839   

5.35%, 9/01/40

     2,103           2,277,173   

5.80%, 2/15/19

     50           56,792   

Deutsche Telekom International Finance BV

       

4.875%, 3/06/42 (a)

     10,746           11,486,722   

Rogers Communications, Inc.

       

4.00%, 6/06/22

   CAD 1,130           1,026,590   

SBA Tower Trust

       

2.898%, 10/15/19 (a)

   U.S.$ 7,996           8,016,965   

Telefonica Emisiones SAU

       

5.462%, 2/16/21

     4,705           5,246,037   

Verizon Communications, Inc.

       

5.15%, 9/15/23

     8,226           9,083,421   

6.55%, 9/15/43

     12,928           16,562,694   
       

 

 

 
          72,493,302   
       

 

 

 

Consumer Cyclical - Automotive - 0.6%

       

Ford Motor Credit Co. LLC

       

2.597%, 11/04/19

     4,755           4,726,572   

5.00%, 5/15/18

     11,532           12,530,071   

5.875%, 8/02/21

     4,933           5,711,368   
       

 

 

 
          22,968,011   
       

 

 

 

Consumer Cyclical - Restaurants - 0.0%

       

McDonald’s Corp.

       

5.00%, 2/01/19

     25           27,819   
       

 

 

 

Consumer Cyclical - Retailers - 0.3%

       

Macy’s Retail Holdings, Inc.

       

3.875%, 1/15/22

     36           37,417   

Walgreens Boots Alliance, Inc./old

       

3.80%, 11/18/24

     9,065           9,245,394   
       

 

 

 
          9,282,811   
       

 

 

 


      Principal
Amount

(000)
       U.S. $ Value  

Consumer Non-Cyclical - 1.8%

       

Actavis Funding SCS

       

3.85%, 6/15/24

   U.S.$  2,531         $ 2,543,931   

Altria Group, Inc.

       

2.625%, 1/14/20

     9,075           9,101,345   

Bayer US Finance LLC

       

3.375%, 10/08/24 (a)

     2,702           2,749,479   

Becton Dickinson and Co.

       

3.734%, 12/15/24

     3,952           4,068,880   

Bunge Ltd. Finance Corp.

       

5.10%, 7/15/15

     5,363           5,479,463   

8.50%, 6/15/19

     5           6,128   

Grupo Bimbo SAB de CV

       

3.875%, 6/27/24 (a)

     6,479           6,504,462   

Kroger Co. (The)

       

3.40%, 4/15/22

     8,097           8,242,867   

Medtronic, Inc.

       

3.50%, 3/15/25 (a)

     9,065           9,273,223   

Perrigo Finance PLC

       

3.50%, 12/15/21

     492           497,739   

Reynolds American, Inc.

       

3.25%, 11/01/22

     5,431           5,290,022   

Thermo Fisher Scientific, Inc.

       

4.15%, 2/01/24

     3,518           3,710,037   

Tyson Foods, Inc.

       

2.65%, 8/15/19

     1,788           1,804,289   

3.95%, 8/15/24

     5,908           6,107,224   
       

 

 

 
          65,379,089   
       

 

 

 

Energy - 3.2%

       

Diamond Offshore Drilling, Inc.

       

4.875%, 11/01/43 (e)

     3,212           2,736,357   

Encana Corp.

       

3.90%, 11/15/21

     3,815           3,759,801   

Energy Transfer Partners LP

       

6.70%, 7/01/18

     3,915           4,402,327   

7.50%, 7/01/38

     7,035           8,731,378   

Enterprise Products Operating LLC

       

3.35%, 3/15/23

     5           4,945   

5.20%, 9/01/20

     2,133           2,352,454   

Kinder Morgan Energy Partners LP

       

3.95%, 9/01/22

     12,863           12,754,449   

4.15%, 3/01/22

     3,287           3,312,409   

Nabors Industries, Inc.

       

5.10%, 9/15/23

     5,329           5,059,635   

National Oilwell Varco, Inc.

       

2.60%, 12/01/22

     14           13,161   

Noble Energy, Inc.

       

3.90%, 11/15/24

     4,729           4,673,898   

8.25%, 3/01/19

     10,609           12,719,141   

Noble Holding International Ltd.

       

3.95%, 3/15/22

     2,078           1,820,442   

4.90%, 8/01/20

     975           913,576   

Reliance Holding USA, Inc.

       

5.40%, 2/14/22 (a)

     6,968           7,542,916   

Sunoco Logistics Partners Operations LP

       

5.30%, 4/01/44

     3,870           3,900,770   


      Principal
Amount

(000)
       U.S. $ Value  

TransCanada PipeLines Ltd.

       

6.35%, 5/15/67

   U.S.$  12,800         $ 12,416,000   

Transocean, Inc.

       

6.375%, 12/15/21

     21           19,371   

6.50%, 11/15/20 (e)

     8,310           7,836,064   

Valero Energy Corp.

       

6.125%, 2/01/20

     6,995           7,933,093   

Weatherford International Ltd./Bermuda

       

9.625%, 3/01/19

     6,870           8,148,370   

Williams Partners LP

       

4.125%, 11/15/20

     4,549           4,660,441   
       

 

 

 
          115,710,998   
       

 

 

 

Other Industrial - 0.1%

       

Hutchison Whampoa International 14 Ltd.

       

1.625%, 10/31/17 (a)

     2,724           2,701,554   
       

 

 

 

Technology - 0.8%

       

Hewlett-Packard Co.

       

4.65%, 12/09/21

     2,366           2,533,432   

KLA-Tencor Corp.

       

4.65%, 11/01/24

     9,105           9,425,924   

Motorola Solutions, Inc.

       

7.50%, 5/15/25

     985           1,212,351   

Seagate HDD Cayman

       

4.75%, 1/01/25 (a)

     3,629           3,738,469   

Telefonaktiebolaget LM Ericsson

       

4.125%, 5/15/22

     591           618,180   

Tencent Holdings Ltd.

       

3.375%, 5/02/19 (a)

     5,733           5,827,233   

Total System Services, Inc.

       

2.375%, 6/01/18

     2,940           2,914,825   

3.75%, 6/01/23

     3,042           2,980,889   
       

 

 

 
          29,251,303   
       

 

 

 

Transportation - Airlines - 0.1%

       

Southwest Airlines Co.

       

5.75%, 12/15/16

     4,235           4,575,727   
       

 

 

 

Transportation - Services - 0.6%

       

Asciano Finance Ltd.

       

3.125%, 9/23/15 (a)

     6,813           6,892,589   

5.00%, 4/07/18 (a)

     6,572           7,065,288   

Ryder System, Inc.

       

5.85%, 11/01/16

     3,664           3,956,680   

7.20%, 9/01/15

     3,547           3,696,329   
       

 

 

 
          21,610,886   
       

 

 

 
          476,543,028   
       

 

 

 

Financial Institutions - 7.6%

       

Banking - 4.1%

       

American Express Co.

       

2.65%, 12/02/22

     17           16,673   

Bank of America Corp.

       

3.30%, 1/11/23

     2,739           2,739,211   

5.625%, 7/01/20

     2,100           2,391,039   


      Principal
Amount
(000)
       U.S. $ Value  

Series 1

       

3.75%, 7/12/16

   U.S.$ 25         $ 25,894   

Series B

       

5.30%, 9/30/15

     30           30,970   

Series L

       

5.65%, 5/01/18

     5,700           6,332,546   

Barclays Bank PLC

       

6.625%, 3/30/22 (a)

   EUR 3,510           5,479,453   

Bear Stearns Cos., LLC (The)

       

5.30%, 10/30/15

   U.S.$ 5           5,183   

BPCE SA

       

5.70%, 10/22/23 (a)

     1,991           2,137,870   

Compass Bank

       

5.50%, 4/01/20

     14,784           16,086,796   

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands

       

3.95%, 11/09/22

     1,581           1,610,452   

Countrywide Financial Corp.

       

6.25%, 5/15/16

     5,826           6,183,379   

Credit Suisse AG

       

6.50%, 8/08/23 (a)

     8,241           8,966,845   

Goldman Sachs Group, Inc. (The)

       

3.625%, 2/07/16

     12           12,313   

3.85%, 7/08/24

     10,315           10,579,043   

5.25%, 7/27/21

     6           6,772   

5.625%, 1/15/17

     10           10,726   

Series D

       

6.00%, 6/15/20

     12,435           14,375,208   

JPMorgan Chase & Co.

       

6.125%, 6/27/17

     50           55,172   

Macquarie Bank Ltd.

       

5.00%, 2/22/17 (a)

     2,532           2,700,641   

Macquarie Group Ltd.

       

4.875%, 8/10/17 (a)

     6,132           6,556,874   

Mizuho Financial Group Cayman 3 Ltd.

       

4.60%, 3/27/24 (a)

     9,248           9,582,519   

Morgan Stanley

       

3.75%, 2/25/23

     8           8,207   

5.625%, 9/23/19

     3,033           3,423,632   

7.25%, 4/01/32

     15           20,535   

Series G

       

5.50%, 7/24/20

     3,953           4,459,881   

Murray Street Investment Trust I

       

4.647%, 3/09/17

     1,107           1,168,325   

National Capital Trust II Delaware

       

5.486%, 3/23/15 (a)(d)

     3,116           3,131,580   

Nationwide Building Society

       

6.25%, 2/25/20 (a)

     13,470           15,800,620   

Nordea Bank AB

       

6.125%, 9/23/24 (a)(d)

     498           492,647   

PNC Funding Corp.

       

5.125%, 2/08/20

     5           5,618   

Rabobank Capital Funding Trust III

       

5.254%, 10/21/16 (a)(d)

     3,880           4,027,440   

Standard Chartered PLC

       

4.00%, 7/12/22 (a)

     6,689           6,800,974   


      Principal
Amount

(000)
       U.S. $ Value  

UBS AG/Stamford CT

       

7.625%, 8/17/22

   U.S.$   5,982         $ 7,042,944   

Wells Fargo Bank NA

       

6.18%, 2/15/36

     4,549           5,919,859   
       

 

 

 
          148,187,841   
       

 

 

 

Finance - 0.1%

       

Aviation Capital Group Corp.

       

7.125%, 10/15/20 (a)

     4,965           5,691,600   

General Electric Capital Corp. Series G

       

5.625%, 5/01/18

     20           22,505   

HSBC Finance Corp.

       

6.676%, 1/15/21

     110           130,510   
       

 

 

 
          5,844,615   
       

 

 

 

Insurance - 2.1%

       

Allied World Assurance Co. Holdings Ltd.

       

7.50%, 8/01/16

     3,185           3,476,918   

American International Group, Inc.

       

4.875%, 6/01/22

     6,703           7,529,775   

6.40%, 12/15/20

     5,975           7,125,008   

Coventry Health Care, Inc.

       

5.95%, 3/15/17

     2,515           2,750,718   

6.125%, 1/15/15

     965           966,352   

Dai-ichi Life Insurance Co., Ltd. (The)

       

5.10%, 10/28/24 (a)(d)

     3,683           3,830,320   

Guardian Life Insurance Co. of America (The)

       

7.375%, 9/30/39 (a)

     4,804           6,855,856   

Hartford Financial Services Group, Inc. (The)

       

4.00%, 3/30/15

     2,705           2,726,383   

5.125%, 4/15/22

     3,400           3,821,899   

5.50%, 3/30/20

     6,904           7,802,128   

6.10%, 10/01/41

     5           6,245   

Lincoln National Corp.

       

8.75%, 7/01/19

     3,071           3,837,307   

MetLife Capital Trust IV

       

7.875%, 12/15/37 (a)

     5,200           6,643,000   

MetLife, Inc.

       

4.75%, 2/08/21

     1,570           1,754,809   

7.717%, 2/15/19

     2,169           2,628,336   

Nationwide Mutual Insurance Co.

       

9.375%, 8/15/39 (a)

     2,673           4,235,254   

Prudential Financial, Inc.

       

4.50%, 11/15/20

     8           8,682   

5.625%, 6/15/43

     8,035           8,214,180   

XLIT Ltd.

       

6.25%, 5/15/27

     5           6,037   
       

 

 

 
          74,219,207   
       

 

 

 

Other Finance - 0.3%

       

ORIX Corp.

       

4.71%, 4/27/15

     9,573           9,686,947   
       

 

 

 


      Principal
Amount

(000)
       U.S. $ Value  

REITS - 1.0%

       

HCP, Inc.

       

5.375%, 2/01/21

   U.S.$   12,835         $ 14,332,922   

Health Care REIT, Inc.

       

5.25%, 1/15/22

     12,820           14,245,353   

Trust F/1401

       

5.25%, 12/15/24 (a)

     5,937           6,115,704   
       

 

 

 
          34,693,979   
       

 

 

 
          272,632,589   
       

 

 

 

Utility - 1.0%

       

Electric - 0.7%

       

Berkshire Hathaway Energy Co.

       

6.125%, 4/01/36

     6,760           8,492,811   

CMS Energy Corp.

       

5.05%, 3/15/22

     1,476           1,654,760   

Constellation Energy Group, Inc.

       

5.15%, 12/01/20

     2,362           2,615,209   

Duke Energy Carolinas LLC

       

3.90%, 6/15/21

     4           4,308   

Exelon Generation Co. LLC

       

4.25%, 6/15/22

     3,830           3,980,060   

TECO Finance, Inc.

       

4.00%, 3/15/16

     2,925           3,027,515   

5.15%, 3/15/20

     3,625           4,047,773   
       

 

 

 
          23,822,436   
       

 

 

 

Natural Gas - 0.3%

       

Talent Yield Investments Ltd.

       

4.50%, 4/25/22 (a)

     12,130           12,698,654   
       

 

 

 
          36,521,090   
       

 

 

 

Non Corporate Sectors - 0.7%

       

Agencies - Not Government Guaranteed - 0.7%

       

CNOOC Finance 2013 Ltd.

       

3.00%, 5/09/23

     8,893           8,416,397   

CNOOC Nexen Finance 2014 ULC

       

4.25%, 4/30/24

     958           991,223   

OCP SA 5.625%, 4/25/24 (a)

     2,079           2,182,950   

Petrobras International Finance Co. SA

       

5.75%, 1/20/20

     13,804           13,330,661   
       

 

 

 
          24,921,231   
       

 

 

 

Energy - 0.0%

       

Rio Oil Finance Trust

       

6.25%, 7/06/24 (a)

     805           760,725   
       

 

 

 
          25,681,956   
       

 

 

 

Total Corporates - Investment Grade
(cost $764,787,982)

          811,378,663   
       

 

 

 

 


      Principal
Amount

(000)
       U.S. $ Value  

GOVERNMENTS - TREASURIES - 22.2%

       

Brazil - 0.5%

       

Brazil Notas do Tesouro Nacional

       

Series F

       

10.00%, 1/01/17

   BRL 47,825         $ 17,128,474   
       

 

 

 

Mexico - 0.8%

       

Mexican Bonos

       

Series M 10

       

7.75%, 12/14/17

   MXN   380,386           28,157,174   
       

 

 

 

United States - 20.9%

       

U.S. Treasury Bonds

       

3.00%, 11/15/44

   U.S.$ 12,308           12,934,630   

3.125%, 8/15/44

     14,806           15,939,577   

3.375%, 5/15/44

     5,710           6,427,647   

3.625%, 8/15/43-2/15/44

     20,148           23,700,805   

3.75%, 11/15/43

     10,205           12,267,522   

4.50%, 2/15/36

     23,360           31,158,222   

4.625%, 2/15/40

     90,608           123,170,658   

4.75%, 2/15/37

     5           6,897   

5.375%, 2/15/31 (f)

     30,313           42,251,108   

8.125%, 8/15/19-8/15/21

     986           1,341,091   

U.S. Treasury Notes

       

1.00%, 8/31/16

     27,705           27,912,787   

1.50%, 10/31/19

     18,940           18,824,580   

1.50%, 11/30/19 (e)

     22,410           22,268,488   

1.75%, 9/30/19-5/15/23

     64,567           63,123,864   

2.00%, 11/15/21

     9,093           9,126,390   

2.125%, 8/15/21

     630           637,432   

2.25%, 11/15/24

     19,889           20,022,131   

2.375%, 8/15/24

     54,465           55,473,576   

2.50%, 8/15/23-5/15/24

     153,018           157,802,573   

2.75%, 11/15/23-2/15/24

     102,550           107,920,066   
       

 

 

 
          752,310,044   
       

 

 

 

Total Governments - Treasuries
(cost $748,115,853)

          797,595,692   
       

 

 

 

MORTGAGE PASS-THROUGHS - 19.5%

       

Agency Fixed Rate 30-Year - 17.9%

       

Federal Home Loan Mortgage Corp. Gold

       

4.50%, 7/01/44

     22,443           24,735,054   

5.00%, 8/01/33

     5           5,482   

Series 2007

       

4.50%, 1/01/37-3/01/37

     515           558,862   

5.50%, 7/01/35

     2,784           3,139,366   

Federal National Mortgage Association

       

3.00%, 5/01/38-9/01/43

     59,572           60,343,017   

3.50%, 1/01/45, TBA

     165,302           172,314,441   

4.00%, 12/01/41

     132           140,917   

4.00%, 1/01/45, TBA

     194,260           207,324,711   

4.50%, 3/01/35-10/01/44

     64,980           71,458,548   

4.50%, 1/25/45, TBA

     21,908           23,780,450   

5.50%, 11/01/33-9/01/36

     3,567           4,012,109   

6.50%, 8/01/31-8/01/34

     12           13,674   

Series 2003

       

5.50%, 4/01/33-7/01/33

     9,114           10,273,931   


      Principal
Amount
(000)
       U.S. $ Value  

Series 2004

       

5.50%, 4/01/34-11/01/34

   U.S.$ 7,876         $ 8,864,461   

Series 2005

       

5.50%, 2/01/35

     7,333           8,256,843   

Series 2006

       

5.50%, 4/01/36

     1,472           1,645,227   

Series 2012

       

3.50%, 5/01/42

     10           10,585   

Series 2014

       

4.50%, 2/01/44

     8,647           9,397,869   

Government National Mortgage Association

       

3.50%, 1/01/45, TBA

     37,513           39,376,927   
       

 

 

 
          645,652,474   
       

 

 

 

Agency Fixed Rate 15-Year - 1.6%

       

Federal Home Loan Mortgage Corp. Gold

       

6.00%, 7/01/17

     2           2,277   

Federal National Mortgage Association

       

3.00%, 1/01/29, TBA

     54,258           56,396,530   
       

 

 

 
          56,398,807   
       

 

 

 

Agency ARMs - 0.0%

       

Federal Home Loan Mortgage Corp.

       

Series 2006

       

2.677%, 12/01/36 (b)

     2           1,951   

Series 2007

       

2.795%, 3/01/37 (b)

     2           2,465   
       

 

 

 
          4,416   
       

 

 

 

Total Mortgage Pass-Throughs
(cost $692,195,706)

          702,055,697   
       

 

 

 

ASSET-BACKED SECURITIES - 15.3%

       

Autos - Fixed Rate - 8.7%

       

Ally Master Owner Trust

       

Series 2012-4, Class A

       

1.72%, 7/15/19

     11,565           11,524,199   

Series 2014-1, Class A2

       

1.29%, 1/15/19

     13,416           13,386,655   

AmeriCredit Automobile Receivables Trust

       

Series 2013-3, Class A3

       

0.92%, 4/09/18

     15,000           15,009,686   

Series 2013-4, Class A3

       

0.96%, 4/09/18

     5,735           5,742,358   

Series 2013-5, Class A2A

       

0.65%, 3/08/17

     1,751           1,751,888   

Series 2014-1, Class A3

       

0.90%, 2/08/19

     6,050           6,014,998   

ARI Fleet Lease Trust

       

Series 2013-A, Class A2

       

0.70%, 12/15/15 (a)

     4,192           4,193,199   

Series 2014-A, Class A2

       

0.81%, 11/15/22 (a)

     4,136           4,125,219   

Avis Budget Rental Car Funding AESOP LLC

       

Series 2013-2A, Class A

       


      Principal
Amount
(000)
       U.S. $ Value  

2.97%, 2/20/20 (a)

   U.S.$ 16,846         $ 17,308,050   

Series 2014-1A, Class A

       

2.46%, 7/20/20 (a)

     6,834           6,829,772   

California Republic Auto Receivables Trust

       

Series 2014-2, Class A4

       

1.57%, 12/16/19

     3,937           3,925,646   

Capital Auto Receivables Asset Trust

       

Series 2013-3, Class A2

       

1.04%, 11/21/16

     11,960           11,987,616   

Series 2014-1, Class B

       

2.22%, 1/22/19

     1,960           1,977,205   

Capital Auto Receivables Asset Trust/Ally

       

Series 2013-1, Class A2

       

0.62%, 7/20/16

     2,986           2,986,637   

CarMax Auto Owner Trust

       

Series 2012-1, Class A3

       

0.89%, 9/15/16

     1,313           1,314,075   

Chrysler Capital Auto Receivables Trust

       

Series 2014-BA, Class A2

       

0.69%, 9/15/17 (a)

     13,526           13,523,813   

CPS Auto Receivables Trust

       

Series 2013-B, Class A

       

1.82%, 9/15/20 (a)

     5,020           5,011,286   

Series 2014-B, Class A

       

1.11%, 11/15/18 (a)

     5,355           5,339,217   

Enterprise Fleet Financing LLC

       

Series 2014-1, Class A2

       

0.87%, 9/20/19 (a)

     3,047           3,045,435   

Series 2014-2, Class A2

       

1.05%, 3/20/20 (a)

     7,000           6,991,068   

Exeter Automobile Receivables Trust

       

Series 2012-2A, Class A

       

1.30%, 6/15/17 (a)

     1,110           1,110,206   

Series 2013-1A, Class A

       

1.29%, 10/16/17 (a)

     1,559           1,560,760   

Series 2014-1A, Class A

       

1.29%, 5/15/18 (a)

     2,796           2,797,980   

Series 2014-2A, Class A

       

1.06%, 8/15/18 (a)

     2,776           2,770,267   

Fifth Third Auto Trust

       

Series 2014-3, Class A4

       

1.47%, 5/17/21

     8,250           8,200,574   

Flagship Credit Auto Trust

       

Series 2013-1, Class A

       

1.32%, 4/16/18 (a)

     1,802           1,803,551   

Ford Auto Securitization Trust

       

Series 2013-R1A, Class A2

       

1.676%, 9/15/16 (a)

   CAD 3,310           2,852,778   

Series 2014-R2A, Class A1

       

1.353%, 3/15/16 (a)

     4,635           3,988,955   

Ford Credit Auto Lease Trust

       

Series 2014-B, Class A3

       

0.89%, 9/15/17

   U.S.$ 6,000           5,985,325   

Ford Credit Auto Owner Trust

       


      Principal
Amount
(000)
       U.S. $ Value  

Series 2012-B, Class A4

       

1.00%, 9/15/17

   U.S.$ 8,095         $ 8,115,812   

Series 2012-D, Class B

       

1.01%, 5/15/18

     3,805           3,779,876   

Series 2014-2, Class A

       

2.31%, 4/15/26 (a)

     9,978           10,020,428   

Ford Credit Floorplan Master Owner Trust

       

Series 2013-1, Class A1

       

0.85%, 1/15/18

     7,511           7,513,266   

Series 2014-1, Class A1

       

1.20%, 2/15/19

     9,394           9,363,572   

Harley-Davidson Motorcycle Trust

       

Series 2012-1, Class A3

       

0.68%, 4/15/17

     2,600           2,601,544   

Series 2014-1, Class A3

       

1.10%, 9/15/19

     9,130           9,112,662   

Hertz Vehicle Financing LLC

       

Series 2013-1A, Class A1

       

1.12%, 8/25/17 (a)

     7,345           7,328,239   

Series 2013-1A, Class A2

       

1.83%, 8/25/19 (a)

     21,065           20,773,130   

Hyundai Auto Receivables Trust

       

Series 2012-B, Class C

       

1.95%, 10/15/18

     3,525           3,569,859   

Mercedes-Benz Auto Lease Trust

       

Series 2013-A, Class A3

       

0.59%, 2/15/16

     4,601           4,602,628   

Mercedes-Benz Auto Lease Trust 2014-A

       

Series 2014-A, Class A2A

       

0.48%, 6/15/16

     10,282           10,284,744   

Mercedes-Benz Master Owner Trust

       

Series 2012-AA, Class A

       

0.79%, 11/15/17 (a)

     19,143           19,142,387   

Santander Drive Auto Receivables Trust

       

Series 2013-4, Class A3

       

1.11%, 12/15/17

     11,830           11,852,693   

Series 2013-5, Class A2A

       

0.64%, 4/17/17

     1,238           1,238,371   

Volkswagen Auto Loan Enhanced Trust

       

Series 2014-1, Class A3

       

0.91%, 10/22/18

     10,997           10,950,412   
       

 

 

 
          313,308,041   
       

 

 

 

Autos - Floating Rate - 1.8%

       

BMW Floorplan Master Owner Trust

       

Series 2012-1A, Class A

       

0.561%, 9/15/17 (a)(b)

     9,336           9,342,718   

GE Dealer Floorplan Master Note Trust

       

Series 2012-3, Class A

       

0.656%, 6/20/17 (b)

     19,000           19,008,208   

Hertz Fleet Lease Funding LP

       

Series 2013-3, Class A

       

0.712%, 12/10/27 (a)(b)

     12,904           12,919,571   

Series 2014-1, Class A

       

0.562%, 4/10/28 (a)(b)

     7,735           7,735,016   


      Principal
Amount

(000)
       U.S. $ Value  

Navistar Financial Dealer Note Master Trust

       

Series 2014-1, Class A

       

0.92%, 10/25/19 (a)(b)

   U.S.$ 4,874         $ 4,873,999   

NCF Dealer Floorplan Master Trust

       

Series 2014-1A, Class A

       

1.666%, 10/20/20 (a)(b)

     9,708           9,691,933   
       

 

 

 
          63,571,445   
       

 

 

 

Credit Cards - Fixed Rate - 1.7%

       

American Express Credit Account Master Trust

       

Series 2014-2, Class A

       

1.26%, 1/15/20

     4,458           4,454,196   

Barclays Dryrock Issuance Trust

       

Series 2014-3, Class A

       

2.41%, 7/15/22

     11,514           11,621,876   

Citibank Credit Card Issuance Trust

       

Series 2012-A1, Class A1

       

0.55%, 10/10/17

     14,150           14,149,580   

Discover Card Master Trust

       

Series 2012-A3, Class A3

       

0.86%, 11/15/17

     8,266           8,278,391   

Synchrony Credit Card Master Note Trust

       

Series 2012-2, Class A

       

2.22%, 1/15/22

     12,000           11,991,024   

World Financial Network Credit Card Master Trust

       

Series 2012-B, Class A

       

1.76%, 5/17/21

     7,890           7,934,310   

Series 2013-A, Class A

       

1.61%, 12/15/21

     4,353           4,323,816   
       

 

 

 
          62,753,193   
       

 

 

 

Credit Cards - Floating Rate - 1.4%

       

Barclays Dryrock Issuance Trust

       

Series 2014-2, Class A

       

0.501%, 3/16/20 (b)

     10,300           10,300,021   

Cabela’s Credit Card Master Note Trust

       

Series 2012-1A, Class A2

       

0.691%, 2/18/20 (a)(b)

     7,700           7,753,453   

Series 2014-1, Class A

       

0.511%, 3/16/20 (b)

     1,880           1,879,477   

First National Master Note Trust

       

Series 2013-2, Class A

       

0.691%, 10/15/19 (b)

     8,650           8,670,194   

Gracechurch Card Funding PLC

       

Series 2012-1A, Class A1

       

0.861%, 2/15/17 (a)(b)

     12,465           12,469,910   

World Financial Network Credit Card Master Trust

       

Series 2014-A, Class A

       

0.541%, 12/15/19 (b)

     8,125           8,139,788   
       

 

 

 
          49,212,843   
       

 

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  
                 

Other ABS - Fixed Rate - 1.2%

       

CIT Equipment Collateral

       

Series 2013-VT1, Class A3

       

1.13%, 7/20/20 (a)

   U.S.$ 9,581         $ 9,595,949   

Series 2014-VT1, Class A2

       

0.86%, 5/22/17 (a)

     8,966           8,965,435   

CNH Capital Canada Receivables Trust

       

Series 2014-1A, Class A1

       

1.388%, 3/15/17 (a)

   CAD 3,954           3,402,981   

CNH Equipment Trust

       

Series 2014-B, Class A4

       

1.61%, 5/17/21

   U.S.$ 6,051           6,018,693   

GE Equipment Small Ticket LLC

       

Series 2014-1A, Class A2

       

0.59%, 8/24/16 (a)

     8,540           8,539,503   

Macquarie Equipment Funding Trust

       

Series 2014-A, Class A2

       

0.80%, 11/21/16 (a)

     5,414           5,402,295   
       

 

 

 
          41,924,856   
       

 

 

 

Other ABS - Floating Rate - 0.3%

       

GE Dealer Floorplan Master Note Trust

       

Series 2014-1, Class A

       

0.546%, 7/20/19 (b)

     12,455           12,442,969   
       

 

 

 

Home Equity Loans - Floating Rate - 0.2%

       

Asset Backed Funding Certificates

       

Series 2003-WF1, Class A2

       

1.295%, 12/25/32 (b)

     1,354           1,301,672   

GSAA Trust

       

Series 2006-5, Class 2A3

       

0.44%, 3/25/36 (b)

     8,269           5,682,018   

Residential Asset Securities Corp. Trust

       

Series 2003-KS3, Class A2

       

0.77%, 5/25/33 (b)

     155           141,085   

Wells Fargo Home Equity Trust

       

Series 2004-1, Class 1A

       

0.47%, 4/25/34 (b)

     8           7,800   
       

 

 

 
          7,132,575   
       

 

 

 

Total Asset-Backed Securities
(cost $551,376,507)

          550,345,922   
       

 

 

 

COMMERCIAL MORTGAGE-BACKED SECURITIES - 9.4%

       

Non-Agency Fixed Rate CMBS - 7.9%

       

Banc of America Commercial Mortgage Trust

       

Series 2007-4, Class A1A

       

5.774%, 2/10/51

     16,067           17,522,821   

Bear Stearns Commercial Mortgage Securities Trust

       

Series 2006-PW13, Class AJ

       

5.611%, 9/11/41

     5,707           5,856,116   


      Principal
Amount
(000)
       U.S. $ Value  

BHMS Mortgage Trust

       

Series 2014-ATLS, Class AFX

       

3.601%, 7/05/33 (a)

   U.S.$ 9,720         $ 9,809,327   

CGRBS Commercial Mortgage Trust

       

Series 2013-VN05, Class A

       

3.369%, 3/13/35 (a)

     11,325           11,629,960   

Citigroup Commercial Mortgage Trust

       

Series 2006-C4, Class A1A

       

5.771%, 3/15/49

     3,187           3,330,693   

COBALT CMBS Commercial Mortgage Trust

       

Series 2007-C3, Class A4

       

5.766%, 5/15/46

     3,985           4,324,281   

Commercial Mortgage Trust

       

Series 2007-GG9, Class AM

       

5.475%, 3/10/39

     7,256           7,602,305   

Credit Suisse Commercial Mortgage Trust

       

Series 2007-C3, Class AM

       

5.702%, 6/15/39

     4,535           4,747,175   

Extended Stay America Trust

       

Series 2013-ESH7, Class A17

       

2.295%, 12/05/31 (a)

     7,662           7,566,364   

Commercial Mortgage Pass-Through Certificates

       

Series 2007-GG9, Class A4

       

5.444%, 3/10/39

     20,412           21,773,462   

Series 2013-SFS, Class A1

       

1.873%, 4/12/35 (a)

     4,959           4,851,474   

GS Mortgage Securities Corp. II

       

Series 2013-KING, Class A

       

2.706%, 12/10/27 (a)

     12,644           12,781,217   

GS Mortgage Securities Trust

       

Series 2006-GG6, Class AJ

       

5.522%, 4/10/38

     5,000           5,138,650   

Series 2013-G1, Class A1

       

2.059%, 4/10/31(a)

     849           831,102   

Series 2013-G1, Class A2

       

3.557%, 4/10/31 (a)(g)

     6,804           6,818,785   

JP Morgan Chase Commercial Mortgage Securities Trust

       

Series 2007-CB19, Class AM

       

5.698%, 2/12/49

     4,080           4,308,096   

Series 2007-LD12, Class A4

       

5.882%, 2/15/51

     13,115           14,248,750   

Series 2007-LD12, Class AM

       

6.011%, 2/15/51

     3,522           3,837,093   

Series 2007-LDPX, Class A3

       

5.42%, 1/15/49

     47           50,261   

Series 2008-C2, Class A1A

       

5.998%, 2/12/51

     7,795           8,546,062   

Series 2007-LDPX, Class A1A

       

5.439%, 1/15/49

     17,978           19,214,722   

Series 2010-C2, Class A1

       

2.749%, 11/15/43 (a)

     6,560           6,636,397   


      Principal
Amount
(000)
       U.S. $ Value  

LSTAR Commercial Mortgage Trust

       

Series 2014-2, Class A2

       

2.767%, 1/20/41 (a)

   U.S.$ 6,067         $ 6,124,489   

Merrill Lynch Mortgage Trust

       

Series 2006-C2, Class A1A

       

5.739%, 8/12/43

     7,091           7,502,015   

ML-CFC Commercial Mortgage Trust

       

Series 2006-4, Class A1A

       

5.166%, 12/12/49

     26,118           27,543,386   

Series 2007-9, Class A4

       

5.70%, 9/12/49

     21,260           22,992,095   

Motel 6 Trust

       

Series 2012-MTL6, Class A2

       

1.948%, 10/05/25 (a)

     9,011           8,982,156   

UBS-Barclays Commercial Mortgage Trust

       

Series 2012-C3, Class A4

       

3.091%, 8/10/49

     4,728           4,796,961   

Series 2012-C4, Class A5

       

2.85%, 12/10/45

     9,467           9,432,626   

WFRBS Commercial Mortgage Trust

       

Series 2013-C14, Class A5

       

3.337%, 6/15/46

     9,893           10,195,722   

Series 2014-C20, Class A2

       

3.036%, 5/15/47

     6,029           6,226,492   
       

 

 

 
          285,221,055   
       

 

 

 

Non-Agency Floating Rate CMBS - 1.5%

       

Carefree Portfolio Trust

       

Series 2014-CARE, Class A

       

1.485%, 11/15/19 (a)(b)

     5,133           5,113,034   

Commercial Mortgage Pass-Through Certificates

       

Series 2014-KYO, Class A

       

1.059%, 6/11/27 (a)(b)

     7,535           7,523,076   

Series 2014-SAVA, Class A

       

1.311%, 6/15/34 (a)(b)

     6,317           6,303,861   

Extended Stay America Trust

       

Series 2013-ESFL, Class A2FL

       

0.857%, 12/05/31 (a)(b)

     6,130           6,110,008   

JP Morgan Chase Commercial Mortgage Securities Trust

       

Series 2014-INN, Class A

       

1.081%, 6/15/29 (a)(b)

     9,634           9,624,925   

PFP III Ltd.

       

Series 2014-1, Class A

       

1.331%, 6/14/31 (a)(b)

     6,810           6,789,876   

Resource Capital Corp., Ltd.

       

Series 2014-CRE2, Class A

       

1.212%, 4/15/32 (a)(b)

     3,974           3,933,864   


      Principal
Amount
(000)
       U.S. $ Value  

Starwood Retail Property Trust

       

Series 2014-STAR, Class A

       

1.381%, 11/15/27 (a)(b)

   U.S.$   6,321         $ 6,312,392   
       

 

 

 
          51,711,036   
       

 

 

 

Total Commercial Mortgage-Backed Securities
(cost $341,767,184)

          336,932,091   
       

 

 

 

CORPORATES - NON-INVESTMENT GRADE - 3.5%

       

Financial Institutions - 1.9%

       

Banking - 1.7%

       

ABN AMRO Bank NV

       

4.31%, 3/10/16 (d)

   EUR 1,916           2,347,421   

Bank of America Corp.

       

Series Z

       

6.50%, 10/23/24 (d)

   U.S.$ 3,667           3,732,639   

Bank of Ireland

       

2.08%, 9/22/15 (b)(h)

   CAD 5,285           4,412,506   

Barclays Bank PLC

       

6.86%, 6/15/32 (a)(d)

   U.S.$ 1,250           1,387,500   

7.625%, 11/21/22

     3,784           4,137,520   

7.75%, 4/10/23

     3,832           4,176,880   

BNP Paribas SA

       

5.186%, 6/29/15 (a)(d)

     2,654           2,654,000   

Credit Agricole SA

       

7.875%, 1/23/24 (a)(d)(e)

     1,382           1,402,730   

Credit Suisse Group AG

       

7.50%, 12/11/23 (a)(d)

     1,557           1,611,495   

Danske Bank A/S

       

5.684%, 2/15/17 (d)

   GBP 3,694           5,901,409   

HBOS Capital Funding LP

       

4.939%, 5/23/16 (d)

   EUR 3,542           4,281,708   

Intesa Sanpaolo SpA

       

5.017%, 6/26/24 (a)

   U.S.$ 7,068           6,859,600   

LBG Capital No.1 PLC

       

8.00%, 6/15/20 (a)(d)

     2,354           2,507,010   

Lloyds Banking Group PLC

       

7.50%, 6/27/24 (d)

     3,734           3,799,345   

Royal Bank of Scotland PLC (The)

       

9.50%, 3/16/22 (a)

     2,894           3,288,788   

Skandinaviska Enskilda Banken AB

       

5.471%, 3/23/15 (a)(d)

     1,268           1,274,340   

Societe Generale SA

       

4.196%, 1/26/15 (d)

   EUR 2,100           2,541,105   

5.922%, 4/05/17 (a)(d)

   U.S.$ 1,160           1,202,781   

UniCredit Luxembourg Finance SA

       

6.00%, 10/31/17 (a)

     5,567           5,930,598   
       

 

 

 
          63,449,375   
       

 

 

 

Finance - 0.2%

       

AerCap Aviation Solutions BV

       

6.375%, 5/30/17

     2,700           2,855,250   


      Principal
Amount

(000)
       U.S. $ Value  

International Lease Finance Corp.

       

5.875%, 4/01/19

   U.S.$ 2,682         $ 2,889,855   

Navient Corp.

       

7.25%, 1/25/22

     875           949,375   
       

 

 

 
          6,694,480   
       

 

 

 
          70,143,855   
       

 

 

 

Industrial - 1.4%

       

Basic - 0.0%

       

Novelis, Inc.

       

8.375%, 12/15/17

     809           839,338   
       

 

 

 

Communications - Media - 0.2%

       

CSC Holdings LLC

       

8.625%, 2/15/19

     1,342           1,560,075   

Numericable-SFR

       

5.375%, 5/15/22 (a)

   EUR 712           889,126   

Univision Communications, Inc.

       

6.875%, 5/15/19 (a)

   U.S.$   3,018           3,142,492   
       

 

 

 
          5,591,693   
       

 

 

 

Communications - Telecommunications - 0.1%

       

Sprint Corp.

       

7.875%, 9/15/23

     4,280           4,225,216   
       

 

 

 

Consumer Cyclical - Automotive - 0.2%

       

General Motors Co.

       

3.50%, 10/02/18

     3,880           3,957,600   

Goodyear Tire & Rubber Co. (The)

       

8.25%, 8/15/20

     1,726           1,829,560   
       

 

 

 
          5,787,160   
       

 

 

 

Consumer Cyclical - Other - 0.1%

       

KB Home

       

4.75%, 5/15/19

     3,146           3,098,810   

MCE Finance Ltd.

       

5.00%, 2/15/21 (a)

     2,225           2,091,500   
       

 

 

 
          5,190,310   
       

 

 

 

Consumer Non-Cyclical - 0.0%

       

CHS/Community Health Systems, Inc.

       

5.125%, 8/15/18

     1,438           1,488,330   
       

 

 

 

Energy - 0.6%

       

Access Midstream Partners LP/ACMP Finance Corp.

       

4.875%, 3/15/24

     3,719           3,774,785   

California Resources Corp.

       

5.50%, 9/15/21 (a)

     2,553           2,182,815   

Cimarex Energy Co.

       

5.875%, 5/01/22

     2,784           2,895,360   

ONEOK, Inc.

       

4.25%, 2/01/22

     7,942           7,268,939   

Paragon Offshore PLC

       

6.75%, 7/15/22(a)

     504           307,440   


      Principal
Amount
(000)
       U.S. $ Value  

7.25%, 8/15/24 (a)

   U.S.$ 3,337         $ 2,002,200   

Regency Energy Partners LP/Regency Energy Finance Corp.

       

4.50%, 11/01/23

     1,196           1,097,330   

SM Energy Co.

       

6.50%, 1/01/23

     359           344,640   
       

 

 

 
          19,873,509   
       

 

 

 

Services - 0.1%

       

Sabre GLBL, Inc.

       

8.50%, 5/15/19 (a)

     3,481           3,724,670   
       

 

 

 

Transportation - Services - 0.1%

       

Hertz Corp. (The)

       

6.75%, 4/15/19

     3,473           3,577,190   
       

 

 

 
          50,297,416   
       

 

 

 

Utility - 0.2%

       

Electric - 0.2%

       

AES Corp./VA

       

7.375%, 7/01/21

     3,427           3,872,510   

NRG Energy, Inc.

       

6.25%, 5/01/24 (a)

     2,593           2,638,377   
       

 

 

 
          6,510,887   
       

 

 

 

Total Corporates - Non-Investment Grade
(cost $124,225,867)

          126,952,158   
       

 

 

 

INFLATION-LINKED SECURITIES - 3.3%

       

United States - 3.3%

       

U.S. Treasury Inflation Index

       

0.125%, 4/15/19 (TIPS)
(cost $121,397,926)

     118,822           117,512,746   
       

 

 

 

COLLATERALIZED MORTGAGE OBLIGATIONS - 2.9%

       

Non-Agency Fixed Rate - 1.3%

       

Alternative Loan Trust

       

Series 2005-20CB, Class 3A6

       

5.50%, 7/25/35

     1,195           1,125,017   

Series 2005-57CB, Class 4A3

       

5.50%, 12/25/35

     3,892           3,577,022   

Series 2006-24CB, Class A16

       

5.75%, 6/25/36

     6,060           5,331,476   

Series 2006-28CB, Class A14

       

6.25%, 10/25/36

     3,761           3,228,853   

Series 2006-J1, Class 1A13

       

5.50%, 2/25/36

     2,198           1,980,334   

Chase Mortgage Finance Trust

       

Series 2007-S5, Class 1A17

       

6.00%, 7/25/37

     1,459           1,276,076   

Citigroup Mortgage Loan Trust, Inc.

       

Series 2005-2, Class 1A4

       

2.552%, 5/25/35

     3,913           3,763,901   

Countrywide Home Loan Mortgage Pass-Through Trust

       

Series 2006-10, Class 1A8

       

6.00%, 5/25/36

     3,764           3,445,677   


      Principal
Amount
(000)
       U.S. $ Value  

Series 2006-13, Class 1A18

       

6.25%, 9/25/36

   U.S.$ 4,961         $ 4,603,421   

Series 2006-13, Class 1A19

       

6.25%, 9/25/36

     2,310           2,144,084   

Series 2007-HYB2, Class 3A1

       

2.581%, 2/25/47

     6,882           5,698,337   

First Horizon Alternative Mortgage Securities Trust

       

Series 2006-FA3, Class A9

       

6.00%, 7/25/36

     5,630           4,732,454   

JP Morgan Mortgage Trust

       

Series 2007-S3, Class 1A8

       

6.00%, 8/25/37

     2,695           2,449,059   

Wells Fargo Mortgage Backed Securities Trust

       

Series 2007-8, Class 2A5

       

5.75%, 7/25/37

     2,304           2,259,808   
       

 

 

 
          45,615,519   
       

 

 

 

GSE Risk Share Floating Rate - 0.9%

       

Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes

       

Series 2013-DN2, Class M2

       

4.405%, 11/25/23 (b)

     8,185           8,255,365   

Series 2014-DN3, Class M3

       

4.17%, 8/25/24 (b)

     9,650           9,077,872   

Federal National Mortgage Association Connecticut Avenue Securities

       

Series 2014-C03, Class 1M1

       

1.37%, 7/25/24 (b)

     3,429           3,397,780   

Series 2014-C04, Class 1M2

       

5.055%, 11/25/24 (b)

     7,245           7,288,686   

Series 2014-HQ3, Class M3

       

4.92%, 10/25/24 (b)

     4,045           3,972,584   

Federal Home Loan Mortgage Corp., Structured Agency Credit Risk Debt Notes

       

Series 2014-DN2, Class M3

       

3.77%, 4/25/24 (b)

     2,751           2,533,112   
       

 

 

 
          34,525,399   
       

 

 

 

Non-Agency Floating Rate - 0.6%

       

Deutsche Alt-A Securities Mortgage Loan Trust

       

Series 2006-AR4, Class A2

       

0.36%, 12/25/36 (b)

     8,925           5,400,664   

HomeBanc Mortgage Trust

       

Series 2005-1, Class A1

       

0.42%, 3/25/35 (b)

     4,379           3,910,306   

IndyMac Index Mortgage Loan Trust

       

Series 2006-AR15, Class A1

       

0.29%, 7/25/36 (b)

     6,608           5,065,309   

Series 2006-AR27, Class 2A2

       


      Principal
Amount
(000)
       U.S. $ Value  

0.37%, 10/25/36 (b)

   U.S.$ 7,018         $ 6,007,768   
       

 

 

 
          20,384,047   
       

 

 

 

Agency Fixed Rate - 0.1%

       

Fannie Mae Grantor Trust

       

Series 2004-T5, Class AB4

       

0.718%, 5/28/35

     1,605           1,450,672   

Federal National Mortgage Association

       

5.50%, 2/25/44

     13,131           3,098,288   
       

 

 

 
          4,548,960   
       

 

 

 

Total Collateralized Mortgage Obligations
(cost $107,008,206)

          105,073,925   
       

 

 

 

AGENCIES - 2.0%

       

Agency Debentures - 2.0%

       

Residual Funding Corp. Principal Strip Zero Coupon, 7/15/20
(cost $65,942,711)

     81,666           72,536,150   
       

 

 

 

QUASI-SOVEREIGNS - 1.2%

       

Quasi-Sovereign Bonds - 1.2%

       

Chile - 0.1%

       

Empresa de Transporte de Pasajeros Metro SA

       

4.75%, 2/04/24 (a)

     2,510           2,597,952   
       

 

 

 

China - 0.3%

       

Sinopec Group Overseas Development 2013 Ltd.

       

4.375%, 10/17/23 (a)

     9,780           10,245,084   
       

 

 

 

Malaysia - 0.4%

       

Petronas Capital Ltd.

       

5.25%, 8/12/19 (a)

     12,990           14,389,140   
       

 

 

 

Mexico - 0.1%

       

Petroleos Mexicanos

       

3.50%, 7/18/18

     4,920           4,981,500   
       

 

 

 

United Arab Emirates - 0.3%

       

IPIC GMTN Ltd.

       

3.75%, 3/01/17 (a)

     12,650           13,203,437   
       

 

 

 

Total Quasi-Sovereigns
(cost $42,787,894)

          45,417,113   
       

 

 

 

GOVERNMENTS-SOVEREIGN AGENCIES - 0.4%

       

Canada - 0.1%

       

NOVA Chemicals Corp.

       

5.25%, 8/01/23 (a)

     3,570           3,605,700   
       

 

 

 

Colombia - 0.1%

       

Ecopetrol SA

       

5.875%, 5/28/45

     2,685           2,497,050   
       

 

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

Israel - 0.2%

       

Israel Electric Corp. Ltd.

       

5.00%, 11/12/24 (a)

   U.S.$ 7,000         $ 7,052,500   
       

 

 

 

Total Governments - Sovereign Agencies
(cost $13,501,742)

          13,155,250   
       

 

 

 

LOCAL GOVERNMENTS - MUNICIPAL BONDS - 0.4%

       

United States - 0.4%

       

State of California

(State of California)

       

Series 2010

       

5.75%, 3/01/17

     10           10,983   

7.625%, 3/01/40

     8,520           13,078,200   
       

 

 

 

Total Local Governments - Municipal Bonds
(cost $8,667,484)

          13,089,183   
       

 

 

 
     Shares           

PREFERRED STOCKS - 0.2%

       

Financial Institutions - 0.2%

       

Insurance - 0.2%

       

Allstate Corp. (The)

       

5.10%

(cost $8,197,028)

     306,775           7,770,611   
       

 

 

 
     Principal
Amount
(000)
          

EMERGING MARKETS - CORPORATE BONDS - 0.2%

       

Industrial - 0.2%

       

Communications - Telecommunications - 0.1%

       

Comcel Trust via Comunicaciones Celulares SA

       

6.875%, 2/06/24 (a)

   U.S.$ 1,912           2,002,820   
       

 

 

 

Consumer Non-Cyclical - 0.1%

       

Marfrig Overseas Ltd.

       

9.50%, 5/04/20 (a)

     4,230           4,272,300   
       

 

 

 

Total Emerging Markets - Corporate Bonds
(cost $6,102,149)

          6,275,120   
       

 

 

 

GOVERNMENTS - SOVEREIGN BONDS - 0.0%

       

Poland - 0.0%

       

Poland Government International Bond

       

3.875%, 7/16/15

(cost $3,011)

     3           3,054   
       

 

 

 

SHORT-TERM INVESTMENTS - 2.3%

       

Certificates of Deposit - 1.2%

       

Wells Fargo Bank NA

       

0.23%, 4/08/15

(cost $42,365,000)

     42,365           42,365,000   
       

 

 

 

 


Company

   Principal
Amount
(000)
       U.S. $ Value  

Commercial Paper - 1.1%

       

Svenska Handelsbanken AB

Zero Coupon, 3/23/2015 (a)
(cost $38,534,916)

   U.S.$ 38,554         $ 38,534,916   
       

 

 

 

Total Short-Term Investments
(cost $80,899,916)

          80,899,916   
       

 

 

 

Total Investments - 105.3%
(cost $3,676,977,166) (i)

        $  3,786,993,291   

Other assets less liabilities - (5.3)% (j)

          (189,123,978
       

 

 

 

Net Assets - 100.0%

        $ 3,597,869,313   
       

 

 

 

FUTURES

 

Type

   Number
of
Contracts
     Expiration
Month
     Original
Value
     Value at
December 31,
2014
     Unrealized
Appreciation/
(Depreciation)
 

Purchased Contracts

              

U.S. Long Bond (CBT) Futures

     52         March 2015       $ 7,359,625       $ 7,517,250       $ 157,625   

U.S. T-Note 10 Yr (CBT) Futures

     529         March 2015         66,604,406         67,075,547         471,141   

U.S. T-Note 2 Yr (CBT) Futures

     603         March 2015         131,822,340         131,812,031         (10,309

U.S. T-Note 5 Yr (CBT) Futures

     137         March 2015         16,245,203         16,293,367         48,164   
              

 

 

 
               $ 666,621   
              

 

 

 

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty

   Contracts to
Deliver
(000)
     In Exchange
For
(000)
     Settlement
Date
     Unrealized
Appreciation/
(Depreciation)
 

BNP Paribas SA

   CAD      55,033         USD         48,426         1/14/15       $ 1,069,625   

BNP Paribas SA

   JPY      11,560,000         USD         108,074         1/15/15         11,556,153   

BNP Paribas SA

   MXN      504,904         USD         37,152         1/15/15         2,950,738   

BNP Paribas SA

   AUD      64,545         USD         53,443         1/30/15         844,401   

Credit Suisse International

   EUR      21,394         USD         26,333         1/09/15         443,926   

Credit Suisse International

   USD      2,221         CAD         2,580         1/14/15         (1,152

Credit Suisse International

   GBP      4,410         USD         6,935         1/27/15         62,397   

Goldman Sachs Bank USA

   BRL      47,415         USD         17,851         1/05/15         13,431   

Goldman Sachs Bank USA

   USD      17,859         BRL         47,415         1/05/15         (21,499

Goldman Sachs Bank USA

   EUR      36,293         USD         45,566         1/09/15         1,647,545   

Goldman Sachs Bank USA

   MXN      129,534         USD         8,728         1/15/15         (46,645

Goldman Sachs Bank USA

   JPY      1,940,913         USD         16,218         1/23/15         12,166   

Goldman Sachs Bank USA

   BRL      47,415         USD         17,706         2/03/15         7,344   

HSBC Bank USA

   BRL      44,930         USD         17,553         1/05/15         650,742   

HSBC Bank USA

   USD      16,915         BRL         44,930         1/05/15         (12,727

Morgan Stanley & Co., Inc.

   USD      16,285         JPY         1,946,585         1/23/15         (31,505

Royal Bank of Scotland PLC

   MXN      284,394         USD         19,514         1/15/15         249,298   

Royal Bank of Scotland PLC

   USD      37,094         MXN         508,508         1/15/15         (2,648,902

State Street Bank & Trust Co.

   BRL      2,485         USD         956         1/05/15         21,162   


Counterparty

   Contracts to
Deliver
(000)
     In Exchange
For
(000)
     Settlement
Date
     Unrealized
Appreciation/
(Depreciation)
 

State Street Bank & Trust Co.

   USD      515       EUR      420         1/09/15       $ (7,317

State Street Bank & Trust Co.

   USD      20       CAD      23         1/14/15         (309

State Street Bank & Trust Co.

   USD      926       GBP      591         1/27/15         (4,823

UBS AG

   USD      2,210       CAD      2,489         1/14/15         (67,710
                 

 

 

 
   $ 16,686,339   
                 

 

 

 

CENTRALLY CLEARED CREDIT DEFAULT SWAPS

 

    

Clearing Broker/(Exchange)
& Referenced Obligation

   Fixed Rate
(Pay)
Receive
    Implied Credit
Spread at
December 31, 2014
    Notional
Amount
(000)
     Market
Value
    Unrealized
Appreciation/
(Depreciation)
 

Buy Contracts

  

Morgan Stanley & Co., LLC/(INTRCONX):

           

CDX-NAIG Series 22, 5 Year Index, 6/20/19*

     (1.00 )%      0.58   $ 117,960       $ (2,154,223   $ (663,724

 

* Termination date

CENTRALLY CLEARED INTEREST RATE SWAPS

 

                Rate Type      

Clearing Broker /(Exchange)

  Notional
Amount
(000)
    Termination
Date
    Payments
made by
the
Fund
  Payments
received
by the
Fund
  Unrealized
Appreciation/
(Depreciation)
 

Morgan Stanley & Co., LLC/(CME Group)

  $ 19,620        12/18/17      1.164%   3 Month LIBOR   $ 54,676   

Morgan Stanley & Co., LLC/(CME Group)

  NZD 53,120        9/25/19      3 Month BKBM   4.390%     1,249,388   

Morgan Stanley & Co., LLC/(CME Group)

  CAD  64,580        10/03/19      1.993%   3 Month CDOR     (719,987

Morgan Stanley & Co., LLC/(CME Group)

  $ 49,380        10/07/19      3 Month LIBOR   1.935%     666,866   

Morgan Stanley & Co., LLC/(CME Group)

    23,630        6/25/21      2.243%   3 Month LIBOR     (389,101

Morgan Stanley & Co., LLC/(CME Group)

    61,000        11/04/23      2.691%   3 Month LIBOR     (2,638,675

Morgan Stanley & Co., LLC/(CME Group)

    24,440        1/14/24      2.980%   3 Month LIBOR     (1,867,627

Morgan Stanley & Co., LLC/(CME Group)

    21,540        2/14/24      2.889%   3 Month LIBOR     (1,423,210

Morgan Stanley & Co., LLC/(CME Group)

    30,260        4/28/24      2.817%   3 Month LIBOR     (1,624,554


                Rate Type  

Clearing Broker/(Exchange)

  Notional
Amount
(000)
    Termination
Date
    Payments
made
by the
Fund
    Payments
received
by the
Fund
    Unrealized
Appreciation/
(Depreciation)
 

Morgan Stanley & Co., LLC/(CME Group)

  $ 17,210        5/29/24        3 Month LIBOR        2.628   $ 600,288   

Morgan Stanley & Co., LLC/(CME Group)

  NZD  35,690        9/25/24        4.628     3 Month BKBM        (1,514,607

Morgan Stanley & Co., LLC/(CME Group)

  $ 10,500        9/26/43        3 Month LIBOR        3.656     2,176,402   
         

 

 

 
          $ (5,430,141
         

 

 

 

CREDIT DEFAULT SWAPS

 

Swap Counterparty & Referenced Obligation

   Fixed Rate
(Pay)
Receive
    Implied Credit
Spread at
December 31, 2014
    Notional
Amount
(000)
     Market
Value
     Upfront
Premiums
Paid
(Received)
    Unrealized
Appreciation/
(Depreciation)
 

Sale Contracts

  

Credit Suisse International:

              

Anadarko Petroleum Corp.,

              

5.95%, 9/15/16, 9/20/17*

     1.00     0.60   $ 12,540       $ 132,303       $ (239,994   $ 372,297   

Kohl’s Corp.,

              

6.25%, 12/15/17, 6/20/19*

     1.00        0.84        4,066         26,388         (49,149     75,537   

Kohl’s Corp.,

              

6.25%, 12/15/17, 6/20/19*

     1.00        0.84        2,385         15,476         (25,864     41,340   

Kohl’s Corp.,

              

6.25%, 12/15/17, 6/20/19*

     1.00        0.84        1,656         10,747         (20,018     30,765   

Kohl’s Corp.,

              

6.25%, 12/15/17, 6/20/19*

     1.00        0.84        1,644         10,667         (19,861     30,528   
         

 

 

    

 

 

   

 

 

 
          $ 195,581       $ (354,886   $ 550,467   
         

 

 

    

 

 

   

 

 

 

 

* Termination date

INTEREST RATE SWAPS

 

       Rate Type         

Broker/(Exchange)

   Notional
Amount
(000)
     Termination
Date
     Payments
made  by

the
Fund
    Payments
received
by the
Fund
     Unrealized
Appreciation/
(Depreciation)
 

JPMorgan Chase Bank

   $ 50,590         1/30/17         1.059     3 Month LIBOR       $ (337,024

JPMorgan Chase Bank

   $ 56,630         2/07/22         2.043     3 Month LIBOR       $ (397,365
             

 

 

 
      $ (734,389
             

 

 

 


REVERSE REPURCHASE AGREEMENTS

 

Broker

   Interest Rate     Maturity      U.S. $
Value at
December 31, 2014
 

Barclays Bank+

     (1.25 )%*      —         $ 2,727,053   

Barclays Bank+

     (0.50 )%*      —           1,371,310   

Barclays Bank+

     (0.25 )%*      —           8,639,459   

HSBC+

     (1.35 )%*      —           22,236,704   
       

 

 

 
     $ 34,974,526   
       

 

 

 

 

+ The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on December 31, 2014
* Interest payment due from counterparty.

 

(a) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2014, the aggregate market value of these securities amounted to $734,117,041 or 20.4% of net assets.
(b) Floating Rate Security. Stated interest rate was in effect at December 31, 2014.
(c) Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at December 31, 2014.
(d) Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date.
(e) Position, or a portion thereof, has been segregated to collateralize reverse repurchase agreements.
(f) Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.
(g) Variable rate coupon, rate shown as of December 31, 2014.
(h) Illiquid security.
(i) As of December 31, 2014, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $136,412,749 and gross unrealized depreciation of investments was $(26,396,624), resulting in net unrealized appreciation of $110,016,125.
(j) An amount of U.S. $1,019,606 has been segregated to collateralize margin requirements for the open futures contracts at December 31, 2014.

Currency Abbreviations:

 

AUD    -    Australian Dollar
BRL    -    Brazilian Real
CAD    -    Canadian Dollar
EUR    -    Euro
GBP    -    Great British Pound
JPY    -    Japanese Yen
MXN    -    Mexican Peso
NZD    -    New Zealand Dollar
USD    -    United States Dollar


Glossary:

 

ABS    -    Asset-Backed Securities
ARMs    -    Adjustable Rate Mortgages
BA    -    Banker’s Acceptance
BKBM    -    Bank Bill Benchmark (New Zealand)
CBT    -    Chicago Board of Trade
CDOR    -    Canadian Dealer Offered Rate
CDX-NAIG    -    North American Investment Grade Credit Default Swap Index
CFC    -    Customer Facility Charge
CMBS    -    Commercial Mortgage-Backed Securities
CME    -    Chicago Mercantile Exchange
GSE    -    Government-Sponsored Enterprise
INTRCONX    -    Inter-Continental Exchange
LIBOR    -    London Interbank Offered Rates
REIT    -    Real Estate Investment Trust
TBA    -    To Be Announced
TIPS    -    Treasury Inflation Protected Security


Sanford C. Bernstein Fund, Inc.

Intermediate Duration Portfolio

December 31, 2014 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolio. Unobservable inputs reflect the Portfolio’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

   

Level 1—quoted prices in active markets for identical investments

   

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

   

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

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

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.

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

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2014:

 

Investments in Securities:

   Level 1     Level 2     Level 3     Total  

Assets:

        

Corporates - Investment Grade

   $ – 0  –    $ 811,378,663      $ – 0  –    $ 811,378,663   

Governments - Treasuries

     – 0  –      797,595,692        – 0  –      797,595,692   

Mortgage Pass-Throughs

     – 0  –      702,055,697        – 0  –      702,055,697   

Asset-Backed Securities

     – 0  –      488,845,522        61,500,400        550,345,922   

Commercial Mortgage-Backed Securities

     – 0  –      296,896,594        40,035,497        336,932,091   

Corporates - Non-Investment Grade

     – 0  –      126,952,158        – 0  –      126,952,158   

Inflation-Linked Securities

     – 0  –      117,512,746        – 0  –      117,512,746   

Collateralized Mortgage Obligations

     – 0  –      4,548,960        100,524,965        105,073,925   

Agencies

     – 0  –      72,536,150        – 0  –      72,536,150   

Quasi-Sovereigns

     – 0  –      45,417,113        – 0  –      45,417,113   

Governments - Sovereign Agencies

     – 0  –      13,155,250        – 0  –      13,155,250   

Local Governments - Municipal Bonds

     – 0  –      13,089,183        – 0  –      13,089,183   

Preferred Stocks

     7,770,611        – 0  –      – 0  –      7,770,611   


Investments in Securities:

   Level 1     Level 2     Level 3     Total  

Emerging Markets - Corporate Bonds

     – 0  –      6,275,120        – 0  –      6,275,120   

Governments - Sovereign Bonds

     – 0  –      3,054        – 0  –      3,054   

Short-Term Investments:

        

Certificates of Deposit

     – 0  –      42,365,000        – 0  –      42,365,000   

Commercial Paper

     – 0  –      38,534,916        – 0  –      38,534,916   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments in Securities

     7,770,611        3,577,161,818        202,060,862        3,786,993,291   

Other Financial Instruments* :

        

Assets:

        

Futures

     676,930        – 0  –      – 0  –      676,930   

Forward Currency Exchange Contracts

     – 0  –      19,528,928        – 0  –      19,528,928   

Centrally Cleared Interest Rate Swaps

     – 0  –      4,747,620        – 0  –      4,747,620   

Credit Default Swaps

     – 0  –      550,467        – 0  –      550,467   

Liabilities:

        

Futures

     (10,309     – 0  –      – 0  –      (10,309

Forward Currency Exchange Contracts

     – 0  –      (2,842,589     – 0  –      (2,842,589

Centrally Cleared Credit Default Swaps

     – 0  –      (663,724     – 0  –      (663,724

Centrally Cleared Interest Rate Swaps

     – 0  –      (10,177,761     – 0  –      (10,177,761

Interest Rate Swaps

     – 0  –      (734,389     – 0  –      (734,389
  

 

 

   

 

 

   

 

 

   

 

 

 

Total+

   $     8,437,232      $     3,587,570,370      $     202,060,862      $     3,798,068,464   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
+ There were no transfers between any levels during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

 

     Asset-Backed
Securities
    Commercial
Mortgage-Backed
Securities
    Collateralized  Mortgage
Obligations
 

Balance as of 9/30/14

   $ 69,037,976      $ 29,697,557      $ 91,373,884   

Accrued discounts/(premiums)

     29,747        (19,076     119,775   

Realized gain (loss)

     (69,076     (2,681     42,954   

Change in unrealized appreciation/depreciation

     (206,642     (348,775     (1,934,053

Purchases

     8,965,256        10,733,571        19,031,241   

Sales

     (16,256,861     (25,099     (8,108,836

Transfers in to Level 3

     – 0  –      – 0  –      – 0  – 

Transfers out of Level 3

     – 0  –      – 0  –      – 0  – 

Balance as of 12/31/14

   $ 61,500,400      $ 40,035,497      $ 100,524,965   

Net change in unrealized appreciation/depreciation from Investments held as of 12/31/14

   $ (199,902   $ (348,775   $ (1,811,548
  

 

 

   

 

 

   

 

 

 
     Total              

Balance as of 9/30/13

   $ 190,109,417       

Accrued discounts/(premiums)

     130,446       

Realized gain (loss)

     (28,803    

Change in unrealized appreciation/depreciation

     (2,489,470    

Purchases

     38,730,068       

Sales

     (24,390,796    

Transfers in to Level 3

     – 0  –     

Transfers out of Level 3

     – 0  –     
  

 

 

     

Balance as of 12/31/14

   $ 202,060,862       
  

 

 

     

Net change in unrealized appreciation/depreciation from Investments held as of 12/31/14

   $ (2,360,225    
  

 

 

     


As of December 31, 2014 all Level 3 securities were priced by third party vendors or at cost, which approximates fair value.

The Adviser has established a Valuation Committee (the “Committee”) which is responsible for overseeing the pricing and valuation of all securities held in the Portfolio. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily compare of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).


Stanford C. Bernstein Fund, Inc.

Short Duration Plus Portfolio

Portfolio of Investments

December 31, 2014 (unaudited)

 

      Principal
Amount
(000)
       U.S. $ Value  

GOVERNMENTS - TREASURIES - 42.8%

       

New Zealand - 0.9%

       

New Zealand Government Bond
Series 1217

   NZD 4,545         $ 3,786,977   
       

 

 

 

6.00%, 12/15/17 (a)

       

United States - 41.9%

       

U.S. Treasury Notes

       

0.25%, 9/30/15

   U.S.$ 2,484           2,484,675   

0.375%, 4/30/16-10/31/16

     129,966           129,744,306   

0.50%, 11/30/16

     6,392           6,376,020   

1.375%, 6/30/18

     34,770           34,837,906   
       

 

 

 
          173,442,907   
       

 

 

 

Total Governments - Treasuries
(cost $177,602,940)

          177,229,884   
       

 

 

 

ASSET-BACKED SECURITIES - 17.2%

       

Autos-Fixed Rate - 7.1%

       

Ally Master Owner Trust

       

Series 2014-1, Class A2

       

1.29%, 1/15/19

     1,499           1,495,721   

AmeriCredit Automobile Receivables Trust

       

Series 2011-1, Class D

       

4.26%, 2/08/17

     1,700           1,722,148   

Series 2011-3, Class D

       

4.04%, 7/10/17

     1,445           1,470,962   

ARI Fleet Lease Trust

       

Series 2013-A, Class A2

       

0.70%, 12/15/15 (a)

     479           478,713   

Series 2014-A, Class A2

       

0.81%, 11/15/22 (a)

     468           466,751   

Avis Budget Rental Car Funding AESOP LLC

       

Series 2012-3A, Class A

       

2.10%, 3/20/19 (a)

     1,095           1,095,345   

Series 2013-2A, Class A

       

2.97%, 2/20/20 (a)

     1,839           1,889,440   

Bank of America Auto Trust

       

Series 2012-1, Class C

       

2.09%, 7/17/17

     1,825           1,845,752   

Chrysler Capital Auto Receivables Trust

       

Series 2014-BA, Class A2

       

0.69%, 9/15/17 (a)

     1,334           1,333,784   

Enterprise Fleet Financing LLC

       

Series 2014-1, Class A2

       

0.87%, 9/20/19 (a)

     446           446,013   

Series 2014-2, Class A2

       

1.05%, 3/20/20 (a)

     1,321           1,319,314   

Fifth Third Auto Trust

       

Series 2014-3, Class A4

       

1.47%, 5/17/21

     838           832,980   

Ford Auto Securitization Trust

       

Series 2014-R2A, Class A1

       

1.353%, 3/15/16 (a)

   CAD 481           413,669   


      Principal
Amount
(000)
       U.S. $ Value  

Ford Credit Auto Owner Trust

       

Series 2014-2, Class A

       

2.31%, 4/15/26 (a)

   U.S.$ 948         $ 952,031   

Ford Credit Floorplan Master Owner Trust

       

Series 2013-1, Class A1

       

0.85%, 1/15/18

     985           985,297   

Series 2014-1, Class A1

       

1.20%, 2/15/19

     1,053           1,049,589   

Harley-Davidson Motorcycle Trust

       

Series 2014-1, Class A3

       

1.10%, 9/15/19

     1,720           1,716,734   

Hertz Vehicle Financing LLC

       

Series 2013-1A, Class A2

       

1.83%, 8/25/19 (a)

     940           926,976   

Mercedes Benz Auto Lease Trust 2014-A

       

Series 2014-A, Class A2A

       

0.48%, 6/15/16

     1,150           1,150,668   

Mercedes-Benz Master Owner Trust

       

Series 2012-AA, Class A

       

0.79%, 11/15/17 (a)

     2,350           2,349,925   

Santander Drive Auto Receivables Trust

       

Series 2013-4, Class A3

       

1.11%, 12/15/17

     1,357           1,359,431   

Series 2013-5, Class A2A

       

0.64%, 4/17/17

     200           200,359   

Series 2014-2, Class A3

       

0.80%, 4/16/18

     1,060           1,057,219   

Volkswagen Auto Loan Enhanced Trust

       

Series 2014-1, Class A3

       

0.91%, 10/22/18

     1,338           1,332,332   

World Omni Auto Receivables Trust

       

Series 2013-B, Class A3

       

0.83%, 8/15/18

     1,352           1,350,850   
       

 

 

 
          29,242,003   
       

 

 

 

Credit Cards - Floating Rate - 3.2%

       

Barclays Dryrock Issuance Trust

       

Series 2014-2, Class A

       

0.501%, 3/16/20 (b)

     1,005           1,005,002   

Cabela’s Credit Card Master Note Trust

       

Series 2010-2A, Class A2

       

0.861%, 9/17/18 (a)(b)

     3,155           3,164,872   

Series 2014-1, Class A

       

0.511%, 3/16/20 (b)

     1,200           1,199,667   

Chase Issuance Trust

       

Series 2012-A6, Class A

       

0.291%, 8/15/17 (b)

     2,570           2,568,489   

Series 2013-A6, Class A6

       

0.581%, 7/15/20 (b)

     2,388           2,390,535   

Discover Card Execution Note Trust

       

Series 2014-A1, Class A1

       

0.591%, 7/15/21 (b)

     895           894,639   

First National Master Note Trust

       

Series 2013-2, Class A

       

0.691%, 10/15/19 (b)

     912           914,129   


      Principal
Amount
(000)
       U.S. $ Value  

World Financial Network Credit Card Master Trust

       

Series 2014-A, Class A

       

0.541%, 12/15/19 (b)

   U.S.$ 965         $ 966,756   
       

 

 

 
          13,104,089   
       

 

 

 

Autos - Floating Rate - 2.3%

       

BMW Floorplan Master Owner Trust

       

Series 2012-1A, Class A

       

0.561%, 9/15/17 (a)(b)

     1,544           1,545,111   

GE Dealer Floorplan Master Note Trust

       

Series 2012-3, Class A

       

0.656%, 6/20/17 (b)

     2,340           2,341,011   

Hertz Fleet Lease Funding LP

       

Series 2013-3, Class A

       

0.711%, 12/10/27(a)(b)

     1,239           1,240,495   

Series 2014-1, Class A

       

0.561%, 4/10/28(a)(b)

     1,520           1,520,003   

Navistar Financial Dealer Note Master Trust

       

Series 2014-1, Class A

       

0.92%, 10/25/19 (a)(b)

     776           776,000   

NCF Dealer Floorplan Master Trust

       

Series 2014-1A, Class A

       

1.666%, 10/20/20 (a)(b)

     957           955,416   

Nissan Master Owner Trust Receivables

       

Series 2012-A, Class A

       

0.631%, 5/15/17 (b)

     1,212           1,212,999   
       

 

 

 
          9,591,035   
       

 

 

 

Other ABS - Fixed Rate - 2.3%

       

CIT Equipment Collateral

       

Series 2013-VT1, Class A3

       

1.13%, 7/20/20 (a)

     1,103           1,104,328   

Series 2014-VT1, Class A2

       

0.86%, 5/22/17 (a)

     1,014           1,013,936   

CNH Capital Canada Receivables Trust

       

Series 2013-2A, Class A1

       

1.439%, 8/15/16 (a)

   CAD 121           104,334   

CNH Equipment Trust

       

Series 2013-A, Class A3

       

0.69%, 6/15/18

   U.S.$ 2,454           2,453,207   

Series 2013-D, Class A4

       

1.37%, 10/15/20

     2,365           2,355,755   

Dell Equipment Finance Trust 2014-1

       

Series 2014-1, Class A3

       

0.94%, 6/22/20 (a)

     806           805,199   

GE Equipment Small Ticket LLC

       

Series 2014-1A, Class A2

       

0.59%, 8/24/16 (a)

     966           966,207   


      Principal
Amount
(000)
       U.S. $ Value  

Macquarie Equipment Funding Trust

       

Series 2014-A, Class A2

       

0.80%, 11/21/16 (a)

   U.S.$ 597         $ 595,709   
       

 

 

 
          9,398,675   
       

 

 

 

Credit Cards - Fixed Rate - 2.0%

       

American Express Credit Account Master Trust

       

Series 2014-2, Class A

       

1.26%, 1/15/20

     773           772,340   

Barclays Dryrock Issuance Trust

       

Series 2014-3, Class A

       

2.41%, 7/15/22

     1,260           1,271,805   

Citibank Credit Card Issuance Trust

       

Series 2005-A9, Class A9

       

5.10%, 11/20/17

     2,655           2,758,245   

Discover Card Master Trust

       

Series 2012-A3, Class A3

       

0.86%, 11/15/17

     951           952,426   

Synchrony Credit Card Master Note Trust

       

Series 2012-2, Class A

       

2.22%, 1/15/22

     1,193           1,192,108   

World Financial Network Credit Card Master Trust

       

Series 2012-B, Class A

       

1.76%, 5/17/21

     965           970,419   

Series 2013-A, Class A

       

1.61%, 12/15/21

     610           605,910   
       

 

 

 
          8,523,253   
       

 

 

 

Other ABS - Floating Rate - 0.3%

       

GE Dealer Floorplan Master Note Trust

       

Series 2014-1, Class A

       

0.546%, 7/20/19 (b)

     1,231           1,229,811   
       

 

 

 

Home Equity Loans - Fixed Rate - 0.0%

       

Nationstar NIM Ltd.

       

Series 2007-A, Class A

       

9.79%, 3/25/37 (c)(d)

     13           0   
       

 

 

 

Total Asset-Backed Securities
(cost $71,233,349)

          71,088,866   
       

 

 

 

COMMERCIAL MORTGAGE-BACKED SECURITIES - 13.6%

       

Non-Agency Fixed Rate CMBS - 12.0%

       

Banc of America Commercial Mortgage Trust

       

Series 2007-4, Class A1A

       

5.774%, 2/10/51

     1,794           1,956,123   

Citigroup Commercial Mortgage Trust

       

Series 2006-C4, Class A1A

       

5.771%, 3/15/49

     350           365,763   

Series 2013-GC11, Class XA

       

1.894%, 4/10/46

     14,854           1,298,821   

Commercial Mortgage Pass Through Certificates

       

Series 2010-C1, Class A1

       

3.156%, 7/10/46 (a)

     3,927           3,966,618   

Series 2012-CR3, Class A1

       


      Principal
Amount
(000)
       U.S. $ Value  

0.666%, 10/15/45

   U.S.$ 1,579         $ 1,571,736   

Series 2012-CR4, Class A1

       

0.704%, 10/15/45

     1,291           1,287,637   

Series 2012-CR5, Class A1

       

0.673%, 12/10/45

     1,165           1,160,427   

Series 2013-CR6, Class A1

       

0.719%, 3/10/46

     1,832           1,815,118   

Series 2013-LC6, Class A1

       

0.724%, 1/10/46

     928           919,914   

Series 2014-CR19, Class A2

       

2.965%, 8/10/47

     1,318           1,356,066   

GS Mortgage Securities Corp. II

       

Series 2012-GCJ9, Class A1

       

0.662%, 11/10/45

     1,681           1,672,867   

Series 2013-GC10, Class A1

       

0.696%, 2/10/46

     1,069           1,064,699   

GS Mortgage Securities Trust

       

Series 2012-GCJ7, Class XA

       

2.56%, 5/10/45

     11,482           1,292,294   

Series 2013-G1, Class A1

       

2.059%, 4/10/31 (a)

     1,162           1,137,079   

JP Morgan Chase Commercial Mortgage Securities Corp.

       

Series 2012-LC9, Class A1

       

0.67%, 12/15/47

     270           269,480   

JP Morgan Chase Commercial Mortgage Securities Trust

       

Series 2012-CBX, Class XA

       

1.757%, 6/15/45 (e)

     6,205           484,836   

Series 2013-C10, Class A1

       

0.73%, 12/15/47

     1,054           1,045,285   

Series 2013-C16, Class A2

       

3.07%, 12/15/46

     2,201           2,277,903   

JPMBB Commercial Mortgage Securities Trust

       

Series 2013-C15, Class A2

       

2.977%, 11/15/45

     2,245           2,316,464   

JPMorgan Chase Commercial Mortgage Securities Trust

       

Series 2007-LDPX, Class A1A

       

5.439%, 1/15/49

     2,488           2,659,492   

Series 2010-C2, Class A1

       

2.749%, 11/15/43 (a)

     817           826,415   

LSTAR Commercial Mortgage Trust

       

Series 2014-2, Class A2

       

2.767%, 1/20/41 (a)

     636           642,491   

Merrill Lynch Mortgage Trust

       

Series 2006-C2, Class A1A

       

5.739%, 8/12/43

     784           828,938   

Morgan Stanley Bank of America Merrill Lynch Trust

       

Series 2013-C7, Class A1

       

0.738%, 2/15/46

     1,854           1,855,243   

Series 2013-C8, Class A1

       

0.777%, 12/15/48

     1,835           1,819,474   

UBS-Barclays Commercial Mortgage Trust

       

Series 2012-C4, Class A1

       

0.673%, 12/10/45

     1,306           1,297,342   

Series 2013-C5, Class A1

       

0.779%, 3/10/46

     1,887           1,871,252   


      Principal
Amount (000)
       U.S. $ Value  

Wachovia Bank Commercial Mortgage Trust

       

Series 2006-C23, Class A5

       

5.416%, 1/15/45

   U.S.$  1,638         $ 1,696,965   

Wells Fargo Commercial Mortgage Trust

       

Series 2012-LC5, Class A1

       

0.687%, 10/15/45

     1,804           1,799,953   

WF-RBS Commercial Mortgage Trust

       

Series 2012-C10, Class A1

       

0.734%, 12/15/45

     2,212           2,207,056   

Series 2012-C9, Class A1

       

0.673%, 11/15/45

     1,893           1,886,392   

Series 2013-C11, Class A1

       

0.799%, 3/15/45

     996           990,149   

Series 2013-C12, Class A1

       

0.735%, 3/15/48

     1,328           1,322,416   

WFRBS Commercial Mortgage Trust 2014-C24

       

Series 2014-C24, Class A2

       

2.863%, 11/15/47

     900           920,465   
       

 

 

 
          49,883,173   
       

 

 

 

Agency CMBS - 0.9%

       

Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates

       

Series K033, Class A1

       

2.871%, 2/25/23

     2,212           2,290,411   

Government National Mortgage Association

       

Series 2006-51, Class IO

       

0.394%, 8/16/46 (e)

     2,789           75,708   

NCUA Guaranteed Notes Trust

       

Series 2010-C1, Class A1

       

1.60%, 10/29/20

     1,177           1,178,773   
       

 

 

 
          3,544,892   
       

 

 

 

Non-Agency Floating Rate CMBS - 0.7%

       

Carefree Portfolio Trust

       

Series 2014-CARE, Class A

       

1.485%, 11/15/19 (a)(b)

     597           594,678   

Commercial Mortgage Trust

       

Series 2007-FL14, Class C

       

0.461%, 6/15/22 (a)(b)

     540           538,841   

PFP III Ltd.

       

Series 2014-1, Class A

       

1.331%, 6/14/31 (a)(b)

     699           697,205   

Resource Capital Corp., Ltd.

       

Series 2014-CRE2, Class A

       

1.212%, 4/15/32 (a)(b)

     431           426,701   


      Principal
Amount
(000)
       U.S. $ Value  

Starwood Retail Property Trust

       

Series 2014-STAR, Class A

       

1.381%, 11/15/27 (a)(b)

   U.S.$ 622         $ 621,134   
       

 

 

 
          2,878,559   
       

 

 

 

Total Commercial Mortgage-Backed Securities
(cost $56,876,405)

          56,306,624   
       

 

 

 

CORPORATES - INVESTMENT GRADE - 12.6%

       

Financial Institutions - 7.8%

       

Banking - 6.9%

       

Abbey National Treasury Services PLC/London

       

4.00%, 4/27/16

     1,615           1,673,542   

American Express Credit Corp.

       

1.30%, 7/29/16

     1,745           1,752,601   

Australia & New Zealand Banking Group Ltd./New York NY

       

0.90%, 2/12/16

     1,970           1,975,532   

Bank of America Corp.

       

1.25%, 1/11/16

     2,030           2,033,561   

Bank of New York Mellon Corp. (The)

       

0.70%, 3/04/16

     1,945           1,941,814   

Citigroup, Inc.

       

0.933%, 11/24/17 (b)

     992           992,247   

1.25%, 1/15/16

     2,025           2,027,053   

Fifth Third Bancorp

       

3.625%, 1/25/16

     1,515           1,552,357   

Goldman Sachs Group, Inc. (The)

       

3.625%, 2/07/16

     1,875           1,923,859   

ING Bank NV

       

1.375%, 3/07/16 (a)

     1,910           1,916,868   

JPMorgan Chase & Co.

       

Series G

       

1.10%, 10/15/15

     2,190           2,193,938   

Mizuho Bank Ltd.

       

0.705%, 9/25/17 (a)(b)

     1,935           1,936,457   

Morgan Stanley

       

1.75%, 2/25/16

     1,164           1,170,313   

1.875%, 1/05/18

     859           855,856   

5.625%, 9/23/19

     888           1,002,369   

PNC Funding Corp.

       

2.70%, 9/19/16

     1,890           1,940,951   

Royal Bank of Canada

       

0.85%, 3/08/16

     1,925           1,925,724   
       

 

 

 
          28,815,042   
       

 

 

 

Insurance - 0.9%

       

New York Life Global Funding

       

0.80%, 2/12/16 (a)

     1,970           1,974,054   

Prudential Financial, Inc.

       

4.75%, 9/17/15

     1,580           1,621,270   
       

 

 

 
          3,595,324   
       

 

 

 
          32,410,366   
       

 

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

Industrial - 4.8%

       

Basic - 0.4%

       

Monsanto Co.

       

0.432%, 11/07/16 (b)

   U.S.$  1,590         $ 1,586,491   
       

 

 

 

Communications - Media - 0.5%

       

NBCUniversal Enterprise, Inc.

       

0.768%, 4/15/16 (a)(b)

     2,120           2,123,827   
       

 

 

 

Communications - Telecommunications - 0.8%

       

AT&T, Inc.

       

0.90%, 2/12/16

     1,405           1,404,629   

1.40%, 12/01/17

     2,035           2,014,581   
       

 

 

 
          3,419,210   
       

 

 

 

Consumer Cyclical - Automotive - 1.1%

       

Daimler Finance North America LLC

       

1.25%, 1/11/16 (a)

     2,890           2,897,861   

Volkswagen International Finance NV

       

1.125%, 11/18/16 (a)

     1,595           1,593,264   
       

 

 

 
          4,491,125   
       

 

 

 

Consumer Non-Cyclical - 1.6%

       

AbbVie, Inc.

       

1.75%, 11/06/17

     2,000           2,004,346   

Gilead Sciences, Inc.

       

3.05%, 12/01/16

     1,880           1,950,782   

McKesson Corp.

       

0.95%, 12/04/15

     828           829,955   

PepsiCo, Inc.

       

0.70%, 2/26/16

     1,910           1,910,997   
       

 

 

 
          6,696,080   
       

 

 

 

Technology - 0.4%

       

Cisco Systems, Inc.

       

0.515%, 3/03/17 (b)

     1,515           1,515,264   
       

 

 

 
          19,831,997   
       

 

 

 

Total Corporates - Investment Grade
(cost $52,195,019)

          52,242,363   
       

 

 

 

COLLATERALIZED MORTGAGE OBLIGATIONS - 7.6%

       

Agency Floating Rate - 2.9%

       

Federal Home Loan Mortgage Corp.

       

Series 4248, Class QF

       

0.661%, 6/15/39 (b)

     1,630           1,645,660   

Series 4286, Class VF

       

0.611%, 12/15/43 (b)

     1,898           1,906,829   

Federal National Mortgage Association

       

Series 2013-57, Class FN

       

0.52%, 6/25/43 (b)

     1,843           1,847,645   

Series 2014-49, Class AF

       

0.477%, 8/25/44 (b)

     2,846           2,859,934   


      Principal
Amount
(000)
       U.S. $ Value  

NCUA Guaranteed Notes Trust

       

Series 2010-R3, Class 1A

       

0.717%, 12/08/20 (b)

   U.S.$ 3,670         $ 3,705,303   
       

 

 

 
          11,965,371   
       

 

 

 

Agency Fixed Rate - 2.8%

       

Federal Home Loan Mortgage Corp.

       

Series 3948, Class DA

       

3.00%, 12/15/24

     3,508           3,632,018   

Series 4029, Class NE

       

2.50%, 3/15/41

     3,099           3,130,726   

Federal National Mortgage Association

       

Series 2010-9, Class EA

       

3.50%, 1/25/24

     1,399           1,452,507   

Series 2011-39, Class DA

       

3.50%, 7/25/24

     1,081           1,108,807   

Series 2014-54, Class LA

       

3.00%, 2/25/44

     2,438           2,490,905   
       

 

 

 
          11,814,963   
       

 

 

 

GSE Risk Share Floating Rate - 1.7%

       

Federal Home Loan Mortgage Corp Structured Agency Credit Risk Debt Notes

       

Series 2014-DN1, Class M2

       

2.37%, 2/25/24 (b)

     480           474,110   

Federal National Mortgage Association Connecticut Avenue Securities

       

Series 2014-C02, Class 1M1

       

1.12%, 5/25/24 (b)

     1,524           1,496,071   

Series 2014-C04, Class 2M1

       

2.255%, 11/25/24 (b)

     1,226           1,225,511   

Structured Agency Credit Risk Debt Notes

       

Series 2014-DN2, Class M1

       

1.02%, 4/25/24 (b)

     946           937,982   

Series 2014-HQ1, Class M1

       

1.82%, 8/25/24 (b)

     1,478           1,476,734   

Series 2014-HQ2, Class M1

       

1.62%, 9/25/24 (b)

     434           431,203   

Series 2014-HQ3, Class M1

       

1.82%, 10/25/24 (b)

     1,045           1,042,925   
       

 

 

 
          7,084,536   
       

 

 

 

Non-Agency Floating Rate - 0.2%

       

Mortgage Equity Conversion Asset Trust

       

Series 2007-FF2, Class A

       

0.57%, 2/25/42 (a)(b)

     909           726,953   
       

 

 

 

Total Collateralized Mortgage Obligations
(cost $31,662,565)

          31,591,823   
       

 

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

INFLATION-LINKED SECURITIES - 2.9%

       

United States - 2.9%

       

U.S. Treasury Inflation Index 0.125%, 4/15/19 (TIPS)
(cost $12,307,887)

   U.S.$  12,047         $ 11,914,233   
       

 

 

 

MORTGAGE PASS-THROUGHS - 2.1%

       

Agency Fixed Rate 30-Year - 1.4%

       

Federal National Mortgage Association

       

Series 2010

       

5.00%, 2/01/40

     3,266           3,683,979   

Government National Mortgage Association

       

5.00%, 10/15/39

     1,562           1,738,407   

Series 2002

       

7.50%, 3/15/32

     145           178,604   
       

 

 

 
          5,600,990   
       

 

 

 

Agency Fixed Rate 15-Year - 0.7%

       

Federal Home Loan Mortgage Corp. Gold

       

5.00%, 7/01/25

     907           986,949   

6.50%, 3/01/26

     1,600           1,703,731   

Federal National Mortgage Association

       

6.00%, 12/01/21

     23           24,329   

Series 2001

       

6.00%, 11/01/16-12/01/16

     80           81,746   

Series 2002

       

6.00%, 2/01/17

     98           101,024   

8.00%, 8/01/16

     12           12,357   
       

 

 

 
          2,910,136   
       

 

 

 

Agency ARMs - 0.0%

       

Federal National Mortgage Association

       

Series 2007

       

1.781%, 1/01/37 (b)

     9           8,952   
       

 

 

 

Total Mortgage Pass-Throughs
(cost $8,421,623)

          8,520,078   
       

 

 

 

COVERED BONDS - 0.4%

       

DNB Boligkreditt AS 1.45%, 3/21/18 (a)
(cost $1,861,998)

     1,865           1,856,770   
       

 

 

 

 


      Principal
Amount
(000)
     U.S. $ Value  

Total Investments - 99.2%
(cost $412,161,786) (f)

        $ 410,750,641   

Other assets less liabilities - 0.8% (g)

          3,153,145   
       

 

 

 

Net Assets - 100.0%

        $ 413,903,786   
       

 

 

 

FUTURES

 

Type

   Number
of
Contracts
     Expiration
Month
     Original Value      Value at
December 31,
2014
     Unrealized
Appreciation/
(Depreciation)
 

Purchased Contracts

              

U.S. T-Note 2 Yr (CBT) Futures

     493         March 2015       $ 107,707,794       $ 107,766,719       $ 58,925   

Sold Contracts

              

U.S. T-Note 5 Yr (CBT) Futures

     188         March 2015         9,694,781         9,763,359         (68,578

U.S. T-Note 10 Yr (CBT) Futures

     77         March 2015         22,292,688         22,358,782         (66,094
              

 

 

 
               $ (75,747
              

 

 

 

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty

   Contracts to
Deliver
(000)
     In Exchange
For
(000)
     Settlement
Date
     Unrealized
Appreciation/
(Depreciation)
 

BNP Paribas SA

     NZD         4,668         USD         3,588         2/13/15       $ (39,941

State Street Bank & Trust Co.

     CAD         874         USD         769         1/14/15         17,393   

State Street Bank & Trust Co.

     USD         270         CAD         309         1/14/15         (4,342
                 

 

 

 
                  $ (26,890
                 

 

 

 

 

(a) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2014, the aggregate market value of these securities amounted to $53,727,764 or 13.0% of net assets.
(b) Floating Rate Security. Stated interest rate was in effect at December 31, 2014.
(c) Fair valued by the Adviser.
(d) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.00% of net assets as of December 31, 2014, are considered illiquid and restricted.


Restricted Securities

   Acquisition
Date
     Cost      Market
Value
     Percentage of
Net Assets
 

Nationstar NIM Ltd. Series 2007-A, Class A

           

9.79%, 3/25/37

     4/04/07       $ 13,205       $ 0         0.00

 

(e) IO - Interest Only
(f) As of December 31, 2014, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $544,170 and gross unrealized depreciation of investments was $(1,955,315), resulting in net unrealized depreciation of $(1,411,145).
(g) An amount of U.S. $75,549 has been segregated to collateralize margin requirements for the open futures contracts at December 31, 2014.

Currency Abbreviations:

 

CAD    -    Canadian Dollar
NZD    -    New Zealand Dollar
USD    -    United States Dollar

Glossary:

 

ABS    -    Asset-Backed Securities
ARMs    -    Adjustable Rate Mortgages
BA    -    Banker’s Acceptance
CBT    -    Chicago Board of Trade
CMBS    -    Commercial Mortgage-Backed Securities
GSE    -    Government-Sponsored Enterprise
NCUA    -    National Credit Union Administration
TIPS    -    Treasury Inflation Protected Security


Sanford C. Bernstein Fund, Inc.

Short Duration Plus Portfolio

December 31, 2014 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolio. Unobservable inputs reflect the Portfolio’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

   

Level 1—quoted prices in active markets for identical investments

   

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

   

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

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

Valuations of mortgage-backed or other asset backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.

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

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2014:

 

Investments in Securities:

   Level 1     Level 2     Level 3     Total  

Assets:

        

Governments - Treasuries

   $ – 0  –    $ 177,229,884      $ – 0  –    $ 177,229,884   

Asset-Backed Securities

     – 0  –      60,460,380        10,628,486^        71,088,866   

Commercial Mortgage-Backed Securities

     – 0  –      55,767,783        538,841        56,306,624   

Corporates - Investment Grade

     – 0  –      52,242,363        – 0  –      52,242,363   

Collateralized Mortgage Obligations

     – 0  –      23,780,334        7,811,489        31,591,823   

Inflation-Linked Securities

     – 0  –      11,914,233        – 0  –      11,914,233   

Mortgage Pass-Throughs

     – 0  –      8,520,078        – 0  –      8,520,078   

Covered Bonds

     – 0  –      1,856,770        – 0  –      1,856,770   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments in Securities

     – 0  –      391,771,825        18,978,816        410,750,641   

Other Financial Instruments* :

        

Assets:

        

Futures

     58,925        – 0  –      – 0  –      58,925   

Forward Currency Exchange Contracts

     – 0  –      17,393        – 0  –      17,393   

Liabilities:

        

Futures

     (134,672     – 0  –      – 0  –      (134,672

Forward Currency Exchange Contracts

     – 0  –      (44,283     – 0  –      (44,283
  

 

 

   

 

 

   

 

 

   

 

 

 

Total+

   $ (75,747   $     391,744,935      $     18,978,816      $     410,648,004   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

^ The Portfolio held securities with zero market value at period end.


* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
+ There were no transfers between any levels during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

 

     Asset-Backed
Securities^
    Commercial
Mortgage-Backed
Securities
    Collateralized
Mortgage
Obligations
 

Balance as of 9/30/14

   $  10,033,010      $ 535,951      $ 2,741,190   

Accrued discounts/(premiums)

     701        – 0  –      338   

Realized gain (loss)

     (23,828     – 0  –      243   

Change in unrealized appreciation/depreciation

     16,084        2,890        (53,461

Purchases

     1,013,916        – 0  –      5,248,003   

Sales

     (411,397     – 0  –      (124,824

Transfers in to Level 3

     – 0  –      – 0  –      – 0  – 

Transfers out of Level 3

     – 0  –      – 0  –      – 0  – 
  

 

 

   

 

 

   

 

 

 

Balance as of 12/3/14

   $ 10,628,486      $ 538,841      $ 7,811,489   
  

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation/depreciation from investments held as of 12/31/14

   $ 16,084      $ (53,461   $ 2,890   
  

 

 

   

 

 

   

 

 

 
     Total              

Balance as of 9/30/14

   $ 13,310,151       

Accrued discounts/(premiums)

     1,039       

Realized gain (loss)

     (23,585    

Change in unrealized appreciation/depreciation

     (34,487    

Purchases

     6,261,919       

Sales

     (536,221    

Transfers in to Level 3

     – 0  –     

Transfers out of Level 3

     – 0  –     
  

 

 

     

Balance as of 12/31/14

   $ 18,978,816       
  

 

 

     

Net change in unrealized appreciation/depreciation from investments held as of 12/31/14

   $ (34,487    
  

 

 

     

 

^ The Portfolio held securities with zero market value at period end.


The following presents information about significant unobservable inputs related to the Portfolio Level 3 investments at December 31, 2014. Securities priced by third party vendors or at cost, which approximate fair value, are excluded from the following table.

Quantitative Information about Level 3 Fair Value Measurements

 

     Fair Value  at
12/31/14
    

Valuation Technique

   Unobservable Input    Range/
Weighted  Average
 

Asset-Backed Securities

   $ 0      

Qualitative Assessment

      $ 0.00/N/A   

The Adviser has established a Valuation Committee (the “Committee”) which is responsible for overseeing the pricing and valuation of all securities held in the Portfolio. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.


Sanford C. Bernstein Fund, Inc.

U.S. Government Short Duration Portfolio

Portfolio of Investments

December 31, 2014 (unaudited)

 

      Principal
Amount
(000)
       U.S. $ Value  

GOVERNMENTS - TREASURIES - 56.5%

       

United States - 56.5%

       

U.S. Treasury Notes

       

0.125%, 4/30/15

   $ 3,374         $ 3,374,789   

0.25%, 2/28/15-5/31/15

     5,070           5,071,473   

0.375%, 4/30/16-5/31/16

     5,373           5,370,765   

0.50%, 6/15/16-11/30/16

     4,151           4,148,448   

0.625%, 8/15/16-4/30/18

     2,904           2,894,209   

0.75%, 2/28/18

     1,610           1,587,862   
       

 

 

 

Total Governments - Treasuries
(cost $22,467,874)

          22,447,546   
       

 

 

 

COLLATERALIZED MORTGAGE OBLIGATIONS - 26.6%

       

Agency Floating Rate - 17.7%

       

Federal Home Loan Mortgage Corp.

       

Series 3349, Class FE

       

0.651%, 7/15/37 (a)

     430           433,492   

Series 4248, Class QF

       

0.661%, 6/15/39 (a)

     336           339,311   

Series 4286, Class VF

       

0.611%, 12/15/43 (a)

     214           214,733   

Series 4350, Class KF

       

0.507%, 1/15/39 (a)

     451           452,529   

Federal National Mortgage Association

       

Series 2005-71, Class FE

       

0.52%, 8/25/35 (a)

     646           649,958   

Series 2006-39, Class DF

       

0.57%, 5/25/36 (a)

     397           398,933   

Series 2006-42, Class PF

       

0.58%, 6/25/36 (a)

     415           417,984   

Series 2010-113, Class FA

       

0.57%, 10/25/40 (a)

     299           300,418   

Series 2013-121, Class FA

       

0.57%, 12/25/43 (a)

     183           183,883   

Series 2013-57, Class FN

       

0.52%, 6/25/43 (a)

     211           211,563   

Series 2014-49, Class AF

       

0.476%, 8/25/44 (a)

     331           332,878   

FHLMC Structured Pass Through Securities

       

Series T-72, Class A1

       

0.36%, 3/25/36 (a)

     92           90,327   

NCUA Guaranteed Notes

       

Series 2010-R1, Class 1A

       

0.607%, 10/07/20 (a)

     2,158           2,170,696   

Series 2010-R3, Class 1A

       

0.717%, 12/08/20 (a)

     810           817,244   
       

 

 

 
          7,013,949   
       

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

Agency Fixed Rate - 8.9%

       

Federal Home Loan Mortgage Corp.

       

Series 3948, Class DA

       

3.00%, 12/15/24

   $ 635         $ 657,085   

Series 4029, Class NE

       

2.50%, 3/15/41

     429           433,399   

Series 4054, Class HD

       

2.00%, 5/15/26

     438           441,749   

Series 4058, Class C

       

3.50%, 8/15/30

     427           449,775   

Series 4368, Class HG

       

3.00%, 2/15/32

     421           433,661   

Federal National Mortgage Association

       

Series 2011-98, Class AE

       

2.50%, 11/25/37

     422           433,076   

Series 2014-15, Class PA

       

3.50%, 4/25/44

     417           437,038   

Series 2014-54, Class LA

       

3.00%, 2/25/44

     246           251,607   
       

 

 

 
          3,537,390   
       

 

 

 

Total Collateralized Mortgage Obligations
(cost $10,513,463)

          10,551,339   
       

 

 

 

MORTGAGE PASS-THROUGHS - 7.3%

       

Agency Fixed Rate 15-Year - 3.9%

       

Federal Home Loan Mortgage Corp. Gold

       

3.50%, 2/01/29

     429           456,119   

5.00%, 7/01/25

     558           606,917   

6.50%, 3/01/26

     334           355,724   

Federal National Mortgage Association

       

5.50%, 9/01/19

     75           79,532   

Series 2000

       

7.50%, 3/01/15

     0^           57   

Series 2001

       

6.00%, 11/01/16

     38           39,131   

Series 2002

       

8.00%, 8/01/16

     5           4,680   
       

 

 

 
          1,542,160   
       

 

 

 

Agency Fixed Rate 30-Year - 3.4%

       

Federal National Mortgage Association

       

5.00%, 5/01/39

     618           696,959   

Series 2010

       

5.00%, 2/01/40

     395           445,044   

Government National Mortgage Association

       

5.00%, 10/15/39

     188           208,972   
       

 

 

 
          1,350,975   
       

 

 

 

Total Mortgage Pass-Throughs
(cost $2,851,054)

          2,893,135   
       

 

 

 

COMMERCIAL MORTGAGE-BACKED SECURITIES - 4.4%

       

Agency CMBS - 4.4%

       

Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates

       

Series K017, Class A1

       

1.891%, 12/25/20

     159           160,237   

Series K025, Class A1

       


      Principal
Amount
(000)
       U.S. $ Value  

1.875%, 4/25/22

   $ 483         $ 481,121   

Series K032, Class A1

       

3.016%, 2/25/23

     253           263,640   

Series K033, Class A1

       

2.871%, 2/25/23

     255           263,895   

Series K034, Class A1

       

2.669%, 2/25/23

     218           223,133   

Series K035, Class A1

       

2.615%, 3/25/23

     248           253,527   

Series K703, Class A1

       

1.873%, 1/25/18

     88           89,469   
       

 

 

 

Total Commercial Mortgage-Backed Securities
(cost $1,715,282)

          1,735,022   
       

 

 

 

INFLATION-LINKED SECURITIES - 3.6%

       

United States - 3.6%

       

U.S. Treasury Inflation Index
0.125%, 4/15/19 (TIPS)
(cost $1,486,099)

     1,454           1,438,167   
       

 

 

 

ASSET-BACKED SECURITIES - 0.3%

       

Autos - Floating Rate - 0.3%

       

Navistar Financial Dealer Note Master Trust

       

Series 2014-1, Class A

       

0.92%, 10/25/19 (a)(b)

       

(cost $111,000)

     111           111,000   
       

 

 

 

Total Investments - 98.7%
(cost $39,144,772) (c)

          39,176,209   

Other assets less liabilities - 1.3% (d)

          531,395   
       

 

 

 

Net Assets - 100.0%

        $ 39,707,604   
       

 

 

 

FUTURES

 

Type

   Number
of
Contracts
     Expiration
Month
     Original
Value
     Value at
December 31, 2014
     Unrealized
Appreciation/
(Depreciation)
 

Purchased Contracts

              

U.S. T-Note 2 Yr

              

(CBT) Futures

     69         March 2015       $ 15,074,344       $ 15,082,969       $ 8,625   

Sold Contracts

              

U.S. T-Note 5 Yr

              

(CBT) Futures

     9         March 2015         1,067,203         1,070,367         (3,164

U.S. T-Note 10 Yr

              

(CBT) Futures

     17         March 2015         2,141,966         2,155,547         (13,581
              

 

 

 
               $ (8,120
              

 

 

 

 

^ Less than $500.

 

(a) Floating Rate Security. Stated interest rate was in effect at December 31, 2014.


(b) Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security is considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2014, the market value of this security amounted to $111,000 or 0.3% of net assets.
(c) As of December 31, 2014, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $116,086 and gross unrealized depreciation of investments was $(84,649), resulting in net unrealized appreciation of $31,437.
(d) An amount of U.S. $20,811 has been segregated to collateralize margin requirements for the open futures contracts at December 31, 2014.

Glossary:

 

CBT    -    Chicago Board of Trade
CMBS    -    Commercial Mortgage-Backed Securities
FHLMC    -    Federal Home Loan Mortgage Corporation
NCUA    -    National Credit Union Administration
TIPS    -    Treasury Inflation Protected Security


Sanford C. Bernstein Fund, Inc.

U.S. Government Short Duration Portfolio

December 31, 2014 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolio. Unobservable inputs reflect the Portfolio’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

   

Level 1—quoted prices in active markets for identical investments

   

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

   

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

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

Valuations of mortgage-backed or other asset backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.

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

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2014:

 

Investments in Securities:

   Level 1     Level 2     Level 3     Total  

Assets:

        

Governments - Treasuries

   $ – 0  –    $ 22,447,546      $ – 0  –    $ 22,447,546   

Collateralized Mortgage Obligations

     – 0 –      10,551,339        – 0 –      10,551,339   

Mortgage Pass - Throughs

     – 0 –      2,893,135        – 0 –      2,893,135   

Commercial Mortgage-Backed Securities

     – 0 –      1,735,022        – 0 –      1,735,022   

Inflation - Linked Securities

     – 0 –      1,438,167        – 0 –      1,438,167   

Asset-Backed Securities

     – 0 –      111,000        – 0 –      111,000   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments in Securities

     – 0 –      39,176,209        – 0 –      39,176,209   

Other Financial Instruments* :

        

Assets:

        

Futures

     8,625        – 0 –      – 0 –      8,625   

Liabilities:

        

Futures

     (16,745     – 0 –      – 0 –      (16,745
  

 

 

   

 

 

   

 

 

   

 

 

 

Total^

     $    (8,120   $     39,176,209      $      – 0  –    $     39,168,089   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
^ There were no transfers between any levels during the reporting period.


The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The Adviser has established a Valuation Committee (the “Committee”) which is responsible for overseeing the pricing and valuation of all securities held in the Portfolio. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily compare of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).


Sanford C. Bernstein Fund, Inc. - Short Duration California Municipal Portfolio

Portfolio of Investments

December 31, 2014 (unaudited)

 

      Principal
Amount
(000)
       U.S. $ Value  

MUNICIPAL OBLIGATIONS - 90.0%

       

Long-Term Municipal Bonds - 90.0%

       

California - 78.9%

       

Abag Finance Authority for Nonprofit Corps. (Odd Fellows Home of California)

       

Series 2012A

       

4.00%, 4/01/16

   $ 1,080         $ 1,123,783   

Bay Area Toll Authority

       

Series 2007F

       

5.00%, 4/01/17 (Pre-refunded/ETM)

     1,305           1,432,029   

City & County of San Francisco CA

       

Series 2013A

       

5.00%, 6/15/15

     2,475           2,528,213   

City of Los Angeles CA Wastewater System Revenue

       

Series 2013B

       

4.00%, 6/01/16

     3,160           3,319,422   

City of Riverside CA Electric Revenue

       

Series 2013A

       

4.00%, 10/01/16

     2,285           2,423,471   

Contra Costa Transportation Authority (Contra Costa Transportation Authority Sales Tax)

       

Series 2012B

       

4.00%, 3/01/16

     1,620           1,689,692   

East Bay Municipal Utility District Water System Revenue

       

Series 2013A

       

5.00%, 6/01/16

     2,000           2,129,140   

Los Angeles County Sanitation Districts Financing Authority

       

Series 2013A

       

5.00%, 10/01/16

     1,525           1,644,850   

Los Angeles Unified School District/CA

       

Series 2014A

       

5.00%, 7/01/17

     1,315           1,456,875   

NATL Series 2002

       

5.75%, 7/01/16

     725           782,304   

Metropolitan Water District of Southern California

       

Series 2012E-2

       

3.00%, 7/01/35

     1,000           1,013,250   

Sacramento City Unified School District/CA

       

Series 2013A

       

4.00%, 8/01/15

     1,040           1,061,996   

Sacramento Municipal Utility District

       

Series 2013C

       

5.00%, 8/15/16

     2,300           2,467,900   

San Francisco Bay Area Rapid Transit District

       

Series 2012A

       

3.00%, 7/01/15

     1,000           1,013,890   

Southern California Public Power Authority (Los Angeles Department of Water & Power PWR)

       

Series 2012A

       

5.00%, 7/01/16

     2,255           2,407,145   

State of California

       

Series 2013B

       

5.00%, 9/01/15

     1,815           1,872,645   


      Principal
Amount
(000)
       U.S. $ Value  

State of California Department of Water Resources PWR

       

Series 2010M

       

5.00%, 5/01/15

     1,430           1,452,279   

University of California

       

NATL Series 2005E

       

5.00%, 5/15/15

     1,000           1,017,440   
       

 

 

 
          30,836,324   
       

 

 

 

Florida - 0.3%

       

Durbin Crossing Community Development District

       

Series 20061

       

5.25%, 11/01/15 (a)(b)

     105           37,800   

Lake Ashton II Community Development District

       

Series 2006B

       

5.00%, 11/01/11 (a)(b)

     190           62,700   
       

 

 

 
          100,500   
       

 

 

 

Illinois - 1.4%

       

State of Illinois

       

Series 2012

       

5.00%, 8/01/15

     510           522,827   

Town of Cortland IL Special Service Areas

       

Series 2007

       

5.125%, 3/01/14 (a)(b)

     110           5,500   
       

 

 

 
          528,327   
       

 

 

 

Louisiana - 0.2%

       

Coves of the Highland County Community Development District

       

Series 2006

       

5.60%, 11/01/13 (a)(b)(c)

     200           0   

Isabella Lakes Community Development District

       

Series 2007

       

6.00%, 8/01/22 (a)(b)

     200           50,000   

Orange Grove Community Development District

       

Series 2006

       

5.30%, 11/01/21 (a)(b)

     130           26,000   
       

 

 

 
          76,000   
       

 

 

 

New Jersey - 5.2%

       

New Jersey Economic Development Authority (New Jersey Cigarette Tax)

       

Series 2012

       

5.00%, 6/15/16

     820           868,774   

New Jersey Transit Corp.

       

Series 2014A

       

5.00%, 9/15/17

     1,080           1,182,027   
       

 

 

 
          2,050,801   
       

 

 

 

New York - 1.3%

       

County of Nassau NY

       

Series 2014A

       

2.00%, 2/02/15

     500           500,690   
       

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

Puerto Rico - 2.7%

       

Puerto Rico Industrial Tourist Educational Medical & Envirml Ctl Facs Fing Auth (Universidad Interamericana DE Puerto Rico, Inc.)

       

Series 2012

       

5.00%, 10/01/15

     1,015           1,037,411   
       

 

 

 

Total Municipal Obligations
(cost $35,711,313)

          35,130,053   
       

 

 

 

CORPORATES - INVESTMENT GRADE - 5.8%

       

Financial Institutions - 5.8%

       

Banking - 5.8%

       

Bank of America Corp.

       

1.50%, 10/09/15

     860           863,527   

Capital One Bank USA NA

       

1.20%, 2/13/17

     500           495,664   

JPMorgan Chase & Co.

       

1.35%, 2/15/17

     440           439,990   

Morgan Stanley

       

Series G

       

5.45%, 1/09/17

     445           477,803   
       

 

 

 

Total Corporates - Investment Grade
(cost $2,283,901)

          2,276,984   
       

 

 

 

SHORT-TERM INVESTMENTS - 2.8%

       

Time Deposit - 2.8%

       

State Street Time Deposit

       

0.01%, 1/02/15

(cost $1,098,444)

     1,098           1,098,444   
       

 

 

 

Total Investments - 98.6%
(cost $39,093,658) (d)

          38,505,481   

Other assets less liabilities - 1.4%

          557,840   
       

 

 

 

Net Assets - 100.0%

        $ 39,063,321   
       

 

 

 

 

(a) Security is in default and is non-income producing.
(b) Illiquid security.
(c) Fair valued by the Adviser.
(d) As of December 31, 2014, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $111,540 and gross unrealized depreciation of investments was $(699,717), resulting in net unrealized depreciation of $(588,177).

As of December 31, 2014, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 5.18% and 0.0%, respectively.

Glossary:

 

ETM    -    Escrowed to Maturity
NATL    -    National Interstate Corporation


Sanford C. Bernstein Fund, Inc.

Short Duration California Municipal Portfolio

December 31, 2014 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolio. Unobservable inputs reflect the Portfolio’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

   

Level 1—quoted prices in active markets for identical investments

   

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

   

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

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

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

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2014:

 

Investments in Securities:

   Level 1     Level 2     Level 3     Total  

Assets:

        

Long-Term Municipal Bonds

   $ – 0  –    $ 34,948,053      $     182,000   $ 35,130,053   

Corporates - Investment Grade

     – 0  –      2,276,984        – 0  –      2,276,984   

Short-Term Investments

     – 0  –      1,098,444        – 0  –      1,098,444   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments in Securities

     – 0  –      38,323,481        182,000        38,505,481   

Other Financial Instruments*

     – 0  –      – 0  –      – 0  –      – 0  – 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total+

   $             – 0  –    $     38,323,481      $ 182,000      $     38,505,481   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

^ The Portfolio held securities with zero market value at period end.
* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
+ There were no transfers between any levels during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

 

     Long-Term Municipal
Bonds^
    Total  

Balance as of 9/30/14

   $     200,994      $ 200,994   

Accrued discounts/(premiums)

     – 0  –      – 0  – 

Realized gain (loss)

     – 0  –      – 0  – 

Change in unrealized appreciation/depreciation

     22,077        22,077   


Purchases

     – 0  –      – 0  – 

Sales

     (41,071     (41,071

Transfers in to Level 3

     – 0  –      – 0  – 

Transfers out of Level 3

     – 0  –      – 0  – 
  

 

 

   

 

 

 

Balance as of 12/31/14

   $ 182,000      $     182,000   
  

 

 

   

 

 

 

Net change in unrealized appreciation/depreciation from Investments held as of 12/31/14

   $ 22,077      $ 22,077   
  

 

 

   

 

 

 

 

^ The Portfolio held securities with zero market value at period end.

The Adviser has established a Valuation Committee (the “Committee”) which is responsible for overseeing the pricing and valuation of all securities held in the Portfolio. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily compare of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).


Sanford C. Bernstein Fund, Inc.

Short Duration New York Municipal Portfolio

Portfolio of Investments

December 31, 2014 (unaudited)

 

      Principal
Amount
(000)
       U.S. $ Value  

MUNICIPAL OBLIGATIONS - 91.4%

       

Long-Term Municipal Bonds - 91.4%

       

New York - 85.5%

       

City of New York NY

       

Series 2012A

       

5.00%, 8/01/16

   $ 2,855         $ 3,054,650   

Series 2013E

       

5.00%, 8/01/17

     1,175           1,298,986   

County of Nassau NY

       

Series 2014A

       

2.00%, 3/16/15

     2,865           2,874,684   

County of Onondaga NY

       

Series 2013

       

5.00%, 5/01/16

     3,605           3,825,446   

County of Westchester NY

       

Series 2013B

       

5.00%, 7/01/16

     2,610           2,787,715   

Erie County Fiscal Stability Authority (Erie County Fiscal Stability Authority Sales Tax)

       

Series 2011C

       

5.00%, 12/01/16

     1,000           1,085,310   

Long Island Power Authority

       

NATL Series 2006D

       

2.837%, 9/01/15 (a)

     2,050           2,076,425   

Metropolitan Transportation Authority

       

Series 2012D

       

4.00%, 11/15/15

     1,400           1,445,108   

Series 2012H

       

5.00%, 11/15/17

     1,350           1,506,236   

AGM Series 2002B-1

       

0.339%, 11/01/22 (b)

     2,575           2,481,082   

Metropolitan Transportation Authority (Metropolitan Transportation Authority Service Contract)

       

Series 2002A

       

5.75%, 1/01/17

     3,600           3,958,704   

Monroe County Industrial Development Agency (Rochester Schools Modernization State Lease)

       

Series 2012A

       

5.00%, 5/01/15

     1,500           1,523,025   

Nassau County Interim Finance Authority

       

Series 2012A

       

5.00%, 11/15/16

     4,600           4,982,398   

Nassau County Local Economic Assistance Corp. (Catholic Health Services of Long Island Obligated Group)

       

Series 2014

       

3.00%, 7/01/15-7/01/16

     1,385           1,410,989   

New York City Transitional Finance Authority Future Tax Secured Revenue

       

Series 2009B

       

5.00%, 11/01/15 (Pre-refunded/ETM)

     1,000           1,039,360   

5.00%, 11/01/15

     845           878,479   

Series 2012E

       

5.00%, 2/01/17 (Pre-refunded/ETM)

     1,830           1,994,956   

New York Local Government Assistance Corp.

       

Series 2009A

       

5.00%, 4/01/17

     1,000           1,095,930   


      Principal
Amount
(000)
       U.S. $ Value  

New York State Dormitory Authority (State of New York Pers Income Tax)

       

Series 2009A

       

5.00%, 3/15/17

   $ 3,700         $ 4,045,395   

New York State Energy Research & Development Authority (New York State Electric & Gas Corp.)

       

NATL Series 2010C

       

0.464%, 4/01/34 (b)

     2,325           2,188,385   

New York State Environmental Facilities Corp. (New York City Municipal Water Finance Authority)

       

Series 2012D

       

5.00%, 6/15/20

     1,000           1,183,380   

New York State Thruway Authority

       

Series 2012II

       

5.00%, 1/01/16

     1,080           1,130,766   

New York State Thruway Authority (New York State Thruway Authority Ded Tax)

       

Series 2008B

       

5.25%, 4/01/18

     2,710           3,069,319   

New York State Thruway Authority (State of New York Pers Income Tax)

       

Series 2012A

       

5.00%, 3/15/18

     2,000           2,250,660   

New York State Urban Development Corp. (State of New York Pers Income Tax)

       

Series 2010A

       

5.00%, 3/15/17

     3,610           3,946,993   

Port Authority of New York & New Jersey

       

Series 2013180

       

4.00%, 6/01/16

     1,580           1,656,741   

Sales Tax Asset Receivable Corp.

       

Series 2014A

       

3.00%, 10/15/16

     2,470           2,583,027   

Schenectady County Capital Resource Corp. (Ellis Hospital)

       

Series 2012

       

1.75%, 2/15/18

     565           561,265   

Tobacco Settlement Financing Corp/NY (Tobacco Settlement Financing Corp/NY State Lease)

       

Series 2013B

       

5.00%, 6/01/20

     3,950           4,182,655   

Town of Hempstead NY

       

Series 2012

       

4.00%, 8/15/15

     1,315           1,345,850   

Triborough Bridge & Tunnel Authority

       

Series 2012A

       

5.00%, 11/15/16

     1,000           1,082,930   

Utility Debt Securitization Authority

       

Series 2013T

       

5.00%, 6/15/18

     2,170           2,312,048   
       

 

 

 
          70,858,897   
       

 

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

Colorado - 1.7%

       

Denver Urban Renewal Authority (Stapleton Development Corp.)

       

Series 2013A

       

5.00%, 12/01/15

   $ 1,355         $ 1,410,731   
       

 

 

 

Florida - 0.4%

       

Durbin Crossing Community Development District

       

Series 20061

       

5.25%, 11/01/15 (c)(d)

     135           48,600   

New River Community Development District

       

Series 2006B

       

5.00%, 5/01/13 (c)(e)

     65           1   

Overoaks Community Development District

       

Series 2004B

       

5.125%, 5/01/09 (c)(e)

     45           22,500   

Series 2010A-1

       

6.125%, 5/01/35 (c)

     20           20,253   

Series 2010A-2

       

6.125%, 5/01/35 (c)

     50           50,093   

Series 2010B

       

5.125%, 5/01/17 (c)

     70           70,215   

Parkway Center Community Development District

       

Series 2004B

       

7.00%, 5/01/23

     135           135,336   
       

 

 

 
          346,998   
       

 

 

 

Illinois - 1.3%

       

State of Illinois

       

Series 2012

       

5.00%, 8/01/15

     1,000           1,025,150   

Town of Cortland IL Special Service Areas No 9 & 10

       

Series 2007

       

5.125%, 3/01/14 (c)(d)

     153           7,650   
       

 

 

 
            1,032,800   
       

 

 

 

Louisiana - 0.1%

       

Coves of the Highland County Community Development District

       

Series 2006

       

5.60%, 11/01/21 (c)(d)(f)

     270           0   

Isabella Lakes Community Development District

       

Series 2007

       

6.00%, 8/01/22 (c)(d)

     255           63,750   

Juban Parc Community Development District

       

Series 2006

       

5.15%, 10/01/14 (c)(d)

     115           23,000   

Whispering Spring Community Development District

       

Series 2006

       

5.20%, 10/01/21 (c)(d)

     120           21,600   
       

 

 

 
          108,350   
       

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

New Jersey - 2.4%

       

New Jersey Transit Corp.

       

Series 2014A

       

5.00%, 9/15/17

   $ 1,800         $ 1,970,046   
       

 

 

 

Total Municipal Obligations
(cost $76,433,037)

            75,727,822   
       

 

 

 

CORPORATES - INVESTMENT GRADE - 3.6%

       

Financial Institutions - 2.0%

       

Banking - 1.1%

       

Bank of America Corp.

       

4.50%, 4/01/15

     420           423,946   

Generic Municipal Bond

       

5.375%, 10/15/15

     455           470,625   
       

 

 

 
          894,571   
       

 

 

 

Finance - 0.9%

       

General Electric Capital Corp.

       

2.15%, 1/09/15

     803           803,131   
       

 

 

 

Industrial - 1.6%

       

Technology - 1.6%

       

International Business Machines Corp.

       

0.55%, 2/06/15

     805           805,168   

Cisco Systems, Inc.

       

1.10%, 3/03/17

     503           503,213   
       

 

 

 
          1,308,381   
       

 

 

 

Total Corporates - Investment Grade
(cost $3,002,480)

          3,006,083   
       

 

 

 

SHORT-TERM INVESTMENTS - 3.1%

       

Time Deposit - 3.1%

       

State Street Time Deposit

       

0.01%, 1/02/15

(cost $2,580,091)

     2,580           2,580,091   
       

 

 

 

Total Investments - 98.1%
(cost $82,015,608) (g)

          81,313,996   

Other assets less liabilities - 1.9%

          1,551,587   
       

 

 

 

Net Assets - 100.0%

        $ 82,865,583   
       

 

 

 

 

(a) Variable rate coupon, rate shown as of December 31, 2014.
(b) An auction rate security whose interest rate resets at each auction date. Auctions are typically held every week or month. The rate shown is as of December 31, 2014 and the aggregate market value of these securities amounted to $4,669,467 or 5.64% of net assets.
(c) Illiquid security.
(d) Security is in default and is non-income producing.
(e) Non-income producing security.
(f) Fair valued by the Adviser.
(g) As of December 31, 2014, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $350,738 and gross unrealized depreciation of investments was $(1,052,350), resulting in net unrealized depreciation of $(701,612).


As of December 31, 2014, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 8.9% and 0.0%, respectively.

Glossary:

 

AGM    -    Assured Guaranty Municipal
ETM    -    Escrowed to Maturity
NATL    -    National Interstate Corporation


Sanford C. Bernstein Fund, Inc.

Short Duration New York Municipal Portfolio

December 31, 2014 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolio. Unobservable inputs reflect the Portfolio’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

   

Level 1—quoted prices in active markets for identical investments

   

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

   

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

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

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

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2014:

 

Investments in Securities:

   Level 1     Level 2     Level 3     Total  

Assets:

        

Long-Term Municipal Bonds

   $ – 0  –    $ 73,968,910      $ 1,758,912   $ 75,727,822   

Corporates - Investment Grades

     – 0  –      3,006,083        – 0  –      3,006,083   

Short-Term Investments

     – 0  –      2,580,091        – 0  –      2,580,091   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments in Securities

     – 0  –      79,555,084        1,758,912        81,313,996   

Other Financial Instruments*

     – 0  –      – 0  –      – 0  –      – 0  – 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total+

   $             – 0  –    $     79,555,084      $     1,758,912      $     81,313,996   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

^ The Portfolio held securities with zero market value at period end.
* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
+ There were no transfers between any levels during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

 

     Long-Term Municipal
Bonds^
    Total  

Balance as of 9/30/14

   $     827,562      $     827,562   

Accrued discounts/(premiums)

     (7,219     (7,219

Realized gain (loss)

     – 0  –      – 0  – 

Change in unrealized appreciation/depreciation

     31,788        31,788   


Purchases

     969,587        969,587   

Sales

     (62,806     (62,806

Transfers in to Level 3

     – 0  –      – 0  – 

Transfers out of Level 3

     – 0  –      – 0  – 
  

 

 

   

 

 

 

Balance as of 12/31/14

   $     1,758,912      $     1,758,912   
  

 

 

   

 

 

 

Net change in unrealized appreciation/depreciation from Investments held as of 12/31/14

   $ 31,788      $ 31,788   
  

 

 

   

 

 

 

 

^ The Portfolio held securities with zero market value at period end.

The following presents information about significant unobservable inputs related to the Portfolio’s Level 3 investments at December 31, 2014. Securities priced by third party vendors or at cost, which approximate fair value, are excluded from the following table.

Quantitative Information about Level 3 Fair Value Measurements

 

     Fair Value at
12/31/14
   

Valuation Technique

   Unobservable Input    Range/
Weighted Average
 

Long-Term Municipal Bonds

   $ – 0  –   

Qualitative Assessment

      $ 0.00/N/A   

The Adviser has established a Valuation Committee (the “Committee”) which is responsible for overseeing the pricing and valuation of all securities held in the Portfolio. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily compare of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).


Sanford C. Bernstein Fund, Inc.

Short Duration Diversified Municipal Portfolio

Portfolio of Investments

December 31, 2014 (unaudited)

 

      Principal
Amount
(000)
       U.S. $ Value  

MUNICIPAL OBLIGATIONS - 93.8%

       

Long-Term Municipal Bonds - 93.8%

       

Alabama - 2.2%

       

Alabama Public School & College Authority

       

Series 2013A

       

5.00%, 6/01/16

   $ 4,180         $ 4,440,748   

County of Jefferson AL Sewer Revenue

       

Series 2013D

       

5.00%, 10/01/16

     750           792,540   
       

 

 

 
          5,233,288   
       

 

 

 

Arizona - 2.3%

       

City of Phoenix Civic Improvement Corp.

       

Series 2009A

       

5.00%, 7/01/17

     2,300           2,537,912   

Salt River Project Agricultural Improvement & Power District

       

Series 2009B

       

4.00%, 1/01/16

     2,890           2,994,907   
       

 

 

 
          5,532,819   
       

 

 

 

Arkansas - 0.6%

       

City of Little Rock AR

       

Series 2013

       

1.25%, 4/01/33

     1,515           1,514,727   
       

 

 

 

Colorado - 0.0%

       

Todd Creek Village Metropolitan District No 1

       

Series 2004

       

4.75%, 12/01/09 (a)(b)

     85           42,383   
       

 

 

 

Connecticut - 1.8%

       

State of Connecticut

       

Series 2014C

       

5.00%, 6/15/17

     3,970           4,375,416   
       

 

 

 

Florida - 8.0%

       

Citizens Property Insurance Corp.

       

Series 2009A-1

       

6.00%, 6/01/16

     3,500           3,764,635   

Series 2010A-1

       

5.00%, 6/01/16

     4,695             4,983,789   

Dupree Lakes Community Development District

       

Series 2010

       

6.83%, 11/01/15

     5           5,023   

Florida State Board of Education (State of Florida)

       

Series 2013C

       

5.00%, 6/01/16

     2,665           2,837,079   

Heritage Plantation Community Development District

       

Series 2006B

       

5.10%, 11/01/13 (a)(b)

     150           54,000   

Miami Beach Health Facilities Authority (Mount Sinai Medical Center of Florida, Inc.)

       

Series 2012

       

3.00%, 11/15/15

     815           832,710   


      Principal
Amount
(000)
       U.S. $ Value  

Overoaks Community Development District

       

Series 2004B

       

5.125%, 5/01/09 (a)(c)

   $ 55         $ 27,500   

Series 2010A-1

       

6.125%, 5/01/35 (a)

     30           30,379   

Series 2010A-2

       

6.125%, 5/01/35 (a)

     60           60,112   

Series 2010B

       

5.125%, 5/01/17 (a)

     75           75,230   

Parkway Center Community Development District

       

Series 2004B

       

7.00%, 5/01/23

     110           110,274   

State of Florida Lottery Revenue

       

Series 2012A

       

5.00%, 7/01/16-7/01/17

     6,100           6,602,939   
       

 

 

 
          19,383,670   
       

 

 

 

Georgia - 5.6%

       

Municipal Electric Authority of Georgia

       

Series 2012B

       

5.00%, 1/01/18

     2,450           2,736,062   

State of Georgia

       

Series 2012A

       

5.00%, 7/01/16

     10,000           10,682,400   
       

 

 

 
          13,418,462   
       

 

 

 

Hawaii - 0.9%

       

State of Hawaii

       

Series 2013E

       

5.00%, 8/01/15

     2,040           2,096,284   
       

 

 

 

Illinois - 7.1%

       

State of Illinois

       

Series 2012

       

5.00%, 8/01/15

     2,730           2,798,659   

State of Illinois (State of Illinois Sales Tax)

       

Series 2013

       

4.00%, 6/15/16

     3,010           3,160,681   

State of Illinois Unemployment Compensation Trust Fund

       

Series 2012A

       

5.00%, 6/15/15

     11,045           11,280,921   

Town of Cortland IL Special Service Areas

       

Series 2007

       

5.125%, 3/01/14 (a)(b)

     182           9,100   
       

 

 

 
            17,249,361   
       

 

 

 

Louisiana - 0.1%

       

Isabella Lakes Community Development District

       

Series 2007

       

6.00%, 8/01/22 (a)(b)

     515           128,750   

Whispering Spring Community Development District

       

Series 2006

       

5.20%, 10/01/21 (a)(b)

     670           120,600   
       

 

 

 
          249,350   
       

 

 

 


     Principal
Amount
(000)
       U.S. $ Value  

Maryland - 1.1%

       

County of Anne Arundel MD

       

Series 2013

       

5.00%, 4/01/16

   $ 2,645         $ 2,798,251   
       

 

 

 

Massachusetts - 8.2%

       

Commonwealth of Massachusetts

       

Series 20145

       

4.00%, 6/01/17

     3,405           3,670,556   

Massachusetts Clean Water Trust (The)

       

Series 2014

       

5.00%, 8/01/17

     12,035           13,330,929   

Massachusetts School Building Authority

       

Series 2012B

       

5.00%, 8/15/17

     2,400           2,661,648   
       

 

 

 
            19,663,133   
       

 

 

 

Michigan - 3.1%

       

City of Detroit MI Sewage Disposal System Revenue

       

AGM Series 2006D

       

0.757%, 7/01/32 (d)

     1,530           1,290,203   

Michigan Finance Authority (City of Detroit MI Water Supply System Revenue)

       

Series 2014D4

       

5.00%, 7/01/16

     3,260           3,438,942   

Rochester Community School District

       

Series 2015

       

5.00%, 5/01/16 (e)

     2,585           2,713,836   
       

 

 

 
          7,442,981   
       

 

 

 

Minnesota - 4.2%

       

Elk River Independent School District No 728

       

Series 2012A

       

5.00%, 2/01/17

     4,460           4,851,365   

State of Minnesota (State of Minnesota Lease)

       

Series 2012B

       

4.00%, 3/01/16

     5,000           5,213,900   
       

 

 

 
          10,065,265   
       

 

 

 

Missouri - 2.2%

       

City of St Louis MO Airport Revenue (Lambert-St Louis Intl Airport)

       

NATL Series 2005

       

5.50%, 7/01/16

     5,040           5,404,039   
       

 

 

 

Nevada - 2.3%

       

State of Nevada (State of Nevada Unemployment)

       

Series 2013

       

5.00%, 6/01/16

     5,285           5,623,187   
       

 

 

 


     Principal
Amount
(000)
       U.S. $ Value  

New Jersey - 3.4%

       

Morris-Union Jointure Commission COP

       

AGM Series 2013

       

4.00%, 8/01/15

   $ 750         $ 761,880   

New Jersey Economic Development Authority

       

Series 2011G

       

5.00%, 9/01/20

     1,910           2,173,160   

New Jersey Economic Development Authority (New Jersey Cigarette Tax)

       

Series 2012

       

5.00%, 6/15/16

     1,625           1,721,655   

New Jersey Transit Corp.

       

Series 2014A

       

5.00%, 9/15/17

     2,100           2,298,387   

Rutgers The State University of New Jersey

       

Series 2013J

       

3.00%, 5/01/15

     1,150           1,160,419   
       

 

 

 
          8,115,501   
       

 

 

 

New Mexico - 5.1%

       

State of New Mexico Severance Tax Permanent Fund

       

Series 2013A

       

5.00%, 7/01/16

     11,440           12,218,950   
       

 

 

 

New York - 8.1%

       

City of New York NY

       

Series 2012F

       

5.00%, 8/01/15

     1,835           1,885,958   

Series 2013J

       

5.00%, 8/01/16

     2,400           2,567,832   

Metropolitan Transportation Authority

       

Series 2012D

       

4.00%, 11/15/15

     8,525           8,799,676   

AGM Series 2002B-1

       

0.339%, 11/01/22 (f)

     6,575           6,335,190   
       

 

 

 
            19,588,656   
       

 

 

 

Ohio - 2.7%

       

County of Hamilton OH Sewer System Revenue

       

Series 2015A

       

5.00%, 12/01/16 (e)

     5,000           5,387,550   

State of Ohio Major New State Infrastrucure Project (State of Ohio Fed Hwy Grant)

       

Series 20121

       

5.00%, 12/15/17

     1,000           1,118,140   
       

 

 

 
          6,505,690   
       

 

 

 

Oregon - 2.7%

       

Multnomah County School District No 1 Portland/OR

       

Series 2013A

       

5.00%, 6/15/15

     2,000           2,042,800   

Portland Community College District

       

Series 2013

       

5.00%, 6/15/16

     4,105           4,377,408   
       

 

 

 
          6,420,208   
       

 

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

Pennsylvania - 0.5%

       

Delaware River Port Authority

       

Series 2012

       

4.00%, 1/01/15

   $ 1,140         $ 1,140,000   

Philadelphia Authority for Industrial Development (LLPCS Foundation)

       

Series 2005A

       

4.60%, 7/01/15 (a)

     65           44,871   
       

 

 

 
          1,184,871   
       

 

 

 

South Carolina - 2.8%

       

State of South Carolina

       

Series 2011

       

5.00%, 3/01/17

     6,135           6,710,095   
       

 

 

 

Texas - 10.4%

       

Grand Parkway Transportation Corp.

       

Series 2014A

       

3.00%, 12/15/16

     11,040           11,566,056   

Tarrant Regional Water District

       

Series 2012A

       

5.00%, 3/01/17

     6,115           6,681,310   

Texas Public Finance Authority (State of Texas Unemployment)

       

Series 2014B

       

3.50%, 1/01/19

     4,975           4,982,512   

Texas Transportation Commission State Highway Fund

       

Series 2014A

       

4.75%, 4/01/17

     1,625           1,771,884   
       

 

 

 
          25,001,762   
       

 

 

 

Virginia - 4.0%

       

County of Fairfax VA

       

Series 2011A

       

5.00%, 4/01/17

     1,385           1,518,195   

Dullles Town Center Community Development Authority

       

Series 2012

       

3.00%, 3/01/15

     1,100           1,101,771   

Greater Richmond Convention Center Authority

       

Series 2015

       

5.00%, 6/15/16 (e)

     2,000           2,101,800   

Virginia Commonwealth Transportation Board

       

Series 2012

       

5.00%, 5/15/15

     1,745           1,775,503   

Virginia Commonwealth Transportation Board (Commonwealth of Virginia Fed Hwy Grant)

       

Series 2013

       

5.00%, 9/15/15

     3,000           3,096,270   
       

 

 

 
          9,593,539   
       

 

 

 

Wisconsin - 4.4%

       

State of Wisconsin

       

Series 20141

       

5.00%, 5/01/16

     10,000           10,604,700   
       

 

 

 

Total Municipal Obligations
(cost $226,897,755)

          226,036,588   
       

 

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

CORPORATES - INVESTMENT GRADE - 6.0%

       

Financial Institutions - 4.4%

       

Banking - 3.4%

       

Bank of America Corp.

       

4.50%, 4/01/15

   $ 1,680         $ 1,695,785   

Capital One Bank USA NA

       

1.20%, 2/13/17

     1,850           1,833,959   

Citigroup, Inc.

       

4.587%, 12/15/15

     750           774,989   

Generic Municipal Bond

       

5.375%, 10/15/15

     1,300           1,344,642   

JPMorgan Chase & Co.

       

3.15%, 7/05/16

     2,453           2,521,529   
       

 

 

 
          8,170,904   
       

 

 

 

Finance - 1.0%

       

General Electric Capital Corp.

       

2.15%, 1/09/15

     2,370           2,370,389   
       

 

 

 

Industrial - 1.6%

       

Technology - 1.6%

       

International Business Machines Corp.

       

0.55%, 2/06/15

     2,350           2,350,491   

Cisco Systems, Inc.

       

1.10%, 3/03/17

     1,476           1,476,624   
       

 

 

 
          3,827,115   
       

 

 

 

Total Corporates - Investment Grade
(cost $14,388,086)

          14,368,408   
       

 

 

 

SHORT-TERM INVESTMENTS - 1.9%

       

Time Deposit - 1.9%

       

State Street Time Deposit

       

0.01%, 1/02/15

(cost $4,562,863)

     4,563           4,562,863   
       

 

 

 

Total Investments - 101.7%
(cost $245,848,704) (g)

          244,967,859   

Other assets less liabilities - (1.7)%

          (4,150,080
       

 

 

 

Net Assets - 100.0%

        $ 240,817,779   
       

 

 

 

 

(a) Illiquid security.
(b) Security is in default and is non-income producing.
(c) Non-income producing security.
(d) Floating Rate Security. Stated interest rate was in effect at December 31, 2014.
(e) When-Issued or delayed delivery security.
(f) An auction rate security whose interest rate resets at each auction date. Auctions are typically held every week or month. The rate shown is as of December 31, 2014 and the aggregate market value of this security amounted to $6,335,190 or 2.63% of net assets.


(g) As of December 31, 2014, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $833,564 and gross unrealized depreciation of investments was $(1,714,409), resulting in net unrealized depreciation of $(880,845).

As of December 31, 2014, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 6.1% and 0.0%, respectively.

Glossary:

 

AGM    -    Assured Guaranty Municipal
COP    -    Certificate of Participation
NATL    -    National Interstate Corporation


Sanford C. Bernstein Fund, Inc.

Short Duration Diversified Municipal Portfolio

December 31, 2014 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolio. Unobservable inputs reflect the Portfolio’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

   

Level 1—quoted prices in active markets for identical investments

   

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

   

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

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

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

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2014:

 

Investments in Securities:

   Level 1     Level 2     Level 3     Total  

Assets:

        

Long-Term Municipal Bonds

   $ – 0  –    $ 224,226,595      $ 1,809,993      $ 226,036,588   

Corporates - Investment Grade

     – 0  –      14,368,408        – 0  –      14,368,408   

Short-Term Investments

     – 0  –      4,562,863        – 0  –      4,562,863   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments in Securities

     – 0  –      243,157,866        1,809,993        244,967,859   

Other Financial Instruments*

     – 0  –      – 0  –      – 0  –      – 0  – 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total+

   $             – 0  –    $     243,157,866      $     1,809,993      $     244,967,859   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.

+ There were no transfers between any levels during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

 

     Long-Term Municipal
Bonds
    Total  

Balance as of 9/30/14

   $     1,841,093      $     1,841,093   

Accrued discounts/(premiums)

     (1,025     (1,025

Realized gain (loss)

     522        522   

Change in unrealized appreciation/depreciation

     (15,597     (15,597


Purchases

     – 0  –      – 0  – 

Sales

     (15,000     (15,000

Transfers in to Level 3

     – 0  –      – 0  – 

Transfers out of Level 3

     – 0  –      – 0  – 
  

 

 

   

 

 

 

Balance as of 12/31/14

   $     1,809,993      $     1,809,993   
  

 

 

   

 

 

 

Net change in unrealized appreciation/depreciation from Investments held as of 12/31/14

   $ (15,597   $ (15,597
  

 

 

   

 

 

 

The Adviser has established a Valuation Committee (the “Committee”) which is responsible for overseeing the pricing and valuation of all securities held in the Portfolio. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily compare of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).


Sanford C. Bernstein Fund, Inc. - California Municipal Portfolio

Portfolio of Investments

December 31, 2014 (unaudited)

 

      Principal
Amount
(000)
       U.S. $ Value  

MUNICIPAL OBLIGATIONS - 96.9%

       

Long-Term Municipal Bonds - 96.9%

       

California - 85.9%

       

Abag Finance Authority for Nonprofit Corps. (Odd Fellows Home of California)

       

Series 2012A

       

5.00%, 4/01/20-4/01/22

   $ 2,000         $ 2,331,700   

Anaheim Public Financing Authority (City of Anaheim CA Lease)

       

Series 2014A

       

5.00%, 5/01/21-5/01/24

     4,050           4,758,659   

Bay Area Toll Authority

       

Series 2006F

       

5.00%, 4/01/16

     3,630           3,837,527   

5.00%, 4/01/16 (Pre-refunded/ETM)

     5,250           5,556,232   

Series 2007F

       

5.00%, 4/01/16

     3,570           3,775,025   

Series 2009F-1

       

5.00%, 4/01/19 (Pre-refunded/ETM)

     14,975           17,385,526   

Series 2012

       

5.00%, 4/01/24-4/01/25

     13,845           16,495,481   

Series 2014A

       

1.00%, 4/01/47

     15,455           15,516,202   

Bay Area Water Supply & Conservation Agency

       

Series 2013A

       

5.00%, 10/01/25

     4,710           5,682,568   

California Econ Recovery

       

Series 2009A

       

5.00%, 7/01/18

     10,620           12,111,048   

5.00%, 7/01/19 (Pre-refunded/ETM)

     22,500           26,255,475   

California Infrastructure & Economic Development Bank (Broad Collection/The)

       

Series 2011A

       

5.00%, 6/01/21

     20,650           24,934,255   

California Pollution Control Financing Authority (Poseidon Resources Channelside LP)

       

Series 2012

       

5.00%, 7/01/27 (a)

     4,000           4,417,080   

California Special Districts Association Finance Corp. COP

       

AGM Series 1996Z

       

5.50%, 8/01/17 (Pre-refunded/ETM)

     185           191,664   

California State Public Works Board

       

Series 2009E

       

5.00%, 4/01/19 (Pre-refunded/ETM)

     10,825           12,591,857   

Series 2011G

       

5.00%, 12/01/21 (Pre-refunded/ETM)

     1,545           1,885,858   

NATL Series 2007B

       

5.00%, 6/01/15 (Pre-refunded/ETM)

     3,030           3,089,782   

NATL Series 2007C

       

5.00%, 9/01/16 (Pre-refunded/ETM)

     1,575           1,695,582   

California State Public Works Board (California State Public Works Board Lease)

       

Series 2014A

       

5.00%, 9/01/30

     11,220           13,211,662   

Series 2014B

       

5.00%, 10/01/29

     4,445           5,252,345   


      Principal
Amount
(000)
       U.S. $ Value  

AMBAC Series 1993A

       

5.00%, 12/01/19

     2,340           2,598,125   

California State University

       

Series 2010A

       

5.00%, 11/01/24

     1,490           1,727,521   

Series 2011A

       

5.25%, 11/01/26

     5,500           6,526,080   

Series 2012A

       

5.00%, 11/01/26

     10,930           13,022,002   

Series 2014A

       

5.00%, 11/01/28

     16,650           20,302,510   

California Statewide Communities Development Authority (Kaiser Credit Group)

       

Series 2012C

       

5.00%, 11/01/29

     2,630           2,885,873   

Series 2012E-1

       

5.00%, 4/01/44

     1,000           1,097,290   

Chaffey Community College District

       

NATL Series 2005B

       

5.00%, 6/01/15 (Pre-refunded/ETM)

     1,440           1,468,109   

City & County of San Francisco CA

       

Series 2013A

       

5.00%, 6/15/15

     2,385           2,436,278   

City of Industry CA

       

Series 2009

       

5.00%, 7/01/17

     3,655           4,016,882   

City of Long Beach CA Harbor Revenue

       

Series 2010A

       

5.00%, 5/15/22-5/15/25

     16,895           19,790,374   

Series 2010B

       

5.00%, 5/15/21

     6,500           7,692,750   

City of Los Angeles CA Wastewater System Revenue

       

Series 2012C

       

5.00%, 6/01/23

     2,765           3,364,922   

City of Los Angeles Department of Airports (Los Angeles Intl Airport)

       

Series 2008A

       

5.50%, 5/15/15-5/15/17

     13,595           14,705,919   

Series 2009A

       

5.25%, 5/15/23-5/15/24

     15,955           18,674,114   

Series 2010A

       

5.00%, 5/15/23-5/15/25

     25,915           30,556,240   

Series 2010D

       

5.00%, 5/15/23

     5,000           5,926,000   

City of Riverside CA Electric Revenue

       

Series 2013A

       

5.00%, 10/01/15

     2,425           2,510,578   

City of San Francisco CA Public Utilities Commission Wastewater Revenue

       

Series 2013B

       

5.00%, 10/01/25

     4,000           4,795,760   

City of San Francisco CA Public Utilities Commission Water Revenue

       

Series 2009A

       

5.00%, 11/01/28

     2,000           2,305,120   

Series 2011A

       

5.00%, 11/01/25

     11,320           13,586,377   


      Principal
Amount
(000)
       U.S. $ Value  

City of San Jose CA Airport Revenue

       

Series 2014A

       

5.00%, 3/01/25

     3,600           4,194,324   

Contra Costa Water District

       

Series 2012Q

       

5.00%, 10/01/20

     5,315           6,327,242   

Series 2013R

       

5.00%, 10/01/16

     1,570           1,693,386   

Cotati-Rohnert Park Unified School District

       

AGM Series 2015B

       

5.00%, 8/01/21 (b)

     3,000           3,494,700   

NATL Series 2005

       

5.00%, 8/01/20

     2,020           2,075,732   

County of San Diego CA COP

       

AMBAC Series 2005

       

5.00%, 2/01/15 (Pre-refunded/ETM)

     2,000           2,006,780   

Fremont Unified School District/Alameda County CA

       

Series 2014A

       

4.00%, 8/01/16

     1,225           1,293,331   

Grossmont-Cuyamaca Community College District

       

AGC Series 2008

       

5.25%, 8/01/17

     1,150           1,281,756   

Long Beach Bond Finance Authority (Aquarium of the Pacific)

       

Series 2012

       

5.00%, 11/01/23

     4,025           4,635,834   

Long Beach Unified School District

       

Series 2009A

       

5.00%, 8/01/15-8/01/18

     17,695           19,427,120   

Series 2010A

       

5.00%, 8/01/25

     1,000           1,165,960   

Los Angeles Community College District/CA

       

Series 2015A

       

5.00%, 8/01/25 (b)

     5,000           6,192,350   

Los Angeles County Metropolitan Transportation Authority

       

Series 2010A

       

5.00%, 7/01/21

     2,000           2,330,620   

Series 2014

       

5.00%, 7/01/23

     2,220           2,747,206   

Los Angeles County Sanitation Districts Financing Authority

       

Series 2013A

       

5.00%, 10/01/15

     10,770           11,145,981   

Los Angeles Department of Water & Power PWR

       

Series 2008A-2

       

4.00%, 7/01/16

     10,050           10,579,333   

Series 2012C

       

4.00%, 1/01/16

     1,000           1,028,160   

5.00%, 1/01/16

     8,150           8,439,406   

Series 2013A

       

5.00%, 7/01/21

     1,505           1,822,149   

Series 2014B

       

5.00%, 7/01/27

     2,190           2,639,936   

Series 2014C

       

5.00%, 7/01/26

     11,725           14,364,415   


      Principal
Amount
(000)
       U.S. $ Value  

Los Angeles Department of Water & Power WTR

       

Series 2012C

       

5.00%, 7/01/23

     1,540           1,860,921   

Los Angeles Unified School District/CA

       

Series 2014C

       

5.00%, 7/01/27

     10,365           12,629,338   

FGIC Series 2005A-1

       

5.00%, 7/01/20-7/01/22

     13,485           13,798,784   

NATL Series 2005A-2

       

5.00%, 7/01/20

     11,000           11,259,160   

Mammoth Unified School District/CA

       

NATL Series 1998

       

Zero Coupon, 8/01/21-8/01/22

     2,100           1,761,594   

Metropolitan Water District of Southern California

       

Series 1993

       

5.75%, 8/10/18

     7,600           8,372,236   

Series 1993A

       

5.75%, 7/01/21 (Pre-refunded/ETM)

     710           892,335   

5.75%, 7/01/21

     1,775           2,131,651   

Series 2014A

       

5.00%, 3/01/17-3/01/20

     11,585           13,278,573   

Natomas Unified School District

       

Series 2014

       

5.00%, 8/01/22-8/01/23

     4,950           5,940,745   

Northern California Power Agency

       

Series 2012A

       

5.00%, 7/01/25-7/01/27

     3,980           4,685,196   

Orange County Sanitation District COP

       

Series 2009A

       

5.00%, 2/01/18-2/01/20

     11,045           12,628,372   

Peralta Community College District

       

Series 2014A

       

5.00%, 8/01/28

     1,820           2,187,913   

Pittsburg Successor Agency Redevelopment Agency

       

Series 1983

       

9.60%, 6/01/16 (Pre-refunded/ETM)

     1,000           1,123,250   

Port of Los Angeles

       

Series 2011B

       

5.00%, 8/01/23

     2,500           3,003,850   

Series 2014A

       

5.00%, 8/01/26-8/01/27

     2,565           3,071,384   

Port of Oakland

       

Series 2012P

       

5.00%, 5/01/22-5/01/25

     16,945           19,707,837   

NATL Series 2007C

       

5.00%, 11/01/18

     1,900           2,115,232   

Sacramento City Financing Authority (Sacramento City Financing Authority Lease)

       

Series 1993B

       

5.40%, 11/01/20

     2,000           2,217,660   

Sacramento City Unified School District/CA

       

Series 2011

       

5.00%, 7/01/24

     4,945           5,684,179   

Sacramento County Sanitation Districts Financing Authority

       

AMBAC Series 2001

       

5.50%, 12/01/21

     1,175           1,460,302   

Sacramento Municipal Utility District

       

Series 2012Y

       

5.00%, 8/15/25

     4,555           5,419,311   


      Principal
Amount
(000)
       U.S. $ Value  

Series 2013C

       

5.00%, 8/15/16

     5,155           5,531,315   

Sacramento Regional Transit District

       

Series 2012

       

5.00%, 3/01/24

     1,000           1,129,870   

San Diego County Water Authority COP

       

AGM Series 2008A

       

5.00%, 5/01/19-5/01/24

     7,655           8,660,633   

San Diego Public Facilities Financing Authority Sewer Revenue

       

Series 2009B

       

5.00%, 5/15/18-5/15/21

     35,520           40,902,792   

San Francisco City & County Airports Comm-San Francisco International Airport (San Francisco Intl Airport)

       

Series 2009C-2

       

5.00%, 5/01/15-5/01/16

     26,210           27,127,238   

Series 2011

       

5.25%, 5/01/18

     4,655           5,274,767   

Series 2011C

       

5.00%, 5/01/21

     3,900           4,583,631   

Series 2011S

       

5.00%, 5/01/25

     3,000           3,520,020   

AGC Series 2008-34E

       

5.00%, 5/01/16

     1,345           1,422,835   

San Francisco City & County Redevelopment Agency (Mission Bay South Public Imp)

       

Series 2013A

       

5.00%, 8/01/19-8/01/24

     3,855           4,419,505   

Santa Fe Springs Community Development Commission

       

NATL Series 2002

       

5.375%, 9/01/17

     560           560,605   

Santa Rosa City Schools

       

Series 2013

       

4.00%, 8/01/16

     1,740           1,833,386   

5.00%, 8/01/17

     4,255           4,708,583   

South Placer Wastewater Authority/CA

       

Series 2011C

       

5.00%, 11/01/19-11/01/20

     5,520           6,443,260   

Southern California Public Power Authority (Los Angeles Department of Water & Power PWR)

       

Series 2010

       

5.00%, 7/01/22-7/01/25

     12,235           14,291,454   

Series 2014A

       

5.00%, 7/01/30

     1,000           1,196,890   

Southwestern Community College District

       

Series 2015

       

5.00%, 8/01/20-8/01/25 (b)

     14,850           17,569,330   

State of California

       

Series 2013

       

4.00%, 12/01/26

     21,565           22,678,401   

5.00%, 10/01/20-9/01/28

     29,390           34,848,869   

Series 2014

       

5.00%, 12/01/22-5/01/29

     18,665           22,464,077   


      Principal
Amount
(000)
       U.S. $ Value  

State of California Department of Water Resources WTR

       

Series 2014A

       

5.00%, 12/01/27

     3,720           4,627,271   

State of California Department of Water Resources PWR

       

Series 2008H

       

5.00%, 5/01/17

     1,455           1,600,456   

Series 2008K

       

5.00%, 5/01/18

     23,145           26,265,640   

Series 2010L

       

5.00%, 5/01/15-5/01/20

     14,690           16,848,597   

State of California Department of Water Resources PWR

       

Series 2010L

       

5.00%, 5/01/17

     8,075           8,882,258   

AGM Series 2008H

       

5.00%, 5/01/17

     21,050           23,154,368   

State of California Department of Water Resources WTR

       

Series 2014A

       

5.00%, 12/01/27

     5,690           7,014,746   

Sweetwater Union High School District

       

Series 2014

       

5.00%, 8/01/28-8/01/29

     7,980           9,427,118   

University of California

       

Series 2009Q

       

5.25%, 5/15/22

     3,510           3,932,393   

Series 2010U

       

5.00%, 5/15/24

     4,215           4,966,998   

Series 2012G

       

5.00%, 5/15/25

     10,000           11,914,800   

Series 2014A

       

5.00%, 5/15/28

     1,000           1,217,680   

AGM Series 2007J

       

5.00%, 5/15/15 (Pre-refunded/ETM)

     395           405,851   

5.00%, 5/15/16

     5,935           6,098,687   

Vacaville Unified School District

       

Series 2015C

       

5.00%, 8/01/20-8/01/22 (b)

     2,390           2,757,921   

West Contra Costa Unified School District

       

Series 2013A

       

4.00%, 8/01/15

     4,535           4,633,546   

Series 2013B

       

4.00%, 8/01/15

     4,000           4,086,920   
       

 

 

 
          972,082,607   
       

 

 

 

Colorado - 0.3%

       

City & County of Denver Co. Airport System Revenue (Denver Intl Airport)

       

Series 2011A

       

5.75%, 11/15/20

     1,700           2,048,636   


      Principal
Amount
(000)
       U.S. $ Value  

Denver Urban Renewal Authority (Stapleton Development Corp.)

       

Series 2013A

       

5.00%, 12/01/20

     1,625           1,877,493   
       

 

 

 
          3,926,129   
       

 

 

 

Florida - 3.1%

       

Citizens Property Insurance Corp.

       

Series 2009A-1

       

6.00%, 6/01/16

     13,160           14,155,028   

County of Miami-Dade FL Aviation Revenue (Miami-Dade Intl Airport)

       

Series 2009A

       

5.75%, 10/01/21

     1,055           1,256,030   

Dupree Lakes Community Development District

       

Series 2010

       

6.83%, 11/01/15

     10           10,046   

Florida State Hurricane Catastrophe Fund Finance Corp.

       

Series 2010A

       

5.00%, 7/01/15 (Pre-refunded/ETM)

     4,000           4,093,840   

5.00%, 7/01/16 (Pre-refunded/ETM)

     13,080           13,966,562   

Miami-Dade County Expressway Authority

       

Series 2013A

       

5.00%, 7/01/21

     1,280           1,509,082   

New River Community Development District

       

Series 2006B

       

5.00%, 5/01/13 (c)(d)

     405           4   

Sterling Hill Community Development District

       

Series 2003B

       

5.50%, 11/01/10 (c)(e)(f)

     155           65,890   
       

 

 

 
          35,056,482   
       

 

 

 

Guam - 0.1%

       

Guam Government Waterworks Authority

       

Series 2005

       

5.50%, 7/01/16 (Pre-refunded/ETM)

     995           1,020,164   
       

 

 

 

Illinois - 2.1%

       

State of Illinois

       

Series 2012

       

5.00%, 8/01/18-8/01/23

     12,445           13,914,511   

Series 2014

       

5.00%, 5/01/28

     4,735           5,212,335   

Village of Bolingbrook IL (Village of Bolingbrook IL Sales Tax)

       

Series 2005

       

6.00%, 1/01/26

     4,450           4,088,794   
       

 

 

 
          23,215,640   
       

 

 

 

Louisiana - 0.0%

       

Coves of the Highland County Community Development District

       

Series 2006

       

5.60%, 11/01/13 (c)(e)(f)

     3,200           0   
       

 

 

 

New Jersey - 2.6%

       

New Jersey Transportation Trust Fund Authority

       

Series 2013A

       

5.00%, 12/15/19-6/15/20

     25,930           29,478,501   
       

 

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

North Carolina - 0.2%

       

North Carolina Eastern Municipal Power Agency

       

Series 2009B

       

5.00%, 1/01/16

     2,375           2,480,711   
       

 

 

 

Ohio - 0.0%

       

Columbiana County Port Authority (ELS Transportation LLC)

       

Series 2004A

       

7.00%, 8/01/21 (c)(f)

     310           124,000   
       

 

 

 

Puerto Rico - 1.0%

       

Commonwealth of Puerto Rico

       

NATL Series 2001A

       

5.50%, 7/01/19

     5,470           5,726,105   

Government Development Bank for Puerto Rico

       

NATL Series 1985

       

4.75%, 12/01/15

     5,555           5,639,603   
       

 

 

 
          11,365,708   
       

 

 

 

Texas - 1.2%

       

City of Houston TX Airport System Revenue

       

Series 2011A

       

5.00%, 7/01/19

     10,290           11,803,453   

Dallas/Fort Worth International Airport

       

Series 2009A

       

5.00%, 11/01/21

     1,180           1,271,568   
       

 

 

 
          13,075,021   
       

 

 

 

Washington - 0.4%

       

Tobacco Settlement Authority of Washington

       

Series 2013

       

5.00%, 6/01/15

     1,000           1,018,490   

Washington State Housing Finance Commission (Rockwood Retirement Communities)

       

Series 2014B-3

       

5.125%, 1/01/20 (a)

     2,925           2,928,949   
       

 

 

 
          3,947,439   
       

 

 

 

Total Municipal Obligations
(cost $1,043,831,628)

          1,095,772,402   
       

 

 

 

CORPORATES - INVESTMENT GRADE - 3.5%

       

Financial Institutions - 3.1%

       

Banking - 3.1%

       

American Express Credit Corp.

       

1.75%, 6/12/15

     5,914           5,946,515   

Bank of America NA

       

1.125%, 11/14/16

     10,000           9,963,940   

Capital One Financial Corp.

       

2.15%, 3/23/15

     2,000           2,005,952   

JPMorgan Chase & Co.

       

1.875%, 3/20/15

     6,345           6,363,915   

3.15%, 7/05/16

     5,410           5,561,139   

Morgan Stanley

       

1.75%, 2/25/16

     5,788           5,819,394   


      Principal
Amount
(000)
       U.S. $ Value  

Industrial - 0.4%

       

Consumer Cyclical - Automotive - 0.2%

       

Ford Motor Credit Co. LLC

       

7.00%, 4/15/15

     2,475           2,517,587   
       

 

 

 

Consumer Non-Cyclical - 0.2%

       

Becton Dickinson and Co.

       

0.691%, 6/15/16 (g)

     1,765           1,765,420   
       

 

 

 
          4,283,007   
       

 

 

 

Total Corporates - Investment Grade
(cost $39,896,447)

          39,943,862   
       

 

 

 

SHORT-TERM INVESTMENTS - 1.3%

       

Time Deposit - 1.3%

       

State Street Time Deposit

       

0.01%, 1/02/15

(cost $14,331,161)

     14,331           14,331,161   
       

 

 

 

Total Investments - 101.7%
(cost $1,098,059,236) (h)

          1,150,047,425   

Other assets less liabilities - (1.7)%

          (19,035,909
       

 

 

 

Net Assets - 100.0%

        $ 1,131,011,516   
       

 

 

 

 

(a) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2014, the aggregate market value of these securities amounted to $7,346,029 or 0.6% of net assets.
(b) When-Issued or delayed delivery security.
(c) Illiquid security.
(d) Non-income producing security.
(e) Fair valued by the Adviser.
(f) Security is in default and is non-income producing.
(g) Floating Rate Security. Stated interest rate was in effect at December 31, 2014.
(h) As of December 31, 2014, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $56,733,229 and gross unrealized depreciation of investments was $(4,745,040), resulting in net unrealized appreciation of $51,988,189.

As of December 31, 2014, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 9.1% and 8.9%, respectively

Glossary:

 

AGC

   -    Assured Guaranty Corporation

AGM

   -    Assured Guaranty Municipal

AMBAC

   -    Ambac Assurance Corporation

COP

   -    Certificate of Participation

ETM

   -    Escrowed to Maturity

FGIC

   -    Financial Guaranty Insurance Company

NATL

   -    National Interstate Corporation


Sanford C. Bernstein Fund, Inc. - California Municipal Portfolio

December 31, 2014 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolio. Unobservable inputs reflect the Portfolio’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

   

Level 1—quoted prices in active markets for identical investments

   

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

   

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

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

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

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2014:

 

Investments in Securities:

               Level 1                  Level 2     Level 3     Total  

Assets:

        

Long-Term Municipal Bonds

   $ – 0  –    $ 1,088,554,719      $ 7,217,683   $ 1,095,772,402   

Corporates - Investment Grade

     – 0  –      39,943,862        – 0  –      39,943,862   

Short-Term Investments

     – 0  –      14,331,161        – 0  –      14,331,161   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments in Securities

     – 0  –      1,142,829,742        7,217,683        1,150,047,425   

Other Financial Instruments*

     – 0  –      – 0  –      – 0  –      – 0  – 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total+

   $ – 0  –    $     1,142,829,742      $     7,217,683      $     1,150,047,425   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
+ There were no transfers between any levels during the reporting period.
^ The Portfolio held securities with zero market value at period end.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

 

      Long-Term Municipal
Bonds^
    Total  

Balance as of 9/30/14

   $ 7,114,861      $ 7,114,861   

Accrued discounts/(premiums)

     6,225        6,225   

Realized gain (loss)

     2,432        2,432   

Change in unrealized appreciation/depreciation

     110,597        110,597   

Purchases

     – 0  –      – 0  – 


Sales

     (16,432     (16,432

Transfers in to Level 3

     – 0  –      – 0  – 

Transfers out of Level 3

     – 0  –      – 0  – 
  

 

 

   

 

 

 

Balance as of 12/31/14

   $ 7,217,683      $ 7,217,683   
  

 

 

   

 

 

 

Net change in unrealized appreciation/depreciation from Investments held as of 12/31/14

   $ 110,597      $ 110,597   
  

 

 

   

 

 

 

 

^ The Portfolio held securities with zero market value at period end.

The Adviser has established a Valuation Committee (the “Committee”) which is responsible for overseeing the pricing and valuation of all securities held in the Portfolio. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily compare of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).


Sanford C. Bernstein Fund, Inc.

New York Municipal Portfolio

Portfolio of Investments

December 31, 2014 (unaudited)

 

      Principal
Amount
(000)
       U.S. $ Value  

MUNICIPAL OBLIGATIONS - 97.1%

       

Long-Term Municipal Bonds - 97.1%

       

New York - 80.6%

       

Albany County Airport Authority

       

AGM Series 2010A

       

5.00%, 12/15/16-12/15/22

   $ 13,090         $ 14,511,505   

Battery Park City Authority

       

Series 2013A

       

5.00%, 11/01/22

     4,325           5,298,385   

Build NYC Resource Corp.

(Metropolitan College of New York)

       

Series 2014

       

5.00%, 11/01/23-11/01/25

     3,335           3,599,338   

City of New York NY

       

Series 2004G

       

5.25%, 8/01/15

     5           5,018   

Series 2005J

       

5.00%, 3/01/15 (Pre-refunded/ETM)

     2,895           2,916,394   

5.00%, 3/01/16

     1,665           1,677,204   

Series 2007A-1

       

5.00%, 8/01/18

     4,570           5,042,355   

Series 2007C

       

5.00%, 1/01/16

     4,410           4,617,535   

Series 2007E

       

5.00%, 8/01/16

     5,500           5,884,615   

Series 2008A-1

       

5.00%, 8/15/16

     4,400           4,715,260   

Series 2008B-1

       

5.25%, 9/01/16

     10,000           10,773,900   

Series 2011A

       

5.00%, 8/01/26

     14,275           16,812,381   

Series 2011D-1

       

5.00%, 10/01/24

     2,860           3,398,109   

Series 2011E-3

       

5.00%, 8/01/23

     6,855           8,110,425   

Series 2012I

       

5.00%, 8/01/16

     12,545           13,422,272   

Series 2013B

       

5.00%, 8/01/20

     10,000           11,746,400   

Series 2013D

       

5.00%, 8/01/19

     7,165           8,282,167   

Series 2013F

       

5.00%, 3/01/17

     2,675           2,917,302   

Series 2013I

       

5.00%, 8/01/20

     18,775           22,053,866   

City of Yonkers NY

       

Series 2011A

       

5.00%, 10/01/15-10/01/17

     5,880           6,278,650   

County of Albany NY

       

Series 2012B

       

5.00%, 11/01/15

     1,085           1,127,619   

County of Nassau NY

       

Series 2011A

       

5.00%, 4/01/21-4/01/22

     5,915           6,893,643   

Series 2012A

       

5.00%, 4/01/15

     5,680           5,743,900   

Series 2013A

       

5.00%, 4/01/18-4/01/20

     8,660           9,837,358   

Series 2014A

       

5.00%, 4/01/25

     10,190           12,066,692   


      Principal
Amount
(000)
       U.S. $ Value  

Erie County Fiscal Stability Authority

(Erie County Fiscal Stability Authority Sales Tax)

       

Series 2011C

       

5.00%, 12/01/23

     5,925           7,061,415   

Erie County Industrial Development Agency (The)

(Buffalo City School District)

       

Series 2011B

       

5.00%, 5/01/22

     5,800           6,843,072   

AGM Series 2008A

       

5.00%, 5/01/16

     1,280           1,357,222   

Housing Development Corp/NY

       

Series 2013A

       

5.00%, 7/01/25

     2,000           2,361,740   

Jefferson County Industrial Development Agency

(ReEnergy Black River LLC/Old)

       

Series 2014

       

4.75%, 1/01/20

     1,450           1,451,900   

5.25%, 1/01/24

     1,250           1,254,425   

Long Island Power Authority

       

Series 2010-10-A

       

5.00%, 5/01/15 (Pre-refunded/ETM)

     6,450           6,550,684   

NATL Series 2006F

       

5.00%, 5/01/15 (Pre-refunded/ETM)

     1,780           1,807,786   

5.00%, 5/01/15-5/01/16

     22,910           23,708,807   

Metropolitan Transportation Authority

       

Series 2006B

       

5.00%, 11/15/16-11/15/17

     6,645           7,177,404   

Series 2010D

       

5.25%, 11/15/24

     10,755           12,691,008   

Series 2010G

       

5.00%, 11/15/21

     9,305           10,885,640   

5.25%, 11/15/22-11/15/26

     33,880           39,981,118   

Series 2011C

       

5.00%, 11/15/24

     2,890           3,392,398   

Series 2011D

       

5.00%, 11/15/22-11/15/25

     11,775           13,851,351   

AGM Series 2002B

       

0.338%, 11/01/22 (a)(b)

     15,325           14,766,434   

Metropolitan Transportation Authority

(Metropolitan Transportation Authority Ded Tax)

       

Series 2012A

       

5.00%, 11/15/24

     14,130           16,970,413   

NATL Series 2004A

       

5.25%, 11/15/15-11/15/16

     13,150           14,160,557   

Nassau County Local Economic Assistance Corp.

(Catholic Health Services of Long Island Obligated Group)

       

Series 2014

       

5.00%, 7/01/24

     4,550           5,383,014   

New York City Transitional Finance Authority

Building Aid Revenue

       

Series 2011S-1A

       

5.00%, 7/15/25

     4,420           5,188,947   

Series 2012S

       

5.00%, 7/15/25

     7,390           8,800,825   


      Principal
Amount
(000)
       U.S. $ Value  

New York City Transitional Finance Authority

Future Tax Secured Revenue

       

Series 2007B

       

5.00%, 11/01/15 (Pre-refunded/ETM)

   $ 3,755         $ 3,902,797   

5.00%, 11/01/15

     1,905           1,980,476   

Series 2011A

       

5.00%, 11/01/15-11/01/20

     10,440           11,021,717   

Series 2011A-1

       

5.00%, 11/01/23

     15,315           18,272,939   

Series 2011B

       

5.00%, 2/01/20-2/01/24

     15,135           17,758,390   

Series 2011C

       

5.00%, 11/01/20

     9,480           11,229,250   

Series 2012B

       

5.00%, 11/01/16 (Pre-refunded/ETM)

     670           725,302   

5.00%, 11/01/16-11/01/24

     13,660           16,123,363   

Series 2012D

       

5.00%, 11/01/20-11/01/23

     34,790           41,855,616   

Series 2012E

       

5.00%, 11/01/15-2/01/26

     14,225           16,474,649   

Series 2014A

       

5.00%, 8/01/27-8/01/29

     6,655           7,990,909   

Series 2014C

       

5.00%, 11/01/26

     6,345           7,662,095   

Series 2014D-1

       

5.00%, 2/01/28-2/01/29

     9,535           11,370,853   

New York City Trust for Cultural Resources

(Lincoln Center for the Performing Arts, Inc.)

       

Series 2008C

       

5.75%, 12/01/16

     23,025           25,181,982   

New York City Trust for Cultural Resources

(Whitney Museum of American Art)

       

Series 2011

       

5.00%, 7/01/21

     4,745           5,558,910   

New York City Water & Sewer System

       

Series 2006BB

       

5.00%, 6/15/16 (Pre-refunded/ETM)

     2,210           2,356,324   

5.00%, 6/15/20

     16,775           17,820,250   

Series 2008AA

       

5.00%, 6/15/18 (Pre-refunded/ETM)

     11,675           13,259,414   

5.00%, 6/15/21-6/15/22

     9,810           11,040,796   

Series 2010FF

       

5.00%, 6/15/25

     24,730           28,647,479   

Series 2011HH

       

5.00%, 6/15/26

     9,055           10,695,132   

Series 2014D

       

5.00%, 6/15/22-6/15/29

     14,350           17,264,165   

New York Liberty Development Corp.

(National Sports Museum)

       

Series 2006A

       

6.125%, 2/15/19 (c)(d)

     1,980           20   

New York Local Government Assistance Corp.

       

Series 2008A

       

5.00%, 4/01/19-4/01/20

     16,145           18,172,720   

New York Power Authority (The)

       

NATL Series 2007C

       

5.00%, 11/15/16

     6,245           6,764,147   


      Principal
Amount
(000)
       U.S. $ Value  

New York State Dormitory Authority

       

Series 2007

       

4.00%, 8/15/15 (Pre-refunded/ETM)

   $ 2,675         $ 2,737,756   

AGM Series 2007A

       

5.00%, 2/15/16 (Pre-refunded/ETM)

     70           73,710   

NATL Series 1998

       

5.20%, 2/02/15 (Pre-refunded/ETM)

     1,000           1,054,630   

New York State Dormitory Authority

(Ithaca College)

       

Series 2009

       

5.00%, 7/01/17

     12,195           12,452,680   

New York State Dormitory Authority

(Mount Sinai Hospital)

       

Series 2010A

       

5.00%, 7/01/18

     1,360           1,526,994   

New York State Dormitory Authority

(Mount Sinai School of Medicine)

       

Series 2010A

       

5.00%, 7/01/19

     4,390           4,992,835   

New York State Dormitory Authority

(New York State Dormitory Authority Lease)

       

Series 2008D

       

5.00%, 2/15/15-2/15/16

     18,175           18,753,165   

Series 2009A

       

5.00%, 7/01/22

     6,050           6,990,956   

AGM Series 2007A

       

5.00%, 2/15/16

     3,760           3,955,821   

New York State Dormitory Authority

(New York University)

       

NATL Series 1998A

       

6.00%, 7/01/18

     1,000           1,155,980   

New York State Dormitory Authority

(State of New York Pers Income Tax)

       

Series 2008A

       

5.00%, 3/15/20

     4,750           5,313,445   

Series 2008C

       

5.00%, 3/15/16-3/15/18

     35,690           39,411,710   

Series 2009D

       

5.00%, 6/15/20

     2,230           2,579,731   

Series 2009G

       

5.00%, 3/15/18

     7,840           8,822,587   

Series 2012A

       

5.00%, 12/15/21

     5,905           7,115,702   

Series 2012B

       

5.00%, 3/15/22

     3,905           4,703,377   

Series 2012D

       

5.00%, 2/15/22-2/15/25

     22,135           26,425,274   

Series 2014A

       

5.00%, 2/15/28-2/15/29

     13,825           16,461,510   

Series 2014C

       

5.00%, 3/15/28-3/15/29

     14,485           17,314,605   

AMBAC Series 2005D

       

5.00%, 3/15/15

     1,760           1,776,984   

New York State Dormitory Authority

(State University of New York)

       

Series 2011A

       

5.00%, 7/01/24

     3,125           3,676,000   

New York State Dormitory Authority

(Wyckoff Heights Medical Center)

       

NATL Series 1998

       

5.20%, 2/15/16

     5,820           5,840,079   


      Principal
Amount
(000)
       U.S. $ Value  

New York State Energy Research & Development Authority

(New York State Electric & Gas Corp.)

       

NATL Series 2010C

       

0.464%, 4/01/34 (a)(b)

   $ 20,500         $ 19,295,440   

New York State Environmental Facilities Corp.

(New York City Municipal Water Finance Authority)

       

Series 2004

       

5.00%, 6/15/25

     6,845           6,867,109   

Series 2007B

       

5.00%, 6/15/16

     1,610           1,717,081   

Series 2009A

       

5.25%, 6/15/24

     7,300           8,465,153   

New York State Thruway Authority

       

AGM Series 2005A

       

5.00%, 3/15/15 (Pre-refunded/ETM)

     1,930           1,948,277   

NATL Series 2005A

       

5.00%, 4/01/15 (Pre-refunded/ETM)

     1,060           1,072,232   

New York State Thruway Authority

(New York State Thruway Authority Ded Tax)

       

Series 2008B

       

5.00%, 4/01/17

     21,620           23,658,550   

Series 2012A

       

5.00%, 4/01/21-4/01/25

     26,175           31,022,015   

AMBAC Series 2005B

       

5.50%, 4/01/20

     9,055           10,836,843   

NATL Series 2005B

       

5.00%, 4/01/16

     10,335           10,694,245   

New York State Thruway Authority

(New York State Thruway Authority Gen Toll Road)

       

Series 2012I

       

5.00%, 1/01/25

     5,155           6,055,785   

Series 2013A

       

5.00%, 5/01/19

     25,000           28,612,000   

Series 2014

       

5.00%, 1/01/26

     1,270           1,531,595   

Series 2014J

       

5.00%, 1/01/26-1/01/27

     33,860           40,083,783   

New York State Thruway Authority

(State of New York Pers Income Tax)

       

Series 2007A

       

5.00%, 3/15/16

     9,410           9,946,182   

Series 2010A

       

5.00%, 3/15/25

     5,425           6,366,400   

AMBAC Series 2004A

       

5.00%, 3/15/15

     10,170           10,268,547   

New York State Urban Development Corp.

       

Series 2008B

       

5.00%, 1/01/19

     3,525           3,987,445   

AMBAC Series 2005A-1

       

5.00%, 12/15/15 (Pre-refunded/ETM)

     6,265           6,552,062   

New York State Urban Development Corp.

(State of New York Pers Income Tax)

       

Series 2007B

       

5.00%, 3/15/16

     2,085           2,201,468   

Series 2013C

       

5.00%, 3/15/20

     9,915           11,625,635   


      Principal
Amount
(000)
       U.S. $ Value  

Port Authority of New York & New Jersey

       

Series 2011

       

5.00%, 9/15/24

   $ 2,000         $ 2,291,260   

Series 2011O

       

5.00%, 10/15/21

     5,215           6,147,233   

Series 2013-178

       

5.00%, 12/01/23

     10,480           12,550,114   

Series 2014

       

5.00%, 9/01/27

     7,500           8,824,425   

Series 20141

       

5.00%, 10/15/23

     3,455           4,128,656   

Series 2014186

       

5.00%, 10/15/21-10/15/22

     12,575           14,861,557   

XLCA Series 2006

       

5.00%, 10/01/17

     6,425           6,760,256   

Sales Tax Asset Receivable Corp.

       

Series 2014A

       

5.00%, 10/15/25-10/15/26

     13,040           16,219,629   

Schenectady County Capital Resource Corp.

(Ellis Hospital)

       

Series 2012

       

1.75%, 2/15/18

     1,565           1,554,655   

Suffolk County Economic Development Corp.

(Catholic Health Services of Long Island Obligated Group)

       

Series 2011

       

5.00%, 7/01/16-7/01/17

     2,900           3,142,673   

Tompkins County Industrial Development Agency

(Ithaca College)

       

Series 2007

       

5.00%, 7/01/16

     2,710           2,770,758   

Triborough Bridge & Tunnel Authority

       

Series 1992Y

       

5.50%, 1/01/17 (Pre-refunded/ETM)

     4,250           4,487,745   

Series 2008A

       

5.00%, 5/15/18 (Pre-refunded/ETM)

     2,150           2,444,013   

Series 2008C

       

5.00%, 11/15/16

     5,000           5,414,650   

Series 2008D

       

5.00%, 11/15/15-11/15/16

     22,595           24,112,743   

Series 2011A

       

5.00%, 1/01/27

     7,000           8,218,210   

Series 2012B

       

5.00%, 11/15/19-11/15/23

     28,235           34,133,541   

Series 2013A

       

5.00%, 11/15/28

     5,000           5,859,250   

Series 2013B

       

5.00%, 11/15/22

     7,525           9,183,359   

Troy Capital Resource Corp.

(Rensselaer Polytechnic Institute)

       

Series 2010B

       

5.00%, 9/01/16-9/01/21

     16,590           18,197,277   

Ulster County Industrial Development Agency

(Kingston Regional Senior Living Corp.)

       

Series 2007A

       

5.25%, 9/15/16

     665           656,821   


      Principal
Amount
(000)
       U.S. $ Value  

Utility Debt Securitization Authority

       

Series 2013T

       

5.00%, 6/15/26-12/15/29

   $ 34,825         $ 42,375,702   
       

 

 

 
          1,386,786,053   
       

 

 

 

Alabama - 0.7%

       

Alabama Public School & College Authority

       

Series 2009B

       

5.00%, 5/01/18

     11,055           12,471,809   
       

 

 

 

California - 2.4%

       

California Econ Recovery

       

Series 2009A

       

5.00%, 7/01/18

     21,080           24,039,632   

5.00%, 7/01/19 (Pre-refunded/ETM)

     6,895           8,045,844   

5.25%, 7/01/21

     1,820           2,130,565   

Golden State Tobacco Securitization Corp.

       

Series 2013A

       

5.00%, 6/01/19

     1,225           1,422,323   

San Francisco City & County Airports Comm-San

Francisco International Airport

(San Francisco Intl Airport)

       

Series 2009E

       

5.00%, 5/01/21

     1,280           1,470,720   

State of California

       

Series 2009A

       

5.25%, 7/01/19 (Pre-refunded/ETM)

     3,180           3,745,404   
       

 

 

 
          40,854,488   
       

 

 

 

Colorado - 0.1%

       

Todd Creek Village Metropolitan District No 1

       

Series 2004

       

5.60%, 12/01/14 (c)

     2,765           1,382,500   
       

 

 

 

District of Columbia - 0.4%

       

Metropolitan Washington Airports Authority

       

Series 2010B

       

5.00%, 10/01/19-10/01/21

     5,795           6,682,547   
       

 

 

 

Florida - 5.2%

       

Citizens Property Insurance Corp.

       

Series 2009A-1

       

6.00%, 6/01/16

     32,755           35,231,606   

Series 2010A-1

       

5.00%, 6/01/16

     7,230           7,674,717   

County of Lee FL Airport Revenue

(Southwest Florida Intl Airport)

       

AGM Series 2010A

       

5.00%, 10/01/16-10/01/17

     4,805           5,197,736   

County of Miami-Dade FL Aviation Revenue

(Miami-Dade Intl Airport)

       

Series 2009A

       

5.75%, 10/01/20

     1,680           1,998,427   

Dupree Lakes Community Development District

       

Series 2010

       

6.83%, 11/01/15

     10           10,046   

Durbin Crossing Community Development District

       

Series 20061

       

5.25%, 11/01/15 (c)(d)

     2,060           741,600   


      Principal
Amount
(000)
       U.S. $ Value  

Florida State Hurricane Catastrophe Fund Finance Corp.

       

Series 2010A

       

5.00%, 7/01/15 (Pre-refunded/ETM)

   $ 13,660         $ 13,980,464   

Heritage Plantation Community Development District

       

Series 2006B

       

5.10%, 11/01/13 (c)(d)

     955           343,800   

Overoaks Community Development District

       

Series 2004B

       

5.125%, 5/01/09 (c)(e)

     185           92,500   

Series 2010A-1

       

6.125%, 5/01/35 (c)

     75           75,947   

Series 2010A-2

       

6.125%, 5/01/35 (c)

     190           190,355   

Series 2010B

       

5.125%, 5/01/17 (c)

     265           265,814   

Parkway Center Community Development District

       

Series 2004B

       

7.00%, 5/01/23

     1,065           1,067,652   

Polk County School District

(Polk County School District Sales Tax)

       

AGM Series 2007

       

5.00%, 10/01/16

     2,690           2,892,154   

State of Florida Lottery Revenue

       

Series 2010C

       

5.00%, 7/01/18

     16,355           18,440,753   

Sterling Hill Community Development District

       

Series 2003B

       

5.50%, 11/01/10 (c)(d)(f)

     160           68,016   

Volusia County School Board COP

       

Series 2014B

       

5.00%, 8/01/26

     1,000           1,190,020   
       

 

 

 
          89,461,607   
       

 

 

 

Georgia - 0.4%

       

Main Street Natural Gas, Inc.

(JPMorgan Chase & Co.)

       

Series 2007A

       

5.00%, 3/15/17

     6,975           7,546,532   
       

 

 

 

Guam - 0.1%

       

Guam Department of Education COP

       

Series 2010A

       

6.00%, 12/01/20

     1,625           1,775,556   
       

 

 

 

Illinois - 1.6%

       

State of Illinois

       

Series 2012

       

5.00%, 8/01/15-8/01/25

     24,765           26,201,846   

Town of Cortland IL

(Town of Cortland IL Spl Tax)

       

Series 2006

       

5.50%, 3/01/17 (c)(d)

     1,307           352,890   


      Principal
Amount
(000)
       U.S. $ Value  

Town of Cortland IL Special Service Areas No 9 & 10

       

Series 2007

       

5.125%, 3/01/14 (c)(d)

   $ 2,545         $ 127,250   

Village of Bolingbrook IL

(Village of Bolingbrook IL Sales Tax)

       

Series 2005

       

5.75%, 1/01/15

     420           420,000   
       

 

 

 
          27,101,986   
       

 

 

 

Indiana - 0.7%

       

Indiana Bond Bank

(JPMorgan Chase & Co.)

       

Series 2007A

       

5.25%, 10/15/18-10/15/21

     10,745           12,568,219   
       

 

 

 

Louisiana - 0.1%

       

Isabella Lakes Community Development District

       

Series 2007

       

6.00%, 8/01/22 (c)(d)

     1,515           378,750   

Juban Parc Community Development District

       

Series 2006

       

5.15%, 10/01/14 (c)(d)

     1,155           231,000   

Whispering Spring Community Development District

       

Series 2006

       

5.20%, 10/01/21 (c)(d)

     1,500           270,000   
       

 

 

 
          879,750   
       

 

 

 

Michigan - 0.2%

       

City of Detroit MI Sewage Disposal System Revenue

       

Series 2012A

       

5.00%, 7/01/22

     2,985           3,350,722   
       

 

 

 

Nevada - 0.5%

       

County of Clark Department of Aviation

(McCarran Intl Airport)

       

AGM Series 2009C

       

5.00%, 7/01/23

     7,400           8,516,142   
       

 

 

 

New Jersey - 0.3%

       

New Jersey Economic Development Authority

       

Series 2013

       

5.00%, 3/01/21

     2,500           2,851,250   

New Jersey Transportation Trust Fund Authority

       

Series 2011A

       

5.00%, 6/15/21

     2,195           2,502,761   
       

 

 

 
          5,354,011   
       

 

 

 

North Carolina - 0.1%

       

North Carolina Eastern Municipal Power Agency

       

Series 2009B

       

5.00%, 1/01/15

     1,475           1,475,000   
       

 

 

 

Ohio - 0.0%

       

Columbiana County Port Authority

(ELS Transportation LLC)

       

Series 2004A

       

7.00%, 8/01/21 (c)(d)

     200           80,000   
       

 

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

Pennsylvania - 1.1%

       

Philadelphia Parking Authority

(Philadelphia Airport Parking)

       

Series 2009

       

5.00%, 9/01/16-9/01/21

   $ 14,925         $ 16,642,129   

5.25%, 9/01/23

     2,345           2,663,052   
       

 

 

 
          19,305,181   
       

 

 

 

Puerto Rico - 0.7%

       

Government Development Bank for Puerto Rico

       

NATL Series 1985

       

4.75%, 12/01/15

     7,460           7,573,616   

Puerto Rico Electric Power Authority

       

NATL Series 2002KK

       

5.50%, 7/01/16

     3,695           3,801,083   
       

 

 

 
          11,374,699   
       

 

 

 

Tennessee - 1.2%

       

Tennessee Energy Acquisition Corp.

(Goldman Sachs Group, Inc. (The))

       

Series 2006A

       

5.25%, 9/01/21

     17,375           20,101,659   
       

 

 

 

Texas - 0.0%

       

Tarrant County Cultural Education Facilities Finance Corp.

(Buckingham Senior Living Community, Inc.)

       

Series 2007

       

5.25%, 11/15/16

     10           10,288   
       

 

 

 

Washington - 0.7%

       

Port of Seattle WA

       

Series 2010C

       

5.00%, 2/01/21

     11,085           12,955,926   
       

 

 

 

Total Municipal Obligations
(cost $1,602,676,333)

          1,670,034,675   
       

 

 

 

CORPORATES - INVESTMENT GRADE - 0.7%

       

Industrial - 0.4%

       

Consumer Cyclical - Automotive - 0.2%

       

Ford Motor Credit Co. LLC

       

7.00%, 4/15/15

     4,040           4,109,516   
       

 

 

 

Consumer Non-Cyclical - 0.2%

       

Becton Dickinson and Co.

       

0.691%, 6/15/16 (g)

     2,683           2,683,639   
       

 

 

 
          6,793,155   
       

 

 

 

Financial Institutions - 0.3%

       

Banking - 0.1%

       

Capital One Financial Corp.

       

2.15%, 3/23/15

     1,500           1,504,464   
       

 

 

 

Finance - 0.2%

       

General Electric Capital Corp.

       

1.625%, 7/02/15

     4,304           4,331,046   
       

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  
        $ 5,835,510   
       

 

 

 

Total Corporates-Investment Grade
(cost $12,576,057)

          12,628,665   
       

 

 

 

SHORT-TERM INVESTMENTS - 1.1%

       

Time Deposit - 1.1%

       

State Street Time Deposit

       

0.01%, 1/02/15

(cost $18,204,436)

   $ 18,204           18,204,436   
       

 

 

 

Total Investments - 98.9%
(cost $1,633,456,826) (h)

          1,700,867,776   

Other assets less liabilities - 1.1%

          18,919,898   
       

 

 

 

Net Assets - 100.0%

        $ 1,719,787,674   
       

 

 

 

 

(a) An auction rate security whose interest rate resets at each auction date. Auctions are typically held every week or month. The rate shown is as of December 31, 2014 and the aggregate market value of these securities amounted to $34,061,874 or 1.98% of net assets.
(b) Variable rate coupon, rate shown as of December 31, 2014.
(c) Illiquid security.
(d) Security is in default and is non-income producing.
(e) Non-income producing security.
(f) Fair valued by the Adviser.
(g) Floating Rate Security. Stated interest rate was in effect at December 31, 2014.
(h) As of December 31, 2014, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $80,496,091 and gross unrealized depreciation of investments was $(13,085,141), resulting in net unrealized appreciation of $67,410,950.

As of December 31, 2014, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 11.2% and 6.7%, respectively.

Glossary:

 

AGM    -    Assured Guaranty Municipal
AMBAC    -    Ambac Assurance Corporation
COP    -    Certificate of Participation
ETM    -    Escrowed to Maturity
NATL    -    National Interstate Corporation
XLCA    -    XL Capital Assurance Inc.


Sanford C. Bernstein Fund, Inc.

New York Municipal Portfolio

December 31, 2014 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolio. Unobservable inputs reflect the Portfolio’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

   

Level 1—quoted prices in active markets for identical investments

   

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

   

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

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

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

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2014:

 

Investments in Securities:

   Level 1     Level 2     Level 3     Total  

Assets:

        

Long-Term - Municipal Bonds

   $ – 0  –    $ 1,656,660,304      $ 13,374,371      $ 1,670,034,675   

Corporates - Investment Grade

     – 0  –      12,628,665        – 0  –      12,628,665   

Short-Term Investments

     – 0  –      18,204,436        – 0  –      18,204,436   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments in Securities

     – 0  –      1,687,493,405        13,374,371        1,700,867,776   

Other Financial Instruments*

     – 0  –      – 0  –      – 0  –      – 0  – 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total+

   $     – 0  –    $     1,687,493,405      $     13,374,371      $     1,700,867,776   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
+ There were no transfers between any levels during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.


The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

 

     Long-Term-
Municipal Bonds
    Total  

Balance as of 9/30/14

   $ 8,796,688      $ 8,796,688   

Accrued discounts/(premiums)

   $ (2,506     (2,506

Realized gain (loss)

   $ 11,849        11,849   

Change in unrealized appreciation/depreciation

   $ 499,824        499,824   

Purchases

     5,342,974        5,342,974   

Sales

   $ (1,274,458     (1,274,458

Transfers in to Level 3

     – 0  –      – 0  – 

Transfers out of Level 3

     – 0  –      – 0  – 
  

 

 

   

 

 

 

Balance as of 12/31/14

   $ 13,374,371      $ 13,374,371   
  

 

 

   

 

 

 

Net change in unrealized appreciation/depreciation from Investments held as of 12/31/14

   $ 499,824      $ 499,824   
  

 

 

   

 

 

 

The Adviser has established a Valuation Committee (the “Committee”) which is responsible for overseeing the pricing and valuation of all securities held in the Portfolio. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily compare of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).


Sanford C. Bernstein Fund, Inc.

Diversified Municipal Portfolio

Portfolio of Investments

December 31, 2014 (unaudited)

 

     Principal
Amount

(000)
       U.S. $ Value  

MUNICIPAL OBLIGATIONS - 90.2%

       

Long-Term Municipal Bonds - 89.3%

       

Alabama - 1.9%

       

Alabama Federal Aid Highway Finance Authority (State of Alabama Fed Hwy Grant)

       

Series 2012

       

5.00%, 9/01/24

   $ 18,230         $ 21,344,413   

Alabama Public School & College Authority

       

Series 2009A

       

5.00%, 5/01/17

     34,415           37,771,495   

Series 2009B

       

5.00%, 5/01/16-5/01/17

     33,390           35,892,066   

Birmingham Airport Authority (Birmingham-Shuttlesworth Intl Airport)

       

AGM Series 2010

       

6.00%, 7/01/21-7/01/22

     10,070           12,168,408   

Birmingham Water Works Board

       

Series 2010A

       

5.00%, 1/01/21-1/01/22

     13,295           15,650,233   
       

 

 

 
          122,826,615   
       

 

 

 

Arizona - 1.5%

       

Arizona Board of Regents COP (University of Arizona COP)

       

Series 2012C

       

5.00%, 6/01/25

     2,365           2,757,046   

Arizona Department of Transportation State Highway Fund Revenue

       

Series 2006

       

5.00%, 7/01/15

     8,480           8,680,213   

Series 2011A

       

5.00%, 7/01/24-7/01/25

     17,210           20,283,031   

Arizona Health Facilities Authority (Scottsdale Healthcare Hospitals Obligated Group)

       

Series 2014A

       

5.00%, 12/01/23-12/01/24

     2,770           3,290,663   

Arizona School Facilities Board COP

       

NATL Series 2005A-1

       

5.00%, 9/01/15

     1,765           1,818,691   

Arizona Transportation Board (Arizona Transportation Board Fed Hwy Grant)

       

Series 2009A

       

5.00%, 7/01/15

     16,810           17,206,044   

City of Phoenix Civic Improvement Corp. (City of Phoenix Civic Improvement-Airport)

       

Series 2010A

       

5.00%, 7/01/20-7/01/21

     7,225           8,429,606   

Series 2010C

       

5.00%, 7/01/23-7/01/25

     19,665           22,806,319   

Industrial Development Authority of the County of Pima (The) (Global Water Resources LLC)

       

Series 2006

       

5.45%, 12/01/17

     1,100           1,121,725   

Maricopa County Unified School District No 69 Paradise Valley

       

NATL

       

5.20%, 7/01/16

     7,510           8,029,617   


     Principal
Amount
(000)
       U.S. $ Value  

Salt Verde Financial Corp. (Citigroup, Inc.)

       

Series 2007

       

5.25%, 12/01/21

   $ 1,430         $ 1,690,789   
       

 

 

 
          96,113,744   
       

 

 

 

California - 8.8%

       

California Econ Recovery

       

Series 2009A

       

5.00%, 7/01/19 (Pre-refunded/ETM)

     5,675           6,622,214   

5.00%, 7/01/19 (Pre-refunded/ETM)

     16,765           19,563,246   

5.25%, 7/01/21

     995           1,164,787   

California State Public Works Board (California State Public Works Board Lease)

       

Series 2014B

       

5.00%, 10/01/28

     1,225           1,456,672   

City of Los Angeles Department of Airports (Los Angeles Intl Airport)

       

Series 2010D

       

5.00%, 5/15/22-5/15/23

     24,415           28,986,932   

Fremont Unified School District/Alameda County CA

       

AGM Series 2005B

       

5.00%, 8/01/15 (Pre-refunded/ETM)

     1,000           1,027,590   

Fresno Unified School District

       

NATL Series 2002A

       

6.00%, 2/01/20

     3,255           3,897,244   

Sacramento City Financing Authority (Sacramento City Financing Authority Lease)

       

Series 1993B

       

5.40%, 11/01/20

     1,000           1,108,830   

San Francisco City & County Airports Comm-San Francisco International Airport (San Francisco Intl Airport)

       

Series 2009E

       

5.25%, 5/01/22-5/01/23

     10,380           12,027,016   

Series 2011C

       

5.00%, 5/01/22

     5,795           6,717,564   

NATL Series 2006-32F

       

5.25%, 5/01/18

     3,700           4,209,490   

State of California

       

Series 2005

       

5.00%, 5/01/17

     15,395           15,637,779   

Series 2006

       

5.00%, 3/01/16-10/01/16

     10,110           10,748,557   

Series 2008

       

5.00%, 4/01/18

     5,000           5,636,950   

Series 2009

       

5.25%, 10/01/20

     5,085           6,030,963   

Series 2009A

       

5.25%, 7/01/19 (Pre-refunded/ETM)

     1,740           2,049,372   

Series 2013

       

5.00%, 11/01/24-11/01/25

     43,465           52,690,909   

Series 2014

       

5.00%, 5/01/25-5/01/29

     130,465           157,871,556   


     Principal
Amount
(000)
       U.S. $ Value  

State of California Department of Water Resources PWR

       

Series 2010L

       

5.00%, 5/01/17-5/01/19

   $ 200,935         $ 230,664,133   
       

 

 

 
          568,111,804   
       

 

 

 

Colorado - 1.1%

       

City & County of Broomfield CO COP

       

Series 2010

       

5.00%, 12/01/16-12/01/20

     13,735           15,504,937   

City & County of Denver CO Airport System Revenue (Denver Intl Airport)

       

Series 2010A

       

5.00%, 11/15/21-11/15/23

     19,685           22,936,466   

Series 2011A

       

5.50%, 11/15/19

     2,290           2,705,818   

Series 2012A

       

5.00%, 11/15/22-11/15/24

     6,605           7,620,170   

Metro Wastewater Reclamation District

       

Series 2012A

       

5.00%, 4/01/23

     3,435           4,167,170   

PV Water & Sanitation Metropolitan District

       

Series 2006

       

Zero Coupon, 12/15/17 (a)(b)

     13,168           4,608,800   

Regional Transportation District (Denver Transit Partners LLC)

       

Series 2010

       

5.00%, 1/15/21

     2,800           3,119,340   

5.25%, 1/15/24-7/15/24

     7,745           8,518,416   

Todd Creek Village Metropolitan District No 1

       

Series 2004

       

4.75%, 12/01/09 (a)(b)

     1,852           926,073   
       

 

 

 
          70,107,190   
       

 

 

 

Connecticut - 0.3%

       

State of Connecticut

       

Series 2013A

       

5.00%, 10/15/21

     3,370           4,028,734   

Series 2014A

       

5.00%, 3/01/28

     6,360           7,601,663   

State of Connecticut Special Tax Revenue

       

Series 2012

       

5.00%, 1/01/22-1/01/24

     8,575           10,264,495   
       

 

 

 
          21,894,892   
       

 

 

 

Delaware - 0.1%

       

Delaware River & Bay Authority

       

Series 2014C

       

5.00%, 1/01/26-1/01/27

     5,470           6,496,460   
       

 

 

 

District of Columbia - 1.6%

       

District of Columbia

       

Series 2013A

       

5.00%, 6/01/25-6/01/27

     59,115           70,708,938   

District of Columbia (District of Columbia Pers Income Tax)

       

Series 2012C

       

5.00%, 12/01/26

     5,545           6,603,430   


     Principal
Amount
(000)
       U.S. $ Value  

District of Columbia Water & Sewer Authority

       

AGM Series 1998

       

6.00%, 10/01/16

   $ 1,635         $ 1,790,537   

Metropolitan Washington Airports Authority

       

Series 2008A

       

5.50%, 10/01/18

     6,910           7,967,645   

Series 2010F-1

       

5.00%, 10/01/20

     11,905           14,078,853   

NATL Series 2005A

       

5.25%, 10/01/15

     1,715           1,778,283   
       

 

 

 
          102,927,686   
       

 

 

 

Florida - 5.8%

       

Brevard County School District COP

       

Series 2013A

       

5.00%, 7/01/21-7/01/22

     15,275           18,159,136   

Citizens Property Insurance Corp.

       

Series 2011A

       

5.00%, 6/01/20

     6,530           7,575,584   

Series 2012A

       

5.00%, 6/01/22

     27,105           31,938,635   

Series 2012A-1

       

5.00%, 6/01/20-6/01/21

     20,785           24,213,477   

NATL Series 2007A

       

5.00%, 3/01/15-3/01/16

     88,440           92,469,056   

City of Tampa FL Water & Wastewater System Revenue

       

Series 2011

       

5.00%, 10/01/26

     3,895           4,568,874   

Collier County School Board COP

       

AGM Series 2005

       

5.00%, 2/15/16

     5,000           5,257,500   

County of Broward FL Airport System Revenue (Fort Lauderdale Hollywood Intl Airport)

       

Series 2012Q

       

5.00%, 10/01/23

     5,000           5,955,450   

County of Lee FL Airport Revenue (Southwest Florida Intl Airport)

       

Series 2011A

       

5.50%, 10/01/23-10/01/24

     13,095           15,413,947   

5.625%, 10/01/25

     2,550           3,010,428   

Dupree Lakes Community Development District

       

Series 2010

       

6.83%, 11/01/15

     5           5,023   

Durbin Crossing Community Development District

       

Series 20061

       

5.25%, 11/01/15 (a)(b)

     985           354,600   

Florida Department of Environmental Protection

       

Series 2011B

       

5.00%, 7/01/20

     7,645           8,965,521   

Series 2012A

       

5.00%, 7/01/22

     10,225           12,308,446   

AMBAC Series 2007A

       

5.00%, 7/01/15

     4,825           4,937,229   

NATL Series 2007B

       

5.00%, 7/01/15

     6,095           6,236,770   

Florida State Board of Education

       

Series 2005A

       

5.00%, 1/01/15 (Pre-refunded/ETM)

     4,840           4,888,400   


     Principal
Amount
(000)
       U.S. $ Value  

Florida State Board of Education (State of Florida)

       

Series 2013A

       

5.00%, 6/01/15

   $ 11,765         $ 11,995,594   

Series 2014A

       

5.00%, 6/01/22

     3,545           4,289,627   

Heritage Plantation Community Development District

       

Series 2006B

       

5.10%, 11/01/13 (a)(b)

     3,545           1,276,200   

JEA Electric System Revenue

       

Series 2009G

       

5.00%, 10/01/19

     2,695           3,134,015   

JEA Water & Sewer System Revenue

       

Series 2014A

       

5.00%, 10/01/25

     3,060           3,715,452   

Lake Ashton II Community Development District

       

Series 2006B

       

5.00%, 11/01/11 (a)(b)

     6,810           2,247,300   

Live Oak No 2 Community Development District

       

Series 2010

       

7.36%, 11/01/20

     75           75,081   

Martin County Industrial Development Authority (Indiantown Cogeneration LP)

       

Series 2013

       

4.20%, 12/15/25

     11,765           12,023,242   

Miami-Dade County School Board Foundation, Inc.

       

NATL Series 1997

       

5.00%, 2/15/15

     2,455           2,469,067   

Orange County School Board COP

       

Series 2014A

       

5.00%, 8/01/28-8/01/29

     46,355           54,137,264   

Overoaks Community Development District

       

Series 2004B

       

5.125%, 5/01/09 (a)(c)

     510           255,000   

Series 2010A-1

       

6.125%, 5/01/35 (a)

     230           232,905   

Series 2010A-2

       

6.125%, 5/01/35 (a)

     515           515,963   

Series 2010B

       

5.125%, 5/01/17 (a)

     700           702,149   

Parkway Center Community Development District

       

Series 2004B

       

7.00%, 5/01/23

     2,305           2,310,739   

Reedy Creek Improvement District

       

Series 2013A

       

5.00%, 6/01/21

     1,820           2,159,794   

Sarasota County School Board COP

       

Series 2010B

       

5.00%, 7/01/18

     2,350           2,664,336   

State of Florida

       

Series 2005A

       

5.00%, 1/01/15 (Pre-refunded/ETM)

     160           161,600   

Series 2009B

       

5.00%, 7/01/17

     3,245           3,580,663   

Series 2012B

       

5.00%, 7/01/18-7/01/19

   $ 10,935         $ 12,452,290   


     Principal
Amount
(000)
       U.S. $ Value  

Tampa Bay Water

       

Series 2011A

       

5.00%, 10/01/23

     2,050           2,431,464   

Tampa Sports Authority (Tampa Sports Authority Sales Tax)

       

5.00%, 1/01/21 (d)

     3,490           4,116,734   

Villages of Westport Community Development District

       

Series 2005A

       

5.125%, 5/01/15 (a)(b)(e)

     865           258,462   
       

 

 

 
          373,463,017   
       

 

 

 

Georgia - 2.9%

       

Athens-Clarke County Unified Government

       

Series 2013

       

4.00%, 12/01/16

     1,410           1,503,610   

City of Atlanta Department of Aviation (Hartsfield Jackson Atlanta Intl Airport)

       

Series 2010B

       

5.00%, 1/01/20-1/01/22

     22,650           26,489,504   

Series 2010C

       

5.00%, 1/01/18-1/01/19

     9,260           10,497,040   

5.25%, 1/01/20

     6,500           7,677,085   

5.50%, 1/01/21

     7,500           9,096,525   

5.75%, 1/01/22-1/01/23

     20,000           24,611,440   

5.875%, 1/01/24

     2,925           3,605,999   

Series 2014A

       

5.00%, 1/01/28

     12,250           14,559,982   

Main Street Natural Gas, Inc. (JPMorgan Chase & Co.)

       

Series 2007A

       

5.00%, 3/15/16-3/15/18

     16,860           17,897,593   

Municipal Electric Authority of Georgia

       

Series 2010B

       

5.00%, 1/01/16-1/01/20

     43,950           50,239,782   

State of Georgia

       

Series 2014A

       

5.00%, 2/01/17

     17,595           19,192,450   
       

 

 

 
          185,371,010   
       

 

 

 

Hawaii - 0.4%

       

City & County Honolulu HI Wastewater System Revenue

       

Series 2009A

       

5.00%, 7/01/21-7/01/22

     6,900           7,887,606   

Series 2010A

       

5.00%, 7/01/24

     16,500           19,069,050   
       

 

 

 
          26,956,656   
       

 

 

 

Illinois - 3.7%

       

City of Chicago IL (Asphalt Operating Services of Chicago LLC)

       

Series 2010

       

6.125%, 12/01/18

     4,280           4,475,254   


     Principal
Amount
(000)
       U.S. $ Value  

City of Chicago IL (City of Chicago IL Sales Tax)

       

AGM Series 2005

       

5.00%, 1/01/16

   $ 5,000         $ 5,116,800   

City of Chicago IL Wastewater Transmission Revenue

       

NATL Series 2004B

       

5.25%, 1/01/15

     4,225           4,225,000   

County of Du Page IL

       

Series 1993

       

5.60%, 1/01/21

     7,770           8,827,264   

Illinois Finance Authority (Adventist Health System/Sunbelt Obligated Group)

       

NATL Series 1997B

       

2.10%, 1/01/19 (f)

     5,730           6,073,284   

Illinois State Toll Highway Authority

       

Series 2014A

       

5.00%, 12/01/20-12/01/22

     33,375           40,002,812   

Metropolitan Pier & Exposition Authority

       

Series 2012B

       

5.00%, 12/15/20-12/15/26

     17,100           20,013,047   

Metropolitan Water Reclamation District of Greater Chicago

       

Series 2015D

       

5.00%, 12/01/20 (d)

     8,240           9,705,154   

Regional Transportation Authority (Regional Transportation Authority Sales Tax)

       

NATL Series 1994C

       

7.75%, 6/01/20

     1,005           1,187,387   

NATL Series 2001B

       

5.50%, 6/01/17

     1,025           1,135,259   

NATL Series 2006A

       

5.00%, 7/01/16

     5,285           5,628,525   

State of Illinois

       

Series 2006A

       

5.00%, 6/01/15

     4,875           4,961,921   

Series 2010

       

5.00%, 1/01/17-1/01/19

     34,160           36,987,083   

Series 2012

       

5.00%, 8/01/21-8/01/25

     14,220           15,723,202   

Series 2013

       

5.00%, 7/01/19-7/01/20

     12,065           13,473,029   

5.50%, 7/01/24

     5,405           6,261,530   

Series 2013A

       

5.00%, 4/01/23

     4,390           4,937,653   

Series 2014

       

5.00%, 5/01/22-5/01/27

     16,005           17,779,544   

State of Illinois (State of Illinois Ded Tax)

       

AMBAC Series 1991

       

6.25%, 12/15/20

     2,280           2,486,203   

Town of Cortland IL (Town of Cortland IL Spl Tax)

       

Series 2006

       

5.50%, 3/01/17 (a)(b)

     5,078           1,371,060   

Village of Bolingbrook IL (Village of Bolingbrook IL Sales Tax)

       

Series 2005

       

5.75%, 1/01/15

     840           840,000   


     Principal
Amount
(000)
       U.S. $ Value  

Village of Matteson IL

       

Series 2010

       

8.00%, 12/01/29 (g)

   $ 19,775         $ 18,027,286   

Will & Kendall Counties Community Consolidated School District 22 Plainfield

       

NATL Series 2007A

       

5.00%, 1/01/16

     7,415           7,737,553   
       

 

 

 
          236,975,850   
       

 

 

 

Indiana - 0.2%

       

County of Jasper IN (Northern Indiana Public Service Co.)

       

NATL Series 1988B

       

5.60%, 11/01/16

     6,560           7,084,013   

Indiana Finance Authority (I-69 Development Partners LLC)

       

Series 2014

       

5.25%, 9/01/25-9/01/28

     2,940           3,367,846   
       

 

 

 
          10,451,859   
       

 

 

 

Kentucky - 0.2%

       

Kentucky Asset Liability Commission (Commonwealth of Kentucky Fed Hwy Grant)

       

NATL Series 2007

       

5.00%, 9/01/16

     5,000           5,354,350   

Kentucky Turnpike Authority (Kentucky Turnpike Authority State Lease)

       

Series 2012A

       

5.00%, 7/01/26

     8,490           10,096,733   
       

 

 

 
          15,451,083   
       

 

 

 

Louisiana - 1.1%

       

City of Lafayette LA Utilities Revenue

       

Series 2013

       

5.00%, 11/01/21-11/01/22

     7,720           9,212,344   

City of New Orleans LA

       

NATL Series 2005

       

5.25%, 12/01/20

     5,845           6,071,961   

Coves of the Highland County Community Development District

       

Series 2006

       

5.60%, 11/01/13 (a)(b)(e)

     4,025           0   

Lakeshore Villages Master Community Development District

       

Series 2007

       

5.25%, 7/01/17 (a)(b)

     9,814           3,434,900   

Louisiana Agricultural Finance Authority

       

Series 2007

       

5.25%, 9/15/17

     17,625           18,640,376   

Louisiana Local Government Environmental Facilities & Community Development Auth

       

Series 2010

       

5.00%, 10/01/21-10/01/25

     8,415           9,751,883   

Series 2010A

       

5.00%, 10/01/23

     7,720           8,914,670   


     Principal
Amount
(000)
       U.S. $ Value  

Louisiana Office Facilities Corp. (Louisiana Office Facilities Corp. State Lease)

       

Series 2009

       

5.00%, 3/01/16-3/01/18

   $ 9,360         $ 10,127,409   

Orange Grove Community Development District

       

Series 2006

       

5.30%, 11/01/21 (a)(b)

     1,695           339,000   

St Tammany Parish Finance Authority (Christwood)

       

Series 2015

       

5.25%, 11/15/29 (d)

     1,200           1,255,380   
       

 

 

 
          67,747,923   
       

 

 

 

Maine - 0.0%

       

Maine Municipal Bond Bank

       

Series 2014A

       

5.00%, 9/01/25

     1,000           1,182,140   
       

 

 

 

Maryland - 1.9%

       

County of Anne Arundel MD

       

Series 2013

       

5.00%, 4/01/20

     4,415           5,199,987   

State of Maryland

       

Series 20142-C

       

5.00%, 8/01/21

     59,585           72,046,011   

Series 2014B

       

5.00%, 8/01/17-8/01/20

     32,380           37,328,117   

Washington Suburban Sanitary Commission

       

Series 2014

       

5.00%, 6/01/17

     5,000           5,508,850   
       

 

 

 
          120,082,965   
       

 

 

 

Massachusetts - 2.2%

       

Commonwealth of Massachusetts

       

Series 2013B

       

5.00%, 8/01/17-8/01/20

     69,345           78,777,316   

Series 2014A

       

5.00%, 12/01/17

     2,415           2,702,482   

Series 2014C

       

5.00%, 8/01/20

     1,045           1,235,420   

AGM Series 2006C

       

2.544%, 11/01/19 (f)

     1,815           1,901,539   

Commonwealth of Massachusetts (Commonwealth of Massachusetts Fuel Tax)

       

Series 2013

       

5.00%, 6/15/20

     1,040           1,228,916   

Series 2014

       

5.00%, 6/15/20

     7,170           8,472,431   

Massachusetts Health & Educational Facilities Authority (CareGroup, Inc.)

       

Series 2008E-2

       

5.00%, 7/01/15-7/01/17

     8,515           9,017,649   

Massachusetts Health & Educational Facilities Authority (President and Fellows of Harvard College)

       

Series 1991N

       

6.25%, 4/01/20

     2,820           3,516,202   


     Principal
Amount
(000)
       U.S. $ Value  

Massachusetts School Building Authority

       

Series 2012A

       

5.00%, 8/15/22-8/15/23

   $ 10,680         $ 12,999,654   

University of Massachusetts Building Authority

       

AMBAC Series 20052

       

5.00%, 11/01/15 (Pre-refunded/ETM)

     18,795           19,537,966   
       

 

 

 
          139,389,575   
       

 

 

 

Michigan - 4.7%

       

City of Detroit MI Sewage Disposal System Revenue

       

Series 2012A

       

5.00%, 7/01/19-7/01/20

     20,980           23,225,559   

Michigan Finance Authority (City of Detroit MI Sewage Disposal System Revenue)

       

AGM Series 2014C

       

5.00%, 7/01/25-7/01/27

     39,940           45,874,891   

Michigan Finance Authority (City of Detroit MI Water Supply System Revenue)

       

AGM Series 2014D2

       

5.00%, 7/01/24-7/01/27

     54,305           62,487,416   

Michigan Finance Authority (Detroit City School District)

       

Series 2014E

       

2.85%, 8/20/15

     1,400           1,407,182   

Michigan Finance Authority (Public Lighting Authority)

       

Series 2014B

       

5.00%, 7/01/27

     4,990           5,628,421   

Michigan Finance Authority (State of Michigan Unemployment)

       

Series 2012A

       

5.00%, 7/01/16

     94,115           100,435,763   

Series 2012B

       

5.00%, 7/01/22

     10,105           10,772,738   

Michigan State Building Authority (Michigan State Building Authority Lease)

       

Series 2009I

       

5.00%, 10/15/15

     6,290           6,523,674   

State of Michigan Trunk Line Revenue

       

Series 2009

       

5.00%, 11/01/19-11/01/23

     11,510           13,368,661   

Walled Lake Consolidated School District

       

Series 2015

       

4.00%, 5/01/17 (d)

     6,070           6,478,693   

5.00%, 5/01/20 (d)

     4,635           5,336,368   

Wayne County Airport Authority (Detroit Metropolitan Wayne County Airport)

       

Series 2010C

       

5.00%, 12/01/17

     5,000           5,540,400   

Wayne State University

       

Series 2009A

       

5.00%, 11/15/21-11/15/23

     14,100           16,256,426   
       

 

 

 
          303,336,192   
       

 

 

 

Minnesota - 0.9%

       

Southern Minnesota Municipal Power Agency

       

AMBAC Series 2002A

       

5.25%, 1/01/16

     6,820           7,150,770   


     Principal
Amount
(000)
       U.S. $ Value  

State of Minnesota

       

Series 2014A

       

5.00%, 8/01/17

   $ 13,830         $ 15,334,151   

Series 2014B

       

4.00%, 8/01/17

     14,400           15,600,240   

Series 2014E

       

3.00%, 8/01/16

     7,365           7,661,883   

4.00%, 8/01/17

     12,610           13,661,043   
       

 

 

 
          59,408,087   
       

 

 

 

Missouri - 0.2%

       

Missouri Joint Municipal Electric Utility Commission

       

Series 2014

       

5.00%, 1/01/25

     2,630           3,184,562   

Springfield Public Utilities Board

       

Series 2012

       

5.00%, 12/01/18-12/01/19

     7,290           8,333,894   
       

 

 

 
          11,518,456   
       

 

 

 

Nevada - 2.4%

       

Clark County School District

       

Series 2008A

       

5.00%, 6/15/21

     5,000           5,593,750   

Series 2013B

       

5.00%, 6/15/17

     6,780           7,463,695   

AGM Series 2005C

       

5.00%, 12/15/15 (Pre-refunded/ETM)

     22,380           23,387,995   

NATL Series 2005A

       

5.00%, 6/15/17

     27,880           28,719,746   

County of Clark Department of Aviation (McCarran Intl Airport)

       

AGM Series 2009C

       

5.00%, 7/01/24

     9,175           10,541,616   

County of Clark NV

       

AMBAC Series 1992A

       

6.50%, 6/01/17

     1,760           1,991,035   

AMBAC Series 2006

       

5.00%, 11/01/15 (Pre-refunded/ETM)

     1,085           1,127,890   

5.00%, 11/01/16

     16,010           17,291,761   

County of Clark NV (County of Clark NV Fuel Tax)

       

Series 2011

       

5.00%, 7/01/19

     8,390           9,671,237   

AMBAC Series 2007

       

5.00%, 7/01/15-7/01/16

     14,320           14,717,735   

County of Clark NV (McCarran Intl Airport)

       

Series 2008A

       

5.25%, 7/01/17

     16,695           18,485,205   

State of Nevada

       

Series 2014A

       

5.00%, 4/01/21

     15,215           18,163,667   
       

 

 

 
          157,155,332   
       

 

 

 


     Principal
Amount
(000)
       U.S. $ Value  

New Jersey - 5.0%

       

Garden State Preservation Trust

       

AGM Series 2005A

       

5.80%, 11/01/15 (Pre-refunded/ETM)

   $ 2,325         $ 2,431,159   

New Jersey Economic Development Authority

       

Series 2008A

       

5.00%, 5/01/15-5/01/16

     55,310           57,328,183   

Series 2008W

       

5.00%, 3/01/15 (Pre-refunded/ETM)

     2,325           2,342,251   

Series 2011E

       

5.00%, 9/01/20

     6,220           7,076,992   

Series 2011G

       

5.00%, 9/01/20

     2,895           3,293,873   

Series 2013

       

5.00%, 3/01/20

     12,925           14,624,637   

Series 2014P

       

5.00%, 6/15/26

     10,350           11,794,239   

Series 2014U

       

5.00%, 6/15/20-6/15/21

     14,200           16,086,832   

New Jersey Economic Development Authority (College Avenue Redevelopment Associates LLC)

       

Series 2013

       

5.00%, 6/15/25-6/15/26

     4,500           5,421,845   

New Jersey Economic Development Authority (NYNJ Link Borrower LLC)

       

Series 2013

       

5.00%, 1/01/22

     1,075           1,239,582   

5.50%, 1/01/26-1/01/27

     2,000           2,330,460   

New Jersey State Turnpike Authority

       

Series 2012B

       

5.00%, 1/01/26-1/01/27

     12,700           14,873,212   

Series 2014A

       

5.00%, 1/01/27-1/01/29

     75,920           89,909,917   

Series 2014C

       

5.00%, 1/01/24

     14,720           17,810,317   

AGM Series 2005D-3

       

5.25%, 1/01/26

     14,770           18,187,483   

New Jersey Transit Corp.

       

Series 2014A

       

5.00%, 9/15/19-9/15/21

     43,890           50,200,363   

New Jersey Transportation Trust Fund Authority

       

Series 2013A

       

5.00%, 6/15/20

     3,960           4,501,728   
       

 

 

 
          319,453,073   
       

 

 

 

New Mexico - 0.1%

       

State of New Mexico Severance Tax Permanent Fund

       

Series 2010A

       

5.00%, 7/01/16

     5,160           5,511,344   
       

 

 

 

New York - 15.3%

       

City of New York NY

       

Series 2005J

       

5.00%, 3/01/15 (Pre-refunded/ETM)

     1,490           1,501,011   

5.00%, 3/01/17

     865           871,081   

Series 2007C

       

5.00%, 1/01/15-1/01/16

     15,370           15,858,012   

Series 2007D

       

5.00%, 2/01/15 (Pre-refunded/ETM)

     6,025           6,045,425   

5.00%, 2/01/15

     2,775           2,785,850   


     Principal
Amount
(000)
       U.S. $ Value  

Series 2007E

       

5.00%, 8/01/16

   $ 4,715         $ 5,044,720   

Series 2008B

       

5.00%, 9/01/15

     10,000           10,317,600   

Series 2008C

       

5.25%, 8/01/16

     17,165           18,432,292   

Series 2009C

       

5.00%, 8/01/17-8/01/22

     18,190           20,898,726   

Series 2010B

       

5.00%, 8/01/16-8/01/19

     23,020           25,903,276   

Series 2012A

       

5.00%, 10/01/16

     10,090           10,864,710   

Series 2012B

       

5.00%, 8/01/16

     18,615           19,916,747   

Series 2013B

       

5.00%, 8/01/19

     34,575           39,965,934   

Series 2013I

       

5.00%, 8/01/19

     7,260           8,391,979   

Series 2013J

       

5.00%, 8/01/16-8/01/20

     19,535           22,355,851   

Series 2014A

       

5.00%, 8/01/27

     1,130           1,359,492   

Metropolitan Transportation Authority

       

Series 2012D

       

5.00%, 11/15/16-11/15/28

     25,550           28,250,758   

Series 2012E

       

5.00%, 11/15/24

     6,055           7,224,039   

Series 2012F

       

5.00%, 11/15/22-11/15/26

     55,610           66,118,400   

Series 2012H

       

5.00%, 11/15/26

     6,065           7,169,012   

Series 2013B

       

5.00%, 11/15/26

     9,505           11,307,528   

Series 2014A

       

5.00%, 11/15/26-11/15/27

     8,245           9,773,514   

Series 2014C

       

5.00%, 11/15/27

     5,000           5,970,250   

AGC Series 2003B

       

5.25%, 11/15/20

     8,415           10,022,097   

Metropolitan Transportation Authority (Metropolitan Transportation Authority Ded Tax)

       

Series 2012A

       

5.00%, 11/15/27

     4,505           5,378,339   

New York City Transitional Finance Authority Future Tax Secured Revenue

       

Series 2011A

       

5.00%, 11/01/22-11/01/25

     34,430           41,072,559   

Series 2011C

       

5.00%, 11/01/19-11/01/25

     23,420           27,732,695   

Series 2012A

       

5.00%, 8/01/25

     12,345           14,761,904   

Series 2012B

       

5.00%, 11/01/23-11/01/26

     55,535           66,855,195   

Series 2012E

       

5.00%, 11/01/21-11/01/22

     22,135           26,763,509   

New York State Dormitory Authority (City University of New York State Lease)

       

Series 2008A

       

5.00%, 7/01/15-7/01/16

     24,900           26,145,575   

Series 2008B

       

5.00%, 7/01/15

     8,870           9,077,647   


     Principal
Amount
(000)
       U.S. $ Value  

New York State Dormitory Authority (New York State Dormitory Authority Lease)

       

Series 2009A

       

5.00%, 7/01/19-7/01/24

   $ 25,150         $ 28,996,507   

New York State Dormitory Authority (New York University)

       

NATL Series 1998A

       

6.00%, 7/01/18

     2,865           3,311,883   

New York State Dormitory Authority (State of New York Pers Income Tax)

       

Series 2009G

       

5.00%, 3/15/19-3/15/21

     13,865           15,912,101   

Series 2011E

       

5.00%, 8/15/21

     3,880           4,658,250   

Series 2012A

       

5.00%, 12/15/22

     20,745           25,208,909   

Series 2012B

       

5.00%, 3/15/21-3/15/22

     54,800           65,737,947   

Series 2013A

       

5.00%, 2/15/20

     4,635           5,427,307   

Series 2014C

       

5.00%, 3/15/27

     2,015           2,428,156   

Series 2014E

       

5.00%, 2/15/17

     4,440           4,841,776   

New York State Thruway Authority

       

AGM Series 2005A

       

5.00%, 3/15/15 (Pre-refunded/ETM)

     7,860           7,934,435   

New York State Thruway Authority (New York State Thruway Authority Ded Tax)

       

Series 2012A

       

5.00%, 4/01/23

     17,940           21,401,882   

NATL Series 2005B

       

5.00%, 4/01/16

     44,040           45,570,830   

New York State Thruway Authority (New York State Thruway Authority Gen Toll Road)

       

Series 2013A

       

5.00%, 5/01/19

     3,055           3,496,386   

New York State Thruway Authority (New York State Thruway Authority Service Contract)

       

Series 2009

       

5.00%, 4/01/17-4/01/18

     47,425           52,200,403   

New York State Urban Development Corp. (State of New York Pers Income Tax)

       

Series 2013C

       

5.00%, 3/15/16-3/15/26

     71,295           84,237,428   

Series 2013D

       

5.00%, 3/15/23

     32,000           38,976,320   

Port Authority of New York & New Jersey

       

Series 2013-178

       

5.00%, 12/01/28

     3,335           3,869,601   
       

 

 

 
          988,345,848   
       

 

 

 


     Principal
Amount
(000)
       U.S. $ Value  

North Carolina - 1.4%

       

North Carolina Eastern Municipal Power Agency

       

Series 1988A

       

6.00%, 1/01/22 (Pre-refunded/ETM)

   $ 1,720         $ 2,209,168   

Series 2009B

       

5.00%, 1/01/17

     1,020           1,099,407   

Series 2012B

       

5.00%, 1/01/21

     13,255           15,342,000   

North Carolina Infrastructure Finance Corp. COP

       

AGM Series 2006A

       

5.00%, 2/01/15

     10,000           10,038,600   

North Carolina Municipal Power Agency No 1

       

Series 2008A

       

5.25%, 1/01/15-1/01/16

     47,955           48,914,800   

Series 2008C

       

5.25%, 1/01/15-1/01/17

     12,720           13,305,092   
       

 

 

 
          90,909,067   
       

 

 

 

Ohio - 3.4%

       

City of Cincinnati OH Water System Revenue

       

Series 2007A

       

5.00%, 12/01/15

     5,780           6,032,239   

City of Cleveland OH Airport System Revenue

       

AMBAC Series 2006A

       

5.00%, 1/01/23

     3,145           3,379,491   

City of Columbus OH

       

Series 20131

       

5.00%, 7/01/16-7/01/20

     9,165           10,306,354   

Series 2014A

       

5.00%, 2/15/21

     5,580           6,668,993   

Columbiana County Port Authority (ELS Transportation LLC)

       

Series 2004A

       

7.00%, 8/01/21 (a)(b)

     500           200,000   

County of Cuyahoga OH (County of Cuyahoga OH Lease)

       

Series 2010F

       

5.00%, 12/01/19-12/01/24

     93,725           108,545,825   

Hamilton County Convention Facilities Authority

       

Series 2014

       

5.00%, 12/01/22-12/01/23

     3,440           4,028,089   

State of Ohio

       

Series 2011A

       

5.00%, 8/01/20-8/01/21

     57,430           68,304,178   

University of Cincinnati

       

Series 2010F

       

5.00%, 6/01/20-6/01/21

     6,795           7,968,637   

University of Toledo

       

Series 2010

       

5.00%, 6/01/21

     2,610           2,986,023   
       

 

 

 
          218,419,829   
       

 

 

 

Oklahoma - 0.1%

       

McGee Creek Authority

       

NATL Series 1992

       

6.00%, 1/01/23

     3,680           4,134,885   
       

 

 

 

Oregon - 0.5%

       

City of Portland OR Sewer System Revenue

       

Series 2013A

       

5.00%, 8/01/22

     8,685           10,608,988   


     Principal
Amount
(000)
       U.S. $ Value  

Hospital Facilities Authority of Multnomah County Oregon (Mirabella at South Waterfront)

       

Series 2014A

       

5.00%, 10/01/24

   $ 1,000         $ 1,058,410   

Port of Portland OR (Portland Intl Airport)

       

Series 2010 20C

       

5.00%, 7/01/23

     1,405           1,638,862   

State of Oregon Department of Administrative Services COP

       

Series 2009D

       

5.00%, 11/01/21-11/01/23

     18,535           21,344,932   
       

 

 

 
          34,651,192   
       

 

 

 

Pennsylvania - 3.7%

       

Allegheny County Airport Authority (Pittsburgh International Airport)

       

NATL Series 2001B

       

5.00%, 1/01/18

     1,585           1,762,631   

Central Bucks School District

       

NATL Series 2007

       

5.00%, 5/15/16 (Pre-refunded/ETM)

     2,045           2,176,923   

5.00%, 5/15/16

     2,955           3,137,264   

City of Philadelphia PA

       

Series 2013A

       

5.00%, 7/15/19-7/15/21

     4,495           5,224,592   

City of Philadelphia PA Airport Revenue (Philadelphia Intl Airport)

       

Series 2010A

       

5.00%, 6/15/21

     6,225           7,158,999   

Series 2010D

       

5.00%, 6/15/19-6/15/20

     18,065           20,742,485   

Series 2011A

       

5.00%, 6/15/16-6/15/19

     6,300           7,014,417   

Commonwealth of Pennsylvania

       

Series 2010A

       

5.00%, 2/15/17

     4,220           4,599,083   

Series 2014

       

5.00%, 6/15/17-7/01/17

     25,140           27,696,972   

Pennsylvania Economic Development Financing Authority (Commonwealth of Pennsylvania Unemployment)

       

Series 2012A

       

3.00%, 1/01/15

     2,900           2,900,000   

5.00%, 1/01/16-7/01/19

     28,850           32,277,623   

Pennsylvania Turnpike Commission

       

Series 2009B

       

5.00%, 6/01/15-6/01/20

     54,525           60,102,731   

Philadelphia Parking Authority (Philadelphia Airport Parking)

       

Series 2009

       

5.00%, 9/01/15-9/01/20

     35,680           39,735,102   

5.125%, 9/01/22

     9,080           10,267,573   


     Principal
Amount

(000)
       U.S. $ Value  

Southeastern Pennsylvania Transportation Authority

       

Series 2010

       

5.00%, 3/01/23-3/01/24

   $ 12,245         $ 14,051,893   
       

 

 

 
          238,848,288   
       

 

 

 

Puerto Rico - 0.2%

       

Puerto Rico Sales Tax Financing Corp.

       

Series 2009A

       

5.375%, 8/01/19 (Pre-refunded/ETM)

     10,315           12,178,817   
       

 

 

 

Rhode Island - 0.4%

       

Rhode Island Depositors Economic Protection Corp.

       

Series 1993A

       

6.375%, 8/01/22 (Pre-refunded/ETM)

     5,780           7,538,565   

AGM Series 1993A

       

5.50%, 8/01/20 (Pre-refunded/ETM)

     1,500           1,774,935   

5.75%, 8/01/19 (Pre-refunded/ETM)

     4,940           5,634,663   

Rhode Island Economic Development Corp. (State of Rhode Island DOT Fed Hwy Grant)

       

AGC Series 2009A

       

5.25%, 6/15/17

     7,955           8,717,805   
       

 

 

 
          23,665,968   
       

 

 

 

South Carolina - 0.1%

       

Greenville County School District (Greenville County School District Lease)

       

Series 2006

       

5.00%, 12/01/15

     5,000           5,217,300   

Newberry Investing IN Children’s Education

       

Series 2005

       

5.25%, 12/01/15 (Pre-refunded/ETM)

     2,315           2,420,170   
       

 

 

 
          7,637,470   
       

 

 

 

Tennessee - 0.0%

       

Tennessee Energy Acquisition Corp. (Goldman Sachs Group, Inc. (The))

       

Series 2006A

       

5.25%, 9/01/21

     2,115           2,446,907   
       

 

 

 

Texas - 10.5%

       

Aldine Independent School District

       

5.00%, 2/15/17

     4,945           5,399,050   

Austin Independent School District

       

Series 2014B

       

5.00%, 8/01/20-8/01/21

     6,700           7,964,243   

Bell County Health Facility Development Corp.

       

Series 1989

       

6.50%, 2/02/15 (Pre-refunded/ETM)

     1,000           1,144,960   

Brownsville Independent School District

       

Series 2013A

       

5.00%, 2/15/19

     4,000           4,602,280   

Camino Real Regional Mobility Authority

       

Series 2008

       

5.00%, 2/15/15-2/15/21

     44,670           46,322,738   

City of Garland TX

       

Series 2010

       

5.00%, 2/15/24

     3,800           4,390,862   


     Principal
Amount

(000)
       U.S. $ Value  

City of Houston TX Airport System Revenue

       

Series 2009A

       

5.00%, 7/01/21

   $ 2,090         $ 2,371,084   

City of Houston TX Combined Utility System Revenue

       

Series 2014C

       

5.00%, 5/15/23-5/15/28

     24,850           30,091,217   

City of San Antonio TX

       

Series 2014

       

5.00%, 2/01/21

     3,905           4,679,986   

City of San Antonio TX Water System Revenue

       

Series 2011A

       

5.00%, 5/15/23-5/15/26

     21,200           24,688,926   

Series 2013E

       

5.00%, 5/15/25

     3,000           3,597,510   

City Public Service Board of San Antonio TX

       

Series 2008

       

5.00%, 2/01/21

     5,040           5,600,902   

Series 2009D

       

5.00%, 2/01/20

     47,315           54,130,726   

Clear Creek Independent School District

       

Series 2004A

       

5.00%, 2/15/16

     1,280           1,347,098   

Conroe Independent School District

       

Series 2005A

       

5.00%, 2/15/15 (Pre-refunded/ETM)

     6,260           6,293,303   

County of Harris TX

       

Series 2010A

       

5.00%, 10/01/23-10/01/25

     17,725           20,872,641   

Series 2014A

       

5.00%, 10/01/17

     4,820           5,365,335   

Dallas Independent School District

       

Series 2011

       

5.00%, 2/15/22

     5,165           6,136,640   

Dallas/Fort Worth International Airport

       

Series 2009A

       

5.00%, 11/01/15

     6,415           6,663,710   

Series 2012F

       

5.00%, 11/01/21-11/01/25

     17,905           20,571,337   

Series 2014A

       

5.25%, 11/01/28

     11,550           13,638,471   

Grand Parkway Transportation Corp.

       

Series 2014A

       

3.00%, 12/15/16

     168,095           176,104,727   

Houston Independent School District

       

Series 2014

       

5.00%, 2/15/17

     12,280           13,393,919   

Lower Colorado River Authority

       

AGM Series 1999A

       

5.875%, 5/15/16

     2,325           2,333,974   

North Texas Tollway Authority

       

Series 2011D

       

5.00%, 9/01/24

     5,000           5,916,250   

5.25%, 9/01/25-9/01/26

     35,940           43,343,254   

Series 2014A

       

5.00%, 1/01/21-1/01/24

     16,695           19,803,135   

Retama Development Corp.

       

Series 1993

       

8.75%, 12/15/15 (Pre-refunded/ETM)

     1,200           1,291,572   


     Principal
Amount

(000)
       U.S. $ Value  

SA Energy Acquisition Public Facility Corp. (Goldman Sachs Group, Inc. (The))

       

Series 2007

       

5.25%, 8/01/15

   $ 1,880         $ 1,922,413   

Spring Independent School District

       

Series 2011

       

5.00%, 8/15/20-8/15/21

     8,365           9,875,677   

State of Texas

       

Series 2011

       

5.00%, 10/01/22-10/01/25

     47,335           56,814,785   

Series 2014

       

4.00%, 10/01/17

     5,400           5,869,746   

Series 2014A

       

5.00%, 10/01/22

     2,725           3,330,004   

Tarrant County Cultural Education Facilities Finance Corp. (Buckingham Senior Living Community, Inc.)

       

Series 2007

       

5.25%, 11/15/16

     1,160           1,193,420   

Texas A&M University

       

Series 2009D

       

5.00%, 5/15/18

     2,000           2,266,380   

Texas Public Finance Authority (State of Texas Unemployment)

       

Series 2014B

       

4.00%, 7/01/17-1/01/18

     28,250           29,832,713   

Texas Public Finance Authority (Texas Public Finance Authority State Lease)

       

AMBAC Series 2004A

       

5.00%, 2/01/15

     5,000           5,017,050   

Texas Transportation Commission State Highway Fund

       

Series 2007

       

5.00%, 4/01/16-4/01/24

     18,250           19,559,972   

Series 2014A

       

4.75%, 4/01/17

     5,295           5,773,615   
       

 

 

 
          679,515,625   
       

 

 

 

Virginia - 0.1%

       

County of Fairfax VA

       

Series 2012A

       

5.00%, 4/01/17

     6,760           7,410,109   
       

 

 

 

Washington - 5.8%

       

Chelan County Public Utility District No 1

       

Series 2011A

       

5.00%, 7/01/20

     3,110           3,597,741   

Series 2011B

       

5.00%, 7/01/21

     5,000           5,809,100   

5.25%, 7/01/22

     3,670           4,314,048   

City of Seattle WA

       

Series 2014

       

5.00%, 5/01/16-5/01/17

     9,675           10,399,936   

City of Tacoma WA Electric System Revenue

       

AGM Series 2007

       

5.00%, 1/01/15 (Pre-refunded/ETM)

     4,450           4,450,000   

5.00%, 1/01/15

     16,495           16,495,000   

County of Cowlitz WA (County of Cowlitz WA Spl Swr)

       

NATL Series 2002

       

5.50%, 11/01/19

     1,435           1,552,598   


      Principal
Amount
(000)
       U.S. $ Value  

County of King WA Sewer Revenue

       

Series 2011B

       

5.00%, 1/01/23

   $ 4,415         $ 5,199,634   

Energy Northwest

       

AMBAC Series 2005A

       

5.00%, 7/01/15 (Pre-refunded/ETM)

     2,315           2,369,310   

Energy Northwest (Bonneville Power Administration)

       

Series 2007A

       

5.00%, 7/01/16

     5,450           5,810,136   

Series 2007C

       

5.00%, 7/01/17

     2,625           2,896,530   

Series 2012A

       

5.00%, 7/01/18-7/01/21

     92,585           106,439,954   

Grant County Public Utility District No 2

       

Series 2011I

       

5.00%, 1/01/20-1/01/23

     13,725           16,144,015   

Port of Seattle WA

       

Series 2010B

       

5.00%, 6/01/22

     1,995           2,307,776   

Series 2010C

       

5.00%, 2/01/17

     2,590           2,802,769   

Snohomish County School District No 2 Everett

       

Series 2014

       

5.00%, 12/01/21

     3,600           4,318,704   

State of Washington

       

Series 2008C

       

5.00%, 1/01/17

     3,225           3,504,059   

Series 2009R

       

5.00%, 1/01/17

     5,810           6,312,739   

Series 2010R

       

5.00%, 7/01/20

     6,370           7,510,485   

Series 2012

       

5.00%, 7/01/22-7/01/23

     27,815           33,697,754   

Series 2012R

       

5.00%, 7/01/23-7/01/24

     22,715           27,449,051   

Series 2012R-2012D

       

5.00%, 7/01/17

     5,000           5,522,450   

Series 2012R-2013A

       

5.00%, 7/01/17

     3,545           3,915,417   

Series 2014

       

4.00%, 7/01/17

     17,610           19,017,039   

Series 2014R

       

5.00%, 7/01/17

     5,180           5,721,258   

AGM Series 2006

       

5.00%, 7/01/15

     5,405           5,532,612   

AMBAC Series 2007C

       

5.00%, 1/01/16

     7,770           8,138,842   

State of Washington (State of Washington Fed Hwy Grant)

       

Series 2012F-1

       

5.00%, 9/01/21-9/01/23

     36,660           43,627,463   

Series 2013C

       

5.00%, 9/01/19

     6,060           6,983,120   
       

 

 

 
          371,839,540   
       

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

Wisconsin - 0.8%

       

State of Wisconsin

       

Series 20141

       

5.00%, 5/01/16

   $ 3,030         $ 3,213,224   

Series 20142

       

5.00%, 5/01/17

     23,330           25,628,238   

Series 2014B

       

5.00%, 5/01/17

     3,610           3,965,621   

Wisconsin Department of Transportation

       

AGM Series 2005A

       

5.25%, 7/01/16

     9,690           10,376,633   

NATL Series 2007I

       

5.00%, 7/01/16-7/01/17

     8,885           9,554,277   

WPPI Energy

       

Series 2014A

       

5.00%, 7/01/29

     1,000           1,188,580   
       

 

 

 
          53,926,573   
       

 

 

 

Total Long-Term Municipal Bonds
(cost $5,516,634,080)

          5,755,863,071   
       

 

 

 

Short-Term Municipal Notes - 0.9%

       

Alaska - 0.2%

       

City of Valdez AK (Exxon Mobil Corp.)

       

Series 1993B

       

0.02%, 12/01/33 (h)

     5,700           5,700,000   

Series 1993C

       

0.02%, 12/01/33 (h)

     5,475           5,475,000   
       

 

 

 
          11,175,000   
       

 

 

 

Connecticut - 0.1%

       

Connecticut State Health & Educational Facility Authority (Yale University)

       

Series 2001V-1

       

0.01%, 7/01/36 (h)

     8,260           8,260,000   
       

 

 

 

Louisiana - 0.1%

       

City of Baton Rouge/Parish of East Baton Rouge LA (Exxon Mobil Corp.)

       

Series 1989

       

0.01%, 11/01/19 (h)

     7,800           7,800,000   
       

 

 

 

Mississippi - 0.3%

       

County of Jackson MS (Chevron Corp.)

       

Series 1993

       

0.01%, 6/01/23 (h)

     12,500           12,500,000   

Mississippi Business Finance Corp. (Chevron USA, Inc.)

       

Series 2007E

       

0.03%, 12/01/30 (h)

     7,000           7,000,000   
       

 

 

 
          19,500,000   
       

 

 

 


     Principal
Amount
(000)
       U.S. $ Value  

Texas - 0.2%

       

Gulf Coast Industrial Development Authority (Exxon Mobil Corp.)

       

Series 2012

       

0.01%, 11/01/41 (h)

   $ 13,400         $ 13,400,000   
       

 

 

 

Total Short-Term Municipal Notes
(cost $60,135,000)

          60,135,000   
       

 

 

 

Total Municipal Obligations
(cost $5,576,769,080)

          5,815,998,071   
       

 

 

 

CORPORATES - INVESTMENT GRADE - 4.7%

       

Financial Institutions - 3.2%

       

Banking - 2.8%

       

Bank of America Corp.

       

1.50%, 10/09/15

     33,318           33,454,637   

4.50%, 4/01/15

     18,940           19,117,960   

Capital One Bank USA NA

       

1.20%, 2/13/17

     4,905           4,862,469   

Citigroup, Inc.

       

2.65%, 3/02/15

     8,048           8,071,717   

4.587%, 12/15/15

     14,497           14,980,011   

6.01%, 1/15/15

     15,000           15,021,345   

JPMorgan Chase & Co.

       

1.35%, 2/15/17

     41,328           41,327,091   

1.875%, 3/20/15

     1,875           1,880,589   

3.15%, 7/05/16

     3,950           4,060,351   

Morgan Stanley

       

5.375%, 10/15/15

     25,375           26,246,378   

Series G

       

5.45%, 1/09/17

     8,860           9,513,106   
       

 

 

 
          178,535,654   
       

 

 

 

Finance - 0.4%

       

General Electric Capital Corp.

       

2.15%, 1/09/15

     27,608           27,612,528   
       

 

 

 
          206,148,182   
       

 

 

 

Industrial - 1.5%

       

Capital Goods - 0.2%

       

Caterpillar, Inc.

       

0.95%, 6/26/15

     13,617           13,660,289   
       

 

 

 

Communications - Telecommunications - 0.2%

       

Verizon Communications, Inc.

       

2.50%, 9/15/16

     14,764           15,091,392   
       

 

 

 

Consumer Cyclical - Automotive - 0.2%

       

Ford Motor Credit Co. LLC

       

7.00%, 4/15/15

     12,630           12,847,324   
       

 

 

 

Consumer Non-Cyclical - 0.2%

       

Becton Dickinson and Co.

       

0.691%, 6/15/16 (i)

     10,000           10,002,380   

Actavis, Inc.

       

1.875%, 10/01/17

     2,807           2,796,120   
       

 

 

 
          12,798,500   
       

 

 

 


     Principal
Amount
(000)
       U.S. $ Value  

Technology - 0.7%

       

International Business Machines Corp.

       

0.55%, 2/06/15

   $ 14,866         $ 14,869,107   

Cisco Systems, Inc.

       

1.10%, 3/03/17

     29,031           29,043,280   
       

 

 

 
          43,912,387   
       

 

 

 
          98,309,892   
       

 

 

 

Total Corporates - Investment Grade
(cost $303,828,027)

          304,458,074   
       

 

 

 

GOVERNMENTS - TREASURIES - 1.6%

       

United States - 1.6%

       

U.S. Treasury Notes

       

0.75%, 1/15/17
(cost $100,084,073)

     100,000           100,070,300   
       

 

 

 

SHORT-TERM INVESTMENTS - 2.8%

       

Time Deposit - 2.8%

       

State Street Time Deposit

       

0.01%, 1/02/15

(cost $183,849,181)

     183,849           183,849,181   
       

 

 

 

Total Investments - 99.3%
(cost $6,164,530,361) (j)

          6,404,375,626   

Other assets less liabilities - 0.7%

          41,930,622   
       

 

 

 

Net Assets - 100.0%

        $ 6,446,306,248   
       

 

 

 

 

(a) Illiquid security.
(b) Security is in default and is non-income producing.
(c) Non-income producing security.
(d) When-Issued or delayed delivery security.
(e) Fair valued by the Adviser.
(f) Variable rate coupon, rate shown as of December 31, 2014.
(g) Indicates a security that has a zero coupon that remains in effect until a predetermined date at which time the stated coupon rate becomes effective until final maturity.
(h) Variable Rate Demand Notes are instruments whose interest rates change on a specific date (such as coupon date or interest payment date) or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). This instrument is payable on demand and is secured by letters of credit or other credit support agreements from major banks.
(i) Floating Rate Security. Stated interest rate was in effect at December 31, 2014.
(j) As of December 31, 2014, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $269,945,166 and gross unrealized depreciation of investments was $(30,099,901), resulting in net unrealized appreciation of $239,845,265.

As of December 31, 2014, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 10.8% and 11.5%, respectively.

Glossary:

 

AGC    -    Assured Guaranty Corporation


AGM    -    Assured Guaranty Municipal
AMBAC    -    Ambac Assurance Corporation
COP    -    Certificate of Participation
DOT    -    Department of Transportation
ETM    -    Escrowed to Maturity
NATL    -    National Interstate Corporation


Sanford C. Bernstein Fund, Inc.

Diversified Municipal Portfolio

December 31, 2014 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolio. Unobservable inputs reflect the Portfolio’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

   

Level 1—quoted prices in active markets for identical investments

   

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

   

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

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

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

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2014:

 

Investments in Securities:

   Level 1     Level 2     Level 3     Total  

Assets:

        

Long-Term Municipal Bonds

   $ – 0  –    $ 5,726,805,627      $ 29,057,444^      $ 5,755,863,071   

Short-Term Municipal Notes

     – 0  –      60,135,000        – 0  –      60,135,000   

Corporates - Investment Grade

     – 0  –      304,458,074        – 0  –      304,458,074   

Governments - Treasuries

     – 0  –      100,070,300        – 0  –      100,070,300   

Short-Term Investments

     – 0  –      183,849,181        – 0  –      183,849,181   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments in Securities

     – 0  –      6,375,318,182        29,057,444        6,404,375,626   

Other Financial Instruments*

     – 0  –      – 0  –      – 0  –      – 0  – 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total+

   $     – 0  –    $     6,375,318,182      $     29,057,444      $     6,404,375,626   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

^ The Portfolio held securities with zero market value at period end.
* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
+ There were no transfers between any levels during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

 

      Long-Term Municipal
Bonds^
    Total  

Balance as of 9/30/14

   $  33,238,346      $ 33,238,346   

Accrued discounts/(premiums)

     12,350        12,350   

Realized gain (loss)

     6,291        6,291   

Change in unrealized appreciation/depreciation

     30,039        30,039   

Purchases

     1,253,256        1,253,256   

Sales

     (5,482,838     (5,482,838

Transfers in to Level 3

     – 0  –      – 0  – 

Transfers out of Level 3

     – 0  –      – 0  – 
  

 

 

   

 

 

 

Balance as of 12/31/14

   $     29,057,444      $     29,057,444   
  

 

 

   

 

 

 

Net change in unrealized appreciation/depreciation from Investments held as of 12/31/14

   $ 30,039      $ 30,039   
  

 

 

   

 

 

 

 

^ The Portfolio held securities with zero market value at period end.


The Adviser has established a Valuation Committee (the “Committee”) which is responsible for overseeing the pricing and valuation of all securities held in the Portfolio. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily compare of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).


Sanford C. Bernstein Fund, Inc.

Overlay A Portfolio

December 31, 2014 (unaudited)

 

Company

   Shares        U.S. $ Value  

COMMON STOCKS - 61.9%

  

Financials - 12.3%

  

Banks - 4.4%

  

Associated Banc-Corp

     8,680         $ 161,708   

Australia & New Zealand Banking Group Ltd.

     33,500           871,668   

Axis Bank Ltd.

     48,620           384,364   

Banco Bradesco SA (Preference Shares)

     8,100           106,834   

Banco Davivienda SA (Preference Shares)

     16,960           200,537   

Banco do Brasil SA

     36,400           325,494   

Banco Macro SA (ADR)

     1,150           50,290   

Bangkok Bank PCL (NVDR)

     49,700           291,918   

Bank Hapoalim BM

     181,670           854,235   

Bank Mandiri Persero Tbk PT

     585,000           508,738   

Bank of America Corp.

     699,700           12,517,633   

Bank of Baroda

     5,130           87,696   

Bank of China Ltd.-Class H

     1,890,000           1,060,798   

Bank of Communications Co., Ltd.-Class H

     156,000           144,443   

Bank of Montreal

     10,920           772,427   

Bank of Queensland Ltd.

     115,710           1,139,966   

BOC Hong Kong Holdings Ltd.

     286,000           951,156   

China CITIC Bank Corp. Ltd.-Class H

     266,000           211,725   

China Construction Bank Corp.-Class H

     1,698,000           1,382,542   

China Merchants Bank Co., Ltd.-Class H

     159,000           396,888   

Comerica, Inc.

     4,670           218,743   

Commerzbank AG (a)

     82,900           1,087,365   

Credicorp Ltd.

     3,020           483,744   

Danske Bank A/S

     102,820           2,779,825   

DBS Group Holdings Ltd.

     77,000           1,192,062   

DGB Financial Group, Inc. (a)

     24,820           255,128   

First Niagara Financial Group, Inc.

     19,050           160,592   

First Republic Bank/CA

     4,740           247,049   

Hang Seng Bank Ltd.

     30,200           501,938   

HDFC Bank Ltd. (ADR)

     11,960           606,970   

HSBC Holdings PLC

     283,630           2,680,236   

Huntington Bancshares, Inc./OH

     28,270           297,400   

Iberiabank Corp.

     3,080           199,738   

ICICI Bank Ltd.

     36,100           200,411   

ICICI Bank Ltd. (Sponsored ADR)

     12,050           139,178   

Industrial & Commercial Bank of China Ltd.-Class H

     751,000           548,374   

ING Groep NV (a)

     125,420           1,620,384   

Itausa - Investimentos Itau SA (Preference Shares)

     108,200           382,213   

JPMorgan Chase & Co. (b)

     124,200           7,772,436   

Kasikornbank PCL (NVDR)

     38,500           266,275   

KB Financial Group, Inc. (a)

     29,300           957,935   

Komercni banka AS

     2,530           520,677   

Mitsubishi UFJ Financial Group, Inc.

     358,500           1,969,679   

National Bank of Canada

     10,520           447,675   

Popular, Inc. (a)

     8,110           276,145   

Punjab National Bank

     14,900           51,309   

Resona Holdings, Inc.

     251,500           1,270,452   

Seven Bank Ltd.

     269,800           1,132,481   

Shinhan Financial Group Co., Ltd. (a)

     6,450           259,258   

Signature Bank/New York NY (a)

     2,540           319,938   

Societe Generale SA

     51,743           2,165,453   

State Bank of India

     19,900           98,043   

Susquehanna Bancshares, Inc.

     20,480           275,046   


Company

   Shares        U.S. $ Value  

SVB Financial Group (a)

     2,450         $ 284,371   

Synovus Financial Corp.

     6,420           173,918   

Toronto-Dominion Bank (The)

     21,100           1,008,143   

UniCredit SpA

     463,240           2,967,336   

US Bancorp/MN

     165,300           7,430,235   

Webster Financial Corp.

     5,420           176,313   

Wells Fargo & Co.

     354,100           19,411,762   

Zions Bancorporation

     8,660           246,897   
       

 

 

 
          85,504,187   
       

 

 

 

Capital Markets - 1.1%

       

AB Fixed Income Shares, Inc. - Government STIF Portfolio (a)

     4,500           229,590   

Affiliated Managers Group, Inc. (a)

     25,492           5,410,422   

China Cinda Asset Management Co., Ltd.-Class H (a)

     51,000           24,827   

Daiwa Securities Group, Inc.

     463,000           3,625,353   

E*TRADE Financial Corp. (a)

     9,540           231,393   

Goldman Sachs Group, Inc. (The)

     33,000           6,396,390   

Lazard Ltd.-Class A

     6,303           315,339   

Partners Group Holding AG

     3,050           887,358   

UBS Group AG (a)

     260,041           4,470,027   
       

 

 

 
          21,590,699   
       

 

 

 

Consumer Finance - 1.4%

       

American Express Co. (b)

     123,782           11,516,677   

Capital One Financial Corp.

     120,200           9,922,510   

Muthoot Finance Ltd.

     55,947           169,731   

Shriram Transport Finance Co., Ltd.

     25,890           451,610   

SLM Corp.

     444,260           4,527,010   
       

 

 

 
          26,587,538   
       

 

 

 

Diversified Financial Services - 0.5%

       

Cerved Information Solutions SpA (a)

     79,242           418,474   

Challenger Ltd./Australia

     177,888           939,699   

Cielo SA

     10,100           158,328   

Intercontinental Exchange, Inc.

     21,000           4,605,090   

ORIX Corp.

     223,700           2,814,770   

Power Finance Corp. Ltd.

     45,340           215,371   

Premium Leisure Corp. (a)

     3,302,000           156,915   
       

 

 

 
          9,308,647   
       

 

 

 

Insurance - 3.7%

       

Admiral Group PLC

     162,520           3,334,113   

AIA Group Ltd.

     837,400           4,602,595   

Allstate Corp. (The)

     120,158           8,441,099   

American Financial Group, Inc./OH

     5,150           312,708   

American International Group, Inc.

     216,900           12,148,569   

Aon PLC

     98,000           9,293,340   

Aspen Insurance Holdings Ltd.

     6,670           291,946   

Assurant, Inc.

     40,930           2,800,840   

BB Seguridade Participacoes SA

     49,000           592,822   

Chubb Corp. (The)

     60,200           6,228,894   

CNO Financial Group, Inc.

     16,890           290,846   

Direct Line Insurance Group PLC

     215,230           973,613   

Everest Re Group Ltd.

     13,100           2,230,930   


Company

   Shares        U.S. $ Value  

Gjensidige Forsikring ASA

     64,030         $ 1,044,802   

Hanover Insurance Group, Inc. (The)

     4,150           295,978   

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen

     21,610           4,303,359   

PartnerRe Ltd.

     78,274           8,933,412   

Prudential PLC

     140,660           3,251,985   

StanCorp Financial Group, Inc.

     2,860           199,800   

Suncorp Group Ltd.

     116,831           1,334,652   

Topdanmark A/S (a)

     20,910           678,667   

Tryg A/S

     7,220           806,740   

Validus Holdings Ltd.

     6,070           252,269   
       

 

 

 
          72,643,979   
       

 

 

 

Real Estate Investment Trusts (REITs) - 0.5%

       

American Tower Corp.

     92,865           9,179,705   

DDR Corp.

     11,580           212,609   

DiamondRock Hospitality Co.

     19,340           287,586   

LTC Properties, Inc.

     6,520           281,468   

Medical Properties Trust, Inc.

     17,360           239,221   

Mid-America Apartment Communities, Inc.

     2,510           187,447   

Parkway Properties, Inc./Md

     11,080           203,761   

STAG Industrial, Inc.

     7,820           191,590   
       

 

 

 
          10,783,387   
       

 

 

 

Real Estate Management & Development - 0.5%

       

Ayala Land, Inc.

     1,297,000           967,143   

China Overseas Land & Investment Ltd.

     106,000           314,252   

China Vanke Co., Ltd.-Class H (a)

     115,400           255,405   

CIFI Holdings Group Co., Ltd.

     476,000           95,391   

Country Garden Holdings Co., Ltd.

     363,933           143,810   

Daito Trust Construction Co., Ltd.

     21,700           2,461,600   

Global Logistic Properties Ltd.

     2,091,000           3,898,464   

Huaku Development Co., Ltd.

     21,000           37,658   

Kaisa Group Holdings Ltd. (c)(d)

     204,000           41,828   

KWG Property Holding Ltd.

     539,500           367,374   

Mitsubishi Estate Co., Ltd.

     32,000           674,268   

Mitsui Fudosan Co., Ltd.

     5,000           134,078   

Pruksa Real Estate PCL

     214,500           187,443   

Shimao Property Holdings Ltd.

     82,000           182,016   

Sunac China Holdings Ltd.

     348,000           351,984   
       

 

 

 
          10,112,714   
       

 

 

 

Thrifts & Mortgage Finance - 0.2%

       

Essent Group Ltd. (a)

     7,949           204,369   

Housing Development Finance Corp., Ltd.

     160,390           2,868,700   

LIC Housing Finance Ltd.

     19,440           133,621   
       

 

 

 
          3,206,690   
       

 

 

 
          239,737,841   
       

 

 

 

Information Technology - 11.3%

       

Communications Equipment - 0.5%

       

Brocade Communications Systems, Inc.

     406,980           4,818,643   

BYD Electronic International Co., Ltd.

     364,000           350,083   

F5 Networks, Inc. (a)

     22,100           2,883,276   

Finisar Corp. (a)

     7,900           153,339   

Harris Corp.

     3,480           249,934   


Company

   Shares        U.S. $ Value  

Palo Alto Networks, Inc. (a)

     2,480         $ 303,974   

VTech Holdings Ltd.

     50,000           718,279   
       

 

 

 
          9,477,528   
       

 

 

 

Electronic Equipment, Instruments & Components - 0.5%

       

Amphenol Corp.-Class A

     125,850           6,771,989   

Anixter International, Inc. (a)

     1,840           162,766   

Arrow Electronics, Inc. (a)

     5,280           305,659   

Avnet, Inc.

     6,820           293,396   

CDW Corp./DE

     6,980           245,487   

Innolux Corp.

     147,294           71,189   

Insight Enterprises, Inc. (a)

     8,820           228,350   

Jabil Circuit, Inc.

     8,130           177,478   

Ju Teng International Holdings Ltd.

     198,000           97,689   

LG Display Co., Ltd. (a)

     4,430           134,359   

TTM Technologies, Inc. (a)

     17,600           132,528   

Unimicron Technology Corp.

     120,000           90,890   

Vishay Intertechnology, Inc.

     20,220           286,113   

Yageo Corp.

     20,022           32,123   

Zebra Technologies Corp.-Class A (a)

     3,820           295,706   
       

 

 

 
          9,325,722   
       

 

 

 

Internet Software & Services - 1.8%

       

Alibaba Group Holding Ltd. (ADR) (a)

     1,881           195,511   

Baidu, Inc. (Sponsored ADR) (a)

     11,990           2,733,360   

CoStar Group, Inc. (a)

     1,366           250,838   

eBay, Inc. (a)

     127,900           7,177,748   

Facebook, Inc.-Class A (a)

     71,100           5,547,222   

Google, Inc.-Class A (a)

     11,100           5,890,326   

Google, Inc.-Class C (a)

     18,200           9,580,480   

HomeAway, Inc. (a)

     6,705           199,675   

Just Dial Ltd.

     7,098           151,960   

Pandora Media, Inc. (a)

     10,920           194,704   

Telecity Group PLC

     177,244           2,213,741   

Tencent Holdings Ltd.

     28,400           410,917   
       

 

 

 
          34,546,482   
       

 

 

 

IT Services - 2.5%

       

Amdocs Ltd.

     129,006           6,018,775   

Booz Allen Hamilton Holding Corp.

     104,400           2,769,732   

DH Corp.

     6,700           211,473   

Fidelity National Information Services, Inc.

     155,900           9,696,980   

Fiserv, Inc. (a)

     68,400           4,854,348   

Genpact Ltd. (a)

     11,970           226,592   

HCL Technologies Ltd.

     39,910           1,012,427   

Obic Co., Ltd.

     39,100           1,268,783   

QIWI PLC (Sponsored ADR)

     2,488           50,233   

Tata Consultancy Services Ltd.

     21,090           856,663   

VeriFone Systems, Inc. (a)

     6,860           255,192   

Visa, Inc.-Class A

     54,800           14,368,560   

Xerox Corp.

     541,800           7,509,348   
       

 

 

 
          49,099,106   
       

 

 

 

 


Company

   Shares        U.S. $ Value  

Semiconductors & Semiconductor Equipment - 0.7%

  

Advanced Micro Devices, Inc. (a)

     30,100         $ 80,367   

Advanced Semiconductor Engineering, Inc.

     967,000           1,148,436   

Advanced Semiconductor Engineering, Inc. (ADR)

     71,720           439,644   

Cavium, Inc. (a)

     3,752           231,949   

Fairchild Semiconductor International, Inc. (a)

     10,220           172,514   

Infineon Technologies AG

     66,214           700,667   

Intersil Corp.-Class A

     11,470           165,971   

King Yuan Electronics Co., Ltd.

     180,000           143,610   

Kinsus Interconnect Technology Corp.

     106,000           350,236   

Lam Research Corp.

     3,690           292,765   

Mellanox Technologies Ltd. (a)

     5,250           224,333   

Novatek Microelectronics Corp.

     202,000           1,128,795   

NXP Semiconductors NV (a)

     56,400           4,308,960   

ON Semiconductor Corp. (a)

     20,250           205,133   

Samsung Electronics Co., Ltd. (Preference Shares)

     60           56,434   

SK Hynix, Inc. (a)

     20,820           889,751   

Sumco Corp.

     96,000           1,374,346   

Taiwan Semiconductor Manufacturing Co., Ltd.

     357,000           1,572,753   

Teradyne, Inc.

     11,850           234,511   

Tokyo Electron Ltd.

     15,400           1,167,785   
       

 

 

 
          14,888,960   
       

 

 

 

Software - 2.6%

       

ANSYS, Inc. (a)

     105,800           8,675,600   

Aspen Technology, Inc. (a)

     5,370           188,057   

Barracuda Networks, Inc. (a)

     5,357           191,995   

Cadence Design Systems, Inc. (a)

     14,050           266,529   

Dassault Systemes

     24,228           1,477,432   

Electronic Arts, Inc. (a)

     244,390           11,489,996   

Guidewire Software, Inc. (a)

     4,381           221,810   

Microsoft Corp.

     365,600           16,982,120   

NetSuite, Inc. (a)

     28,220           3,080,777   

Open Text Corp.

     5,030           292,717   

Oracle Corp.

     51,600           2,320,452   

Oracle Corp. Japan

     35,100           1,430,193   

SAP SE

     6,087           425,045   

ServiceNow, Inc. (a)

     42,208           2,863,813   

SolarWinds, Inc. (a)

     6,993           348,461   

Tableau Software, Inc.-Class A (a)

     3,249           275,385   

Ultimate Software Group, Inc. (The) (a)

     1,920           281,885   
       

 

 

 
          50,812,267   
       

 

 

 

Technology Hardware, Storage & Peripherals - 2.7%

       

Apple, Inc. (b)

     205,600           22,694,128   

Asustek Computer, Inc.

     109,000           1,189,299   

Casetek Holdings Ltd.

     59,000           332,228   

Catcher Technology Co., Ltd.

     235,000           1,814,772   

EMC Corp./MA

     212,400           6,316,776   

Hewlett-Packard Co. (b)

     420,000           16,854,600   

Inventec Corp.

     203,000           135,766   

Lite-On Technology Corp.

     116,050           132,573   

NCR Corp. (a)

     9,530           277,704   


Company

   Shares        U.S. $ Value  

Samsung Electronics Co., Ltd.

     590         $ 709,325   

Samsung Electronics Co., Ltd. (GDR) (e)

     1,640           760,578   

Samsung Electronics Co., Ltd. (GDR) (London) (e)

     2,040           1,224,504   
       

 

 

 
          52,442,253   
       

 

 

 
          220,592,318   
       

 

 

 

Consumer Discretionary - 10.3%

       

Auto Components - 0.5%

       

Aisin Seiki Co., Ltd.

     48,300           1,735,343   

Cie Generale des Etablissements Michelin-Class B

     22,494           2,030,459   

Dana Holding Corp.

     10,840           235,662   

Lear Corp.

     2,880           282,470   

Plastic Omnium SA

     41,650           1,130,291   

Sumitomo Electric Industries Ltd.

     153,300           1,914,606   

Tenneco, Inc. (a)

     5,230           296,070   

Valeo SA

     20,300           2,525,932   
       

 

 

 
          10,150,833   
       

 

 

 

Automobiles - 1.1%

       

Ford Motor Co.

     701,800           10,877,900   

Great Wall Motor Co., Ltd.-Class H

     308,000           1,748,118   

Honda Motor Co., Ltd.

     94,800           2,781,268   

Hyundai Motor Co. (a)

     1,450           221,496   

Hyundai Motor Co. (Preference Shares) (a)

     400           45,672   

Kia Motors Corp. (a)

     5,560           264,189   

Tata Motors Ltd. (Sponsored ADR)

     10,030           424,068   

Tata Motors Ltd.-Class A

     43,370           229,575   

Thor Industries, Inc.

     3,860           215,658   

Toyota Motor Corp.

     64,200           4,000,774   
       

 

 

 
          20,808,718   
       

 

 

 

Distributors - 0.0%

       

LKQ Corp. (a)

     13,690           384,963   
       

 

 

 

Diversified Consumer Services - 0.3%

       

Bright Horizons Family Solutions, Inc. (a)

     6,171           290,099   

Estacio Participacoes SA

     198,700           1,780,541   

Grand Canyon Education, Inc. (a)

     7,610           355,082   

Kroton Educacional SA

     372,600           2,172,636   

New Oriental Education & Technology Group, Inc. (ADR) (a)

     12,960           264,514   

TAL Education Group (ADR) (a)

     18,203           511,322   
       

 

 

 
          5,374,194   
       

 

 

 

Hotels, Restaurants & Leisure - 1.3%

       

Ajisen China Holdings Ltd.

     305,000           231,748   

Bloomin’ Brands, Inc. (a)

     14,730           364,715   

Buffalo Wild Wings, Inc. (a)

     1,690           304,842   

Galaxy Entertainment Group Ltd.

     77,000           427,867   

Melco International Development Ltd.

     636,000           1,393,907   

Merlin Entertainments PLC (e)

     260,108           1,609,456   

NagaCorp Ltd.

     162,000           132,015   

Norwegian Cruise Line Holdings Ltd. (a)

     4,688           219,211   


Company

   Shares        U.S. $ Value  

Oriental Land Co., Ltd./Japan

     3,200         $ 737,964   

Sands China Ltd.

     84,400           411,410   

Sodexo SA

     20,950           2,050,676   

Starbucks Corp.

     161,700           13,267,485   

Tabcorp Holdings Ltd.

     86,850           293,181   

Tatts Group Ltd.

     416,404           1,171,137   

Wyndham Worldwide Corp.

     3,190           273,574   

Yum! Brands, Inc.

     17,350           1,263,947   
       

 

 

 
          24,153,135   
       

 

 

 

Household Durables - 0.1%

       

Even Construtora e Incorporadora SA

     65,100           133,227   

Hanssem Co., Ltd. (a)

     1,357           141,051   

Helen of Troy Ltd. (a)

     3,350           217,951   

Meritage Homes Corp. (a)

     6,950           250,130   

PulteGroup, Inc.

     10,300           221,038   

Rossi Residencial SA (a)

     19,200           24,486   

Skyworth Digital Holdings Ltd.

     536,000           290,061   

Tempur Sealy International, Inc. (a)

     5,130           281,688   
       

 

 

 
          1,559,632   
       

 

 

 

Internet & Catalog Retail - 0.5%

       

JD.com, Inc. (ADR) (a)

     8,449           195,510   

Just Eat PLC (a)

     207,278           1,000,529   

Priceline Group, Inc. (The) (a)

     7,286           8,307,570   

Vipshop Holdings Ltd. (ADR) (a)

     20,180           394,317   
       

 

 

 
          9,897,926   
       

 

 

 

Leisure Products - 0.3%

       

Polaris Industries, Inc.

     40,510           6,126,732   
       

 

 

 

Media - 2.3%

       

AMC Networks, Inc.-Class A (a)

     2,620           167,077   

Cineplex, Inc.

     17,930           691,859   

Comcast Corp.-Class A

     187,800           10,894,278   

CTS Eventim AG & Co. KGaA

     9,820           289,314   

Liberty Global PLC-Class A (a)

     5,043           253,184   

Liberty Global PLC-Series C (a)

     64,142           3,098,700   

Naspers Ltd.-Class N

     31,624           4,090,726   

Reed Elsevier PLC

     65,230           1,114,258   

Sky PLC

     35,090           489,727   

Smiles SA

     16,200           280,645   

Surya Citra Media Tbk PT

     369,500           104,274   

Thomson Reuters Corp.

     36,900           1,488,641   

Time Warner, Inc.

     103,109           8,807,571   

Walt Disney Co. (The) (b)

     133,082           12,534,994   
       

 

 

 
          44,305,248   
       

 

 

 

Multiline Retail - 0.7%

       

B&M European Value Retail SA

     564,572           2,507,836   

Big Lots, Inc.

     6,190           247,724   

Canadian Tire Corp., Ltd.-Class A

     2,610           275,737   

Dillard’s, Inc.-Class A

     1,890           236,590   

Dollar General Corp. (a)

     116,700           8,250,690   

Matahari Department Store Tbk PT

     221,500           266,899   


Company

   Shares        U.S. $ Value  

Next PLC

     8,970         $ 951,330   

Poundland Group PLC (a)

     236,250           1,208,497   
       

 

 

 
          13,945,303   
       

 

 

 

Specialty Retail - 1.9%

       

AutoZone, Inc. (a)

     9,900           6,129,189   

Brown Shoe Co., Inc.

     6,850           220,227   

Cabela’s, Inc. (a)

     3,060           161,293   

Children’s Place, Inc. (The)

     4,840           275,880   

Chow Tai Fook Jewellery Group Ltd.

     108,147           144,841   

Fielmann AG

     5,030           343,521   

Five Below, Inc. (a)

     9,538           389,436   

Foschini Group Ltd. (The)

     5,732           65,806   

GameStop Corp.-Class A

     157,950           5,338,710   

Home Depot, Inc. (The)

     131,300           13,782,561   

L’Occitane International SA

     20,250           51,182   

Luk Fook Holdings International Ltd.

     9,000           33,751   

Mr. Price Group Ltd.

     5,080           102,763   

Office Depot, Inc. (a)

     608,141           5,214,809   

Pier 1 Imports, Inc.

     12,320           189,728   

Shimamura Co., Ltd.

     10,400           897,488   

Sports Direct International PLC (a)

     205,455           2,260,151   

Tractor Supply Co.

     3,300           260,106   

Ulta Salon Cosmetics & Fragrance, Inc. (a)

     3,230           412,923   

Yamada Denki Co., Ltd.

     387,100           1,298,767   
       

 

 

 
          37,573,132   
       

 

 

 

Textiles, Apparel & Luxury Goods - 1.3%

       

Cie Financiere Richemont SA

     45,689           4,050,723   

Cie Financiere Richemont SA (Johannesburg)

     79,549           719,074   

Crocs, Inc. (a)

     14,410           179,981   

Eclat Textile Co., Ltd.

     47,880           481,213   

Global Brands Group Holding Ltd. (a)

     1,828,000           356,955   

HUGO BOSS AG

     11,841           1,448,529   

NIKE, Inc.-Class B

     109,300           10,509,195   

Samsonite International SA

     592,400           1,755,544   

Titan Co., Ltd.

     71,385           430,011   

Under Armour, Inc.-Class A (a)

     3,020           205,058   

VF Corp.

     59,980           4,492,502   

Yue Yuen Industrial Holdings Ltd.

     206,000           739,410   
       

 

 

 
          25,368,195   
       

 

 

 
          199,648,011   
       

 

 

 

Health Care - 7.7%

       

Biotechnology - 1.4%

       

Actelion Ltd. (REG) (a)

     28,795           3,314,911   

Agios Pharmaceuticals, Inc. (a)

     464           51,987   

Biogen Idec, Inc. (a)

     27,700           9,402,765   

CSL Ltd.

     16,100           1,130,956   

Gilead Sciences, Inc. (a)

     140,900           13,281,234   

Isis Pharmaceuticals, Inc. (a)

     996           61,493   

Juno Therapeutics, Inc. (a)

     735           38,382   

NPS Pharmaceuticals, Inc. (a)

     3,252           116,324   

Pharmacyclics, Inc. (a)

     1,470           179,722   


Company

   Shares        U.S. $ Value  

Puma Biotechnology, Inc. (a)

     860         $ 162,772   

Receptos, Inc. (a)

     773           94,700   

Synageva BioPharma Corp. (a)

     1,094           101,512   

TESARO, Inc. (a)

     3,045           113,243   
       

 

 

 
            28,050,001   
       

 

 

 

Health Care Equipment & Supplies - 0.5%

       

Align Technology, Inc. (a)

     4,550           254,391   

DBV Technologies SA (Sponsored ADR) (a)

     2,627           71,244   

HeartWare International, Inc. (a)

     2,210           162,280   

Insulet Corp. (a)

     4,140           190,688   

Intuitive Surgical, Inc. (a)

     13,700           7,246,478   

Medtronic, Inc.

     28,042           2,024,633   

Sirona Dental Systems, Inc. (a)

     2,860           249,878   
       

 

 

 
          10,199,592   
       

 

 

 

Health Care Providers & Services - 1.8%

       

Acadia Healthcare Co., Inc. (a)

     6,664           407,903   

Aetna, Inc.

     124,500           11,059,335   

Anthem, Inc.

     110,000           13,823,700   

Bangkok Dusit Medical Services PCL-Class F

     43,000           22,480   

Envision Healthcare Holdings, Inc. (a)

     8,682           301,179   

LifePoint Hospitals, Inc. (a)

     3,630           261,033   

McKesson Corp.

     10,671           2,215,086   

Molina Healthcare, Inc. (a)

     3,130           167,549   

Premier, Inc.-Class A (a)

     6,748           226,260   

Shanghai Pharmaceuticals Holding Co., Ltd.-Class H

     136,300           306,902   

Sonic Healthcare Ltd.

     120,360           1,810,763   

UnitedHealth Group, Inc.

     44,065           4,454,531   

WellCare Health Plans, Inc. (a)

     3,510           288,031   
       

 

 

 
          35,344,752   
       

 

 

 

Life Sciences Tools & Services - 0.6%

       

Eurofins Scientific SE

     17,233           4,398,758   

ICON PLC (a)

     3,565           181,779   

Quintiles Transnational Holdings, Inc. (a)

     104,919           6,176,582   
       

 

 

 
          10,757,119   
       

 

 

 

Pharmaceuticals - 3.4%

       

Actavis PLC (a)

     32,600           8,391,566   

Akorn, Inc. (a)

     9,602           347,592   

Allergan, Inc./United States

     43,400           9,226,406   

Astellas Pharma, Inc.

     150,600           2,096,668   

GlaxoSmithKline PLC

     181,511           3,894,064   

GW Pharmaceuticals PLC (ADR) (a)

     1,219           82,502   

Indivior PLC (a)

     18,979           44,193   

Jazz Pharmaceuticals PLC (a)

     1,940           317,636   

Johnson & Johnson

     129,900           13,583,643   

Lupin Ltd.

     10,914           246,758   

Merck & Co., Inc.

     60,500           3,435,795   

Novartis AG

     19,710           1,827,974   

Novo Nordisk A/S-Class B

     51,261           2,168,328   


Company

   Shares        U.S. $ Value  

Orion Oyj-Class B

     14,700         $ 457,177   

Pfizer, Inc.

     448,402           13,967,722   

Richter Gedeon Nyrt

     7,300           98,309   

Roche Holding AG

     17,020           4,611,436   

Sun Pharmaceutical Industries Ltd.

     96,210           1,257,981   

Tetraphase Pharmaceuticals, Inc. (a)

     2,260           89,745   
       

 

 

 
          66,145,495   
       

 

 

 
            150,496,959   
       

 

 

 

Industrials - 6.1%

       

Aerospace & Defense - 2.1%

       

Airbus Group NV

     72,220           3,570,412   

Boeing Co. (The)

     30,400           3,951,392   

Hexcel Corp. (a)

     9,000           373,410   

L-3 Communications Holdings, Inc.

     59,597           7,521,737   

Lockheed Martin Corp.

     45,300           8,723,421   

Precision Castparts Corp.

     10,600           2,553,328   

Raytheon Co.

     96,700           10,460,039   

Safran SA

     23,280           1,436,259   

Spirit Aerosystems Holdings, Inc.-Class A (a)

     7,480           321,939   

TransDigm Group, Inc.

     1,582           310,626   

Zodiac Aerospace

     51,824           1,744,799   
       

 

 

 
          40,967,362   
       

 

 

 

Air Freight & Logistics - 0.1%

       

Expeditors International of Washington, Inc.

     5,360           239,110   

Oesterreichische Post AG

     9,000           439,757   

Singapore Post Ltd.

     243,000           351,548   
       

 

 

 
          1,030,415   
       

 

 

 

Airlines - 0.6%

       

Delta Air Lines, Inc.

     170,292           8,376,663   

International Consolidated Airlines Group SA (a)

     325,640           2,451,440   

Qantas Airways Ltd. (a)

     685,840           1,332,116   

Turk Hava Yollari (a)

     63,615           261,392   
       

 

 

 
          12,421,611   
       

 

 

 

Commercial Services & Supplies - 0.3%

       

Babcock International Group PLC

     182,063           2,982,605   

Berendsen PLC

     20,020           342,186   

Edenred

     75,902           2,099,145   

Regus PLC

     81,467           263,032   
       

 

 

 
          5,686,968   
       

 

 

 

Construction & Engineering - 0.1%

       

AECOM Technology Corp. (a)

     10,772           327,146   

Granite Construction, Inc.

     5,950           226,219   

IRB Infrastructure Developers Ltd.

     54,180           225,344   

Larsen & Toubro Ltd.

     8,900           209,590   

Tutor Perini Corp. (a)

     10,680           257,067   
       

 

 

 
          1,245,366   
       

 

 

 

Electrical Equipment - 0.1%

       

Amara Raja Batteries Ltd.

     28,462           371,346   

AMETEK, Inc.

     5,984           314,938   


Company

   Shares        U.S. $ Value  

General Cable Corp.

     8,210         $ 122,329   

Regal-Beloit Corp.

     3,190           239,888   
       

 

 

 
          1,048,501   
       

 

 

 

Industrial Conglomerates - 0.6%

       

Alliance Global Group, Inc.

     718,500           358,916   

Bidvest Group Ltd. (The)

     11,900           311,112   

Carlisle Cos., Inc.

     4,030           363,667   

Danaher Corp. (b)

     114,500           9,813,795   

SM Investments Corp.

     12,623           228,085   

Toshiba Corp.

     409,000           1,724,875   
       

 

 

 
          12,800,450   
       

 

 

 

Machinery - 0.6%

       

Actuant Corp.-Class A

     4,960           135,110   

IDEX Corp.

     5,050           393,092   

ITT Corp.

     215,266           8,709,663   

JTEKT Corp.

     121,000           2,036,404   

Lincoln Electric Holdings, Inc.

     4,710           325,414   

Middleby Corp. (The) (a)

     4,260           422,166   

Oshkosh Corp.

     2,770           134,760   

Terex Corp.

     5,420           151,110   

Valmont Industries, Inc.

     2,078           263,906   
       

 

 

 
          12,571,625   
       

 

 

 

Marine - 0.1%

       

Kirby Corp. (a)

     4,299           347,101   

Nippon Yusen KK

     553,000           1,561,952   
       

 

 

 
          1,909,053   
       

 

 

 

Professional Services - 0.7%

       

51job, Inc. (ADR) (a)

     7,442           266,796   

Applus Services SA (a)

     80,830           890,304   

Bureau Veritas SA

     151,012           3,345,815   

Capita PLC

     266,913           4,475,514   

Intertek Group PLC

     91,845           3,324,054   

Robert Half International, Inc.

     7,410           432,596   

Teleperformance

     17,050           1,160,595   
       

 

 

 
          13,895,674   
       

 

 

 

Road & Rail - 0.6%

       

CAR, Inc. (a)

     93,000           124,430   

Central Japan Railway Co.

     11,700           1,753,552   

ComfortDelGro Corp., Ltd.

     119,000           232,873   

Con-way, Inc.

     2,940           144,589   

Genesee & Wyoming, Inc.-Class A (a)

     3,645           327,759   

Globaltrans Investment PLC (Sponsored GDR) (e)

     18,928           95,371   

Ryder System, Inc.

     2,830           262,766   

Union Pacific Corp.

     67,700           8,065,101   
       

 

 

 
          11,006,441   
       

 

 

 

Trading Companies & Distributors - 0.2%

       

Brenntag AG

     43,130           2,411,401   

Bunzl PLC

     23,030           629,576   

MSC Industrial Direct Co., Inc.-Class A

     2,210           179,563   


Company

   Shares        U.S. $ Value  

United Rentals, Inc. (a)

     3,150         $ 321,331   

WESCO International, Inc. (a)

     3,520           268,259   
       

 

 

 
          3,810,130   
       

 

 

 
          118,393,596   
       

 

 

 

Consumer Staples - 5.5%

       

Beverages - 1.3%

       

Anheuser-Busch InBev NV

     5,770           649,363   

Asahi Group Holdings Ltd.

     27,200           841,495   

Dr Pepper Snapple Group, Inc.

     129,500           9,282,560   

Heineken NV

     19,870           1,410,923   

Monster Beverage Corp. (a)

     92,300           10,000,705   

PepsiCo, Inc.

     43,700           4,132,272   
       

 

 

 
          26,317,318   
       

 

 

 

Food & Staples Retailing - 2.1%

       

7-Eleven Malaysia Holdings Bhd (a)

     169,524           72,726   

Alimentation Couche-Tard, Inc.-Class B

     29,009           1,215,741   

Axfood AB

     2,270           135,500   

Bizim Toptan Satis Magazalari AS

     3,460           28,216   

Costco Wholesale Corp.

     62,100           8,802,675   

CP ALL PCL

     40,300           52,059   

CVS Health Corp.

     141,600           13,637,496   

Diplomat Pharmacy, Inc. (a)

     1,100           30,107   

Jean Coutu Group PJC, Inc. (The)-Class A

     25,490           621,124   

Koninklijke Ahold NV

     151,909           2,699,857   

Kroger Co. (The)

     139,980           8,988,116   

Lawson, Inc.

     7,500           453,211   

Lenta Ltd. (GDR) (a)(e)

     70,664           477,689   

Magnit PJSC (Sponsored GDR) (e)

     11,720           531,523   

Olam International Ltd.

     867,038           1,315,799   

Sprouts Farmers Market, Inc. (a)

     8,873           301,504   

Sugi Holdings Co., Ltd.

     5,400           220,425   

Tsuruha Holdings, Inc.

     4,800           277,743   

X5 Retail Group NV (GDR) (a)(e)

     16,150           196,687   
       

 

 

 
          40,058,198   
       

 

 

 

Food Products - 0.5%

       

Dean Foods Co.

     18,915           366,573   

Gruma SAB de CV-Class B

     18,380           196,547   

Ingredion, Inc.

     2,300           195,132   

JBS SA

     67,400           283,982   

Keurig Green Mountain, Inc.

     1,546           204,683   

Mead Johnson Nutrition Co.-Class A

     78,300           7,872,282   

MHP SA (GDR) (e)

     5,900           54,280   

Nestle SA

     16,590           1,209,427   

Unilever PLC

     7,388           300,161   

Universal Robina Corp.

     16,370           71,371   

WH Group Ltd. (a)(e)

     183,500           104,410   
       

 

 

 
          10,858,848   
       

 

 

 

Household Products - 0.1%

       

Reckitt Benckiser Group PLC

     18,979           1,537,184   
       

 

 

 

 


Company

   Shares        U.S. $ Value  

Personal Products - 0.4%

  

Estee Lauder Cos., Inc. (The)-Class A

     91,900         $ 7,002,780   

Kao Corp.

     28,600           1,127,828   
       

 

 

 
          8,130,608   
       

 

 

 

Tobacco - 1.1%

       

Altria Group, Inc.

     125,244           6,170,772   

British American Tobacco PLC

     108,420           5,875,382   

Imperial Tobacco Group PLC

     45,830           2,017,414   

KT&G Corp. (a)

     1,200           83,320   

Philip Morris International, Inc.

     80,600           6,564,870   
       

 

 

 
          20,711,758   
       

 

 

 
          107,613,914   
       

 

 

 

Materials - 3.1%

       

Chemicals - 2.3%

       

A Schulman, Inc.

     4,490           181,980   

Arkema SA

     23,188           1,533,581   

Chr Hansen Holding A/S

     31,360           1,389,353   

Denki Kagaku Kogyo KK

     271,000           992,558   

Dow Chemical Co. (The)

     132,600           6,047,886   

Essentra PLC

     366,532           4,155,040   

Givaudan SA (a)

     550           986,621   

Huabao International Holdings Ltd.

     177,000           144,244   

Huntsman Corp.

     5,440           123,923   

Hyosung Corp. (a)

     7,010           435,040   

IMCD Group NV (a)

     8,374           285,749   

JSR Corp.

     121,300           2,082,027   

Koninklijke DSM NV

     26,947           1,643,578   

LyondellBasell Industries NV-Class A

     66,500           5,279,435   

Mitsubishi Gas Chemical Co., Inc.

     159,000           798,004   

Monsanto Co.

     66,200           7,908,914   

PolyOne Corp.

     9,351           354,496   

Sherwin-Williams Co. (The)

     40,400           10,626,816   

UPL Ltd.

     19,170           104,948   
       

 

 

 
          45,074,193   
       

 

 

 

Construction Materials - 0.0%

       

Cemex Latam Holdings SA (a)

     17,592           118,440   

Grasim Industries Ltd.

     269           14,381   

Grasim Industries Ltd. (GDR) (e)

     3,604           193,130   

West China Cement Ltd.

     592,000           62,023   
       

 

 

 
          387,974   
       

 

 

 

Containers & Packaging - 0.5%

       

Avery Dennison Corp.

     4,370           226,715   

Ball Corp.

     144,886           9,876,879   

Graphic Packaging Holding Co. (a)

     12,850           175,017   
       

 

 

 
          10,278,611   
       

 

 

 

Metals & Mining - 0.2%

       

Dowa Holdings Co., Ltd.

     81,861           650,387   

KGHM Polska Miedz SA

     1,620           49,385   

MMC Norilsk Nickel OJSC (ADR)

     6,520           92,810   

Rio Tinto PLC

     28,330           1,305,930   

Steel Dynamics, Inc.

     9,190           181,411   


Company

   Shares        U.S. $ Value  

Tata Steel Ltd.

     31,880         $ 200,676   

Ternium SA (Sponsored ADR)

     3,076           54,261   
       

 

 

 
          2,534,860   
       

 

 

 

Paper & Forest Products - 0.1%

       

Mondi PLC

     74,510           1,210,451   

Nine Dragons Paper Holdings Ltd.

     261,000           227,277   

Sappi Ltd. (a)

     92,590           335,707   
       

 

 

 
          1,773,435   
       

 

 

 
          60,049,073   
       

 

 

 

Energy - 3.1%

       

Energy Equipment & Services - 0.4%

       

FMC Technologies, Inc. (a)

     3,043           142,534   

Oceaneering International, Inc.

     3,999           235,181   

Schlumberger Ltd. (b)

     85,100           7,268,391   

Superior Energy Services, Inc.

     5,450           109,818   
       

 

 

 
          7,755,924   
       

 

 

 

Oil, Gas & Consumable Fuels - 2.7%

       

BG Group PLC

     190,468           2,548,786   

Bill Barrett Corp. (a)

     12,390           141,122   

China Petroleum & Chemical Corp.-Class H

     338,800           274,373   

Concho Resources, Inc. (a)

     1,470           146,633   

EOG Resources, Inc.

     19,800           1,822,986   

Gazprom OAO (Sponsored ADR)

     111,210           505,607   

Hess Corp.

     158,600           11,707,852   

JX Holdings, Inc.

     606,900           2,361,815   

KazMunaiGas Exploration Production JSC (GDR) (e)

     10,250           148,625   

Lukoil OAO (London) (Sponsored ADR)

     18,760           719,446   

Murphy Oil Corp.

     74,643           3,770,964   

Oasis Petroleum, Inc. (a)

     2,730           45,154   

Occidental Petroleum Corp.

     148,000           11,930,280   

Petroleo Brasileiro SA (Sponsored ADR)

     151,253           1,146,498   

Petronet LNG Ltd.

     90,460           298,802   

Rosetta Resources, Inc. (a)

     7,370           164,425   

Royal Dutch Shell PLC-Class B

     30,259           1,045,481   

SM Energy Co.

     3,340           128,857   

Statoil ASA

     33,570           591,061   

Total SA

     46,660           2,390,485   

Valero Energy Corp.

     197,705           9,786,398   
       

 

 

 
          51,675,650   
       

 

 

 
          59,431,574   
       

 

 

 

Telecommunication Services - 1.4%

       

Diversified Telecommunication Services - 1.0%

       

Bezeq The Israeli Telecommunication Corp., Ltd.

     268,918           477,011   

Nippon Telegraph & Telephone Corp.

     57,000           2,911,708   

Singapore Telecommunications Ltd.

     261,000           765,674   

Swisscom AG

     1,630           855,322   

Telecom Italia SpA (savings shares)

     2,620,969           2,191,246   

Telekomunikasi Indonesia Persero Tbk PT

     937,000           215,350   

Telenor ASA

     82,000           1,658,746   

Telstra Corp., Ltd.

     197,560           959,119   


Company

   Shares        U.S. $ Value  

Verizon Communications, Inc.

     147,500         $ 6,900,050   

Vivendi SA (a)

     92,904           2,312,430   
       

 

 

 
          19,246,656   
       

 

 

 

Wireless Telecommunication Services - 0.4%

       

China Mobile Ltd.

     184,000           2,159,908   

SK Telecom Co., Ltd.

     1,160           283,728   

SoftBank Corp.

     43,600           2,595,214   

StarHub Ltd.

     64,000           199,959   

Tower Bersama Infrastructure Tbk PT

     797,000           623,346   

Turkcell Iletisim Hizmetleri AS (a)

     51,280           312,935   

Vodafone Group PLC

     765,646           2,625,114   
       

 

 

 
          8,800,204   
       

 

 

 
          28,046,860   
       

 

 

 

Utilities - 1.1%

       

Electric Utilities - 0.5%

       

American Electric Power Co., Inc.

     73,200           4,444,704   

Electricite de France SA

     74,870           2,061,051   

Elia System Operator SA/NV

     12,830           597,454   

Light SA

     20,300           129,978   

PNM Resources, Inc.

     10,680           316,448   

Power Assets Holdings Ltd.

     134,500           1,299,483   

Westar Energy, Inc.

     7,480           308,475   
       

 

 

 
          9,157,593   
       

 

 

 

Gas Utilities - 0.0%

       

Atmos Energy Corp.

     4,650           259,191   

Southwest Gas Corp.

     4,980           307,814   

UGI Corp.

     6,965           264,531   
       

 

 

 
          831,536   
       

 

 

 

Independent Power Producers & Energy Traders - 0.1%

       

APR Energy PLC

     137,724           397,373   

China Resources Power Holdings Co., Ltd.

     32,000           82,235   

Datang International Power Generation Co., Ltd.-Class H

     110,000           59,394   

Huadian Power International Corp. Ltd.-Class H

     350,000           303,637   

Huaneng Power International, Inc.-Class H

     102,000           138,090   

NTPC Ltd.

     111,040           252,479   
       

 

 

 
          1,233,208   
       

 

 

 

Multi-Utilities - 0.5%

       

DTE Energy Co.

     103,476           8,937,222   

United Utilities Group PLC

     21,510           305,526   
       

 

 

 
          9,242,748   
       

 

 

 

Water Utilities - 0.0%

       

Cia de Saneamento Basico do Estado de Sao Paulo

     38,300           246,669   


Company

   Shares        U.S. $ Value  

Cia de Saneamento de Minas Gerais-COPASA

     23,000         $ 217,869   
       

 

 

 
          464,538   
       

 

 

 
          20,929,623   
       

 

 

 

Total Common Stocks
(cost $993,386,637)

          1,204,939,769   
       

 

 

 

INVESTMENT COMPANIES - 18.6%

       

Funds and Investment Trusts - 18.6%

       

AB Pooling Portfolio - Multi-Asset Real Return Portfolio (f)

     17,459,862           125,536,410   

iShares Core MSCI Emerging Markets ETF

     347,780           16,356,093   

SPDR S&P 500 ETF Trust

     1,069,332           219,747,726   
       

 

 

 

Total Investment Companies
(cost $372,615,583)

          361,640,229   
       

 

 

 

WARRANTS - 0.1%

       

Financials - 0.1%

       

Banks - 0.1%

       

Bank Muscat SAOG, Citigroup Global Markets, expiring 2/04/16 (a)

     12,750           19,340   

Bank of Baroda, JPMorgan Chase Bank, expiring 5/05/16 (a)(e)

     15,540           267,383   

Commercial Bank of Qatar QSC (The), Deutsche Bank AG, expiring 5/26/17 (a)

     15,658           294,582   

First Gulf Bank PJSC, Merrill Lynch Intl & Co., expiring 8/21/15 (a)

     15,254           70,603   

Punjab National Bank, Merrill Lynch Intl & Co., expiring 8/08/18 (a)

     48,800           169,751   

Union Bank of India, Merrill Lynch Intl & Co., expiring 8/20/18 (a)

     20,416           77,301   
       

 

 

 
          898,960   
       

 

 

 

Consumer Finance - 0.0%

       

Muthoot Finance Ltd., Merrill Lynch Intl & Co., expiring 5/22/18 (a)

     114,873           349,011   

Shriram Transport Finance Co., Ltd., Merrill Lynch Intl & Co., expiring 1/22/15 (a)(e)

     9,552           168,255   
       

 

 

 
          517,266   
       

 

 

 

Real Estate Management & Development - 0.0%

       

Emaar Properties PJSC, Merrill Lynch Intl & Co., expiring 10/01/15 (a)

     93,837           185,482   
       

 

 

 
          1,601,708   
       

 

 

 

Industrials - 0.0%

       

Airlines - 0.0%

       

Air Arabia PJSC, Deutsche Bank AG, expiring 7/31/17 (a)

     138,460           56,547   
       

 

 

 

Industrial Conglomerates - 0.0%

       

John Keells Holdings PLC, Deutsche Bank AG, expiring 7/05/19 (a)

     77,730           148,170   
       

 

 

 
       204,717   
       

 

 

 


Company

   Shares        U.S. $ Value  

Materials - 0.0%

       

Chemicals - 0.0%

       

UPL Ltd., Merrill Lynch Intl & Co., expiring 2/07/17 (a)

     32,610         $ 179,476   
       

 

 

 

Total Warrants
(cost $1,461,128)

   

       1,985,901   
       

 

 

 

RIGHTS - 0.0%

       

Financials - 0.0%

       

Banks - 0.0%

       

DGB Financial Group, expiring 1/13/15 (a)
(cost $0)

     4           4   
       

 

 

 

SHORT-TERM INVESTMENTS - 18.4%

       

Investment Companies - 17.8%

       

AB Fixed Income Shares, Inc. - Government STIF Portfolio, 0.09% (f)(g)
(cost $345,648,555)

     345,648,555           345,648,555   
       

 

 

 
     Principal
Amount

(000)
          

U.S. Treasury Bills - 0.6%

       

U.S. Treasury Bill
Zero Coupon 1/02/15-3/12/15
(cost $11,999,975)

   $ 12,000           11,999,975   
       

 

 

 

Total Investments - 99.0%
(cost $1,725,111,878) (h)

          1,926,214,433   

Other assets less liabilities - 1.0%

          18,790,453   
       

 

 

 

Net Assets - 100.0%

        $ 1,945,004,886   
       

 

 

 

FUTURES

 

Type

   Number
of
Contracts
     Expiration
Month
     Original
Value
     Value at
December 31,
2014
     Unrealized
Appreciation/
(Depreciation)
 

Purchased Contracts

  

10 Yr Australian Bond Futures

     6         March 2015       $ 616,486       $ 627,705       $ 11,219   

Euro STOXX 50 Futures

     983         March 2015         35,632,412         37,266,388         1,633,976   

FTSE 100 Index Futures

     327         March 2015         32,269,556         33,242,740         973,184   

Hang Seng Index Futures

     22         January 2015         3,321,103         3,354,620         33,517   

Russell 2000 E Mini Futures

     51         March 2015         5,902,406         6,123,570         221,164   

S&P Mid 400 E Mini Futures

     56         March 2015         7,900,060         8,112,160         212,100   

SPI 200 Futures

     77         March 2015         8,081,175         8,459,760         378,585   

TOPIX Index Futures

     1,001         March 2015         119,646,581         117,624,604         (2,021,977

Sold Contracts

              

10 Yr Canadian Bond Futures

     20         March 2015         2,338,747         2,384,576         (45,829


Type

   Number
of
Contracts
     Expiration
Month
     Original
Value
     Value at
December 31,
2014
     Unrealized
Appreciation/
(Depreciation)
 

10 Yr Japan Bond (OSE) Futures

     13         March 2015       $ 15,952,007       $ 16,039,990       $ (87,983

Euro BUXL 30 Yr Bond Futures

     15         March 2015         2,685,563         2,813,004         (127,441

Euro-BOBL Future

     43         March 2015         6,731,337         6,778,750         (47,413

Euro-BUND Futures

     34         March 2015         6,297,923         6,412,758         (114,835

Long GILT Futures

     30         March 2015         5,439,783         5,588,988         (149,205

U.S. Long Bond (CBT) Futures

     101         March 2015         14,152,482         14,600,813         (448,331

U.S. T-Note 5 Yr (CBT) Futures

     248         March 2015         29,486,927         29,494,563         (7,636

U.S. T-Note 10 Yr (CBT) Futures

     169         March 2015         21,295,080         21,428,672         (133,592

U.S. Ultra Bond Futures

     71         March 2015         11,139,688         11,728,313         (588,625
              

 

 

 
               $ (309,122
              

 

 

 

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty

   Contracts to
Deliver
(000)
     In Exchange
For
(000)
     Settlement
Date
     Unrealized
Appreciation/
(Depreciation)
 

Barclays Bank PLC

   JPY      1,112,121       USD      10,423         2/18/15       $ 1,135,182   

Barclays Bank PLC

   NOK      21,227       USD      3,096         2/18/15         251,544   

Barclays Bank PLC

   USD      4,343       SEK      32,015         2/18/15         (235,890

BNP Paribas SA

   KRW      984,180       USD      904         2/17/15         5,937   

BNP Paribas SA

   AUD      25,400       USD      20,997         2/18/15         326,696   

BNP Paribas SA

   GBP      25,813       USD      41,603         2/18/15         1,384,492   

BNP Paribas SA

   JPY      1,723,603       USD      16,149         2/18/15         1,754,069   

BNP Paribas SA

   USD      11,173       AUD      12,961         2/18/15         (625,347

BNP Paribas SA

   USD      11,578       GBP      7,212         2/18/15         (340,958

BNP Paribas SA

   USD      7,563       NZD      9,638         2/18/15         (76,496

Citibank

   CAD      1,101       USD      982         2/18/15         35,557   

Citibank

   EUR      1,474       USD      1,866         2/18/15         81,320   

Citibank

   USD      2,217       EUR      1,770         2/18/15         (74,135

Citibank

   USD      4,381       SEK      32,358         2/18/15         (229,787

Credit Suisse International

   USD      8,230       EUR      6,613         2/18/15         (224,246

Deutsche Bank AG

   GBP      1,409       USD      2,196         2/18/15         592   

Deutsche Bank AG

   USD      4,869       EUR      3,914         2/18/15         (131,164

Deutsche Bank AG

   USD      3,163       GBP      2,023         2/18/15         (10,614

Deutsche Bank AG

   USD      5,207       JPY      612,860         2/18/15         (88,466

Goldman Sachs Bank USA

   BRL      7,829       USD      2,947         1/05/15         2,218   

Goldman Sachs Bank USA

   USD      2,949       BRL      7,829         1/05/15         (3,550

Goldman Sachs Bank USA

   BRL      7,829       USD      2,924         2/03/15         1,213   

Goldman Sachs Bank USA

   AUD      22,896       USD      19,933         2/18/15         1,300,769   

Goldman Sachs Bank USA

   EUR      12,866       USD      15,947         2/18/15         372,142   

Goldman Sachs Bank USA

   JPY      1,075,019       USD      9,567         2/18/15         588,799   

Goldman Sachs Bank USA

   USD      6,957       CHF      6,705         2/18/15         (208,242

HSBC Bank USA

   GBP      10,209       USD      16,394         2/18/15         487,970   

HSBC Bank USA

   HKD      28,356       USD      3,655         2/18/15         (1,414

HSBC Bank USA

   HKD      74,353       USD      9,591         2/18/15         2,721   

HSBC Bank USA

   JPY      96,710       USD      844         2/18/15         36,336   

HSBC Bank USA

   USD      2,758       JPY      297,596         2/18/15         (272,756

JPMorgan Chase Bank

   BRL      7,829       USD      3,074         1/05/15         129,129   

JPMorgan Chase Bank

   USD      2,947       BRL      7,829         1/05/15         (2,218

JPMorgan Chase Bank

   CAD      2,267       USD      2,014         2/18/15         64,928   

Morgan Stanley & Co., Inc.

   USD      2,485       EUR      2,001         2/18/15         (62,450

Royal Bank of Scotland PLC

   JPY      2,104,330       USD      18,238         2/18/15         663,016   

Standard Chartered Bank

   USD      6,065       AUD      6,905         2/18/15         (445,697

Standard Chartered Bank

   USD      1,892       HKD      14,676         2/18/15         453   

State Street Bank & Trust Co.

   CAD      99       USD      87         2/18/15         1,381   


Counterparty

   Contracts to
Deliver
(000)
     In Exchange
For
(000)
     Settlement
Date
     Unrealized
Appreciation/
(Depreciation)
 

State Street Bank & Trust Co.

   CHF  16,184       USD  17,157         2/18/15       $       866,431   

State Street Bank & Trust Co.

   EUR  16,060       USD  19,940         2/18/15         498,542   

State Street Bank & Trust Co.

   GBP  2,108       USD  3,405         2/18/15         120,981   

State Street Bank & Trust Co.

   JPY  286,670       USD  2,468         2/18/15         73,562   

State Street Bank & Trust Co.

   USD  16,339       EUR  13,111         2/18/15         (467,125

State Street Bank & Trust Co.

   USD  617       HKD  4,785         2/18/15         (21

UBS AG

   CAD  4,914       USD  4,289         2/18/15         63,609   

UBS AG

   EUR  2,750       USD  3,500         2/18/15         171,200   

UBS AG

   GBP  1,354       USD  2,117         2/18/15         7,517   

UBS AG

   USD  743       CAD  838         2/18/15         (22,745
           

 

 

 
            $     6,904,985   
           

 

 

 

TOTAL RETURN SWAPS

 

Counterparty & Referenced Obligation

   # of
Shares
or Units
     Rate Paid     Notional
Amount
(000)
     Maturity
Date
     Unrealized
Appreciation/
(Depreciation)
 

Receive Total Return on Reference Obligation

             

Bank of America, NA SPDR S&P 500 ETF Trust

     171,915         LIBOR Plus 0.27     USD  34,299         6/15/15       $ 1,024,009   

 

(a) Non-income producing security.
(b) Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts.
(c) Illiquid security.
(d) Fair valued by the Adviser.
(e) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2014, the aggregate market value of these securities amounted to $5,831,891 or 0.3% of net assets.
(f) To obtain a copy of the fund’s financial statements, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AllianceBernstein at (800) 227-4618.
(g) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(h) As of December 31, 2014, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $246,794,690 and gross unrealized depreciation of investments was $(45,692,135), resulting in net unrealized appreciation of $201,102,555.

Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market.

Currency Abbreviations:

 

AUD    -    Australian Dollar
BRL    -    Brazilian Real
CAD    -    Canadian Dollar
CHF    -    Swiss Franc


EUR    -    Euro
GBP    -    Great British Pound
HKD    -    Hong Kong Dollar
JPY    -    Japanese Yen
KRW    -    South Korean Won
NOK    -    Norwegian Krone
NZD    -    New Zealand Dollar
SEK    -    Swedish Krona
USD    -    United States Dollar

Glossary:

 

ADR    -    American Depositary Receipt
CBT    -    Chicago Board of Trade
ETF    -    Exchange Traded Fund
FTSE    -    Financial Times Stock Exchange
GDR    -    Global Depositary Receipt
JSC    -    Joint Stock Company
LIBOR    -    London Interbank Offered Rates
MSCI    -    Morgan Stanley Capital International
NVDR    -    Non Voting Depositary Receipt
OJSC    -    Open Joint Stock Company
OSE    -    Osaka Securities Exchange
PJSC    -    Public Joint Stock Company
REG    -    Registered Shares
SPDR    -    Standard & Poor’s Depository Receipt
SPI    -    Share Price Index
TOPIX    -    Tokyo Price Index

Country Breakdown*

December 31, 2014 (unaudited)

 

  78.5%        

United States

  4.1%        

United Kingdom

  3.6%        

Japan

  2.4%        

France

  1.5%        

Switzerland

  1.1%        

China

  0.8%        

India

  0.8%        

Netherlands

  0.8%        

Hong Kong

  0.7%        

Germany

  0.7%        

Australia

  0.6%        

Taiwan

  0.5%        

Brazil

  0.5%        

Singapore

  3.4%        

Other

 

 

      
  100.0%        

Total Investments

 

 

      

 

* All data are as of December 31, 2014. The Portfolio’s country breakdown is expressed as a percentage of long-term investments and may vary over time. “Other” country weightings represent 0.5% or less in the following countries: Argentina, Austria, Belgium, Canada, Colombia, Cyprus, Czech Republic, Denmark, Finland, Hungary, Indonesia, Ireland, Israel, Italy, Kazakhstan, Luxembourg, Malaysia, Mexico, Norway, Oman, Peru, Philippines, Poland, Puerto Rico, Qatar, Russia, South Africa, South Korea, Spain, Sri Lanka, Sweden, Thailand, Turkey, Ukraine and United Arab Emirates.


Sanford C. Bernstein Fund, Inc.

Overlay A Portfolio

December 31, 2014 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolio. Unobservable inputs reflect the Portfolio’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

   

Level 1—quoted prices in active markets for identical investments

   

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

   

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

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

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.

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

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2014:

 

Investments in Securities:

   Level 1     Level 2     Level 3     Total  

Assets:

        

Common Stocks:

        

Financials

   $     165,947,145      $     73,748,868      $     41,828      $     239,737,841   

Information Technology

     196,593,629        23,998,689        – 0  –      220,592,318   

Consumer Discretionary

     149,694,740        49,953,271        – 0  –      199,648,011   

Health Care

     122,853,494        27,643,465        – 0  –      150,496,959   

Industrials

     76,142,638        42,250,958        – 0  –      118,393,596   

Consumer Staples

     87,029,528        20,584,386        – 0  –      107,613,914   

Materials

     41,615,551        18,433,522        – 0  –      60,049,073   

Energy

     49,806,647        9,624,927        – 0  –      59,431,574   

Telecommunication Services

     6,900,050        21,146,810        – 0  –      28,046,860   

Utilities

     15,186,232        5,743,391        – 0  –      20,929,623   

Investment Companies

     361,640,229        – 0  –      – 0  –      361,640,229   

Warrants

     – 0  –      1,985,901        – 0  –      1,985,901   

Rights

     – 0  –      – 0  –      4        4   

Short-Term Investments:

        

Investment Companies

     345,648,555        – 0  –      – 0  –      345,648,555   

U.S. Treasury Bills

     – 0  –      11,999,975        – 0  –      11,999,975   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments in Securities

     1,619,058,438        307,114,163+        41,832        1,926,214,433   


Other Financial Instruments*:

        

Assets:

        

Futures

     444,483        3,019,262        – 0  –      3,463,745   

Forward Currency Exchange Contracts

     – 0  –      10,428,306        – 0  –      10,428,306   

Total Return Swaps

     – 0  –      1,029,009        – 0  –      1,029,009   

Liabilities:

        

Futures

     (1,750,890     (2,021,977     – 0  –      (3,772,867

Forward Currency Exchange Contracts

     – 0  –      (3,523,321     – 0  –      (3,523,321
  

 

 

   

 

 

   

 

 

   

 

 

 

Total^

   $     1,617,752,031      $     316,045,442      $     41,832      $     1,933,839,305   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
+ A significant portion of the Portfolio’s foreign equity investments are categorized as Level 2 investments since they are valued using fair value prices based on third party vendor modeling tools to the extent available.
^ There were de minimus transfers under 1% of net assets between level 1 and Level 2 during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

 

     Common Stocks     Rights     Total  

Balance as of 9/30/14

   $     139,247      $ – 0  –    $     139,247   

Accrued discounts/(premiums)

     – 0  –      – 0  –      – 0  – 

Realized gain (loss)

     – 0  –          7,102        7,102   

Change in unrealized appreciation/depreciation

     (34,631     4        (34,627

Purchases

     52,372        – 0  –      52,372   

Sales

     – 0  –      (7,102     (7,102

Transfers in to Level 3

     24,087        – 0  –      24,087   

Transfers out of Level 3

     (139,247     – 0  –      (139,247
  

 

 

   

 

 

   

 

 

 

Balance as of 12/31/14^

   $ 41,828      $ 4      $ 41,832   
  

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation/depreciation from investments held as of 12/31/14

   $ (34,631   $ 4      $ (34,627
  

 

 

   

 

 

   

 

 

 

 

^ There were de minimus transfers under 1% of net assets during the reporting period.

The Adviser has established a Valuation Committee (the “Committee”) which is responsible for overseeing the pricing and valuation of all securities held in the Portfolio. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily compare of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).


Sanford C. Bernstein Fund, Inc. - Overlay B Portfolio

Portfolio of Investments

December 31, 2014 (unaudited)

 

             Principal
Amount
(000)
       U.S. $ Value  

GOVERNMENTS - TREASURIES - 28.5%

          

Australia - 0.3%

          

Australia Government Bond

          

Series 128

          

5.75%, 7/15/22

     AUD         3,030         $ 3,007,292   
          

 

 

 

Belgium - 0.5%

          

Belgium Government Bond

          

Series 67

          

3.00%, 9/28/19 (a)

     EUR         1,645           2,257,463   

Series 68

          

2.25%, 6/22/23 (a)

        1,575           2,154,082   

Series 71

          

3.75%, 6/22/45 (a)

        510           876,078   
          

 

 

 
             5,287,623   
          

 

 

 

Brazil - 0.3%

          

Brazil Notas do Tesouro Nacional

          

Series F

          

10.00%, 1/01/17

     BRL         9,535           3,414,950   
          

 

 

 

Canada - 0.3%

          

Canadian Government Bond

          

1.25%, 2/01/16

     CAD         3,395           2,929,904   
          

 

 

 

France - 0.5%

          

France Government Bond OAT

          

1.75%, 11/25/24

     EUR         2,525           3,323,028   

4.50%, 4/25/41

        735           1,393,104   

French Treasury Note BTAN

          

2.50%, 7/25/16

        495           622,455   
          

 

 

 
             5,338,587   
          

 

 

 

Germany - 0.2%

          

Bundesrepublik Deutschland

          

2.50%, 7/04/44

        393           604,619   

3.00%, 7/04/20

        939           1,320,194   
          

 

 

 
             1,924,813   
          

 

 

 

Ireland - 0.5%

          

Ireland Government Bond

          

5.40%, 3/13/25

        2,870           4,785,114   
          

 

 

 

Italy - 1.0%

          

Italy Buoni Poliennali Del Tesoro

          

3.75%, 3/01/21-5/01/21

        2,090           2,906,126   

4.00%, 9/01/20

        111           155,438   

4.50%, 2/01/20 (a)

        570           809,197   

4.50%, 3/01/24

        975           1,451,837   

4.75%, 9/01/44 (a)

        335           525,007   

5.00%, 3/01/22

        1,720           2,585,440   

5.00%, 9/01/40 (a)

        720           1,150,337   

5.50%, 11/01/22

        875           1,361,522   
          

 

 

 
             10,944,904   
          

 

 

 


     Principal
Amount
(000)
       U.S. $ Value  

Japan - 0.9%

       

Japan Government Thirty Year Bond

       

Series 30

       

2.30%, 3/20/39

   JPY  37,900         $ 390,159   

Series 36

       

2.00%, 3/20/42

     259,800           2,551,848   

Series 44

       

1.70%, 9/20/44

     128,650           1,187,511   

Japan Government Twenty Year Bond

       

Series 112

       

2.10%, 6/20/29

     241,750           2,424,421   

Series 128

       

1.90%, 6/20/31

     169,750           1,656,964   

Series 143

       

1.60%, 3/20/33

     81,650           756,922   

Series 144

       

1.50%, 3/20/33

     114,300           1,043,660   
       

 

 

 
          10,011,485   
       

 

 

 

Mexico - 0.7%

       

Mexican Bonos

       

Series M

       

7.75%, 11/13/42

   MXN  27,773           2,167,127   

Series M 10

       

7.75%, 12/14/17

     44,469           3,291,707   

8.50%, 12/13/18

     29,945           2,287,036   
       

 

 

 
          7,745,870   
       

 

 

 

Netherlands - 1.2%

       

Netherlands Government Bond

       

1.25%, 1/15/19 (a)

   EUR  2,485           3,155,733   

2.25%, 7/15/22 (a)

     273           375,300   

2.50%, 1/15/33 (a)

     1,675           2,458,767   

3.25%, 7/15/21 (a)

     3,690           5,319,885   

3.75%, 1/15/23

     1,074           1,636,671   
       

 

 

 
          12,946,356   
       

 

 

 

New Zealand - 0.3%

       

New Zealand Government Bond

       

Series 1217

       

6.00%, 12/15/17 (a)

   NZD  2,470           2,058,049   

Series 423

       

5.50%, 4/15/23 (a)

     1,465           1,290,991   
       

 

 

 
          3,349,040   
       

 

 

 

Poland - 0.1%

       

Poland Government Bond

       

Series 1021

       

5.75%, 10/25/21

   PLN  4,335           1,487,017   
       

 

 

 

Portugal - 0.1%

       

Portugal Obrigacoes do Tesouro OT

       

3.85%, 4/15/21 (a)

   EUR  475           637,268   

4.75%, 6/14/19 (a)

     525           723,519   
       

 

 

 
          1,360,787   
       

 

 

 


     Principal
Amount
(000)
       U.S. $ Value  

Singapore - 0.1%

       

Singapore Government Bond

       

3.375%, 9/01/33

   SGD  1,755         $ 1,438,069   
       

 

 

 

South Africa - 0.2%

       

South Africa Government Bond

       

Series R203

       

8.25%, 9/15/17

   ZAR  16,505           1,471,685   

Series R213

       

7.00%, 2/28/31

     10,430           786,690   
       

 

 

 
          2,258,375   
       

 

 

 

Spain - 0.3%

       

Spain Government Bond

       

5.15%, 10/31/44 (a)

   EUR  1,530           2,647,265   
       

 

 

 

Sweden - 0.1%

       

Sweden Government Bond

       

Series 1054

       

3.50%, 6/01/22

   SEK  7,085           1,097,902   
       

 

 

 

United Kingdom - 3.6%

       

United Kingdom Gilt

       

1.75%, 7/22/19-9/07/22 (a)

     5,555           8,858,481   

2.25%, 9/07/23 (a)

     4,508           7,362,025   

3.75%, 9/07/19 (a)

     6,292           10,973,325   

4.25%, 6/07/32-12/07/46 (a)

     3,642           7,565,519   

4.50%, 12/07/42 (a)

     175           384,961   

5.00%, 3/07/18 (a)

     1,805           3,183,727   
       

 

 

 
          38,328,038   
       

 

 

 

United States - 17.3%

       

U.S. Treasury Bonds

       

2.875%, 5/15/43

   U.S.$ 880           900,075   

3.00%, 11/15/44

     1,677           1,762,738   

3.125%, 11/15/41-8/15/44

     19,046           20,512,633   

3.625%, 8/15/43

     4,388           5,160,593   

4.50%, 2/15/36

     4,291           5,722,922   

U.S. Treasury Notes

       

0.25%, 7/31/15

     10,220           10,227,185   

0.50%, 9/30/16

     41,835           41,785,770   

0.625%, 8/15/16

     4,550           4,557,467   

0.875%, 4/30/17

     6,919           6,927,109   

1.50%, 6/30/16-2/28/19

     16,605           16,748,995   

1.75%, 9/30/19

     28,992           29,161,764   

2.25%, 11/15/24

     1,384           1,392,896   

2.375%, 8/15/24

     25,200           25,666,094   

2.50%, 5/15/24

     1,835           1,890,336   

2.75%, 2/15/24

     1,086           1,142,866   


     Principal
Amount
(000)
       U.S. $ Value  

4.50%, 5/15/17

   U.S.$ 10,094         $ 10,960,661   
       

 

 

 
          184,520,104   
       

 

 

 

Total Governments - Treasuries
(cost $304,455,290)

          304,823,495   
       

 

 

 
     Shares           

INVESTMENT COMPANIES - 24.3%

       

Funds and Investment Trusts - 24.3%

       

iShares Core MSCI Emerging Markets ETF

     290,260           13,650,928   

AB Pooling Portfolios-Multi-Asset Real Return Portfolio (b)

     4,783,192           34,391,151   

SPDR S&P 500 ETF Trust

     1,031,301           211,932,356   
       

 

 

 

Total Investment Companies
(cost $255,526,556)

          259,974,435   
       

 

 

 
     Principal
Amount
(000)
          

CORPORATES - INVESTMENT GRADE - 12.2%

       

Industrial - 6.7%

       

Basic - 0.5%

       

Air Products & Chemicals, Inc.

       

2.75%, 2/03/23

   U.S.$ 580           565,433   

Braskem Finance Ltd.

       

6.45%, 2/03/24

     770           771,925   

EI du Pont de Nemours & Co.

       

3.25%, 1/15/15

     103           103,068   

Glencore Funding LLC

       

4.125%, 5/30/23 (a)

     265           258,576   

International Paper Co.

       

3.65%, 6/15/24

     1,200           1,199,138   

LyondellBasell Industries NV

       

5.00%, 4/15/19

     610           665,366   

Yamana Gold, Inc.

       

4.95%, 7/15/24

     1,470           1,434,686   
       

 

 

 
          4,998,192   
       

 

 

 

Capital Goods - 0.3%

       

BAE Systems Holdings, Inc.

       

3.80%, 10/07/24 (a)

     672           688,853   

Caterpillar Financial Services Corp.

       

2.625%, 3/01/23

     330           323,356   

General Dynamics Corp.

       

3.875%, 7/15/21

     630           676,539   

Odebrecht Finance Ltd.

       

5.25%, 6/27/29 (a)

     615           537,817   

Republic Services, Inc.

       

5.25%, 11/15/21

     555           628,418   
       

 

 

 
          2,854,983   
       

 

 

 

Communications - Media - 1.0%

       

21st Century Fox America, Inc.

       

3.00%, 9/15/22

     230           228,448   


      Principal
Amount
(000)
       U.S. $ Value  

6.15%, 3/01/37

   U.S.$ 830         $ 1,040,244   

CBS Corp.

       

5.75%, 4/15/20

     1,340           1,527,287   

DIRECTV Holdings LLC / DIRECTV Financing Co., Inc.

       

3.95%, 1/15/25

     320           322,518   

DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.

       

3.80%, 3/15/22

     157           159,727   

4.45%, 4/01/24

     1,480           1,548,530   

5.00%, 3/01/21

     1,325           1,444,911   

Discovery Communications LLC

       

4.875%, 4/01/43

     255           262,910   

NBCUniversal Enterprise, Inc.

       

1.974%, 4/15/19 (a)

     1,850           1,831,789   

Time Warner Cable, Inc.

       

4.50%, 9/15/42

     255           262,126   

Viacom, Inc.

       

3.875%, 4/01/24

     1,520           1,525,846   

WPP Finance 2010

       

3.625%, 9/07/22

     765           777,863   
       

 

 

 
          10,932,199   
       

 

 

 

Communications - Telecommunications - 1.1%

       

American Tower Corp.

       

3.50%, 1/31/23

     665           642,528   

5.05%, 9/01/20

     995           1,079,518   

AT&T, Inc.

       

5.80%, 2/15/19

     280           318,035   

6.45%, 6/15/34

     220           269,235   

British Telecommunications PLC

       

9.625%, 12/15/30

     505           792,876   

Deutsche Telekom International Finance BV

       

4.875%, 3/06/42 (a)

     815           871,178   

SBA Tower Trust

       

2.898%, 10/15/19 (a)

     934           936,449   

3.869%, 10/15/24 (a)

     774           787,396   

Verizon Communications, Inc.

       

3.50%, 11/01/24

     1,941           1,907,031   

3.85%, 11/01/42

     850           757,759   

4.60%, 4/01/21

     1,354           1,469,596   

6.55%, 9/15/43

     1,085           1,390,047   

Vodafone Group PLC

       

2.50%, 9/26/22

     795           741,392   
       

 

 

 
          11,963,040   
       

 

 

 

Consumer Cyclical - Automotive - 0.5%

       

Ford Motor Credit Co. LLC

       

2.597%, 11/04/19

     937           931,398   

5.875%, 8/02/21

     2,265           2,622,390   

Nissan Motor Acceptance Corp.

       

2.35%, 3/04/19 (a)

     760           764,813   

Toyota Motor Credit Corp.

       

3.30%, 1/12/22

     735           765,220   
       

 

 

 
          5,083,821   
       

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

Consumer Cyclical - Other - 0.0%

       

Wyndham Worldwide Corp.

       

2.95%, 3/01/17

   U.S.$ 440         $ 449,343   
       

 

 

 

Consumer Cyclical - Retailers - 0.2%

       

Wal-Mart Stores, Inc.

       

2.55%, 4/11/23

     830           817,553   

Walgreens Boots Alliance, Inc./Old

       

3.30%, 11/18/21

     676           680,703   

3.80%, 11/18/24

     1,060           1,081,094   
       

 

 

 
          2,579,350   
       

 

 

 

Consumer Non-Cyclical - 1.1%

       

Alicorp SAA

       

3.875%, 3/20/23 (a)

     337           322,846   

Altria Group, Inc.

       

2.625%, 1/14/20

     1,860           1,865,400   

Baxter International, Inc.

       

4.25%, 3/15/20

     107           115,059   

Bayer US Finance LLC

       

3.375%, 10/08/24 (a)

     251           255,410   

Becton Dickinson and Co.

       

2.675%, 12/15/19

     249           252,275   

3.734%, 12/15/24

     638           656,869   

Grupo Bimbo SAB de CV

       

3.875%, 6/27/24 (a)

     680           682,672   

Kroger Co. (The)

       

3.40%, 4/15/22

     1,185           1,206,348   

Medtronic, Inc.

       

2.50%, 3/15/20 (a)

     385           386,010   

3.50%, 3/15/25 (a)

     1,065           1,089,463   

Novartis Capital Corp.

       

2.90%, 4/24/15

     105           105,815   

Perrigo Finance PLC

       

3.50%, 12/15/21

     727           735,480   

Philip Morris International, Inc.

       

2.50%, 8/22/22

     1,940           1,895,820   

Reynolds American, Inc.

       

3.25%, 11/01/22

     860           837,676   

Thermo Fisher Scientific, Inc.

       

4.15%, 2/01/24

     415           437,654   

Tyson Foods, Inc.

       

2.65%, 8/15/19

     160           161,458   

3.95%, 8/15/24

     1,060           1,095,744   
       

 

 

 
          12,101,999   
       

 

 

 

Energy - 1.2%

       

Anadarko Petroleum Corp.

       

6.375%, 9/15/17

     572           635,951   

BP Capital Markets PLC

       

3.245%, 5/06/22

     780           766,770   

Diamond Offshore Drilling, Inc.

       

4.875%, 11/01/43

     380           323,728   

Energy Transfer Partners LP

       

3.60%, 2/01/23

     55           53,222   

4.15%, 10/01/20

     310           317,806   

7.50%, 7/01/38

     475           589,539   


      Principal
Amount
(000)
     U.S. $ Value  

Kinder Morgan Energy Partners LP

     

3.95%, 9/01/22

   U.S.$ 1,780       $ 1,764,979   

6.85%, 2/15/20

     270         310,128   

Noble Energy, Inc.

     

3.90%, 11/15/24

     972         960,674   

8.25%, 3/01/19

     1,530         1,834,319   

Occidental Petroleum Corp.

     

1.50%, 2/15/18

     707         699,457   

Reliance Holding USA, Inc.

     

5.40%, 2/14/22 (a)

     1,465         1,585,874   

Schlumberger Norge AS

     

4.20%, 1/15/21 (a)

     310         336,344   

Schlumberger Oilfield UK PLC

     

4.20%, 1/15/21 (a)

     211         228,931   

Sunoco Logistics Partners Operations LP

     

5.30%, 4/01/44

     670         675,327   

Transocean, Inc.

     

6.50%, 11/15/20

     595         561,066   

Williams Partners LP

     

3.90%, 1/15/25

     290         278,712   

4.125%, 11/15/20

     875         896,436   

4.50%, 11/15/23

     245         247,238   
     

 

 

 
        13,066,501   
     

 

 

 

Other Industrial - 0.1%

     

Hutchison Whampoa International 14 Ltd.

     

1.625%, 10/31/17 (a)

     587         582,163   
     

 

 

 

Technology - 0.7%

     

EMC Corp./MA

     

3.375%, 6/01/23

     760         762,760   

Hewlett-Packard Co.

     

2.75%, 1/14/19

     147         147,188   

3.75%, 12/01/20

     1,978         2,046,166   

KLA-Tencor Corp.

     

4.65%, 11/01/24

     1,845         1,910,031   

Oracle Corp.

     

5.75%, 4/15/18

     95         107,394   

Seagate HDD Cayman

     

4.75%, 6/01/23

     420         436,232   

Tencent Holdings Ltd.

     

3.375%, 5/02/19 (a)

     1,316         1,337,631   

Total System Services, Inc.

     

2.375%, 6/01/18

     195         193,330   
     

 

 

 
        6,940,732   
     

 

 

 
        71,552,323   
     

 

 

 

Financial Institutions - 5.1%

     

Banking - 3.4%

     

ABN AMRO Bank NV

     

2.50%, 10/30/18 (a)

     2,840         2,868,445   

Bank of America Corp.

     

0.919%, 3/28/18

   EUR 250         298,414   

4.00%, 4/01/24

   U.S.$ 905         942,309   

4.20%, 8/26/24

     320         325,992   


     Principal
Amount
(000)
       U.S. $ Value  

4.875%, 4/01/44

   U.S.$ 460         $ 508,202   

BNP Paribas SA

       

2.375%, 9/14/17

     799           812,666   

BPCE SA

       

5.15%, 7/21/24 (a)

     560           577,064   

5.70%, 10/22/23 (a)

     880           944,915   

Citigroup, Inc.

       

6.675%, 9/13/43

     510           659,457   

Compass Bank

       

2.75%, 9/29/19

     325           325,317   

5.50%, 4/01/20

     549           597,379   

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands

       

3.95%, 11/09/22

     1,070           1,089,933   

Countrywide Financial Corp.

       

6.25%, 5/15/16

     1,420           1,507,106   

Credit Suisse AG

       

6.50%, 8/08/23 (a)

     490           533,158   

Credit Suisse/New York NY

       

3.00%, 10/29/21

     375           373,249   

Fifth Third Bancorp

       

2.30%, 3/01/19

     786           787,177   

Goldman Sachs Group, Inc. (The)

       

5.75%, 1/24/22

     3,405           3,938,860   

Series G

       

7.50%, 2/15/19

     400           475,784   

HSBC Holdings PLC

       

4.00%, 3/30/22

     1,850           1,968,948   

ING Bank NV

       

3.75%, 3/07/17 (a)

     705           737,784   

JPMorgan Chase & Co.

       

4.50%, 1/24/22

     445           485,830   

Series X

       

6.10%, 10/01/24 (c)

     430           428,925   

Lloyds Bank PLC

       

2.30%, 11/27/18

     774           781,311   

4.20%, 3/28/17

     165           174,501   

6.50%, 9/14/20 (a)

     405           469,282   

Mizuho Bank Ltd.

       

2.45%, 4/16/19 (a)

     765           760,231   

Mizuho Financial Group Cayman 3 Ltd.

       

4.60%, 3/27/24 (a)

     1,160           1,201,960   

Morgan Stanley

       

3.70%, 10/23/24

     1,075           1,089,641   

5.625%, 9/23/19

     1,701           1,920,079   

Series F

       

3.875%, 4/29/24

     755           774,657   

Murray Street Investment Trust I

       

4.647%, 3/09/17

     182           192,082   

Nationwide Building Society

       

6.25%, 2/25/20 (a)

     345           404,693   

Nordea Bank AB

       

3.125%, 3/20/17 (a)

     751           778,017   

Rabobank Capital Funding Trust III

       

5.254%, 10/21/16 (a)(c)

     435           451,530   

Societe Generale SA

       


     Principal
Amount
(000)
       U.S. $ Value  

5.75%, 4/20/16 (a)

   U.S.$ 449         $ 470,149   

Standard Chartered Bank Hong Kong Ltd.

       

5.875%, 6/24/20 (a)

     1,311           1,455,181   

Standard Chartered PLC

       

4.00%, 7/12/22 (a)

     315           320,273   

State Street Corp.

       

3.70%, 11/20/23

     310           325,703   

Sumitomo Mitsui Banking Corp.

       

3.00%, 1/18/23

     384           381,453   

UBS AG/Stamford CT

       

7.50%, 7/15/25

     885           1,141,100   

7.625%, 8/17/22

     280           329,660   

Wells Fargo & Co.

       

4.125%, 8/15/23

     1,815           1,904,990   
       

 

 

 
          36,513,407   
       

 

 

 

Brokerage - 0.1%

       

Nomura Holdings, Inc.

       

2.00%, 9/13/16

     645           650,203   
       

 

 

 

Finance - 0.2%

       

Aviation Capital Group Corp.

       

7.125%, 10/15/20 (a)

     575           659,148   

General Electric Capital Corp.

       

4.65%, 10/17/21

     290           326,867   

Series G

       

5.625%, 5/01/18

     560           630,130   
       

 

 

 
          1,616,145   
       

 

 

 

Insurance - 1.0%

       

Aflac, Inc.

       

8.50%, 5/15/19

     679           848,561   

American International Group, Inc.

       

3.375%, 8/15/20

     465           483,042   

4.875%, 6/01/22

     650           730,174   

Aquarius & Investments PLC for Swiss Reinsurance Co., Ltd.

       

6.375%, 9/01/24 (a)

     380           395,172   

Dai-ichi Life Insurance Co., Ltd. (The)

       

5.10%, 10/28/24 (a)(c)

     1,008           1,048,320   

Guardian Life Insurance Co. of America (The)

       

7.375%, 9/30/39 (a)

     374           533,741   

Hartford Financial Services Group, Inc. (The)

       

5.125%, 4/15/22

     1,615           1,815,402   

Lincoln National Corp.

       

8.75%, 7/01/19

     100           124,953   

Massachusetts Mutual Life Insurance Co.

       

8.875%, 6/01/39 (a)

     180           290,429   

MetLife, Inc.

       

4.75%, 2/08/21

     1,545           1,726,867   

6.50%, 12/15/32

     295           393,512   

Nationwide Mutual Insurance Co.

       

9.375%, 8/15/39 (a)

     495           784,306   

Prudential Financial, Inc.

       

5.625%, 6/15/43

     1,015           1,037,634   

Reliance Standard Life Global Funding II

       

2.50%, 4/24/19 (a)

     770           772,975   
       

 

 

 
          10,985,088   
       

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

REITS - 0.4%

       

HCP, Inc.

       

5.375%, 2/01/21

   U.S.$ 2,280         $ 2,546,090   

Health Care REIT, Inc.

       

5.25%, 1/15/22

     1,225           1,361,198   

Trust F/1401

       

5.25%, 12/15/24 (a)

     665           685,016   
       

 

 

 
          4,592,304   
       

 

 

 
          54,357,147   
       

 

 

 

Non Corporate Sectors - 0.3%

       

Agencies - Not Government Guaranteed - 0.3%

       

CNOOC Finance 2013 Ltd.

       

3.00%, 5/09/23

     480           454,276   

CNOOC Nexen Finance 2014 ULC

       

4.25%, 4/30/24

     1,159           1,199,193   

Petrobras International Finance Co. SA

       

5.75%, 1/20/20

     1,468           1,417,662   
       

 

 

 
          3,071,131   
       

 

 

 

Utility - 0.1%

       

Electric - 0.1%

       

Berkshire Hathaway Energy Co.

       

6.125%, 4/01/36

     345           433,435   

Monongahela Power Co.

       

4.10%, 4/15/24 (a)

     305           325,507   

Southern California Edison Co.

       

3.875%, 6/01/21

     262           284,499   

Trans-Allegheny Interstate Line Co.

       

3.85%, 6/01/25 (a)

     365           367,682   
       

 

 

 
          1,411,123   
       

 

 

 

Total Corporates - Investment Grade
(cost $130,112,117)

          130,391,724   
       

 

 

 

INFLATION-LINKED SECURITIES - 11.8%

       

United States - 11.8%

       

U.S. Treasury Inflation Index

       

0.125%, 4/15/16-7/15/24

     78,270           77,130,893   

0.375%, 7/15/23

     6,757           6,680,152   

0.625%, 7/15/21-1/15/24

     11,429           11,535,530   

1.125%, 1/15/21

     4,284           4,450,744   

1.25%, 7/15/20

     5,865           6,155,883   

1.375%, 7/15/18-1/15/20

     5,781           6,064,740   

2.125%, 1/15/19

     1,041           1,118,283   

2.375%, 1/15/17

     1,340           1,405,796   

2.50%, 7/15/16

     6,957           7,252,286   

2.625%, 7/15/17

     3,665           3,929,060   
       

 

 

 

Total Inflation-Linked Securities
(cost $128,616,178)

          125,723,367   
       

 

 

 


      Principal
Amount (000)
       U.S. $ Value  

MORTGAGE PASS-THROUGHS - 7.1%

       

Agency Fixed Rate 30-Year - 6.7%

       

Federal National Mortgage Association

       

3.00%, 1/01/45

   U.S.$ 5,216         $ 5,276,310   

3.50%, 1/01/45

     13,919           14,509,472   

4.00%, 1/01/45

     29,682           31,678,230   

4.50%, 11/01/43-1/25/45

     9,942           10,845,596   

5.50%, 8/01/37-9/01/41

     3,254           3,642,076   

Series 2013

       

3.00%, 5/01/43

     2,284           2,314,103   

Government National Mortgage Association

       

3.50%, 1/01/45

     3,132           3,287,621   
       

 

 

 
          71,553,408   
       

 

 

 

Agency Fixed Rate 15-Year - 0.4%

       

Federal National Mortgage Association

       

3.00%, 1/01/29

     4,519           4,697,112   
       

 

 

 

Total Mortgage Pass-Throughs
(cost $75,795,974)

          76,250,520   
       

 

 

 

COMMERCIAL MORTGAGE-BACKED SECURITIES - 3.0%

       

Non-Agency Fixed Rate CMBS - 2.3%

       

Banc of America Commercial Mortgage Trust

       

Series 2007-3, Class AJ

       

5.547%, 6/10/49

     640           661,576   

Bear Stearns Commercial Mortgage Securities Trust

       

Series 2006-PW13, Class A4

       

5.54%, 9/11/41

     403           424,247   

Series 2006-PW13, Class AJ

       

5.611%, 9/11/41

     1,297           1,330,839   

BHMS Mortgage Trust

       

Series 2014-ATLS, Class AFX

       

3.601%, 7/05/33 (a)

     1,895           1,912,415   

Citigroup Commercial Mortgage Trust

       

Series 2006-C4, Class A1A

       

5.771%, 3/15/49

     1,623           1,696,678   

Commercial Mortgage Loan Trust

       

Series 2008-LS1, Class A1A

       

6.04%, 12/10/49

     2,556           2,790,941   

Commercial Mortgage Trust

       

Series 2013-CR6, Class A2

       

2.122%, 3/10/46

     3,670           3,703,830   

Credit Suisse Commercial Mortgage Trust

       

Series 2007-C3, Class AM

       

5.702%, 6/15/39

     988           1,033,958   

GS Mortgage Securities Trust

       

Series 2013-G1, Class A2

       

3.557%, 4/10/31 (a)

     1,094           1,096,017   

JP Morgan Chase Commercial Mortgage Securities Trust

       

Series 2005-CIBC13, Class A4

       

5.243%, 1/12/43

     481           491,607   

Series 2007-LD12, Class AM

       

6.011%, 2/15/51

     600           653,692   


      Principal
Amount
(000)
       U.S. $ Value  

Series 2007-LDPX, Class A3

       

5.42%, 1/15/49

   U.S.$ 1,494         $ 1,595,276   

Merrill Lynch Mortgage Trust

       

Series 2007-C1, Class A4

       

5.835%, 6/12/50

     1,270           1,364,051   

Merrill Lynch/Countrywide Commercial Mortgage Trust

       

Series 2006-4, Class A1A

       

5.166%, 12/12/49

     2,039           2,150,700   

Series 2007-9, Class A4

       

5.70%, 9/12/49

     1,145           1,238,285   

UBS-Barclays Commercial Mortgage Trust

       

Series 2012-C3, Class A4

       

3.091%, 8/10/49

     330           334,818   

Series 2012-C4, Class A5

       

2.85%, 12/10/45

     2,519           2,509,485   
       

 

 

 
          24,988,415   
       

 

 

 

Non-Agency Floating Rate CMBS - 0.7%

       

Carefree Portfolio Trust

       

Series 2014-CARE, Class A

       

1.485%, 11/15/19 (a)(d)

     1,017           1,013,044   

Commercial Mortgage Pass Through Certificates

       

Series 2014-KYO, Class A

       

1.059%, 6/11/27 (a)(d)

     1,406           1,403,866   

Commercial Mortgage Pass-Through Certificates

       

Series 2014-SAVA, Class A

       

1.311%, 6/15/34 (a)(d)

     1,192           1,189,076   

JP Morgan Chase Commercial Mortgage Securities Trust

       

Series 2014-INN, Class A

       

1.081%, 6/15/29 (a)(d)

     1,876           1,874,233   

Resource Capital Corp., Ltd.

       

Series 2014-CRE2, Class A

       

1.212%, 4/15/32 (a)(d)

     784           775,685   

Starwood Retail Property Trust

       

Series 2014-STAR, Class A

       

1.381%, 11/15/27 (a)(d)

     662           661,438   
       

 

 

 
          6,917,342   
       

 

 

 

Total Commercial Mortgage-Backed Securities
(cost $32,489,444)

          31,905,757   
       

 

 

 

ASSET-BACKED SECURITIES - 1.8%

       

Autos - Fixed Rate - 0.8%

       

Ally Master Owner Trust

       

Series 2013-1, Class A2

       

1.00%, 2/15/18

     1,525           1,526,877   

Avis Budget Rental Car Funding AESOP LLC

       

Series 2013-2A, Class A

       

2.97%, 2/20/20 (a)

     1,335           1,371,616   

Fifth Third Auto Trust

       

Series 2014-3, Class A4

       

1.47%, 5/17/21

     961           955,243   

Ford Credit Auto Owner Trust/Ford Credit 2014-REV1

       

2.26%, 11/15/25 (a)

     1,500           1,508,007   


      Principal
Amount
(000)
       U.S. $ Value  

Harley-Davidson Motorcycle Trust 2014-1

       

0.49%, 4/15/18

   U.S.$ 1,427         $ 1,426,173   

Volkswagen Auto Loan Enhanced Trust

       

Series 2014-1, Class A3

       

0.91%, 10/22/18

     1,275           1,269,598   
       

 

 

 
          8,057,514   
       

 

 

 

Credit Cards - Floating Rate - 0.3%

       

American Express Issuance Trust II

       

Series 2013-1, Class A

       

0.441%, 2/15/19 (d)

     2,023           2,019,088   

Barclays Dryrock Issuance Trust

       

Series 2014-2, Class A

       

0.501%, 3/16/20 (d)

     1,700           1,700,003   
       

 

 

 
          3,719,091   
       

 

 

 

Credit Cards - Fixed Rate - 0.3%

       

Synchrony Credit Card Master Note Trust

       

Series 2012-2, Class A

       

2.22%, 1/15/22

     1,664           1,662,755   

World Financial Network Credit Card Master Trust

       

Series 2013-A, Class A

       

1.61%, 12/15/21

     1,456           1,446,239   
       

 

 

 
          3,108,994   
       

 

 

 

Other ABS - Fixed Rate - 0.2%

       

CIT Equipment Collateral

       

Series 2014-VT1, Class A2

       

0.86%, 5/22/17 (a)

     1,060           1,059,933   

CNH Equipment Trust

       

Series 2014-B, Class A4

       

1.61%, 5/17/21

     1,481           1,473,016   
       

 

 

 
          2,532,949   
       

 

 

 

Autos - Floating Rate - 0.2%

       

Hertz Fleet Lease Funding LP

       

Series 2014-1, Class A

       

0.561%, 4/10/28 (a)(d)

     1,497           1,497,003   

Navistar Financial Dealer Note Master Trust

       

Series 2014-1, Class A

       

0.92%, 10/25/19 (d)

     747           747,000   

NCF Dealer Floorplan Master Trust

       

Series 2014-1A, Class A

       

1.665%, 10/20/20 (a)(d)

     113           112,813   
       

 

 

 
          2,356,816   
       

 

 

 

Total Asset-Backed Securities
(cost $19,828,280)

          19,775,364   
       

 

 

 

CORPORATES - NON-INVESTMENT GRADE - 1.5%

       

Industrial - 0.8%

       

Communications - Media - 0.2%

       

CSC Holdings LLC

       

8.625%, 2/15/19

     450           523,125   

Intelsat Jackson Holdings SA

       


      Principal
Amount
(000)
       U.S. $ Value  

5.50%, 8/01/23

   U.S.$ 390         $ 387,621   

Numericable-SFR

       

5.375%, 5/15/22 (a)

   EUR 105           131,121   

Univision Communications, Inc.

       

6.875%, 5/15/19 (a)

   U.S.$ 580           603,925   
       

 

 

 
          1,645,792   
       

 

 

 

Communications - Telecommunications - 0.1%

       

Crown Castle International Corp.

       

4.875%, 4/15/22

         430           434,300   

Sprint Corp.

       

7.875%, 9/15/23

     495           488,664   
       

 

 

 
          922,964   
       

 

 

 

Consumer Cyclical - Automotive - 0.1%

       

General Motors Co.

       

3.50%, 10/02/18

     580           591,600   
       

 

 

 

Consumer Cyclical - Other - 0.0%

       

KB Home

       

4.75%, 5/15/19

     265           261,025   

MCE Finance Ltd.

       

5.00%, 2/15/21 (a)

     200           188,000   
       

 

 

 
          449,025   
       

 

 

 

Consumer Cyclical - Retailers - 0.0%

       

Men’s Wearhouse, Inc. (The)

       

7.00%, 7/01/22 (a)

     470           482,925   
       

 

 

 

Energy - 0.3%

       

California Resources Corp.

       

5.50%, 9/15/21 (a)

     437           373,635   

Cimarex Energy Co.

       

5.875%, 5/01/22

     763           793,520   

ONEOK, Inc.

       

4.25%, 2/01/22

     595           544,576   

Paragon Offshore PLC

       

7.25%, 8/15/24 (a)

     425           255,000   

Regency Energy Partners LP/Regency Energy Finance Corp.

       

4.50%, 11/01/23

     195           178,912   

Sabine Pass Liquefaction LLC

       

5.75%, 5/15/24

     435           426,844   

Southern Star Central Corp.

       

5.125%, 7/15/22 (a)

     482           484,410   
       

 

 

 
          3,056,897   
       

 

 

 

Transportation - Services - 0.1%

       

Hertz Corp. (The)

       

6.75%, 4/15/19

     750           772,500   
       

 

 

 
          7,921,703   
       

 

 

 

Financial Institutions - 0.6%

       

Banking - 0.6%

       

Bank of America Corp.

       


      Principal
Amount

(000)
       U.S. $ Value  

Series Z

       

6.50%, 10/23/24 (c)

   U.S.$ 442         $ 449,912   

Barclays Bank PLC

       

6.86%, 6/15/32 (a)(c)

     205           227,550   

7.75%, 4/10/23

         1,035           1,128,150   

BNP Paribas SA

       

5.019%, 4/13/17 (a)(c)

   EUR 150           189,675   

Credit Suisse Group AG

       

7.50%, 12/11/23 (a)(c)

   U.S.$ 780           807,300   

Intesa Sanpaolo SpA

       

5.017%, 6/26/24 (a)

     1,190           1,154,913   

Lloyds Banking Group PLC

       

7.50%, 6/27/24 (c)

     355           361,213   

Royal Bank of Scotland PLC (The)

       

9.50%, 3/16/22 (a)

     1,265           1,437,566   

Societe Generale SA

       

5.922%, 4/05/17 (a)(c)

     330           342,170   
       

 

 

 
          6,098,449   
       

 

 

 

Finance - 0.0%

       

AerCap Aviation Solutions BV

       

6.375%, 5/30/17

     451           476,933   
       

 

 

 

Insurance - 0.0%

       

ING Groep NV

       

5.775%, 12/08/15 (c)

     190           192,850   
       

 

 

 
          6,768,232   
       

 

 

 

Utility - 0.1%

       

Electric - 0.1%

       

AES Corp./VA

       

7.375%, 7/01/21

     385           435,050   

EDP Finance BV

       

4.125%, 1/15/20 (a)

     252           253,411   

NRG Energy, Inc.

       

6.25%, 5/01/24 (a)

     330           335,775   
       

 

 

 
          1,024,236   
       

 

 

 

Total Corporates - Non-Investment Grade
(cost $16,157,453)

          15,714,171   
       

 

 

 

COLLATERALIZED MORTGAGE OBLIGATIONS - 1.1%

       

GSE Risk Share Floating Rate - 0.6%

       

Federal National Mortgage Association Connecticut Avenue Securities

       

Series 2014-C04, Class 1M2

       

5.055%, 11/25/24 (d)

     1,636           1,645,865   

Series 2014-HQ3, Class M3

       

4.92%, 10/25/24

     580           569,617   

Structured Agency Credit Risk Debt Notes

       

Series 2014-DN1, Class M1

       

1.17%, 2/25/24 (d)

     766           759,728   

Series 2014-DN2, Class M1

       

1.02%, 4/25/24 (d)

     680           674,409   


      Principal
Amount

(000)
       U.S. $ Value  

Series 2014-DN2, Class M3

       

3.77%, 4/25/24

   U.S.$ 950         $ 874,757   

Series 2014-HQ1, Class M1

       

1.82%, 8/25/24 (d)

     770           768,886   

Series 2014-HQ2, Class M1

       

1.62%, 9/25/24 (d)

         1,051           1,044,686   
       

 

 

 
          6,337,948   
       

 

 

 

Non-Agency Fixed Rate - 0.5%

       

Alternative Loan Trust

       

Series 2005-57CB, Class 4A3

       

5.50%, 12/25/35

     2,327           2,138,037   

Series 2006-9T1, Class A1

       

5.75%, 5/25/36

     501           424,686   

JP Morgan Mortgage Trust 2006-A1

       

Series 2006-A1, Class 2A2

       

2.651%, 2/25/36

     1,046           944,093   

Sequoia Mortgage Trust

       

Series 2013-6, Class A1

       

2.50%, 5/25/43

     1,398           1,313,805   
       

 

 

 
          4,820,621   
       

 

 

 

Agency Fixed Rate - 0.0%

       

Federal National Mortgage Association REMICS

       

Series 2010-117, Class DI

       

4.50%, 5/25/25

     3,388           373,141   
       

 

 

 

Total Collateralized Mortgage Obligations
(cost $11,574,302)

          11,531,710   
       

 

 

 

QUASI-SOVEREIGNS - 0.7%

       

Quasi-Sovereign Bonds - 0.7%

       

Chile - 0.2%

       

Empresa de Transporte de Pasajeros Metro SA

       

4.75%, 2/04/24 (a)

     1,803           1,866,178   
       

 

 

 

China - 0.3%

       

CNOOC Curtis Funding No. 1 Pty Ltd.

       

4.50%, 10/03/23 (a)

     497           523,010   

Sinopec Group Overseas Development 2013 Ltd.

       

4.375%, 10/17/23 (a)

     745           780,428   

State Grid Overseas Investment 2014 Ltd.

       

4.125%, 5/07/24 (a)

     1,651           1,735,791   
       

 

 

 
          3,039,229   
       

 

 

 

South Korea - 0.0%

       

Korea Development Bank (The)

       

3.25%, 3/09/16

     509           520,992   
       

 

 

 

United Arab Emirates - 0.2%

       

MDC-GMTN B.V.

       

3.25%, 4/28/22 (a)

     1,850           1,877,750   
       

 

 

 

Total Quasi-Sovereigns
(cost $7,037,578)

          7,304,149   
       

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

AGENCIES - 0.5%

       

Agency Debentures - 0.5%

       

Residual Funding Corp. Principal Strip
Zero Coupon, 7/15/20
(cost $5,240,470)

   U.S.$ 6,490         $ 5,764,450   
       

 

 

 

GOVERNMENTS - SOVEREIGN AGENCIES - 0.5%

       

Canada - 0.0%

       

NOVA Chemicals Corp.

       

5.25%, 8/01/23 (a)

     295           297,950   
       

 

 

 

France - 0.1%

       

Dexia Credit Local SA/New York, NY

       

1.25%, 10/18/16 (a)

     399           400,578   

1.50%, 10/07/17 (a)

     735           737,459   
       

 

 

 
          1,138,037   
       

 

 

 

Germany - 0.1%

       

Landwirtschaftliche Rentenbank

       

3.75%, 2/11/16 (a)

   EUR  496           625,106   
       

 

 

 

Israel - 0.1%

       

Israel Electric Corp. Ltd.

       

5.00%, 11/12/24 (a)

   U.S.$ 776           781,820   
       

 

 

 

Qatar - 0.0%

       

Ooredoo International Finance Ltd.

       

3.875%, 1/31/28 (a)

     200           191,532   
       

 

 

 

United Arab Emirates - 0.1%

       

Abu Dhabi National Energy Co.

       

3.875%, 5/06/24 (a)

     770           778,469   
       

 

 

 

United Kingdom - 0.1%

       

Network Rail Infrastructure Finance PLC

       

4.40%, 3/06/16

   CAD      1,140           1,014,378   
       

 

 

 

Total Governments - Sovereign Agencies
(cost $5,039,314)

          4,827,292   
       

 

 

 

COVERED BONDS - 0.2%

       

Australia - 0.1%

       

National Australia Bank Ltd.

       

2.00%, 2/22/19 (a)

   U.S.$ 1,506           1,505,722   
       

 

 

 

Canada - 0.1%

       

Bank of Nova Scotia (The)

       

1.75%, 3/22/17 (a)

     743           750,630   
       

 

 

 

Spain - 0.0%

       

CaixaBank SA

       

Series 27

       

0.154%, 1/09/18 (d)

   EUR  200           239,211   
       

 

 

 

Total Covered Bonds
(cost $2,491,061)

          2,495,563   
       

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

LOCAL GOVERNMENTS - PROVINCIAL BONDS - 0.2%

       

Canada - 0.2%

       

Province of British Columbia

       

3.25%, 12/18/21

   CAD 1,337         $ 1,236,892   

Province of Manitoba Canada

       

3.85%, 12/01/21

     1,220           1,164,408   
       

 

 

 

Total Local Governments - Provincial Bonds
(cost $2,611,106)

          2,401,300   
       

 

 

 
     Shares           

SHORT-TERM INVESTMENTS - 11.6%

       

Investment Companies - 9.8%

       

AB Fixed Income Shares, Inc. -
Government STIF Portfolio, 0.09% (b)(e)
(cost $104,805,280)

     104,805,280           104,805,280   
       

 

 

 
     Principal
Amount
(000)
          

U.S. Treasury Bills - 1.8%

       

U.S. Treasury Bill
Zero Coupon, 1/08/15-2/26/15
(cost $19,369,767)

   $ 19,370           19,369,767   
       

 

 

 

Total Short-Term Investments
(cost $124,175,047)

          124,175,047   
       

 

 

 

Total Investments - 105.0%
(cost $1,121,150,170) (f)

          1,123,058,344   

Other assets less liabilities - (5.0)% (g)

          (53,407,067
       

 

 

 

Net Assets - 100.0%

        $ 1,069,651,277   
       

 

 

 

FUTURES

 

Type

   Number
of
Contracts
     Expiration
Month
     Original
Value
     Value at
December 31,
2014
     Unrealized
Appreciation/
(Depreciation)
 

Purchased Contracts

              

10 Yr Japan Bond (OSE) Futures

     8         March 2015       $ 9,817,376       $ 9,870,763       $ 53,387   

Euro STOXX 50 Futures

     628         March 2015         22,764,145         23,808,028         1,043,883   

FTSE 100 Index Futures

     139         March 2015         13,564,583         14,130,706         566,123   

Hang Seng Index Futures

     13         January 2015         1,962,470         1,982,275         19,805   

Long GILT Futures

     2         March 2015         362,690         372,599         9,909   

SPI 200 Futures

     37         March 2015         3,883,162         4,065,080         181,918   

TOPIX Index Futures

     258         March 2015         30,896,533         30,316,831         (579,702

Sold Contracts

              

10 Yr Japan Bond (OSE) Futures

     103         March 2015         126,399,332         127,086,074         (686,742


Type

   Number
of
Contracts
     Expiration
Month
     Original
Value
     Value at
December 31,
2014
     Unrealized
Appreciation/
(Depreciation)
 

Long GILT Futures

     6         March 2015       $ 1,110,681       $ 1,117,798       $ (7,117

U.S. Long Bond (CBT) Futures

     15         March 2015         2,101,854         2,168,438         (66,584

U.S. T-Note 5 Yr (CBT) Futures

     178         March 2015         21,164,081         21,169,483         (5,402

U.S. T-Note 2 Yr (CBT) Futures

     38         March 2015         8,317,789         8,306,563         11,226   

U.S. T-Note 10 Yr (CBT) Futures

     240         March 2015         30,241,532         30,431,250         (189,718

U.S. Ultra Bond Futures

     5         March 2015         784,485         825,938         (41,453
              

 

 

 
               $ 309,533   
              

 

 

 

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty

   Contracts to
Deliver
(000)
     In Exchange
For
(000)
     Settlement
Date
     Unrealized
Appreciation/
(Depreciation)
 

Barclays Bank PLC

     JPY         316,689         USD         2,968         2/18/15       $ 323,256   

BNP Paribas SA

     USD         1,555         CAD         1,767         1/14/15         (34,935

BNP Paribas SA

     MXN         45,439         USD         3,344         1/15/15         265,554   

BNP Paribas SA

     JPY         100,554         USD         843         1/23/15         2,955   

BNP Paribas SA

     SGD         1,680         USD         1,279         1/23/15         11,572   

BNP Paribas SA

     GBP         253         USD         395         1/27/15         1,529   

BNP Paribas SA

     AUD         7,614         USD         6,302         1/30/15         97,861   

BNP Paribas SA

     NZD         4,340         USD         3,336         2/13/15         (37,134

BNP Paribas SA

     AUD         4,736         USD         3,915         2/18/15         60,915   

BNP Paribas SA

     GBP         3,576         USD         5,763         2/18/15         191,800   

BNP Paribas SA

     JPY         346,326         USD         3,245         2/18/15         352,448   

BNP Paribas SA

     USD         3,464         AUD         3,992         2/18/15         (214,870

BNP Paribas SA

     USD         7,102         GBP         4,424         2/18/15         (209,151

Citibank

     SEK         8,496         USD         1,136         1/22/15         46,086   

Credit Suisse International

     EUR         5,161         USD         6,352         1/09/15         107,091   

Credit Suisse International

     GBP         24,544         USD         38,594         1/27/15         347,259   

Credit Suisse International

     USD         1,930         EUR         1,551         2/18/15         (52,594

Deutsche Bank AG

     USD         3,885         EUR         3,078         2/18/15         (158,548

Deutsche Bank AG

     USD         9,581         JPY         1,084,073         2/18/15         (526,772

Goldman Sachs Bank USA

     BRL         16,898         USD         6,467         1/05/15         109,236   

Goldman Sachs Bank USA

     USD         6,364         BRL         16,898         1/05/15         (6,396

Goldman Sachs Bank USA

     EUR         41,396         USD         51,973         1/09/15         1,879,194   

Goldman Sachs Bank USA

     ZAR         23,874         USD         2,127         1/14/15         66,380   

Goldman Sachs Bank USA

     MXN         11,240         USD         757         1/15/15         (4,047

Goldman Sachs Bank USA

     BRL         9,451         USD         3,530         2/03/15         1,464   

Goldman Sachs Bank USA

     AUD         5,177         USD         4,507         2/18/15         294,116   

Goldman Sachs Bank USA

     EUR         4,133         USD         5,123         2/18/15         119,889   

Goldman Sachs Bank USA

     JPY         212,323         USD         1,963         2/18/15         189,881   

JPMorgan Chase Bank

     EUR         3,433         USD         4,311         1/09/15         155,911   

JPMorgan Chase Bank

     MXN         58,563         USD         4,309         1/15/15         342,186   

Morgan Stanley & Co., Inc.

     USD         2,802         EUR         2,232         1/09/15         (101,012

Morgan Stanley & Co., Inc.

     USD         1,976         JPY         236,142         1/23/15         (3,822

Royal Bank of Scotland PLC

     MXN         33,247         USD         2,281         1/15/15         29,144   

Royal Bank of Scotland PLC

     MXN         22,005         USD         1,482         1/15/15         (8,538

Royal Bank of Scotland PLC

     USD         4,303         MXN         58,982         1/15/15         (307,246

Royal Bank of Scotland PLC

     JPY         2,361,000         USD         19,732         1/23/15         18,096   

Royal Bank of Scotland PLC

     AUD         15,023         USD         12,444         1/30/15         201,684   

Royal Bank of Scotland PLC

     EUR         949         USD         1,156         2/18/15         6,994   


Counterparty

   Contracts to
Deliver
(000)
     In Exchange
For
(000)
     Settlement
Date
     Unrealized
Appreciation/
(Depreciation)
 

State Street Bank & Trust Co.

     BRL         2,005         USD         777         1/05/15       $ 22,375   

State Street Bank & Trust Co.

     EUR         163         USD         200         1/09/15         3,162   

State Street Bank & Trust Co.

     EUR         680         USD         823         1/09/15         (155

State Street Bank & Trust Co.

     USD         82         EUR         66         1/09/15         (1,193

State Street Bank & Trust Co.

     CAD         12,910         USD         11,366         1/14/15         256,652   

State Street Bank & Trust Co.

     USD         19         CAD         22         1/14/15         46   

State Street Bank & Trust Co.

     MXN         3,904         USD         263         1/15/15         (957

State Street Bank & Trust Co.

     USD         162         MXN         2,375         1/15/15         (1,256

State Street Bank & Trust Co.

     USD         34         JPY         4,151         1/23/15         169   

State Street Bank & Trust Co.

     PLN         5,281         USD         1,571         1/28/15         80,689   

State Street Bank & Trust Co.

     AUD         474         USD         384         1/30/15         (2,057

State Street Bank & Trust Co.

     CAD         29         USD         25         2/18/15         404   

State Street Bank & Trust Co.

     EUR         30         USD         38         2/18/15         1,643   

State Street Bank & Trust Co.

     USD         1,777         EUR         1,442         2/18/15         (31,354

State Street Bank & Trust Co.

     USD         204         JPY         22,085         2/18/15         (19,232
                 

 

 

 
                  $ 3,866,372   
                 

 

 

 

CENTRALLY CLEARED CREDIT DEFAULT SWAPS

 

Clearing Broker/(Exchange) & Referenced Obligation

   Fixed Rate
(Pay)
Receive
    Implied Credit
Spread at
December 31, 2014
    Notional
Amount
(000)
     Market
Value
     Unrealized
Appreciation/
(Depreciation)
 

Sale Contracts

            

Citigroup Global Markets, Inc./(INTRCONX):

            

CDX-NAHY
Series 23, 5 Year Index, 12/20/19*

     5.00     3.53     4,700       $ 298,324       $ (27,702

CDX-NAIG
Series 23, 5 Year Index, 12/20/19*

     1.00     0.66     15,660         256,087         (12,836
         

 

 

    

 

 

 
          $ 554,411       $ (40,538
         

 

 

    

 

 

 

 

* Termination date

CENTRALLY CLEARED INTEREST RATE SWAPS

 

                   Rate Type         

Clearing Broker/(Exchange)

   Notional
Amount
(000)
     Termination
Date
     Payments
made
by the
Fund
    Payments
received
by the
Fund
     Unrealized
Appreciation/
(Depreciation)
 

Citigroup Global Markets, Inc./(LCH Clearnet)

     2,300         12/18/17         1.174     3 Month LIBOR       $ 5,763   


                   Rate Type         

Clearing Broker/(Exchange)

   Notional
Amount
(000)
     Termination
Date
     Payments
made

by the
Fund
    Payments
received

by the
Fund
     Unrealized
Appreciation/
(Depreciation)
 

Citigroup Global Markets, Inc./(LCH Clearnet)

     2,650         11/12/24         2.464     3MonthLIBOR       $ (51,406
             

 

 

 
              $ (45,643
             

 

 

 

CREDIT DEFAULT SWAPS

 

Swap Counterparty & Referenced Obligation

   Fixed Rate
(Pay)
Receive
    Implied Credit
Spread at
December 31, 2014
    Notional
Amount
(000)
     Market
Value
     Upfront
Premiums
Paid
(Received)
    Unrealized
Appreciation/
(Depreciation)
 

Sale Contracts

              

Barclays Bank PLC:

              

Kohl’s Corp.,

              

6.25%, 12/15/17, 12/20/19*

     1.00     0.98   $ 750       $ 331       $ (7,973   $ 8,304   
              

 

 

 

 

* Termination date

INFLATION (CPI) SWAPS

 

                   Rate Type        

Swap Counterparty

   Notional
Amount
(000)
     Termination
Date
     Payments
made

by the
Fund
    Payments
received
by the
Fund
    Unrealized
Appreciation/
(Depreciation)
 

Barclays Bank PLC

   $ 2,200         1/15/16         CPI     0.970   $ 32,045   

Barclays Bank PLC

     2,850         7/15/16         1.433     CPI     (40,034

Citibank

     2,200         1/15/16         0.945     CPI     (31,411
            

 

 

 
             $ (39,400
            

 

 

 

 

# Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).

TOTAL RETURN SWAPS

 

Counterparty & Referenced Obligation

   # of Shares
or Units
     Rate Paid/
Received
    Notional
Amount (000)
     Maturity
Date
     Unrealized
Appreciation/
(Depreciation)
 

Receive Total Return on Reference Obligation

             

Bank of America, NA

             

SPDR S&P 500 ETF Trust

     16,541         LIBOR Plus 0.27   USD  3,300         6/15/15       $ 98,526   

SPDR S&P 500 ETF Trust

     2,275         LIBOR Plus 0.27   USD  454         6/15/15         13,551   

Citibank

             

MSCI Daily TR Net EAFE

     4,408         LIBOR Plus 0.05   USD  20,907         5/6/15         553,389   

Goldman Sachs International

             

Russell 2000 Total Return Index

     846         LIBOR Minus 0.60   USD  4,743         2/26/15         65,355   

Standard and Poor’s Midcap 400 Index

     195         LIBOR Plus 0.07   USD  399         2/26/15         7   

Standard and Poor’s Midcap 400 Index

     2,960         LIBOR Plus 0.14   USD  5,808         3/16/15         254,373   
             

 

 

 
              $ 985,201   
             

 

 

 


 

(a) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2014, the aggregate market value of these securities amounted to $131,681,117 or 12.3% of net assets.
(b) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(c) Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date.
(d) Floating Rate Security. Stated interest rate was in effect at December 31, 2014.
(e) To obtain a copy of the fund’s financial statements, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AllianceBernstein at (800) 227-4618.
(f) As of December 31, 2014, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $18,638,966 and gross unrealized depreciation of investments was $(16,730,792), resulting in net unrealized appreciation of $1,908,174.
(g) An amount of U.S. $4,909,719 has been segregated to collateralize margin requirements for the open futures contracts at December 31, 2014.

Currency Abbreviations:

 

AUD    -    Australian Dollar
BRL    -    Brazilian Real
CAD    -    Canadian Dollar
EUR    -    Euro
GBP    -    Great British Pound
JPY    -    Japanese Yen
MXN    -    Mexican Peso
NZD    -    New Zealand Dollar
PLN    -    Polish Zloty
SEK    -    Swedish Krona
SGD    -    Singapore Dollar
USD    -    United States Dollar
ZAR    -    South African Rand

Glossary:

 

ABS    -    Asset-Backed Securities
BTAN    -    Bon à Taux Annuel Normalisé
CBT    -    Chicago Board of Trade
CDX-NAHY    -    North American High Yield Credit Default Swap Index
CDX-NAIG    -    North American Investment Grade Credit Default Swap Index
CMBS    -    Commercial Mortgage-Backed Securities
CPI    -    Consumer Price Index
ETF    -    Exchange Traded Fund
FTSE    -    Financial Times Stock Exchange
GSE    -    Government-Sponsored Enterprise
INTRCONX    -    Inter-Continental Exchange
LCH    -    London Clearing House
LIBOR    -    London Interbank Offered Rates
MSCI    -    Morgan Stanley Capital International
OAT    -    Obligations Assimilables du Trésor
OSE    -    Osaka Securities Exchange
REIT    -    Real Estate Investment Trust
SPDR    -    Standard & Poor’s Depository Receipt
SPI    -    Share Price Index

Country Breakdown*

December 31, 2014 (unaudited)

 

  81.7%        

United States

  5.0%        

United Kingdom

  1.8%        

Netherlands

  1.6%        

Japan

  1.2%        

Italy

  1.0%        

France

  0.9%        

Mexico

  0.8%        

Canada

  0.6%        

Brazil

  0.6%        

China

  0.5%        

Belgium

  0.5%        

Ireland

  0.5%        

Australia

  3.3%        

Other

 

 

      
  100.0%        

Total Investments

 

 

      

 

* All data are as of December 31, 2014. The Portfolio’s country breakdown is expressed as a percentage of long-term investments and may vary over time. “Other” country weightings represent 0.4% or less in the following countries: Chile, Germany, Hong Kong, India, Israel, Luxembourg, New Zealand, Peru, Poland, Portugal, Qatar, Singapore, South Africa, South Korea, Spain, Sweden, Switzerland and United Arab Emirates.


Sanford C. Bernstein Fund, Inc.

Overlay B Portfolio

December 31, 2014 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolio. Unobservable inputs reflect the Portfolio’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

   

Level 1—quoted prices in active markets for identical investments

   

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

   

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

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

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.

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

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2014:

 

Investments in Securities:

   Level 1     Level 2     Level 3     Total  

Assets:

        

Governments - Treasuries

   $ – 0  –    $     304,823,495      $ – 0  –    $     304,823,495   

Investment Companies

         259,974,435        – 0  –      – 0  –      259,974,435   

Corporates - Investment Grade

     – 0  –      130,391,724        – 0  –      130,391,724   

Inflation-Linked Securities

     – 0  –      125,723,367        – 0  –      125,723,367   

Mortgage Pass-Throughs

     – 0  –      76,250,520        – 0  –      76,250,520   

Commercial Mortgage-Backed Securities

     – 0  –      24,070,700        7,835,057        31,905,757   

Asset-Backed Securities

     – 0  –      17,242,415        2,532,949        19,775,364   

Corporates - Non-Investment Grade

     – 0  –      15,714,171        – 0  –      15,714,171   

Collateralized Mortgage Obligations

     – 0  –      373,141            11,158,569        11,531,710   

Quasi-Sovereigns

     – 0  –      7,304,149        – 0  –      7,304,149   

Agencies

     – 0  –      5,764,450        – 0  –      5,764,450   

Governments - Sovereign Agencies

     – 0  –      4,827,292        – 0  –      4,827,292   

Covered Bonds

     – 0  –      2,495,563        – 0  –      2,495,563   


Local Governments - Provincial Bonds

     – 0  –      2,401,300        – 0  –      2,401,300   

Short-Term Investments

        

Investment Companies

     104,805,280        – 0  –      – 0  –      104,805,280   

U.S. Treasury Bills

     – 0  –      19,369,767        – 0  –      19,369,767   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments in Securities

     364,779,715        736,752,054        21,526,575        1,123,058,344   

Other Financial Instruments*:

        

Assets:

        

Futures

     74,522        1,811,729        – 0  –      1,886,251   

Forward Currency Exchange Contracts

     – 0  –      5,587,641        – 0  –      5,587,641   

Centrally Cleared Interest Rate Swaps

     – 0  –      5,763        – 0  –      5,763   

Credit Default Swaps

     – 0  –      8,304        – 0  –      8,304   

Inflation (CPI) Swaps

     – 0  –      32,045        – 0  –      32,045   

Total Return Swaps

     – 0  –      985,201        – 0  –      985,201   

Liabilities:

        

Futures

     (997,016     (579,702     – 0  –      (1,576,718

Forward Currency Exchange Contracts

     – 0  –      (1,721,269     – 0  –      (1,721,269

Centrally Cleared Credit Default Swaps

     – 0  –      (40,538     – 0  –      (40,538

Centrally Cleared Interest Rate Swaps

     – 0  –      (51,406     – 0  –      (51,406

Inflation (CPI) Swaps

     – 0  –      (71,445     – 0  –      (71,445
  

 

 

   

 

 

   

 

 

   

 

 

 

Total^

   $     363,857,221      $     742,718,377      $     21,526,575      $     1,128,102,173   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
^ There were no transfers between any levels during the reporting period.

Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

 

     Commercial
Mortgage-Backed
Securities
    Asset-Backed
Securities
    Collateralized
Mortgage  Obligations
 

Balance as of 9/30/14

   $ 2,832,949      $ – 0  –    $ 11,188,339   

Accrued discounts/(premiums)

     (4,351     (121     3,314   

Realized gain (loss)

     (963     – 0  –      (117,102

Change in unrealized appreciation/depreciation

     (107,876     (12,470     243,749   

Purchases

     5,122,406        2,545,540        6,573,901   

Sales

     (7,108     – 0  –      (6,733,633

Transfers in to Level 3

     – 0  –      – 0  –      – 0  – 

Transfers out of Level 3

     – 0  –      – 0  –      – 0  – 
  

 

 

   

 

 

   

 

 

 

Balance as of 12/31/14

   $     7,835,057      $     2,532,949      $     11,158,568   
  

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation/depreciation from investments held as of 12/31/14

   $ (107,876   $ (12,470   $ 243,751   
  

 

 

   

 

 

   

 

 

 
     Total              

Balance as of 9/30/14

   $ 14,021,288       

Accrued discounts/(premiums)

     (1,158    

Realized gain (loss)

     (118,065    

Change in unrealized appreciation/depreciation

     123,403       

Purchases

         14,241,847       

Sales

     (6,740,741    

Transfers in to Level 3

     – 0  –     

Transfers out of Level 3

     – 0  –     
  

 

 

     

Balance as of 12/31/14

   $      21,526,574                                                                        
  

 

 

     

Net change in unrealized appreciation/depreciation from investments held as of 12/31/14

   $ 123,405       
  

 

 

     


As of December 31, 2014 all Level 3 securities were priced by third party vendors or at cost, which approximates fair value.

The Adviser has established a Valuation Committee (the “Committee”) which is responsible for overseeing the pricing and valuation of all securities held in the Portfolio. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily compare of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).


Sanford C. Bernstein Fund, Inc. - Tax-Aware Overlay A Portfolio

Portfolio of Investments

December 31, 2014 (unaudited)

 

Company

   Shares        U.S. $ Value  

COMMON STOCKS - 66.0%

       

Financials - 13.0%

       

Banks - 4.5%

       

Associated Banc-Corp

     22,650         $ 421,969   

Australia & New Zealand Banking Group Ltd.

     69,850           1,817,493   

Axis Bank Ltd.

     101,180           799,875   

Banco Bradesco SA (Preference Shares)

     16,700           220,263   

Banco Davivienda SA (Preference Shares)

     35,414           418,739   

Banco do Brasil SA

     76,100           680,497   

Banco Macro SA (ADR)

     3,140           137,312   

Bangkok Bank PCL (NVDR)

     95,200           559,167   

Bank Hapoalim BM

     331,910           1,560,683   

Bank Mandiri Persero Tbk PT

     1,219,500           1,060,523   

Bank of America Corp.

     1,567,823           28,048,353   

Bank of Baroda

     2,480           42,395   

Bank of China Ltd.-Class H

     3,950,000           2,217,013   

Bank of Communications Co., Ltd.-Class H

     320,000           296,293   

Bank of Montreal

     17,640           1,247,767   

Bank of Queensland Ltd.

     228,360           2,249,784   

BOC Hong Kong Holdings Ltd.

     597,000           1,985,455   

China CITIC Bank Corp. Ltd.-Class H

     556,000           442,552   

China Construction Bank Corp.-Class H

     3,548,000           2,888,846   

China Merchants Bank Co., Ltd.-Class H

     334,500           834,963   

Comerica, Inc.

     13,040           610,794   

Commerzbank AG (a)

     172,870           2,267,465   

Credicorp Ltd.

     6,290           1,007,532   

Danske Bank A/S

     214,430           5,797,296   

DBS Group Holdings Ltd.

     163,000           2,523,456   

DGB Financial Group, Inc.

     51,500           529,375   

First Niagara Financial Group, Inc.

     39,540           333,322   

First Republic Bank/CA

     9,865           514,164   

Hang Seng Bank Ltd.

     63,000           1,047,089   

HDFC Bank Ltd. (ADR)

     23,900           1,212,925   

HSBC Holdings PLC

     589,360           5,569,311   

Huntington Bancshares, Inc./OH

     58,680           617,314   

Iberiabank Corp.

     6,410           415,688   

ICICI Bank Ltd.

     63,600           353,078   

ICICI Bank Ltd. (Sponsored ADR)

     30,600           353,430   

Industrial & Commercial Bank of China Ltd.-Class H

     1,564,000           1,142,020   

ING Groep NV (a)

     244,140           3,154,205   

Itausa - Investimentos Itau SA (Preference Shares)

     226,000           798,337   

JPMorgan Chase & Co.

     255,200           15,970,416   

Kasikornbank PCL (NVDR)

     80,600           557,449   

KB Financial Group, Inc.

     61,840           2,021,798   

Komercni banka AS

     5,242           1,078,809   

Mitsubishi UFJ Financial Group, Inc.

     762,500           4,189,346   

National Bank of Canada

     21,920           932,798   

Popular, Inc. (a)

     16,840           573,402   

Punjab National Bank

     7,800           26,860   

Resona Holdings, Inc.

     524,400           2,649,007   

Seven Bank Ltd.

     613,200           2,573,898   

Shinhan Financial Group Co., Ltd.

     17,770           714,267   

Signature Bank/New York NY (a)

     5,287           665,951   

Societe Generale SA

     107,915           4,516,261   

State Bank of India

     41,600           204,954   

Susquehanna Bancshares, Inc.

     42,500           570,775   

SVB Financial Group (a)

     5,100           591,957   


Company

   Shares        U.S. $ Value  

Synovus Financial Corp.

     13,330           361,110   

Toronto-Dominion Bank (The)

     45,500           2,173,958   

UniCredit SpA

     962,420           6,164,890   

US Bancorp/MN

     340,600           15,309,970   

Webster Financial Corp.

     11,260           366,288   

Wells Fargo & Co.

     774,000           42,430,680   

Zions Bancorporation

     17,980           512,610   
       

 

 

 
          181,334,197   
       

 

 

 

Capital Markets - 1.1%

       

Affiliated Managers Group, Inc. (a)

     46,093           9,782,778   

China Cinda Asset Management Co., Ltd.-Class H (a)

     128,800           62,702   

Daiwa Securities Group, Inc.

     968,000           7,579,572   

E*TRADE Financial Corp. (a)

     19,800           480,249   

Goldman Sachs Group, Inc. (The)

     71,600           13,878,228   

Lazard Ltd.-Class A

     13,064           653,592   

Partners Group Holding AG

     6,350           1,847,450   

Stifel Financial Corp. (a)

     9,370           478,057   

UBS Group AG (a)

     542,153           9,319,448   
       

 

 

 
          44,082,076   
       

 

 

 

Consumer Finance - 1.5%

       

American Express Co.

     277,958           25,861,212   

Capital One Financial Corp.

     286,100           23,617,555   

Muthoot Finance Ltd.

     138,595           420,467   

Shriram Transport Finance Co., Ltd.

     53,880           939,852   

SLM Corp.

     911,110           9,284,211   
       

 

 

 
          60,123,297   
       

 

 

 

Diversified Financial Services - 0.6%

       

Cerved Information Solutions SpA (a)

     164,669           869,611   

Challenger Ltd./Australia

     369,920           1,954,115   

Cielo SA

     21,000           329,196   

Intercontinental Exchange, Inc.

     61,300           13,442,477   

ORIX Corp.

     480,500           6,046,031   

Power Finance Corp. Ltd.

     95,370           453,019   

Premium Leisure Corp. (a)

     6,889,000           327,373   
       

 

 

 
          23,421,822   
       

 

 

 

Insurance - 4.0%

       

Admiral Group PLC

     346,347           7,105,342   

AIA Group Ltd.

     1,754,800           9,644,892   

Allstate Corp. (The)

     252,358           17,728,150   

American Financial Group, Inc./OH

     10,700           649,704   

American International Group, Inc.

     467,895           26,206,799   

Aon PLC

     188,551           17,880,291   

Aspen Insurance Holdings Ltd.

     13,860           606,652   

Assurant, Inc.

     96,538           6,606,095   

BB Seguridade Participacoes SA

     105,800           1,280,012   

Chubb Corp. (The)

     122,100           12,633,687   

CNO Financial Group, Inc.

     35,050           603,561   

Direct Line Insurance Group PLC

     380,490           1,721,182   

Everest Re Group Ltd.

     35,400           6,028,620   

Gjensidige Forsikring ASA

     135,020           2,203,174   

Hanover Insurance Group, Inc. (The)

     8,620           614,778   

Lincoln National Corp.

     103,620           5,975,765   


Company

   Shares        U.S. $ Value  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen

     45,190           8,999,019   

PartnerRe Ltd.

     195,254           22,284,339   

Prudential PLC

     283,260           6,548,822   

StanCorp Financial Group, Inc.

     5,880           410,777   

Suncorp Group Ltd.

     242,731           2,772,906   

Topdanmark A/S (a)

     43,620           1,415,756   

Tryg A/S

     14,810           1,654,824   

Validus Holdings Ltd.

     12,600           523,656   
       

 

 

 
          162,098,803   
       

 

 

 

Real Estate Investment Trusts (REITs) - 0.6%

       

American Tower Corp.

     202,900           20,056,665   

DDR Corp.

     24,040           441,374   

DiamondRock Hospitality Co.

     40,150           597,030   

LTC Properties, Inc.

     13,541           584,565   

Medical Properties Trust, Inc.

     36,060           496,907   

Mid-America Apartment Communities, Inc.

     5,220           389,830   

Parkway Properties, Inc./Md

     22,998           422,933   

STAG Industrial, Inc.

     16,240           397,880   
       

 

 

 
          23,387,184   
       

 

 

 

Real Estate Management & Development - 0.5%

       

Ayala Land, Inc.

     2,702,400           2,015,117   

China Overseas Land & Investment Ltd.

     222,000           658,151   

China Vanke Co., Ltd.-Class H (a)

     240,900           533,164   

CIFI Holdings Group Co., Ltd.

     1,208,000           242,084   

Country Garden Holdings Co., Ltd.

     759,600           300,161   

Daito Trust Construction Co., Ltd.

     47,200           5,354,264   

Global Logistic Properties Ltd.

     4,449,000           8,294,724   

Huaku Development Co., Ltd.

     55,000           98,627   

Kaisa Group Holdings Ltd. (b)(c)

     422,000           86,526   

KWG Property Holding Ltd.

     1,131,000           770,158   

Mitsubishi Estate Co., Ltd.

     66,000           1,390,677   

Mitsui Fudosan Co., Ltd.

     10,000           268,155   

Pruksa Real Estate PCL

     441,900           386,159   

Shimao Property Holdings Ltd.

     171,500           380,680   

Sunac China Holdings Ltd.

     753,000           761,620   
       

 

 

 
          21,540,267   
       

 

 

 

Thrifts & Mortgage Finance - 0.2%

       

Essent Group Ltd. (a)

     16,533           425,063   

Housing Development Finance Corp., Ltd.

     311,670           5,574,460   

LIC Housing Finance Ltd.

     35,043           240,869   
       

 

 

 
          6,240,392   
       

 

 

 
          522,228,038   
       

 

 

 

Information Technology - 12.2%

       

Communications Equipment - 0.5%

       

Brocade Communications Systems, Inc.

     787,335           9,322,047   

BYD Electronic International Co., Ltd.

     750,500           721,807   

F5 Networks, Inc. (a)

     48,778           6,363,822   

Finisar Corp. (a)

     16,420           318,712   

Harris Corp.

     7,220           518,540   

Palo Alto Networks, Inc. (a)

     5,162           632,706   


Company

   Shares        U.S. $ Value  

VTech Holdings Ltd.

     104,000           1,494,020   
       

 

 

 
          19,371,654   
       

 

 

 

Electronic Equipment, Instruments & Components - 0.5%

       

Amphenol Corp.-Class A

     307,200           16,530,432   

Anixter International, Inc. (a)

     3,810           337,033   

Arrow Electronics, Inc. (a)

     10,950           633,896   

Avnet, Inc.

     14,160           609,163   

CDW Corp./DE

     14,490           509,613   

Innolux Corp.

     375,223           181,350   

Insight Enterprises, Inc. (a)

     18,320           474,305   

Jabil Circuit, Inc.

     16,880           368,490   

Ju Teng International Holdings Ltd.

     420,000           207,219   

LG Display Co., Ltd. (a)

     9,370           284,186   

TTM Technologies, Inc. (a)

     36,530           275,071   

Unimicron Technology Corp.

     295,000           223,438   

Vishay Intertechnology, Inc.

     41,980           594,017   

Yageo Corp.

     73,337           117,660   

Zebra Technologies Corp.-Class A (a)

     7,934           614,171   
       

 

 

 
          21,960,044   
       

 

 

 

Internet Software & Services - 1.9%

       

Alibaba Group Holding Ltd. (ADR) (a)

     3,909           406,302   

Baidu, Inc. (Sponsored ADR) (a)

     24,060           5,484,958   

CoStar Group, Inc. (a)

     2,833           520,224   

eBay, Inc. (a)

     263,600           14,793,232   

Facebook, Inc.-Class A (a)

     151,600           11,827,832   

Google, Inc.-Class A (a)

     33,600           17,830,176   

Google, Inc.-Class C (a)

     34,100           17,950,240   

HomeAway, Inc. (a)

     13,962           415,788   

Just Dial Ltd.

     15,534           332,565   

Pandora Media, Inc. (a)

     22,658           403,992   

Telecity Group PLC

     346,121           4,322,979   

Tencent Holdings Ltd.

     59,000           853,666   
       

 

 

 
          75,141,954   
       

 

 

 

IT Services - 2.7%

       

Amdocs Ltd.

     291,372           13,593,961   

Booz Allen Hamilton Holding Corp.

     240,810           6,388,689   

DH Corp.

     17,080           539,098   

Fidelity National Information Services, Inc.

     362,300           22,535,060   

Fiserv, Inc. (a)

     156,600           11,113,902   

Genpact Ltd. (a)

     24,840           470,221   

HCL Technologies Ltd.

     85,175           2,160,697   

Obic Co., Ltd.

     73,600           2,388,297   

QIWI PLC (Sponsored ADR)

     3,333           67,293   

Tata Consultancy Services Ltd.

     53,280           2,164,203   

VeriFone Systems, Inc. (a)

     14,254           530,249   

Visa, Inc.-Class A

     115,000           30,153,000   

Xerox Corp.

     1,273,100           17,645,166   
       

 

 

 
          109,749,836   
       

 

 

 

Semiconductors & Semiconductor Equipment - 0.8%

       

Advanced Micro Devices, Inc. (a)

     62,490           166,848   


Company

   Shares        U.S. $ Value  

Advanced Semiconductor Engineering, Inc.

     2,464,000           2,926,314   

Advanced Semiconductor Engineering, Inc. (ADR)

     114,420           701,395   

Cavium, Inc. (a)

     7,800           482,196   

Fairchild Semiconductor International, Inc. (a)

     21,140           356,843   

Infineon Technologies AG

     138,041           1,460,730   

Intersil Corp.-Class A

     25,599           370,418   

King Yuan Electronics Co., Ltd.

     369,000           294,401   

Kinsus Interconnect Technology Corp.

     224,000           740,122   

Lam Research Corp.

     7,660           607,744   

Mellanox Technologies Ltd. (a)

     10,910           466,184   

Novatek Microelectronics Corp.

     490,000           2,738,167   

NXP Semiconductors NV (a)

     111,800           8,541,520   

ON Semiconductor Corp. (a)

     42,110           426,574   

SK Hynix, Inc. (a)

     43,330           1,851,726   

Sumco Corp.

     182,100           2,606,962   

Taiwan Semiconductor Manufacturing Co., Ltd.

     740,000           3,260,049   

Teradyne, Inc.

     24,600           486,834   

Tokyo Electron Ltd.

     30,600           2,320,405   
       

 

 

 
          30,805,432   
       

 

 

 

Software - 2.9%

       

ANSYS, Inc. (a)

     250,300           20,524,600   

Aspen Technology, Inc. (a)

     11,162           390,893   

Barracuda Networks, Inc. (a)

     11,141           399,293   

Cadence Design Systems, Inc. (a)

     29,210           554,114   

Dassault Systemes

     50,513           3,080,301   

Electronic Arts, Inc. (a)

     572,800           26,930,192   

Guidewire Software, Inc. (a)

     9,110           461,239   

Microsoft Corp.

     799,971           37,158,653   

NetSuite, Inc. (a)

     56,274           6,143,433   

Open Text Corp.

     12,800           744,885   

Oracle Corp.

     154,500           6,947,865   

Oracle Corp. Japan

     72,700           2,962,251   

SAP SE

     12,707           887,309   

ServiceNow, Inc. (a)

     119,421           8,102,715   

SolarWinds, Inc. (a)

     14,529           723,980   

Tableau Software, Inc.-Class A (a)

     6,757           572,723   

Ultimate Software Group, Inc. (The) (a)

     3,986           585,205   
       

 

 

 
          117,169,651   
       

 

 

 

Technology Hardware, Storage & Peripherals - 2.9%

       

Apple, Inc. (d)

     464,832           51,308,156   

Asustek Computer, Inc.

     256,000           2,793,216   

Casetek Holdings Ltd.

     122,000           686,980   

Catcher Technology Co., Ltd.

     529,000           4,085,168   

EMC Corp./MA

     443,500           13,189,690   

Hewlett-Packard Co.

     945,200           37,930,876   

Inventec Corp.

     424,000           283,571   

Lite-On Technology Corp.

     240,596           274,852   

NCR Corp. (a)

     19,690           573,767   

Samsung Electronics Co., Ltd.

     1,710           2,055,837   

Samsung Electronics Co., Ltd. (GDR) (e)

     4,289           1,989,098   


Company

   Shares        U.S. $ Value  

Samsung Electronics Co., Ltd. (GDR) (London) (e)

     2,270           1,362,561   
       

 

 

 
          116,533,772   
       

 

 

 
          490,732,343   
       

 

 

 

Consumer Discretionary - 10.6%

       

Auto Components - 0.5%

       

Aisin Seiki Co., Ltd.

     100,800           3,621,585   

Cie Generale des Etablissements Michelin-Class B

     44,108           3,981,482   

Dana Holding Corp.

     22,500           489,150   

Lear Corp.

     5,970           585,538   

Plastic Omnium SA

     72,270           1,961,253   

Sumitomo Electric Industries Ltd.

     297,800           3,719,306   

Tenneco, Inc. (a)

     10,850           614,218   

TRW Automotive Holdings Corp. (a)

     4,010           412,429   

Valeo SA

     42,343           5,268,745   
       

 

 

 
          20,653,706   
       

 

 

 

Automobiles - 1.1%

       

Ford Motor Co.

     1,654,800           25,649,400   

Great Wall Motor Co., Ltd.-Class H

     578,500           3,283,397   

Honda Motor Co., Ltd.

     197,800           5,803,111   

Hyundai Motor Co.

     2,880           439,938   

Hyundai Motor Co. (Preference Shares)

     1,019           116,348   

Kia Motors Corp.

     11,400           541,682   

Tata Motors Ltd. (Sponsored ADR)

     25,520           1,078,986   

Tata Motors Ltd.-Class A

     51,750           273,933   

Thor Industries, Inc.

     8,020           448,077   

Toyota Motor Corp.

     133,800           8,338,061   
       

 

 

 
          45,972,933   
       

 

 

 

Distributors - 0.0%

       

LKQ Corp. (a)

     28,491           801,167   
       

 

 

 

Diversified Consumer Services - 0.3%

       

Bright Horizons Family Solutions, Inc. (a)

     12,832           603,232   

Estacio Participacoes SA

     394,500           3,535,095   

Grand Canyon Education, Inc. (a)

     15,833           738,768   

Kroton Educacional SA

     743,000           4,332,444   

New Oriental Education & Technology Group, Inc. (ADR) (a)

     27,073           552,560   

TAL Education Group (ADR) (a)

     37,870           1,063,768   
       

 

 

 
          10,825,867   
       

 

 

 

Hotels, Restaurants & Leisure - 1.2%

       

Ajisen China Holdings Ltd.

     635,000           482,493   

Bloomin’ Brands, Inc. (a)

     30,580           757,161   

Buffalo Wild Wings, Inc. (a)

     3,513           633,675   

Galaxy Entertainment Group Ltd.

     160,000           889,074   

Melco International Development Ltd.

     1,277,000           2,798,772   

Merlin Entertainments PLC (e)

     542,386           3,356,093   

NagaCorp Ltd.

     322,000           262,400   

Norwegian Cruise Line Holdings Ltd. (a)

     9,749           455,863   

Oriental Land Co., Ltd./Japan

     6,700           1,545,113   

Sands China Ltd.

     175,600           855,966   


Company

   Shares        U.S. $ Value  

Sodexo SA

     43,690           4,276,564   

Starbucks Corp.

     332,200           27,257,010   

TABCORP Holdings Ltd.

     181,090           611,308   

Tatts Group Ltd.

     801,336           2,253,758   

Wyndham Worldwide Corp.

     6,640           569,446   

Yum! Brands, Inc.

     38,440           2,800,355   
       

 

 

 
          49,805,051   
       

 

 

 

Household Durables - 0.1%

       

Even Construtora e Incorporadora SA

     135,000           276,277   

Hanssem Co., Ltd.

     2,846           295,822   

Helen of Troy Ltd. (a)

     6,950           452,167   

Meritage Homes Corp. (a)

     14,440           519,696   

PulteGroup, Inc.

     21,410           459,459   

Rossi Residencial SA (a)

     39,960           50,961   

Skyworth Digital Holdings Ltd.

     1,140,000           616,920   

Tempur Sealy International, Inc. (a)

     10,670           585,890   
       

 

 

 
          3,257,192   
       

 

 

 

Internet & Catalog Retail - 0.5%

       

JD.com, Inc. (ADR) (a)

     17,587           406,963   

Just Eat PLC (a)

     378,133           1,825,243   

Priceline Group, Inc. (The) (a)

     16,148           18,412,111   

Vipshop Holdings Ltd. (ADR) (a)

     42,150           823,611   
       

 

 

 
          21,467,928   
       

 

 

 

Leisure Products - 0.4%

       

Polaris Industries, Inc.

     91,711           13,870,372   
       

 

 

 

Media - 2.3%

       

AMC Networks, Inc.-Class A (a)

     5,460           348,184   

Cineplex, Inc.

     24,670           951,933   

Comcast Corp.-Class A

     382,200           22,171,422   

CTS Eventim AG & Co. KGaA

     20,480           603,376   

Liberty Global PLC-Class A (a)

     9,413           472,580   

Liberty Global PLC-Series C (a)

     130,423           6,300,735   

Naspers Ltd.-Class N

     68,255           8,829,134   

Reed Elsevier PLC

     119,610           2,043,176   

Sky PLC

     62,930           878,271   

Smiles SA

     32,600           564,754   

Surya Citra Media Tbk PT

     558,500           157,610   

Thomson Reuters Corp.

     77,440           3,124,129   

Time Warner, Inc.

     226,788           19,372,231   

Walt Disney Co. (The)

     292,498           27,550,387   
       

 

 

 
          93,367,922   
       

 

 

 

Multiline Retail - 0.7%

       

B&M European Value Retail SA

     1,229,290           5,460,522   

Big Lots, Inc.

     12,870           515,057   

Canadian Tire Corp., Ltd.-Class A

     5,480           578,942   

Dillard’s, Inc.-Class A

     4,060           508,231   

Dollar General Corp. (a)

     212,300           15,009,610   

Matahari Department Store Tbk PT

     461,000           555,487   

Next PLC

     16,110           1,708,577   


Company

   Shares        U.S. $ Value  

Poundland Group PLC (a)

     458,090           2,343,281   
       

 

 

 
          26,679,707   
       

 

 

 

Specialty Retail - 2.1%

       

AutoZone, Inc. (a)

     21,400           13,248,954   

Brown Shoe Co., Inc.

     14,380           462,317   

Cabela’s, Inc. (a)

     6,360           335,236   

Children’s Place, Inc. (The)

     10,050           572,850   

Chow Tai Fook Jewellery Group Ltd.

     226,743           303,675   

Fielmann AG

     10,600           723,921   

Five Below, Inc. (a)

     19,819           809,210   

Foschini Group Ltd. (The)

     11,978           137,512   

GameStop Corp.-Class A

     345,242           11,669,180   

Home Depot, Inc. (The)

     310,000           32,540,700   

L’Occitane International SA

     47,000           118,793   

Luk Fook Holdings International Ltd.

     17,000           63,752   

Mr. Price Group Ltd.

     10,270           207,751   

Office Depot, Inc. (a)

     1,550,600           13,296,395   

Pier 1 Imports, Inc.

     25,580           393,932   

Shimamura Co., Ltd.

     18,700           1,613,752   

Sports Direct International PLC (a)

     404,687           4,451,845   

Tractor Supply Co.

     6,870           541,493   

Ulta Salon Cosmetics & Fragrance, Inc. (a)

     6,719           858,957   

Yamada Denki Co., Ltd.

     745,700           2,501,913   
       

 

 

 
          84,852,138   
       

 

 

 

Textiles, Apparel & Luxury Goods - 1.4%

       

Cie Financiere Richemont SA

     94,925           8,415,918   

Cie Financiere Richemont SA (Johannesburg)

     171,530           1,550,525   

Crocs, Inc. (a)

     30,000           374,700   

Eclat Textile Co., Ltd.

     97,240           977,301   

Global Brands Group Holding Ltd. (a)

     4,664,000           910,743   

HUGO BOSS AG

     24,703           3,021,958   

NIKE, Inc.-Class B

     244,700           23,527,905   

Samsonite International SA

     1,235,500           3,661,335   

Titan Co., Ltd.

     162,883           981,180   

Under Armour, Inc.-Class A (a)

     6,270           425,733   

VF Corp.

     126,132           9,447,287   

Yue Yuen Industrial Holdings Ltd.

     430,000           1,543,429   
       

 

 

 
          54,838,014   
       

 

 

 
          426,391,997   
       

 

 

 

Health Care - 8.4%

       

Biotechnology - 1.6%

       

Actelion Ltd. (REG) (a)

     61,182           7,043,336   

Agios Pharmaceuticals, Inc. (a)

     972           108,903   

Biogen Idec, Inc. (a)(d)

     60,400           20,502,780   

CSL Ltd.

     33,560           2,357,445   

Gilead Sciences, Inc. (a)

     322,600           30,408,276   

Isis Pharmaceuticals, Inc. (a)

     2,073           127,987   

Juno Therapeutics, Inc. (a)

     1,528           79,792   

NPS Pharmaceuticals, Inc. (a)

     6,749           241,412   

Pharmacyclics, Inc. (a)

     3,060           374,116   

Puma Biotechnology, Inc. (a)

     1,786           338,036   


Company

   Shares        U.S. $ Value  

Receptos, Inc. (a)

     1,602           196,261   

Synageva BioPharma Corp. (a)

     2,269           210,541   

TESARO, Inc. (a)

     6,334           235,561   

Vertex Pharmaceuticals, Inc. (a)

     29,840           3,544,992   
       

 

 

 
          65,769,438   
       

 

 

 

Health Care Equipment & Supplies - 0.6%

       

Align Technology, Inc. (a)

     9,461           528,965   

DBV Technologies SA (Sponsored ADR) (a)

     5,462           148,129   

HeartWare International, Inc. (a)

     4,601           337,851   

Insulet Corp. (a)

     8,608           396,485   

Intuitive Surgical, Inc. (a)

     36,300           19,200,522   

Medtronic, Inc.

     48,956           3,534,623   

Sirona Dental Systems, Inc. (a)

     5,935           518,541   
       

 

 

 
          24,665,116   
       

 

 

 

Health Care Providers & Services - 1.9%

       

Acadia Healthcare Co., Inc. (a)

     13,859           848,309   

Aetna, Inc.

     269,400           23,930,802   

Anthem, Inc.

     241,831           30,390,902   

Envision Healthcare Holdings, Inc. (a)

     18,063           626,605   

Health Net, Inc./CA (a)

     55,000           2,944,150   

LifePoint Hospitals, Inc. (a)

     7,530           541,482   

McKesson Corp.

     19,889           4,128,559   

Molina Healthcare, Inc. (a)

     6,500           347,945   

Premier, Inc.-Class A (a)

     14,043           470,862   

Shanghai Pharmaceuticals Holding Co., Ltd.-Class H

     281,200           633,169   

Sonic Healthcare Ltd.

     251,010           3,776,333   

UnitedHealth Group, Inc.

     77,308           7,815,066   

WellCare Health Plans, Inc. (a)

     7,280           597,397   
       

 

 

 
          77,051,581   
       

 

 

 

Life Sciences Tools & Services - 0.6%

       

Eurofins Scientific SE

     35,977           9,183,201   

ICON PLC (a)

     7,425           378,601   

Quintiles Transnational Holdings, Inc. (a)

     238,768           14,056,272   
       

 

 

 
          23,618,074   
       

 

 

 

Pharmaceuticals - 3.7%

       

Actavis PLC (a)

     82,100           21,133,361   

Akorn, Inc. (a)

     19,966           722,769   

Allergan, Inc./United States

     90,700           19,281,913   

Astellas Pharma, Inc.

     327,400           4,558,096   

GlaxoSmithKline PLC

     378,544           8,121,131   

GW Pharmaceuticals PLC (ADR) (a)

     2,534           171,501   

Indivior PLC (a)

     38,112           88,746   

Jazz Pharmaceuticals PLC (a)

     3,974           650,663   

Johnson & Johnson (d)

     290,600           30,388,042   

Lupin Ltd.

     23,169           523,834   

Merck & Co., Inc.

     112,900           6,411,591   

Novartis AG

     38,360           3,557,640   


Company

   Shares        U.S. $ Value  

Novo Nordisk A/S-Class B

     106,865           4,520,364   

Orion Oyj-Class B

     31,310           973,756   

Pfizer, Inc.

     1,077,656           33,568,984   

Richter Gedeon Nyrt

     15,250           205,371   

Roche Holding AG

     35,650           9,659,089   

Sun Pharmaceutical Industries Ltd.

     206,630           2,701,762   

Tetraphase Pharmaceuticals, Inc. (a)

     4,690           186,240   
       

 

 

 
          147,424,853   
       

 

 

 
          338,529,062   
       

 

 

 

Industrials - 6.5%

       

Aerospace & Defense - 2.3%

       

Airbus Group NV

     150,588           7,444,770   

Boeing Co. (The)

     93,100           12,101,138   

Hexcel Corp. (a)

     18,709           776,236   

L-3 Communications Holdings, Inc.

     111,354           14,053,988   

Lockheed Martin Corp.

     94,880           18,271,042   

Precision Castparts Corp.

     39,300           9,466,584   

Raytheon Co.

     206,022           22,285,400   

Safran SA

     48,560           2,995,907   

Spirit Aerosystems Holdings, Inc.-Class A (a)

     15,510           667,550   

TransDigm Group, Inc.

     3,287           645,402   

Zodiac Aerospace

     108,037           3,637,365   
       

 

 

 
          92,345,382   
       

 

 

 

Air Freight & Logistics - 0.1%

       

Expeditors International of Washington, Inc.

     11,170           498,294   

Oesterreichische Post AG

     18,650           911,273   

Singapore Post Ltd.

     501,000           724,797   
       

 

 

 
          2,134,364   
       

 

 

 

Airlines - 0.6%

       

Delta Air Lines, Inc.

     359,885           17,702,743   

International Consolidated Airlines Group SA (a)

     679,070           5,112,084   

Qantas Airways Ltd. (a)

     1,587,003           3,082,457   

Turk Hava Yollari (a)

     133,272           547,610   
       

 

 

 
          26,444,894   
       

 

 

 

Commercial Services & Supplies - 0.3%

       

Babcock International Group PLC

     391,125           6,407,515   

Berendsen PLC

     51,080           873,071   

Edenred

     159,075           4,399,375   

Regus PLC

     207,805           670,939   
       

 

 

 
          12,350,900   
       

 

 

 

Construction & Engineering - 0.1%

       

AECOM Technology Corp. (a)

     22,375           679,529   

Granite Construction, Inc.

     12,360           469,927   

IRB Infrastructure Developers Ltd.

     112,750           468,946   

Larsen & Toubro Ltd.

     18,510           435,901   

Tutor Perini Corp. (a)

     22,190           534,113   
       

 

 

 
          2,588,416   
       

 

 

 

Electrical Equipment - 0.1%

       

Amara Raja Batteries Ltd.

     59,243           772,948   


Company

   Shares        U.S. $ Value  

AMETEK, Inc.

     12,442           654,822   

General Cable Corp.

     17,050           254,045   

Regal-Beloit Corp.

     6,620           497,824   
       

 

 

 
          2,179,639   
       

 

 

 

Industrial Conglomerates - 0.8%

       

Alliance Global Group, Inc.

     1,495,200           746,906   

Bidvest Group Ltd. (The)

     24,760           647,322   

Carlisle Cos., Inc.

     8,371           755,399   

Danaher Corp.

     288,100           24,693,051   

SM Investments Corp.

     26,268           474,636   

Toshiba Corp.

     794,000           3,348,535   
       

 

 

 
          30,665,849   
       

 

 

 

Machinery - 0.6%

       

Actuant Corp.-Class A

     10,320           281,117   

IDEX Corp.

     10,508           817,943   

ITT Corp.

     429,368           17,372,229   

JTEKT Corp.

     233,100           3,923,023   

Lincoln Electric Holdings, Inc.

     9,828           679,016   

Middleby Corp. (The) (a)

     8,846           876,639   

Terex Corp.

     11,250           313,650   

Valmont Industries, Inc.

     4,313           547,751   
       

 

 

 
          24,811,368   
       

 

 

 

Marine - 0.1%

       

Kirby Corp. (a)

     8,939           721,735   

Nippon Yusen KK

     1,076,000           3,039,169   
       

 

 

 
          3,760,904   
       

 

 

 

Professional Services - 0.7%

       

51job, Inc. (ADR) (a)

     15,486           555,173   

Applus Services SA (a)

     143,665           1,582,402   

Bureau Veritas SA

     315,744           6,995,609   

Capita PLC

     554,530           9,298,186   

Intertek Group PLC

     192,970           6,983,971   

Robert Half International, Inc.

     15,420           900,220   

Teleperformance

     35,550           2,419,892   
       

 

 

 
          28,735,453   
       

 

 

 

Road & Rail - 0.6%

       

CAR, Inc. (a)

     194,000           259,563   

Central Japan Railway Co.

     24,500           3,671,968   

ComfortDelGro Corp., Ltd.

     304,000           594,904   

Con-way, Inc.

     6,110           300,490   

Genesee & Wyoming, Inc.-Class A (a)

     7,592           682,673   

Globaltrans Investment PLC (Sponsored GDR) (e)

     39,391           198,686   

Ryder System, Inc.

     5,880           545,958   

Union Pacific Corp.

     170,800           20,347,404   
       

 

 

 
          26,601,646   
       

 

 

 

Trading Companies & Distributors - 0.2%

       

Brenntag AG

     90,250           5,045,884   

Bunzl PLC

     44,840           1,225,800   

MSC Industrial Direct Co., Inc.-Class A

     4,600           373,750   

United Rentals, Inc. (a)

     6,547           667,859   


Company

   Shares        U.S. $ Value  

WESCO International, Inc. (a)

     7,380           562,430   
       

 

 

 
          7,875,723   
       

 

 

 
          260,494,538   
       

 

 

 

Consumer Staples - 6.2%

       

Beverages - 1.5%

       

Anheuser-Busch InBev NV

     12,040           1,354,997   

Asahi Group Holdings Ltd.

     57,300           1,772,708   

Dr Pepper Snapple Group, Inc.

     220,700           15,819,776   

Heineken NV

     41,270           2,930,487   

Monster Beverage Corp. (a)

     266,400           28,864,440   

PepsiCo, Inc.

     94,200           8,907,552   
       

 

 

 
          59,649,960   
       

 

 

 

Food & Staples Retailing - 2.4%

       

7-Eleven Malaysia Holdings Bhd (a)

     369,470           158,503   

Alimentation Couche-Tard, Inc.-Class B

     63,900           2,677,992   

Axfood AB

     6,970           416,052   

Bizim Toptan Satis Magazalari AS

     10,622           86,620   

Costco Wholesale Corp. (d)

     144,500           20,482,875   

CP ALL PCL

     102,400           132,280   

CVS Health Corp.

     348,200           33,535,142   

Diplomat Pharmacy, Inc. (a)

     2,294           62,787   

Jean Coutu Group PJC, Inc. (The)-Class A

     58,860           1,434,263   

Koninklijke Ahold NV

     298,095           5,298,000   

Kroger Co. (The)

     359,260           23,068,085   

Lawson, Inc.

     15,600           942,679   

Lenta Ltd. (GDR) (a)(e)

     153,147           1,035,273   

Magnit PJSC (Sponsored GDR) (e)

     25,178           1,142,594   

Olam International Ltd.

     1,713,183           2,599,891   

Sprouts Farmers Market, Inc. (a)

     18,451           626,965   

Sugi Holdings Co., Ltd.

     13,900           567,390   

Tsuruha Holdings, Inc.

     17,800           1,029,963   

X5 Retail Group NV (GDR) (a)(e)

     33,600           409,667   
       

 

 

 
          95,707,021   
       

 

 

 

Food Products - 0.6%

       

Dean Foods Co.

     39,260           760,859   

Gruma SAB de CV-Class B

     38,360           410,205   

Ingredion, Inc.

     4,810           408,080   

JBS SA

     140,500           591,980   

Keurig Green Mountain, Inc.

     3,216           425,782   

Mead Johnson Nutrition Co.-Class A

     191,743           19,277,841   

MHP SA (GDR) (e)

     15,000           138,000   

Nestle SA

     31,720           2,312,419   

Unilever PLC

     18,851           765,882   

Universal Robina Corp.

     34,190           149,064   

WH Group Ltd. (a)(e)

     389,500           221,623   
       

 

 

 
          25,461,735   
       

 

 

 

Household Products - 0.1%

       

Reckitt Benckiser Group PLC

     38,112           3,086,841   
       

 

 

 

Personal Products - 0.4%

       

Estee Lauder Cos., Inc. (The)-Class A

     170,300           12,976,860   


Company

   Shares        U.S. $ Value  

Kao Corp.

     59,500           2,346,355   
       

 

 

 
          15,323,215   
       

 

 

 

Tobacco - 1.2%

       

Altria Group, Inc.

     292,933           14,432,809   

British American Tobacco PLC

     225,679           12,229,758   

Imperial Tobacco Group PLC

     90,180           3,969,679   

KT&G Corp.

     4,050           281,205   

Lorillard, Inc.

     115,000           7,238,100   

Philip Morris International, Inc.

     143,300           11,671,785   
       

 

 

 
          49,823,336   
       

 

 

 
          249,052,108   
       

 

 

 

Energy - 3.3%

       

Energy Equipment & Services - 0.5%

       

FMC Technologies, Inc. (a)

     6,323           296,169   

Oceaneering International, Inc.

     8,310           488,711   

Schlumberger Ltd. (d)

     204,200           17,440,722   

Superior Energy Services, Inc.

     11,330           228,300   
       

 

 

 
          18,453,902   
       

 

 

 

Oil, Gas & Consumable Fuels - 2.8%

       

BG Group PLC

     397,176           5,314,891   

Bill Barrett Corp. (a)

     25,730           293,065   

China Petroleum & Chemical Corp.-Class H

     706,400           572,070   

Concho Resources, Inc. (a)

     3,057           304,936   

EOG Resources, Inc.

     39,300           3,618,351   

Gazprom OAO (Sponsored ADR)

     231,220           1,048,272   

Hess Corp.

     383,973           28,344,887   

JX Holdings, Inc.

     1,247,900           4,856,334   

KazMunaiGas Exploration Production JSC (GDR) (e)

     21,330           309,285   

LUKOIL OAO (London) (Sponsored ADR)

     39,770           1,525,179   

Murphy Oil Corp.

     144,591           7,304,737   

Oasis Petroleum, Inc. (a)

     5,670           93,782   

Occidental Petroleum Corp.

     336,700           27,141,387   

Petroleo Brasileiro SA (Sponsored ADR)

     321,422           2,436,379   

Petronet LNG Ltd.

     188,102           621,328   

Rosetta Resources, Inc. (a)

     15,350           342,458   

Royal Dutch Shell PLC-Class B

     63,140           2,181,554   

SM Energy Co.

     6,930           267,359   

Statoil ASA

     70,010           1,232,655   

Total SA

     97,280           4,983,849   

Valero Energy Corp.

     440,204           21,790,098   
       

 

 

 
          114,582,856   
       

 

 

 
          133,036,758   
       

 

 

 

Materials - 3.2%

       

Chemicals - 2.4%

       

A Schulman, Inc.

     10,430           422,728   

Arkema SA

     45,120           2,984,093   

Chr Hansen Holding A/S

     59,870           2,652,441   

Denki Kagaku Kogyo KK

     604,000           2,212,195   

Dow Chemical Co. (The)

     276,300           12,602,043   

Essentra PLC

     765,816           8,681,359   


Company

   Shares        U.S. $ Value  

Givaudan SA (a)

     1,160           2,080,874   

Huabao International Holdings Ltd.

     372,000           303,157   

Huntsman Corp.

     11,290           257,186   

Hyosung Corp.

     14,580           904,833   

IMCD Group NV (a)

     21,689           740,103   

JSR Corp.

     250,700           4,303,085   

Koninklijke DSM NV

     62,121           3,788,945   

LyondellBasell Industries NV-Class A

     167,300           13,281,947   

Mitsubishi Gas Chemical Co., Inc.

     307,000           1,540,800   

Monsanto Co.

     127,000           15,172,690   

PolyOne Corp.

     19,449           737,312   

Sherwin-Williams Co. (The)

     88,200           23,200,128   

UPL Ltd.

     24,530           134,291   
       

 

 

 
          96,000,210   
       

 

 

 

Construction Materials - 0.0%

       

Cemex Latam Holdings SA (a)

     36,748           247,409   

Grasim Industries Ltd.

     565           30,206   

Grasim Industries Ltd. (GDR) (e)

     7,358           394,221   

West China Cement Ltd.

     1,204,000           126,140   
       

 

 

 
          797,976   
       

 

 

 

Containers & Packaging - 0.6%

       

Avery Dennison Corp.

     9,080           471,070   

Ball Corp.

     323,055           22,022,659   

Graphic Packaging Holding Co. (a)

     26,680           363,382   
       

 

 

 
          22,857,111   
       

 

 

 

Metals & Mining - 0.1%

       

Dowa Holdings Co., Ltd.

     204,000           1,620,783   

KGHM Polska Miedz SA

     3,370           102,734   

MMC Norilsk Nickel OJSC (ADR)

     13,560           192,823   

Rio Tinto PLC

     58,670           2,704,515   

Steel Dynamics, Inc.

     19,080           376,639   

Tata Steel Ltd.

     66,730           420,048   

Ternium SA (Sponsored ADR)

     8,179           144,278   
       

 

 

 
          5,561,820   
       

 

 

 

Paper & Forest Products - 0.1%

       

Mondi PLC

     144,100           2,340,974   

Nine Dragons Paper Holdings Ltd.

     536,000           466,745   

Sappi Ltd. (a)

     192,555           698,155   
       

 

 

 
          3,505,874   
       

 

 

 
          128,722,991   
       

 

 

 

Telecommunication Services - 1.5%

       

Diversified Telecommunication Services - 1.0%

       

Bezeq The Israeli Telecommunication Corp., Ltd.

     685,043           1,215,140   

Nippon Telegraph & Telephone Corp.

     118,500           6,053,288   

Singapore Telecommunications Ltd.

     596,000           1,748,320   

Swisscom AG

     3,400           1,784,107   

Telecom Italia SpA (savings shares)

     5,466,075           4,569,880   

Telekomunikasi Indonesia Persero Tbk PT

     1,965,000           451,613   

Telenor ASA

     170,120           3,441,292   

Telstra Corp., Ltd.

     412,050           2,000,431   

Verizon Communications, Inc.

     339,100           15,863,098   

Vivendi SA (a)

     193,737           4,822,216   
       

 

 

 
          41,949,385   
       

 

 

 


Company

   Shares        U.S. $ Value  

Wireless Telecommunication Services - 0.5%

       

China Mobile Ltd.

     370,500           4,349,163   

SK Telecom Co., Ltd.

     2,430           594,361   

SoftBank Corp.

     91,000           5,416,616   

StarHub Ltd.

     162,000           506,147   

Tower Bersama Infrastructure Tbk PT

     1,655,000           1,294,402   

Turkcell Iletisim Hizmetleri AS (a)

     107,160           653,942   

Vodafone Group PLC

     1,596,466           5,473,685   
       

 

 

 
          18,288,316   
       

 

 

 
          60,237,701   
       

 

 

 

Utilities - 1.1%

       

Electric Utilities - 0.5%

       

American Electric Power Co., Inc.

     172,600           10,480,272   

Electricite de France SA

     156,910           4,319,480   

Elia System Operator SA/NV

     26,660           1,241,475   

Light SA

     42,400           271,480   

PNM Resources, Inc.

     22,180           657,193   

Power Assets Holdings Ltd.

     274,000           2,647,274   

Westar Energy, Inc.

     15,520           640,045   
       

 

 

 
          20,257,219   
       

 

 

 

Gas Utilities - 0.0%

       

Atmos Energy Corp.

     9,650           537,891   

Southwest Gas Corp.

     10,350           639,734   

UGI Corp.

     14,480           549,950   
       

 

 

 
          1,727,575   
       

 

 

 

Independent Power Producers & Energy Traders - 0.1%

       

APR Energy PLC

     259,501           748,735   

China Resources Power Holdings Co., Ltd.

     74,000           190,169   

Datang International Power Generation Co., Ltd.-Class H

     258,000           139,306   

Huadian Power International Corp. Ltd.-Class H

     732,000           635,035   

Huaneng Power International, Inc.-Class H

     206,000           278,887   

NTPC Ltd.

     232,440           528,514   
       

 

 

 
          2,520,646   
       

 

 

 

Multi-Utilities - 0.5%

       

DTE Energy Co.

     240,500           20,771,985   

United Utilities Group PLC

     44,970           638,750   
       

 

 

 
          21,410,735   
       

 

 

 

Water Utilities - 0.0%

       

Cia de Saneamento Basico do Estado de Sao Paulo

     79,900           514,591   

Cia de Saneamento de Minas Gerais-COPASA

     48,000           454,684   
       

 

 

 
          969,275   
       

 

 

 
          46,885,450   
       

 

 

 

Total Common Stocks
(cost $2,129,993,192)

          2,656,310,986   
       

 

 

 


Company

   Shares        U.S. $ Value  

INVESTMENT COMPANIES - 16.4%

       

Funds and Investment Trusts - 16.4%

       

AB Pooling Portfolios-Multi-Asset Real Return Portfolio (f)

     34,264,531           246,361,977   

iShares Core MSCI Emerging Markets ETF

     717,710           33,753,901   

SPDR S&P 500 ETF Trust

     1,848,295           379,824,622   
       

 

 

 

Total Investment Companies
(cost $675,532,532)

          659,940,500   
       

 

 

 

WARRANTS - 0.1%

       

Financials - 0.1%

       

Banks - 0.1%

       

Bank of Baroda, JPMorgan Chase Bank, expiring 5/05/16 (a)(e)

     39,470           679,124   

Bank Muscat SAOG, Citigroup Global Markets, expiring 2/04/16 (a)

     34,240           51,938   

Commercial Bank of Qatar QSC (The), Deutsche Bank AG, expiring 5/26/17 (a)

     32,578           612,907   

First Gulf Bank PJSC, Merrill Lynch Intl & Co., expiring 8/21/15 (a)

     31,861           147,469   

Punjab National Bank, Merrill Lynch Intl & Co., expiring 8/08/18 (a)

     123,850           430,812   

Union Bank of India, Merrill Lynch Intl & Co., expiring 8/20/18 (a)

     42,656           161,508   
       

 

 

 
          2,083,758   
       

 

 

 

Consumer Finance - 0.0%

       

Muthoot Finance Ltd., Merrill Lynch Intl & Co., expiring 5/22/18 (a)

     296,382           900,479   

Shriram Transport Finance Co., Ltd., Merrill Lynch Intl & Co., expiring 1/22/15 (a)(e)

     19,926           350,989   
       

 

 

 
          1,251,468   
       

 

 

 

Real Estate Management & Development - 0.0%

       

Emaar Properties PJSC, Merrill Lynch Intl & Co., expiring 10/01/15 (a)

     196,056           387,532   
       

 

 

 
          3,722,758   
       

 

 

 

Industrials - 0.0%

       

Industrial Conglomerates - 0.0%

       

John Keells Holdings PLC, Deutsche Bank AG, expiring 7/05/19 (a)

     197,430           376,344   
       

 

 

 

Airlines - 0.0%

       

Air Arabia PJSC, Deutsche Bank AG, expiring 7/31/17 (a)

     351,990           143,751   
       

 

 

 
          520,095   
       

 

 

 

Materials - 0.0%

       

Chemicals - 0.0%

       

UPL Ltd., Merrill Lynch Intl & Co., expiring 2/07/17 (a)

     82,800           455,709   
       

 

 

 


Company

   Shares        U.S. $ Value  

Total Warrants
(cost $3,591,249)

          4,698,562   
       

 

 

 

RIGHTS - 0.0%

       

Financials - 0.0%

       

Banks - 0.0%

       

DGB Financial Group, expiring 1/13/15 (a)
(cost $0)

     6           6   
       

 

 

 

SHORT-TERM INVESTMENTS - 16.4%

       

Investment Companies - 15.2%

       

AB Fixed-Income Shares, Inc. -
Government STIF Portfolio, 0.09% (f)(g)
(cost $613,482,773)

     613,482,773           613,482,773   
       

 

 

 
     Principal
Amount

(000)
          

U.S. Treasury Bills - 1.2%

       

U.S. Treasury Bill
Zero Coupon 1/02/15-3/12/15
(cost $49,999,951)

   $ 50,000           49,999,951   
       

 

 

 

Total Short-Term Investments
(cost $663,482,724)

          663,482,724   
       

 

 

 

Total Investments - 98.9%
(cost $3,472,599,697) (h)

          3,984,432,778   

Other assets less liabilities - 1.1%

          42,418,585   
       

 

 

 

Net Assets - 100.0%

        $ 4,026,851,363   
       

 

 

 

FUTURES

 

Type

   Number
of
Contracts
     Expiration
Month
     Original
Value
     Value at
December 31,
2014
     Unrealized
Appreciation/
(Depreciation)
 

Purchased Contracts

              

Euro STOXX 50 Futures

     2,154         March 2015       $ 78,079,568       $ 81,660,019       $ 3,580,451   

FTSE 100 Index Futures

     669         March 2015         66,426,975         68,010,376         1,583,401   

Hang Seng Index Futures

     36         January 2015         5,434,532         5,489,377         54,845   

Russell 2000 E Mini Futures

     106         March 2015         12,267,746         12,727,420         459,674   

S&P Mid 400 E Mini Futures

     116         March 2015         16,364,409         16,803,760         439,351   

SPI 200 Futures

     140         March 2015         14,693,045         15,381,381         688,336   

TOPIX Index Futures

     1,963         March 2015         234,546,664         230,666,430         (3,880,234

Sold Contracts

              

U.S. Long Bond (CBT) Futures

     228         March 2015         31,948,174         32,960,250         (1,012,076

U.S. T-Note 5 Yr (CBT) Futures

     906         March 2015         107,713,673         107,750,297         (36,624


Type

   Number
of
Contracts
     Expiration
Month
     Original
Value
     Value at
December 31,
2014
     Unrealized
Appreciation/
(Depreciation)
 

U.S. T-Note 10 Yr (CBT) Futures

     698         March 2015       $ 87,952,455       $ 88,504,219       $ (551,764
              

 

 

 
               $ 1,325,360   
              

 

 

 

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty

  Contracts to
Deliver
(000)
     In Exchange
For
(000)
     Settlement
Date
     Unrealized
Appreciation/
(Depreciation)
 

Barclays Bank PLC

    JPY            2,359,459         USD        22,114         2/18/15       $ 2,408,385   

Barclays Bank PLC

    NOK        45,268         USD        6,603         2/18/15         536,435   

Barclays Bank PLC

    USD        6,967         SEK        51,354         2/18/15         (378,382

BNP Paribas SA

    KRW        1,512,514         USD        1,389         2/17/15         9,124   

BNP Paribas SA

    AUD        52,291         USD        43,227         2/18/15         672,570   

BNP Paribas SA

    GBP        55,689         USD        89,754         2/18/15         2,986,905   

BNP Paribas SA

    JPY        3,588,035         USD        33,618         2/18/15         3,651,456   

BNP Paribas SA

    USD        23,535         AUD        27,288         2/18/15         (1,328,114

BNP Paribas SA

    USD        2,551         CAD        2,974         2/18/15         6,165   

BNP Paribas SA

    USD        27,674         GBP        17,239         2/18/15         (814,999

BNP Paribas SA

    USD        15,776         NZD        20,105         2/18/15         (159,572

Citibank

    CAD        2,972         USD        2,651         2/18/15         95,982   

Citibank

    EUR        8,059         USD        10,264         2/18/15         507,478   

Citibank

    HKD        19,566         USD        2,522         2/18/15         (837

Citibank

    USD        4,535         EUR        3,621         2/18/15         (151,664

Citibank

    USD        11,105         SEK        82,014         2/18/15         (582,414

Credit Suisse International

    USD        17,784         EUR        14,290         2/18/15         (484,572

Deutsche Bank AG

    USD        10,291         EUR        8,272         2/18/15         (277,207

Deutsche Bank AG

    USD        5,342         GBP        3,417         2/18/15         (17,927

Deutsche Bank AG

    USD        10,430         JPY            1,227,637         2/18/15         (177,209

Goldman Sachs Bank USA

    BRL        15,721         USD        5,919         1/05/15         4,453   

Goldman Sachs Bank USA

    USD        5,921         BRL        15,721         1/05/15         (7,128

Goldman Sachs Bank USA

    BRL        15,721         USD        5,871         2/03/15         2,435   

Goldman Sachs Bank USA

    AUD        49,092         USD        42,740         2/18/15         2,789,018   

Goldman Sachs Bank USA

    EUR        26,438         USD        32,772         2/18/15         766,537   

Goldman Sachs Bank USA

    JPY        2,420,176         USD        21,589         2/18/15         1,376,421   

Goldman Sachs Bank USA

    USD        13,180         CHF        12,702         2/18/15         (394,496

HSBC Bank USA

    GBP        24,879         USD        39,924         2/18/15         1,161,229   

HSBC Bank USA

    HKD        196,232         USD        25,311         2/18/15         7,181   

JPMorgan Chase Bank

    BRL        15,721         USD        6,173         1/05/15         259,298   

JPMorgan Chase Bank

    USD        5,919         BRL        15,721         1/05/15         (4,453

Morgan Stanley & Co., Inc.

    USD        5,548         EUR        4,468         2/18/15         (139,443

Royal Bank of Scotland PLC

    JPY        3,653,692         USD        31,644         2/18/15         1,129,538   

Standard Chartered Bank

    USD        13,371         AUD        15,223         2/18/15         (982,600

Standard Chartered Bank

    USD        4,130         HKD        32,038         2/18/15         985   

State Street Bank & Trust Co.

    CHF        32,820         USD        34,795         2/18/15         1,759,123   

State Street Bank & Trust Co.

    EUR        29,734         USD        36,918         2/18/15         923,017   

State Street Bank & Trust Co.

    JPY        609,225         USD        5,245         2/18/15         157,038   

State Street Bank & Trust Co.

    USD        33,457         EUR        26,946         2/18/15         (836,470

State Street Bank & Trust Co.

    USD        1,221         HKD        9,467         2/18/15         (93

UBS AG

    CAD        13,657         USD        11,920         2/18/15         176,783   

UBS AG

    EUR        5,027         USD        6,399         2/18/15         312,953   

UBS AG

    GBP        2,510         USD        3,925         2/18/15         13,934   

UBS AG

    GBP        3,412         USD        5,303         2/18/15         (13,541
              

 

 

 
               $ 14,963,322   
              

 

 

 

 

(a) Non-income producing security.


(b) Fair valued by the Adviser.
(c) Illiquid security.
(d) Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts.
(e) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2014, the aggregate market value of these securities amounted to $11,587,214 or 0.3% of net assets.
(f) To obtain a copy of the fund’s financial statements, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AllianceBernstein at (800) 227-4618.
(g) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(h) As of December 31, 2014, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $590,542,764 and gross unrealized depreciation of investments was $(78,709,683), resulting in net unrealized appreciation of $511,833,081.

Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market.

Currency Abbreviations:

 

AUD    -    Australian Dollar
BRL    -    Brazilian Real
CAD    -    Canadian Dollar
CHF    -    Swiss Franc
EUR    -    Euro
GBP    -    Great British Pound
HKD    -    Hong Kong Dollar
JPY    -    Japanese Yen
KRW    -    South Korean Won
NOK    -    Norwegian Krone
NZD    -    New Zealand Dollar
SEK    -    Swedish Krona
USD    -    United States Dollar

Glossary:

 

ADR    -    American Depositary Receipt
CBT    -    Chicago Board of Trade
ETF    -    Exchange Traded Fund
FTSE    -    Financial Times Stock Exchange
GDR    -    Global Depositary Receipt
JSC    -    Joint Stock Company
MSCI    -    Morgan Stanley Capital International
NVDR    -    Non Voting Depositary Receipt
OJSC    -    Open Joint Stock Company
PJSC    -    Public Joint Stock Company
REG    -    Registered Shares
SPDR    -    Standard & Poor’s Depository Receipt
SPI    -    Share Price Index
TOPIX    -    Tokyo Price Index

Country Breakdown*

December 31, 2014 (unaudited)

 

  79.0%        

United States

  4.0%        

United Kingdom

  3.6%        

Japan

  2.3%        

France

  1.4%        

Switzerland

  1.0%        

China

  0.8%        

India

  0.8%        

Netherlands

  0.8%        

Hong Kong

  0.7%        

Germany

  0.7%        

Australia

  0.6%        

Taiwan

  0.5%        

Singapore

  0.5%        

Brazil

  3.3%        

Other

 

 

      
  100.0%        

Total Investments

 

 

      

 

* All data are as of December 31, 2014. The Portfolio’s country breakdown is expressed as a percentage of long-term investments and may vary over time. “Other” country weightings represent 0.4% or less in the following countries: Argentina, Austria, Belgium, Canada, Colombia, Cyprus, Czech Republic, Denmark, Finland, Hungary, Indonesia, Ireland, Israel, Italy, Kazakhstan, Luxembourg, Malaysia, Mexico, Norway, Oman, Peru, Philippines, Poland, Puerto Rico, Qatar, Russia, South Africa, South Korea, Spain, Sri Lanka, Sweden, Thailand, Turkey, Ukraine and United Arab Emirates.


Sanford C. Bernstein Fund, Inc. - Tax-Aware Overlay A Portfolio

December 31, 2014 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolio. Unobservable inputs reflect the Portfolio’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

   

Level 1—quoted prices in active markets for identical investments

   

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

   

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

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.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2014:

 

Investments in Securities:

   Level 1     Level 2     Level 3     Total  

Assets:

        

Common Stocks:

        

Financials

   $ 368,890,924      $ 153,250,588      $ 86,526      $ 522,228,038   

Information Technology

     440,278,459        50,453,884        – 0  –      490,732,343   

Consumer Discretionary

     324,956,732        101,435,265        – 0  –      426,391,997   

Health Care

     280,714,535        57,814,527        – 0  –      338,529,062   

Industrials

     172,618,427        87,876,111        – 0  –      260,494,538   

Consumer Staples

     206,415,177        42,636,931        – 0  –      249,052,108   

Energy

     113,221,227        19,815,531        – 0  –      133,036,758   

Materials

     90,486,974        38,236,017        – 0  –      128,722,991   

Telecommunication Services

     15,863,098        44,374,603        – 0  –      60,237,701   

Utilities

     35,003,234        11,882,216        – 0  –      46,885,450   

Investment Companies

     659,940,500        – 0  –      – 0  –      659,940,500   

Warrants

     – 0  –      4,698,562        – 0  –      4,698,562   

Rights

     – 0  –      – 0  –      6        6   

Short-Term Investments:

        

Investment Companies

     613,482,773        – 0  –      – 0  –      613,482,773   

U.S. Treasury Bills

     – 0  –      49,999,951        – 0  –      49,999,951   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments in Securities

     3,321,872,060        662,474,186     86,532        3,984,432,778   

Other Financial Instruments*:

        

Assets:

        

Futures

     899,025        5,907,033        – 0  –      6,806,058   

Forward Currency Exchange Contracts

     – 0  –      21,714,443        – 0  –      21,714,443   

Liabilities:

        

Futures

     (1,600,464     (3,880,234     – 0  –      (5,480,698

Forward Currency Exchange Contracts

     – 0  –      (6,751,121     – 0  –      (6,751,121
  

 

 

   

 

 

   

 

 

   

 

 

 

Total+^

   $     3,321,170,621      $     679,464,307      $     86,532      $     4,000,721,460   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
+ A significant portion of the Portfolio’s foreign equity investments are categorized as Level 2 investments since they are valued using fair value prices based on third party vendor modeling tools to the extent available.
^ There were de minimis transfers under 1% of net assets between Level 1 and Level 2 during the reporting period.


The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

 

     Rights     Common Stocks     Total  

Balance as of 9/30/14

   $ – 0  –    $ 354,313      $ 354,313   

Accrued discounts/(premiums)

     – 0  –      – 0  –      – 0  – 

Realized gain (loss)

     14,739        – 0  –      14,739   

Change in unrealized appreciation/depreciation

     6        (71,513     (71,507

Purchases

     – 0  –      96,484        96,484   

Sales

     (14,739     – 0  –      (14,739

Transfers in to Level 3

     – 0  –      61,555        61,555   

Transfers out of Level 3

     – 0  –      (354,313     (354,313
  

 

 

   

 

 

   

 

 

 

Balance as of 12/31/14

   $ 6      $ 86,526      $ 86,532
  

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation/depreciation from Investments held as of 12/31 /14

   $ (71,513   $ 6      $ (71,507
  

 

 

   

 

 

   

 

 

 

 

+ There were de minimis transfers under 1% of net assets during the reporting period.

The Adviser has established a Valuation Committee (the “Committee”) which is responsible for overseeing the pricing and valuation of all securities held in the Portfolio. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily compare of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).


Sanford C. Bernstein Fund, Inc.

Tax-Aware Overlay B Portfolio

Portfolio of Investments

December 31, 2014 (unaudited)

 

      Principal
Amount
(000)
       U.S. $ Value  

MUNICIPAL OBLIGATIONS - 68.1%

       

Long-Term Municipal Bonds - 67.6%

       

Alabama – 0.4%

       

Alabama Public School & College Authority

       

Series 2010A

       

5.00%, 5/01/19

   $ 3,255         $ 3,750,346   

Birmingham Water Works Board

       

Series 2010A

       

5.00%, 1/01/24

     3,650           4,249,184   
       

 

 

 
          7,999,530   
       

 

 

 

Arizona - 4.2%

       

City of Phoenix Civic Improvement Corp.

       

Series 2014B

       

5.00%, 7/01/22

     8,275           10,063,641   

City of Phoenix Civic Improvement Corp. (City of Phoenix Civic Improvement - Airport)

       

Series 2010C

       

5.00%, 7/01/24

     5,305           6,160,909   

County of Pima AZ Sewer System Revenue

       

Series 2011B

       

5.00%, 7/01/23-7/01/24

     6,585           7,703,306   

AGM Series 2010

       

5.00%, 7/01/18-7/01/19

     10,035           11,493,417   

Maricopa County Community College District

       

Series 2012

       

4.00%, 7/01/16

     8,440           8,878,121   

Pima County Regional Transportation Authority

       

Series 2014

       

5.00%, 6/01/22

     1,685           2,042,810   

Salt River Project Agricultural Improvement & Power District

       

Series 2011A

       

5.00%, 12/01/24

     23,120           27,802,031   
       

 

 

 
          74,144,235   
       

 

 

 

California - 1.1%

       

California Econ Recovery

       

Series 2009A

       

5.25%, 7/01/21

     2,645           3,096,343   

San Francisco City & County Airports Comm-San Francisco International Airport
(San Francisco Intl Airport)

       

Series 2009C-2

       

5.00%, 5/01/25

     1,025           1,167,567   

Series 2010C

       

5.00%, 5/01/19

     730           843,748   

NATL Series 2006-32F

       

5.25%, 5/01/18

     680           773,636   

State of California

       

Series 2009A

       

5.25%, 7/01/19 (Pre-refunded/ETM)

     4,610           5,429,658   

Series 2014

       

5.00%, 10/01/29

     50           60,023   

State of California Department of Water Resources PWR

       

Series 2010L

       


      Principal
Amount
(000)
       U.S. $ Value  

5.00%, 5/01/17

     7,675           8,442,270   
       

 

 

 
          19,813,245   
       

 

 

 

Colorado - 1.7%

       

City & County of Denver CO Airport System Revenue (Denver Intl Airport)

       

Series 2010A

       

5.00%, 11/15/23

     300           348,432   

Series 2011A

       

5.25%, 11/15/18

     13,135           15,031,563   

5.50%, 11/15/19

     4,375           5,169,412   

Denver Urban Renewal Authority (Stapleton Development Corp.)

       

Series 2010B-1

       

5.00%, 12/01/20

     2,875           2,993,508   

Plaza Metropolitan District No 1

       

Series 2013

       

5.00%, 12/01/19

     1,000           1,108,810   

Regional Transportation District (Denver Transit Partners LLC)

       

Series 2010

       

5.00%, 7/15/20

     2,000           2,264,240   

5.125%, 1/15/23

     2,000           2,197,780   
       

 

 

 
          29,113,745   
       

 

 

 

Connecticut - 0.4%

       

State of Connecticut

       

Series 2014C

       

5.00%, 6/15/22

     5,620           6,758,781   
       

 

 

 

District of Columbia - 0.6%

       

Metropolitan Washington Airports Authority

       

Series 2010B

       

5.00%, 10/01/17-10/01/18

     9,895           11,165,520   
       

 

 

 

Florida - 7.0%

       

Broward County School Board/FL COP

       

Series 2011A

       

5.00%, 7/01/20

     7,250           8,469,160   

Citizens Property Insurance Corp.

       

Series 2010A-1

       

5.00%, 6/01/16

     5,375           5,705,616   

5.25%, 6/01/17

     2,855           3,144,497   

Series 2012A

       

5.00%, 6/01/22

     7,660           9,026,008   

Series 2012A-1

       

5.00%, 6/01/21

     10,490           12,317,148   

NATL Series 2007A

       

5.00%, 3/01/15

     80           80,627   

City of Jacksonville FL (City of Jacksonville FL Lease)

       

Series 2010A-1

       

5.00%, 10/01/18-10/01/19

     15,170           17,284,941   

City of Jacksonville FL (City of Jacksonville FL Sales Tax)

       

Series 2011

       

5.00%, 10/01/21

     2,500           2,982,550   

 


      Principal
Amount
(000)
       U.S. $ Value  

County of Broward FL Half-Cent Sales Tax Revenue

       

Series 2010A

       

5.00%, 10/01/18-10/01/20

     8,235           9,549,807   

County of Lee FL Airport Revenue (Southwest Florida Intl Airport)

       

Series 2011A

       

5.625%, 10/01/26

     2,470           2,915,983   

AGM Series 2010A

       

5.50%, 10/01/18-10/01/19

     7,425           8,547,094   

County of Orange FL (County of Orange FL Public Svc Tax)

       

Series 2013

       

4.00%, 10/01/15

     4,910           5,048,266   

5.00%, 10/01/16

     2,650           2,857,786   

Florida State Board of Education (State of Florida)

       

Series 2013A

       

5.00%, 6/01/16

     22,515           23,968,794   

Florida State Hurricane Catastrophe Fund Finance Corp.

       

Series 2010A

       

5.00%, 7/01/16 (Pre-refunded/ETM)

     5,430           5,798,045   

Martin County Industrial Development Authority (Indiantown Cogeneration LP)

       

Series 2013

       

4.20%, 12/15/25

     2,640           2,697,948   

State of Florida Lottery Revenue

       

Series 2010C

       

5.00%, 7/01/16

     300           320,241   

Series 2010D

       

5.00%, 7/01/16

     2,170           2,316,410   
       

 

 

 
          123,030,921   
       

 

 

 

Georgia - 0.7%

       

Municipal Electric Authority of Georgia

       

Series 2011A

       

5.00%, 1/01/20-1/01/21

     8,880           10,365,698   

Richmond County Board of Education

       

Series 2012

       

5.00%, 10/01/15

     1,615           1,671,137   
       

 

 

 
          12,036,835   
       

 

 

 

Hawaii - 1.1%

       

City & County of Honolulu HI

       

Series 2011A

       

5.00%, 8/01/24

     5,800           6,862,212   

Series 2011B

       

5.00%, 8/01/24-8/01/25

     10,205           12,044,656   
       

 

 

 
          18,906,868   
       

 

 

 

Illinois - 4.5%

       

Chicago O’Hare International Airport

       

Series 2010D

       

5.25%, 1/01/19

     2,285           2,610,589   

Chicago Transit Authority (City of Chicago IL Fed Hwy Grant)

       

AGC Series 2008A

       


      Principal
Amount
(000)
       U.S. $ Value  

5.00%, 6/01/21

     4,685           5,172,943   

Illinois Finance Authority (Illinois Institute of Technology)

       

Series 2006A

       

5.00%, 4/01/20

     1,730           1,788,906   

State of Illinois

       

Series 2010

       

5.00%, 1/01/18

     160           175,064   

Series 2013

       

5.00%, 7/01/21

     1,345           1,513,448   

Series 2013A

       

5.00%, 4/01/20

     1,670           1,877,147   

Series 2014

       

5.00%, 5/01/28

     5,180           5,702,196   

AMBAC Series 2004

       

5.00%, 11/01/15

     6,905           7,153,511   

NATL Series 2001

       

5.375%, 4/01/16

     3,540           3,734,700   

State of Illinois (State of Illinois Sales Tax)

       

Series 2010

       

5.00%, 6/15/18

     9,655           10,902,233   

Series 2013

       

4.00%, 6/15/16

     3,300           3,465,198   

State of Illinois Unemployment Compensation Trust Fund

       

Series 2012A

       

5.00%, 6/15/15-6/15/16

     26,705           28,030,782   

Series 2012B

       

5.00%, 6/15/19

     6,105           6,232,106   
       

 

 

 
          78,358,823   
       

 

 

 

Kansas - 0.2%

       

State of Kansas Department of Transportation

       

Series 2012C

       

5.00%, 9/01/20

     2,745           3,252,331   
       

 

 

 

Louisiana - 1.0%

       

Orleans Parish Parishwide School District

       

AGM Series 2010

       

5.00%, 9/01/17-9/01/19

     9,705           10,917,997   

State of Louisiana Gasoline & Fuels Tax Revenue

       

NATL Series 2005A

       

5.00%, 5/01/15 (Pre-refunded/ETM)

     6,760           6,864,848   
       

 

 

 
          17,782,845   
       

 

 

 

Maryland - 0.4%

       

County of Anne Arundel MD

       

Series 2013

       

5.00%, 4/01/16

     4,315           4,565,011   

Washington Suburban Sanitary Commission

       

Series 2014

       

5.00%, 6/01/17

     1,705           1,878,944   
       

 

 

 
          6,443,955   
       

 

 

 

Massachusetts - 4.3%

       

Commonwealth of Massachusetts

       

Series 2011A

       


      Principal
Amount
(000)
       U.S. $ Value  

5.00%, 4/01/25

     8,750           10,371,725   

Series 2013B

       

5.00%, 8/01/17

     32,490           35,988,523   

Massachusetts Bay Transportation Authority

       

Series 2004B

       

5.25%, 7/01/21

     5,030           6,111,903   

Massachusetts Clean Water Trust (The) (Massachusetts Water Pollution Abatement Trust
(The) SRF)

       

Series 2004A

       

5.25%, 2/01/16

     2,695           2,840,018   

Massachusetts Department of Transportation

       

Series 2010B

       

5.00%, 1/01/18-1/01/20

     7,985           9,061,668   

Massachusetts Development Finance Agency (Emerson College)

       

Series 2010A

       

5.00%, 1/01/17-1/01/18

     4,615           4,979,060   

Massachusetts School Building Authority

       

Series 2012A

       

5.00%, 8/15/21

     5,385           6,498,726   
       

 

 

 
          75,851,623   
       

 

 

 

Michigan - 2.4%

       

City of Detroit MI Water Supply System Revenue

       

Series 2011C

       

5.25%, 7/01/24-7/01/25

     9,390           10,432,678   

Michigan Finance Authority (City of Detroit MI Sewage Disposal System Revenue)

       

AGM Series 2014C

       

5.00%, 7/01/24

     10,115           11,720,048   

Michigan Finance Authority (State of Michigan Unemployment)

       

Series 2012B

       

5.00%, 7/01/22

     17,180           18,315,255   

Walled Lake Consolidated School District

       

Series 2015

       

5.00%, 5/01/22 (a)

     2,000           2,351,080   
       

 

 

 
          42,819,061   
       

 

 

 

Minnesota - 0.2%

       

Minneapolis Special School District No 1 COP

       

Series 2013D

       

5.00%, 2/01/16

     2,910           3,055,267   
       

 

 

 

Mississippi - 1.2%

       

Mississippi Development Bank (Mississippi Development Bank State Lease)

       

Series 2010C

       

5.00%, 8/01/22-8/01/23

     11,105           12,855,104   

Series 2010D

       

5.00%, 8/01/23

     7,530           8,701,969   
       

 

 

 
          21,557,073   
       

 

 

 

Missouri - 0.4%

       

City of St Louis MO Airport Revenue (Lambert-St Louis Intl Airport)

       

 


      Principal
Amount
(000)
       U.S. $ Value  

NATL Series 2005

       

5.50%, 7/01/16

     5,980           6,411,935   
       

 

 

 

Nebraska - 0.4%

       

Omaha Public Power District

       

Series 2011C

       

5.00%, 2/01/24

     6,420           7,471,724   
       

 

 

 

Nevada - 1.0%

       

Clark County School District

       

NATL Series 2005A

       

5.00%, 6/15/18

     210           216,317   

NATL Series 2005B

       

5.00%, 6/15/20

     6,875           7,081,112   

NATL Series 2006C

       

5.00%, 6/15/21

     4,285           4,694,132   

County of Clark Department of Aviation (McCarran Intl Airport)

       

Series 2010D

       

5.00%, 7/01/21-7/01/22

     1,010           1,177,105   

State of Nevada (State of Nevada Unemployment)

       

Series 2013

       

4.00%, 6/01/15

     4,645           4,716,208   
       

 

 

 
          17,884,874   
       

 

 

 

New Jersey - 3.6%

       

New Jersey Economic Development Authority

       

Series 2008W

       

5.00%, 3/01/17 (Pre-refunded/ETM)

     1,050           1,148,900   

5.00%, 3/01/17

     460           496,726   

Series 2010DD-1

       

5.00%, 12/15/17

     4,685           5,172,240   

Series 2011EE

       

5.00%, 9/01/18

     4,940           5,522,327   

5.25%, 9/01/19

     2,630           3,000,330   

AMBAC Series 2005K

       

5.50%, 12/15/19

     1,880           2,177,566   

New Jersey State Turnpike Authority

       

Series 2014C

       

5.00%, 1/01/21-1/01/23

     16,670           19,870,601   

AGM Series 2005D-3

       

5.25%, 1/01/26

     11,070           13,631,377   

New Jersey Transit Corp.

       

Series 2014A

       

5.00%, 9/15/19

     4,265           4,829,004   

New Jersey Transportation Trust Fund Authority

       

Series 2013A

       

5.00%, 6/15/18

     7,500           8,339,850   
       

 

 

 
            64,188,921   
       

 

 

 

New York - 9.4%

       

City of New York NY

       

Series 2010B

       

5.00%, 8/01/17

     6,250           6,909,500   

Series 2013B

       

5.00%, 8/01/19

     3,860           4,461,851   

Series 2013H

       

5.00%, 8/01/25

     2,510           3,006,277   


      Principal
Amount
(000)
       U.S. $ Value  

Series 2014J

       

5.00%, 8/01/22-8/01/28

     11,090           13,292,849   

Metropolitan Transportation Authority

       

Series 2012D

       

5.00%, 11/15/20-11/15/26

     17,500           20,588,666   

Series 2012F

       

5.00%, 11/15/22-11/15/23

     13,835           16,549,981   

New York City Transitional Finance Authority Future Tax Secured Revenue

       

Series 2012B

       

5.00%, 11/01/22

     8,495           10,303,670   

Series 2014B

       

5.00%, 2/01/27-11/01/29

     20,280           24,303,344   

Series 2014C

       

5.00%, 11/01/28

     10,665           12,780,723   

New York State Dormitory Authority

       

Series 2012A

       

5.00%, 12/15/21 (Pre-refunded/ETM)

     5           6,065   

New York State Dormitory Authority (State of New York Pers Income Tax)

       

Series 2012A

       

5.00%, 12/15/21-12/15/22

     16,005           19,388,005   

Series 2014C

       

5.00%, 3/15/27-3/15/29

     26,340           31,573,176   

New York State Thruway Authority (New York State Thruway Authority Ded Tax)

       

Series 2007B

       

5.00%, 4/01/15

     1,240           1,254,372   
       

 

 

 
          164,418,479   
       

 

 

 

Ohio - 0.7%

       

City of Cleveland OH COP

       

Series 2010A

       

5.00%, 11/15/17

     3,000           3,282,930   

County of Hamilton OH Sewer System Revenue

       

Series 2015A

       

5.00%, 12/01/20-12/01/21 (a)

     4,025           4,756,072   

State of Ohio Major New State Infrastrucure Project (State of Ohio Fed Hwy Grant)

       

Series 20121

       

4.00%, 12/15/16

     2,825           3,014,105   

Series 2014

       

5.00%, 12/15/21

     1,105           1,318,055   
       

 

 

 
          12,371,162   
       

 

 

 

Oregon - 0.4%

       

Oregon State Lottery

       

Series 2011A

       

5.25%, 4/01/26

     5,930           7,050,651   
       

 

 

 

Pennsylvania - 5.1%

       

Allegheny County Sanitary Authority

       

Series 2013

       

5.00%, 12/01/24-12/01/25

     7,470           8,817,026   

City of Philadelphia PA

       

Series 2011

       

5.25%, 8/01/17

     2,285           2,520,286   


      Principal
Amount
(000)
       U.S. $ Value  

City of Philadelphia PA Water & Wastewater Revenue AGM Series 2010A

       

5.00%, 6/15/19

     2,500           2,875,775   

Commonwealth of Pennsylvania

       

Series 20092

       

5.00%, 4/15/16

     5,190           5,497,404   

Series 2010A

       

5.00%, 7/15/15

     5,990           6,144,662   

Delaware River Port Authority

       

Series 2012

       

5.00%, 1/01/21

     2,655           3,013,983   

Montgomery County Industrial Development Authority/PA (New Regional Medical Center, Inc.)

       

Series 2010

       

5.00%, 2/01/16-8/01/18

     6,320           6,850,820   

Pennsylvania Economic Development Financing Authority (Commonwealth of Pennsylvania Unemployment)

       

Series 2012A

       

5.00%, 7/01/16

     18,710           19,963,757   

Series 2012B

       

5.00%, 7/01/22-7/01/23

     8,415           8,824,424   

Pennsylvania Intergovernmental Cooperation Authority

       

Series 2010

       

5.00%, 6/15/16-6/15/17

     7,000           7,678,930   

Pennsylvania Turnpike Commission

       

Series 2011E

       

5.00%, 12/01/25-12/01/26

     13,665           15,808,039   

State Public School Building Authority (School District of Philadelphia (The))

       

Series 2012

       

5.00%, 4/01/26

     1,110           1,241,135   
       

 

 

 
          89,236,241   
       

 

 

 

Puerto Rico - 0.1%

       

Puerto Rico Highways & Transportation Authority NATL Series 2003AA

       

5.50%, 7/01/17 (Pre-refunded/ETM)

     825           922,861   

5.50%, 7/01/17

     555           575,846   
       

 

 

 
          1,498,707   
       

 

 

 

Texas - 5.6%

       

City of Austin TX Water & Wastewater System Revenue

       

Series 2011

       

5.00%, 11/15/25-11/15/26

     11,990           14,204,248   

City of San Antonio TX

       

Series 2010

       

5.00%, 2/01/23

     650           755,131   

Series 2014

       

5.00%, 2/01/21

     2,000           2,396,920   

City Public Service Board of San Antonio TX

       

Series 2012B

       

2.00%, 12/01/27

     1,765           1,790,575   

Fort Bend Independent School District

       


      Principal
Amount
(000)
       U.S. $ Value  

Series 2010

       

5.00%, 8/15/21

     5,205           6,175,160   

Harris County-Houston Sports Authority

       

Series 2014A

       

5.00%, 11/15/20

     1,860           2,173,708   

Hurst-Euless-Bedford Independent School District

       

Series 2011

       

5.00%, 8/15/20-8/15/24

     10,525           12,404,687   

State of Texas

       

Series 2014

       

5.00%, 4/01/22

     1,790           2,174,241   

Texas A&M University

       

Series 2005B

       

5.00%, 5/15/15

     2,985           3,037,267   

Series 2013B

       

4.00%, 5/15/15

     12,105           12,273,623   

5.00%, 5/15/16

     11,065           11,756,895   

Texas Public Finance Authority (State of Texas Unemployment)

       

Series 2014B

       

4.00%, 1/01/18

     16,210           17,066,374   

University of Texas System (The)

       

Series 2010A

       

5.00%, 8/15/22

     9,755           11,480,367   
       

 

 

 
          97,689,196   
       

 

 

 

Virginia - 1.1%

       

County of Arlington VA

       

Series 2013A

       

4.00%, 8/01/15

     4,600           4,701,292   

Greater Richmond Convention Center Authority

       

Series 2015

       

5.00%, 6/15/20-6/15/23 (a)

     5,815           6,705,918   

Virginia College Building Authority (Virginia College Building Authority State Lease)

       

Series 2012-12B

       

5.00%, 9/01/16

     2,835           3,045,187   

Series 2012B

       

5.00%, 2/01/22

     3,020           3,636,533   

Virginia Resources Authority (Virginia Pooled Financing Program Infrastructure)

       

Series 2012A

       

5.00%, 11/01/16

     1,515           1,638,018   
       

 

 

 
          19,726,948   
       

 

 

 

Washington - 4.7%

       

Chelan County Public Utility District No 1

       

Series 2011A

       

5.25%, 7/01/22

     7,835           9,209,964   

Series 2011B

       

5.50%, 7/01/23

     5,540           6,562,185   

City of Seattle WA Drainage & Wastewater Revenue

       

Series 2014

       

5.00%, 5/01/21

     1,825           2,177,134   

Clark County Public Utility District No 1

       

Series 2010

       

5.00%, 1/01/21

     11,835           13,517,937   


      Principal
Amount
(000)
       U.S. $ Value  

Energy Northwest (Bonneville Power Administration)

       

Series 2006A

       

5.00%, 7/01/16

     1,860           1,984,341   

Series 2011A

       

5.00%, 7/01/22-7/01/23

     14,690           17,468,935   

FYI Properties (FYI Properties WA State Lease)

       

Series 2009

       

5.00%, 6/01/15

     2,220           2,260,870   

Port of Seattle WA

       

Series 2010C

       

5.00%, 2/01/20-2/01/22

     9,920           11,488,516   

Snohomish County Public Utility District No 1

       

Series 2010

       

5.00%, 12/01/19

     5,415           6,315,948   

Series 2012

       

5.00%, 12/01/26

     6,065           7,060,994   

State of Washington

       

Series 2013R

       

5.00%, 7/01/21

     3,880           4,649,986   
       

 

 

 
          82,696,810   
       

 

 

 

Wisconsin - 3.7%

       

City of Milwaukee WI

       

Series 2013N

       

5.00%, 5/15/15

     16,815           17,106,404   

State of Wisconsin

       

Series 20141

       

5.00%, 5/01/16

     43,560           46,194,073   

Series 20143

       

5.00%, 11/01/21

     1,205           1,449,675   
       

 

 

 
          64,750,152   
       

 

 

 

Total Long-Term Municipal Bonds
(cost $1,135,468,334)

          1,187,486,458   
       

 

 

 

Short-Term Municipal Notes - 0.5%

       

Alabama - 0.1%

       

Mobile County Industrial Development Authority (Exxon Capital Ventures, Inc.)

       

Series 2002

       

0.02%, 7/15/32 (b)

     1,200           1,200,000   
       

 

 

 

Kentucky - 0.1%

       

Kentucky Economic Development Finance Authority (Baptist Heathcare System/Louisville)

       

Series 2009B-2

       

0.03%, 8/15/38 (b)

     1,200           1,200,000   
       

 

 

 

Mississippi - 0.3%

       

Mississippi Business Finance Corp. (Chevron USA, Inc.)

       

Series 2007E

       

0.03%, 12/01/30 (b)

     2,700           2,700,000   


      Principal
Amount
(000)
       U.S. $ Value  

Series 2009E

       

0.03%, 12/01/30 (b)

     2,200           2,200,000   
       

 

 

 
          4,900,000   
       

 

 

 

South Dakota - 0.0%

       

South Dakota Health & Educational Facilities Authority (Regional Health, Inc.)

       

Series 2008

       

0.03%, 9/01/27 (b)

     795           795,000   
       

 

 

 

Wyoming - 0.0%

       

County of Lincoln WY (Exxon Mobil Corp.)

       

Series 1985

       

0.01%, 8/01/15 (b)

     220           220,000   
       

 

 

 

Total Short-Term Municipal Notes
(cost $8,315,000)

          8,315,000   
       

 

 

 

Total Municipal Obligations
(cost $1,143,783,334)

       
          1,195,801,458   
       

 

 

 
      Shares           

INVESTMENT COMPANIES - 23.9%

       

Funds and Investment Trusts - 23.9%

       

iShares Core MSCI Emerging Markets ETF

     573,582           26,975,561   

SPDR S&P 500 ETF Trust

     1,912,926           393,106,293   
       

 

 

 

Total Investment Companies
(cost $392,426,571)

          420,081,854   
       

 

 

 
      Principal
Amount
(000)
          

CORPORATES - INVESTMENT GRADE - 2.2%

       

Financial Institutions - 1.8%

       

Banking - 1.8%

       

Bank of America Corp.

       

1.50%, 10/09/15

   $ 6,000           6,024,606   

Citigroup, Inc.

       

2.65%, 3/02/15

     5,500           5,516,209   

Generic Municipal Bond

       

5.375%, 10/15/15

     5,500           5,688,870   

JPMorgan Chase & Co.

       

1.35%, 2/15/17

     6,035           6,034,867   

1.875%, 3/20/15

     6,360           6,378,959   

Morgan Stanley

       

Series G

       

5.45%, 1/09/17

     1,425           1,530,043   
       

 

 

 
          31,173,554   
       

 

 

 

Industrial - 0.4%

       

Consumer Cyclical - Automotive - 0.1%

       

Ford Motor Credit Co. LLC

       

7.00%, 4/15/15

     2,310           2,349,748   


     Principal
Amount
(000)
     U.S. $ Value  

Consumer Non-Cyclical - 0.1%

     

Becton Dickinson and Co.

     

0.691%, 6/15/16 (c)

     1,935         1,935,461   

Technology - 0.2%

     

Cisco Systems, Inc.

     

1.10%, 3/03/17

     2,500         2,501,057   
     

 

 

 
        6,786,266   
     

 

 

 

Total Corporates - Investment Grade
(cost $37,881,581)

        37,959,820   
     

 

 

 
     Shares         

SHORT-TERM INVESTMENTS - 4.7%

     

Investment Companies - 2.9%

     

AB Fixed Income Shares, Inc. - Government STIF
Portfolio, 0.09% (d)(e)
(cost $50,495,299)

     50,495,299         50,495,299   
     

 

 

 
     Principal
Amount
(000)
        

U.S. Treasury Bills - 1.8%

     

U.S. Treasury Bill
Zero Coupon, 1/02/15-3/12/15
(cost $30,999,970)

   $ 31,000         30,999,970   
     

 

 

 

Total Short-Term Investments
(cost $81,495,269)

        81,495,269   
     

 

 

 

Total Investments - 98.9%
(cost $1,655,586,755) (f)

        1,735,338,401   

Other assets less liabilities - 1.1% (g)

        19,684,781   
     

 

 

 

Net Assets - 100.0%

      $ 1,755,023,182   
     

 

 

 

FUTURES

 

Type

   Number
of
Contracts
     Expiration
Month
     Original
Value
     Value at
December 31,
2014
     Unrealized
Appreciation/
(Depreciation)
 

Purchased Contracts

  

Euro STOXX 50 Futures

     1,014         March 2015       $ 36,823,708       $ 38,441,625       $ 1,617,917   

FTSE 100 Index Futures

     224         March 2015         21,797,959         22,771,785         973,826   

Hang Seng Index Futures

     21         January 2015         3,170,144         3,202,137         31,993   

SPI 200 Futures

     58         March 2015         6,087,119         6,372,287         285,168   

TOPIX Index Futures

     420         March 2015         50,249,193         49,352,981         (896,212

Sold Contracts

              

U.S. T-Note 5 Yr (CBT) Futures

     538         March 2015         63,967,606         63,984,172         (16,566


Type

   Number
of
Contracts
     Expiration
Month
     Original
Value
     Value at
December 31,
2014
     Unrealized
Appreciation/
(Depreciation)
 

U.S. T-Note 10 Yr (CBT) Futures

     377         March 2015       $ 47,594,187       $ 47,802,422       $ (208,235

U.S. Long Bond (CBT) Futures

     128         March 2015         17,935,817         18,504,000         (568,183
              

 

 

 
               $ 1,219,708   
              

 

 

 

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty

   Contracts to
Deliver
(000)
     In Exchange
For
(000)
     Settlement
Date
     Unrealized
Appreciation/
(Depreciation)
 

Barclays Bank PLC

     JPY         468,213         USD         4,388         2/18/15       $ 477,922   

BNP Paribas SA

     AUD         8,347         USD         6,900         2/18/15         107,360   

BNP Paribas SA

     GBP         5,633         USD         9,079         2/18/15         302,129   

BNP Paribas SA

     JPY         385,861         USD         3,615         2/18/15         392,681   

BNP Paribas SA

     USD         5,319         AUD         6,131         2/18/15         (330,001

BNP Paribas SA

     USD         11,491         GBP         7,158         2/18/15         (338,405

Citibank

     EUR         1,595         USD         2,019         2/18/15         87,995   

Citibank

     USD         2,586         EUR         2,022         2/18/15         (137,909

Credit Suisse International

     USD         3,155         EUR         2,535         2/18/15         (85,962

Deutsche Bank AG

     USD         6,537         EUR         5,177         2/18/15         (270,304

Deutsche Bank AG

     USD         12,458         JPY         1,405,085         2/18/15         (723,640

Goldman Sachs Bank USA

     AUD         7,628         USD         6,641         2/18/15         433,363   

Goldman Sachs Bank USA

     EUR         7,504         USD         9,344         2/18/15         259,795   

Goldman Sachs Bank USA

     JPY         346,046         USD         3,200         2/18/15         309,470   

Royal Bank of Scotland PLC

     EUR         1,651         USD         2,011         2/18/15         12,167   

State Street Bank & Trust Co.

     USD         3,946         EUR         3,159         2/18/15         (122,109

UBS AG

     EUR         1,428         USD         1,818         2/18/15         88,899   
                 

 

 

 
                  $ 463,451   
                 

 

 

 

INFLATION (CPI) SWAPS

 

                   Rate Type        

Swap Counterparty

   Notional
Amount
(000)
     Termination
Date
     Payments
made
by the
Fund
    Payments
received
by the
Fund
    Unrealized
Appreciation/
(Depreciation)
 

Barclays Bank PLC

   $ 45,000         10/23/17         1.658     CPI   $ (815,313

Barclays Bank PLC

     28,000         10/23/19         1.873     CPI     (626,227

Citibank

     34,000         10/23/21         2.039     CPI     (923,304

Goldman Sachs International

     22,000         10/23/24         2.245     CPI     (791,286

Barclays Bank PLC

     12,000         10/23/26         2.31     CPI     (484,699

Barclays Bank PLC

     10,000         10/23/29         2.388     CPI     (481,624
            

 

 

 
             $ (4,122,453
            

 

 

 

 

# Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).


TOTAL RETURN SWAPS

 

Counterparty & Referenced Obligation

   # of Shares
or Units
     Rate Paid/
Received
    Notional
Amount

(000)
     Maturity
Date
     Unrealized
Appreciation/
(Depreciation)
 

Receive Total Return on Reference Obligation

             

Citibank

             

MSCI Daily TR Net EAFE Index

     10,654         LIBOR Plus 0.05     USD 55,703         5/6/15       $ (3,914,908

Goldman Sachs International

             

Russell 2000 Total Return Index

     1,517         LIBOR Minus 0.60     8,506         2/26/15         117,191   

Standard and Poor’s Midcap 400 Index

     370         LIBOR Plus 0.07     758         2/26/15         12   

Standard and Poor’s Midcap 400 Index

     5,286         LIBOR Plus 0.14     10,430         3/16/15         375,525   
             

 

 

 
              $ (3,422,180
             

 

 

 

 

(a) When-Issued or delayed delivery security.
(b) Variable Rate Demand Notes are instruments whose interest rates change on a specific date (such as coupon date or interest payment date) or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). This instrument is payable on demand and is secured by letters of credit or other credit support agreements from major banks.
(c) Floating Rate Security. Stated interest rate was in effect at December 31, 2014.
(d) To obtain a copy of the fund’s financial statements, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AllianceBernstein at (800) 227-4618.
(e) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(f) As of December 31, 2014, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $81,212,226 and gross unrealized depreciation of investments was $(1,460,580), resulting in net unrealized appreciation of $79,751,646.
(g) An amount of U.S. $8,494,792 has been segregated to collateralize margin requirements for the open futures contracts at December 31, 2014.

As of December 31, 2014, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded are 8.8% and 0.6%, respectively.

Currency Abbreviation:

 

AUD    -    Australian Dollar
EUR    -    Euro
GBP    -    Great British Pound
JPY    -    Japanese Yen
USD    -    United States Dollar

Glossary:

 

AGC    -    Assured Guaranty Corporation
AGM    -    Assured Guaranty Municipal
AMBAC    -    Ambac Assurance Corporation
CBT    -    Chicago Board of Trade
COP    -    Certificate of Participation
CPI    -    Consumer Price Index
EAFE    -    Europe, Australia, and Far East
ETF    -    Exchange Traded Fund
ETM    -    Escrowed to Maturity
FTSE    -    Financial Times Stock Exchange


LIBOR    -    London Interbank Offered Rates
MSCI    -    Morgan Stanley Capital International
NATL    -    National Interstate Corporation
SPDR    -    Standard & Poor’s Depository Receipt
SPI    -    Share Price Index
SRF    -    State Revolving Fund
TOPIX    -    Tokyo Price Index


Sanford C. Bernstein Fund, Inc.

Tax-Aware Overlay B Portfolio

December 31, 2014 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolio. Unobservable inputs reflect the Portfolio’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

   

Level 1—quoted prices in active markets for identical investments

   

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

   

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

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

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.

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

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2014:

 

Investments in Securities:

   Level 1     Level 2     Level 3     Total  

Assets:

        

Long-Term Municipal Bonds

   $ – 0  –    $ 1,186,371,583      $ 1,114,875      $ 1,187,486,458   

Short-Term Municipal Notes

     – 0  –      8,315,000        – 0  –      8,315,000   

Investment Companies

     420,081,854        – 0  –      – 0  –      420,081,854   

Corporates - Investment Grade

     – 0  –      37,959,820        – 0  –      37,959,820   

Short-Term Investments:

        

Investment Companies

     50,495,299        – 0  –      – 0  –      50,495,299   

U.S. Treasury Bills

     – 0  –      30,999,970        – 0  –      30,999,970   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments in Securities

     470,577,153        1,263,646,373        1,114,875        1,735,338,401   

Other Financial Instruments*:

        

Assets:

        

Futures

     – 0  –      2,908,904        – 0  –      2,908,904   

Forward Currency Exchange Contracts

     – 0  –      2,471,781        – 0  –      2,471,781   

Total Return Swaps

     – 0  –      492,728        – 0  –      492,728   

Liabilities:

        

Futures

     (792,984     (896,212     – 0  –      (1,689,196

Forward Currency Exchange Contracts

     – 0  –      (2,008,330     – 0  –      (2,008,330

Inflation (CPI) Swaps

     – 0  –      (4,122,453     – 0  –      (4,122,453

Total Return Swaps

     – 0  –      (3,914,908     – 0  –      (3,914,908
  

 

 

   

 

 

   

 

 

   

 

 

 

Total+

   $     469,784,169      $     1,258,577,883      $     1,114,875      $     1,729,476,927   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
+ There were no transfers between any levels during the reporting period.


The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

 

     Long-Term Municipal
Bonds
    Total  

Balance as of 9/30/14

   $ 1,535,738      $ 1,535,738   

Accrued discounts/(premiums)

     (3,828     (3,828

Realized gain (loss)

     1,374        1,374   

Change in unrealized appreciation/depreciation

     56,591        56,591   

Purchases

     – 0  –      – 0  – 

Sales

     (475,000     (475,000

Transfers in to Level 3

     – 0  –      – 0  – 

Transfers out of Level 3

     – 0  –      – 0  – 
  

 

 

   

 

 

 

Balance as of 12/31/14

   $     1,114,875      $     1,114,875   
  

 

 

   

 

 

 

Net change in unrealized appreciation/depreciation from Investments held as of 12/31/14

   $ 15,839      $ 15,839   
  

 

 

   

 

 

 

The Adviser has established a Valuation Committee (the “Committee”) which is responsible for overseeing the pricing and valuation of all securities held in the Portfolio. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily compare of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).


Sanford C. Bernstein Fund, Inc. - Tax-Aware Overlay C Portfolio

Portfolio of Investments

December 31, 2014 (unaudited)

 

      Principal
Amount
(000)
       U.S. $ Value  

MUNICIPAL OBLIGATIONS - 66.7%

       

Long-Term Municipal Bonds - 66.7%

       

California - 57.8%

       

Abag Finance Authority for Nonprofit Corps. (Odd Fellows Home of California)

       

Series 2012A

       

5.00%, 4/01/21

   $ 1,000         $ 1,168,650   

Bay Area Toll Authority

       

Series 2014A

       

1.00%, 4/01/47

     13,160           13,212,114   

California Econ Recovery

       

Series 2009A

       

5.00%, 7/01/17

     2,115           2,341,516   

5.00%, 7/01/19 (Pre-refunded/ETM)

     12,545           14,638,886   

California Infrastructure & Economic Development Bank (Broad Collection/The)

       

Series 2011A

       

5.00%, 6/01/21

     3,000           3,622,410   

California State Public Works Board

       

Series 2010C-1

       

5.00%, 3/01/20 (Pre-refunded/ETM)

     1,500           1,779,840   

Series 2011G

       

5.00%, 12/01/21 (Pre-refunded/ETM)

     3,215           3,924,293   

California State Public Works Board (California State Public Works Board Lease)

       

Series 2013E

       

5.00%, 6/01/19

     3,975           4,582,062   

Series 2014A

       

5.00%, 9/01/30

     4,375           5,151,606   

California State University

       

Series 2011A

       

5.25%, 11/01/26

     2,035           2,414,650   

Chino Basin Regional Financing Authority (Inland Empire Utilities Agency)

       

Series 2010A

       

5.00%, 8/01/20-8/01/21

     7,430           8,727,435   

City & County of San Francisco CA

       

Series 2011R

       

5.00%, 6/15/17

     6,530           7,223,682   

Series 2013A

       

5.00%, 6/15/15

     2,015           2,058,322   

City of Long Beach CA Harbor Revenue

       

Series 2010B

       

5.00%, 5/15/22

     2,000           2,355,700   

NATL Series 1998A

       

6.00%, 5/15/18

     3,305           3,829,140   

City of Los Angeles CA Wastewater System Revenue

       

NATL Series 2005A

       

4.75%, 6/01/15 (Pre-refunded/ETM)

     1,655           1,685,634   

City of Los Angeles Department of Airports (Los Angeles Intl Airport)

       

Series 2010A

       

5.00%, 5/15/25

     1,500           1,760,865   

Series 2010D

       

5.25%, 5/15/28

     4,145           4,932,923   


     Principal
Amount
(000)
       U.S. $ Value  

City of San Francisco CA Public Utilities Commission Water Revenue

       

Series 2011A

       

5.00%, 11/01/24

   $ 5,385         $ 6,482,248   

City of San Jose CA Airport Revenue

       

Series 2014A

       

5.00%, 3/01/24

     1,955           2,286,314   

Series 2014B

       

5.00%, 3/01/26

     2,360           2,812,270   

County of San Diego CA COP

       

Series 2014A

       

5.00%, 10/15/27-10/15/28

     2,550           3,076,241   

East Bay Municipal Utility District Water System Revenue

       

Series 2012B

       

5.00%, 6/01/16

     2,985           3,177,741   

Long Beach Bond Finance Authority (Aquarium of the Pacific)

       

Series 2012

       

5.00%, 11/01/22

     1,460           1,689,483   

Los Angeles Community College District/CA

       

Series 2013

       

3.00%, 8/01/15

     2,990           3,038,647   

Series 2013F

       

5.00%, 8/01/15

     2,135           2,194,033   

Series 2015A

       

5.00%, 8/01/25 (a)

     1,950           2,415,016   

Los Angeles County Metropolitan Transportation Authority

       

Series 2013A

       

5.00%, 7/01/16-7/01/20

     12,305           13,819,033   

Series 2013C

       

5.00%, 7/01/19

     1,240           1,442,839   

Series 2014

       

5.00%, 7/01/23

     2,145           2,654,395   

Los Angeles County Sanitation Districts Financing Authority

       

Series 2013A

       

5.00%, 10/01/16

     4,000           4,314,360   

Los Angeles Department of Water & Power PWR

       

Series 2008A-2

       

4.00%, 7/01/16

     6,570           6,916,042   

Series 2012C

       

4.00%, 1/01/16

     7,585           7,798,594   

Los Angeles Department of Water & Power WTR

       

Series 2013B

       

5.00%, 7/01/18-7/01/19

     2,000           2,306,990   

Los Angeles Unified School District/CA

       

Series 2010K

       

5.00%, 7/01/18

     6,360           7,248,238   

Series 2010KRY

       

5.25%, 7/01/25

     160           191,672   

Series 2014C

       

5.00%, 7/01/27

     6,815           8,303,805   

Los Angeles Unified School District/CA COP

       

Series 2010B

       

5.00%, 12/01/16

     635           686,772   


     Principal
Amount
(000)
       U.S. $ Value  

AMBAC Series 2007

       

5.00%, 10/01/16

   $ 105         $ 112,891   

Palm Springs Unified School District

       

Series 2013C

       

3.00%, 8/01/15

     1,500           1,524,060   

Peralta Community College District

       

Series 2014A

       

5.00%, 8/01/27

     5,855           7,071,669   

Port of Los Angeles

       

Series 2011A

       

5.00%, 8/01/19

     1,500           1,723,845   

Port of Oakland

       

Series 2012P

       

5.00%, 5/01/24-5/01/25

     6,405           7,423,500   

Sacramento City Unified School District/CA

       

Series 2011

       

5.00%, 7/01/25

     2,380           2,709,773   

Sacramento County Sanitation Districts Financing Authority

       

Series 2014A

       

5.00%, 12/01/29

     2,000           2,418,480   

San Diego County Water Authority

       

Series 2011A

       

5.00%, 5/01/24-5/01/25

     4,860           5,727,762   

San Diego Public Facilities Financing Authority Sewer Revenue

       

Series 2009B

       

5.00%, 5/15/21-5/15/22

     7,310           8,552,205   

San Francisco Bay Area Rapid Transit District

       

Series 2010

       

5.00%, 7/01/27

     2,000           2,330,620   

San Francisco City & County Airports Comm-San Francisco International Airport (San Francisco Intl Airport)

       

Series 2009C-2

       

5.00%, 5/01/25

     500           569,545   

Series 2011G

       

5.00%, 5/01/24

     2,470           2,877,451   

Series 20122

       

5.00%, 5/01/27

     1,270           1,473,759   

NATL Series 2006-32F

       

5.25%, 5/01/18

     675           767,948   

Santa Rosa City Schools

       

Series 2013

       

4.00%, 8/01/15

     2,500           2,552,875   

South Placer Wastewater Authority/CA

       

Series 2011C

       

5.25%, 11/01/22-11/01/24

     8,675           10,304,486   

Southern California Public Power Authority (Los Angeles Department of Water & Power PWR)

       

Series 2010

       

5.00%, 7/01/23

     5,190           6,131,206   

State of California

       

Series 2008

       

5.00%, 4/01/17

     1,635           1,791,469   

Series 2011

       

5.00%, 10/01/20

     1,500           1,777,515   

Series 2013

       

5.00%, 10/01/19-2/01/21

     7,185           8,436,348   


      Principal
Amount
(000)
       U.S. $ Value  

NATL Series 2007

       

5.00%, 11/01/23

   $ 3,200         $ 3,578,016   

State of California Department of Water Resources PWR

       

Series 2010L

       

5.00%, 5/01/17

     12,020           13,221,639   

Series 2010M

       

5.00%, 5/01/15

     1,815           1,843,278   

AGM Series 2008H

       

5.00%, 5/01/17

     1,915           2,106,443   

State of California Department of Water Resources WTR

       

Series 2014A

       

5.00%, 12/01/27

     2,000           2,487,780   

University of California

       

Series 2010U

       

5.00%, 5/15/18

     2,555           2,899,823   

Series 2012G

       

5.00%, 5/15/23

     7,400           8,945,638   

Series 2013A

       

5.00%, 5/15/48

     6,000           7,322,220   

Upper Santa Clara Valley Joint Powers Authority

       

Series 2011A

       

5.00%, 8/01/25

     1,790           2,117,821   

Vista Unified School District

       

Series 2012

       

5.00%, 8/01/23-8/01/25

     4,240           5,084,528   

Walnut Energy Center Authority

       

Series 2014

       

5.00%, 1/01/26-1/01/28

     2,800           3,386,272   
       

 

 

 
          297,535,326   
       

 

 

 

Colorado - 0.4%

       

Plaza Metropolitan District No 1

       

Series 2013

       

5.00%, 12/01/22

     690           765,928   

Regional Transportation District (Denver Transit Partners LLC)

       

Series 2010

       

5.00%, 7/15/22

     1,150           1,266,909   
       

 

 

 
          2,032,837   
       

 

 

 

Florida - 0.9%

       

Citizens Property Insurance Corp.

       

Series 2010A-1

       

5.00%, 6/01/16

     580           615,676   

Series 2011A-1

       

5.00%, 6/01/19

     2,035           2,337,340   

Florida State Hurricane Catastrophe Fund Finance Corp.

       

Series 2010A

       

5.00%, 7/01/16 (Pre-refunded/ETM)

     1,500           1,601,670   

State of Florida Lottery Revenue

       

Series 2010C

       

5.00%, 7/01/17

     150           164,929   
       

 

 

 
          4,719,615   
       

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

Illinois - 1.1%

       

Illinois Finance Authority (Illinois Institute of Technology)

       

Series 2006A

       

5.00%, 4/01/18

   $ 550         $ 572,165   

State of Illinois

       

Series 2010

       

5.00%, 1/01/18

     160           175,064   

Series 2012

       

5.00%, 8/01/15-8/01/23

     2,870           3,131,734   

Series 2013A

       

5.00%, 4/01/20

     1,415           1,590,517   
       

 

 

 
          5,469,480   
       

 

 

 

Michigan - 1.2%

       

Michigan Finance Authority (City of Detroit MI Water Supply System Revenue)

       

Series 2014D4

       

5.00%, 7/01/17

     3,370           3,680,141   

Michigan Finance Authority (Public Lighting Authority)

       

Series 2014B

       

5.00%, 7/01/25

     2,175           2,475,955   
       

 

 

 
          6,156,096   
       

 

 

 

New Jersey - 2.5%

       

New Jersey Economic Development Authority (New Jersey Cigarette Tax)

       

Series 2012

       

5.00%, 6/15/16

     2,700           2,860,596   

New Jersey Transit Corp.

       

Series 2014A

       

5.00%, 9/15/16

     4,275           4,564,802   

New Jersey Transportation Trust Fund Authority

       

Series 2013A

       

5.00%, 12/15/19

     5,000           5,684,750   
       

 

 

 
          13,110,148   
       

 

 

 

New York - 0.6%

       

County of Nassau NY

       

Series 2014A

       

2.00%, 2/02/15

     2,870           2,873,961   
       

 

 

 

Ohio - 0.3%

       

Ohio State Water Development Authority (FirstEnergy Nuclear Generation LLC)

       

Series 2008C

       

3.95%, 11/01/32

     1,445           1,519,244   
       

 

 

 

Puerto Rico - 0.8%

       

Commonwealth of Puerto Rico

       

NATL Series 1997

       

6.50%, 7/01/15

     2,860           2,914,912   

Puerto Rico Industrial Tourist Educational Medical & Envirml Ctl Facs Fing Auth (Universidad Interamericana DE Puerto Rico, Inc.)

       

Series 2012

       

5.00%, 10/01/19

     1,000           1,058,620   
       

 

 

 
          3,973,532   
       

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

Texas - 0.6%

       

Spring Branch Independent School District

       

Series 2013

       

3.00%, 6/15/41

   $ 3,020         $ 3,056,633   
       

 

 

 

Washington - 0.5%

       

Port of Seattle WA

       

Series 2010C

       

5.00%, 2/01/18

     2,405           2,672,652   
       

 

 

 

Total Municipal Obligations
(cost $330,017,987)

          343,119,524   
       

 

 

 
     Shares           

INVESTMENT COMPANIES - 24.0%

       

Funds and Investment Trusts - 24.0%

       

SPDR S&P 500 ETF Trust

     561,362           115,359,891   

iShares Core MSCI Emerging Markets ETF

     167,746           7,889,094   
       

 

 

 

Total Investment Companies
(cost $115,914,617)

          123,248,985   
       

 

 

 
     Principal
Amount
(000)
          

CORPORATES - INVESTMENT GRADE - 1.8%

       

Financial Institutions - 1.5%

       

Banking - 1.5%

       

Bank of America Corp.

       

1.50%, 10/09/15

   $ 3,000           3,012,303   

JPMorgan Chase & Co.

       

3.15%, 7/05/16

     3,115           3,202,024   

Morgan Stanley

       

1.75%, 2/25/16

     1,559           1,567,456   
       

 

 

 
          7,781,783   
       

 

 

 

Industrial - 0.3%

       

Communications - Media - 0.2%

       

Viacom, Inc.

       

1.25%, 2/27/15

     760           760,674   

Consumer Cyclical - Automotive - 0.1%

       

Ford Motor Credit Co. LLC

       

7.00%, 4/15/15

     677           688,649   
       

 

 

 
          1,449,323   
       

 

 

 

Total Corporates - Investment Grade
(cost $9,225,774)

          9,231,106   
       

 

 

 

 


Company

   Shares        U.S. $ Value  

SHORT-TERM INVESTMENTS - 6.2%

       

Investment Companies - 4.6%

       

AB Fixed Income Shares, Inc. -
Government STIF Portfolio, 0.09% (b)(c)
(cost $23,722,601)

   $ 23,722,601         $ 23,722,601   
       

 

 

 
     Principal
Amount
(000)
          

U.S. Treasury Bills - 1.6%

       

U.S. Treasury Bill
Zero Coupon, 1/02/15-3/12/15 (d)
(cost $8,199,992)

   $ 8,200         $ 8,199,992   
       

 

 

 

Total Short-Term Investments
(cost $31,922,593)

          31,922,593   
       

 

 

 

Total Investments - 98.7%
(cost $487,080,971) (e)

          507,522,208   

Other assets less liabilities - 1.3%

          6,921,742   
       

 

 

 

Net Assets - 100.0%

        $ 514,443,950   
       

 

 

 

FUTURES

 

Type

   Number
of
Contracts
     Expiration
Month
     Original
Value
     Value at
December 31,
2014
     Unrealized
Appreciation/
(Depreciation)
 

Purchased Contracts

              

Euro STOXX 50 Futures

     320         March 2015       $ 11,599,564       $ 12,131,479       $ 531,915   

FTSE 100 Index Futures

     70         March 2015         6,821,785         7,116,183         294,398   

Hang Seng Index Futures

     7         January 2015         1,056,715         1,067,380         10,665   

S&P Mid 400 E Mini Futures

     4         March 2015         564,289         579,440         15,151   

SPI 200 Futures

     18         March 2015         1,889,106         1,977,606         88,500   

TOPIX Index Futures

     127         March 2015         15,194,384         14,923,401         (270,983)   

Sold Contracts

              

U.S. Long Bond (CBT) Futures

     33         March 2015         4,624,078         4,770,563           (146,485)   

U.S. T-Note 5 Yr (CBT) Futures

     149         March 2015         17,715,935         17,720,524         (4,589)   

U.S. T-Note 10 Yr (CBT) Futures

     85         March 2015         10,729,128         10,777,734         (48,606)   
              

 

 

 
               $ 469,966   
              

 

 

 

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty

   Contracts to
Deliver
(000)
     In Exchange
For
(000)
     Settlement
Date
     Unrealized
Appreciation/
(Depreciation)
 

Barclays Bank PLC

     JPY         135,612         USD         1,271         2/18/15       $ 138,424   

BNP Paribas SA

     AUD         2,421         USD         2,001         2/18/15         31,139   


Counterparty

   Contracts to
Deliver
(000)
     In Exchange
For
(000)
     Settlement
Date
     Unrealized
Appreciation/
(Depreciation)
 

BNP Paribas SA

     GBP         1,441       USD  2,322         2/18/15       $ 77,289   

BNP Paribas SA

     JPY         109,906       USD  1,030         2/18/15         111,849   

BNP Paribas SA

     USD         1,577       AUD  1,818         2/18/15         (97,854

BNP Paribas SA

     USD         3,260       GBP  2,031         2/18/15         (96,019

Brown Brothers Harriman & Co.

     USD         521       JPY  61,546         2/18/15         (6,685

Citibank

     EUR         814       USD  1,030         2/18/15         44,908   

Citibank

     USD         762       EUR  596         2/18/15         (40,650

Credit Suisse International

     USD         1,437       EUR  1,155         2/18/15         (39,166

Deutsche Bank AG

     EUR         562       USD  699         2/18/15         18,439   

Deutsche Bank AG

     USD         688       EUR  540         2/18/15         (34,232

Deutsche Bank AG

     USD         3,054       JPY  342,041         2/18/15         (197,809

Goldman Sachs Bank USA

     AUD         1,818       USD  1,583         2/18/15         103,284   

Goldman Sachs Bank USA

     EUR         1,070       USD  1,323         2/18/15         27,482   

Goldman Sachs Bank USA

     JPY         96,523       USD  892         2/18/15         86,321   

Royal Bank of Scotland PLC

     EUR         435       USD  530         2/18/15         3,206   

State Street Bank & Trust Co.

     AUD         315       USD  274         2/18/15         17,865   

State Street Bank & Trust Co.

     USD         1,546       EUR  1,232         2/18/15         (54,782
              

 

 

 
               $ 93,009   
              

 

 

 

INFLATION (CPI) SWAPS

 

                   Rate Type        

Swap Counterparty

   Notional
Amount
(000)
     Termination
Date
     Payments
made
by  the

Fund
    Payments
received
by the
Fund
    Unrealized
Appreciation/
(Depreciation)
 

Barclays Bank PLC

   $ 15,000         10/23/17         1.66     CPI   $ (271,771

Barclays Bank PLC

     10,000         10/23/19         1.87     CPI     (223,653

Citibank

     8,000         10/23/21         2.04     CPI     (217,248

Goldman Sachs International

     7,000         10/23/24         2.25     CPI     (251,773

Barclays Bank PLC

     5,000         10/23/26         2.31     CPI     (201,958

Barclays Bank PLC

     1,000         10/23/29         2.39     CPI     (48,162
            

 

 

 
             $ (1,214,565
            

 

 

 

TOTAL RETURN SWAPS

 

Counterparty & Referenced Obligation

   # of
Shares
or Units
     Rate Paid/
Received
    Notional
Amount
(000)
     Maturity
Date
     Unrealized
Appreciation/
(Depreciation)
 

Receive Total Return on Reference Obligation

             

Citibank

             

MSCI Daily TR Net EAFE

     2,738         LIBOR Plus 0.05   $ 14,315         5/6/15       $ (1,006,103

Goldman Sachs International

             

Russell 2000 Total Return Index

     425         LIBOR Minus 0.60     2,383         2/26/15         32,832   

Standard and Poor’s Midcap 400 Index

     1,584         LIBOR Plus 0.14     3,125         3/16/15         112,530   
             

 

 

 
              $ (860,741
             

 

 

 

 

(a) When-Issued or delayed delivery security.
(b) To obtain a copy of the fund’s financial statements, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AllianceBernstein at (800) 227-4618.


(c) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(d) Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.
(e) As of December 31, 2014, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $21,043,522 and gross unrealized depreciation of investments was $(602,285), resulting in net unrealized appreciation of $20,441,237.

As of December 31, 2014, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded are 4.4% and 11.2%, respectively.

Currency Abbreviation:

 

AUD    -    Australian Dollar
EUR    -    Euro
GBP    -    Great British Pound
JPY    -    Japanese Yen
USD    -    United States Dollar

Glossary:

 

AGM    -    Assured Guaranty Municipal
AMBAC    -    Ambac Assurance Corporation
CBT    -    Chicago Board of Trade
COP    -    Certificate of Participation
CPI    -    Consumer Price Index
EAFE    -    Europe, Australia, and Far East
ETF    -    Exchange Traded Fund
ETM    -    Escrowed to Maturity
FTSE    -    Financial Times Stock Exchange
LIBOR    -    London Interbank Offered Rates
MSCI    -    Morgan Stanley Capital International
NATL    -    National Interstate Corporation
SPDR    -    Standard & Poor’s Depository Receipt
SPI    -    Share Price Index
TOPIX    -    Tokyo Price Index


Sanford C. Bernstein Fund, Inc. - Tax-Aware Overlay C Portfolio

December 31, 2014 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolio. Unobservable inputs reflect the Portfolio’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

   

Level 1—quoted prices in active markets for identical investments

   

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

   

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

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

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.

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

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2014:

 

Investments in Securities:

   Level 1     Level 2     Level 3     Total  

Assets:

        

Local Governments - Municipal Bonds

   $ – 0  –    $ 342,353,596      $ 765,928      $ 343,119,524   

Investment Companies

     123,248,985        – 0  –      – 0  –      123,248,985   

Corporates - Investment Grade

     – 0  –      9,231,106        – 0  –      9,231,106   

Short-Term Investments:

        

Investment Companies

     23,722,601        – 0  –      – 0  –      23,722,601   

U.S. Treasury Bills

     – 0  –      8,199,992        – 0  –      8,199,992   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments in Securities

     146,971,586        359,784,694        765,928        507,522,208   

Other Financial Instruments*:

        

Assets:

        

Futures

     15,151        925,478        – 0  –      940,629   

Forward Currency Exchange Contracts

     – 0  –      660,206        – 0  –      660,206   

Total Return Swaps

     – 0  –      145,362        – 0  –      145,362   

Liabilities:

        

Futures

     (199,680     (270,983     – 0  –      (470,663

Forward Currency Exchange Contracts

     – 0  –      (567,197     – 0  –      (567,197

Inflation Swaps

     – 0  –      (1,214,565     – 0  –      (1,214,565

Total Return Swaps

     – 0  –      (1,006,103     – 0  –      (1,006,103
  

 

 

   

 

 

   

 

 

   

 

 

 

Total^

   $     146,787,057      $     358,456,892      $     765,928      $     506,009,877   
  

 

 

   

 

 

   

 

 

   

 

 

 


* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
^ There were no transfers between any levels during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

 

     Local Governments -
Municipal Bonds
    Total  

Balance as of 9/30/14

   $ 853,375      $ 853,375   

Accrued discounts/(premiums)

     (1,558     (1,558

Realized gain (loss)

     333        333   

Change in unrealized appreciation/depreciation

     28,778        28,778   

Purchases

     – 0  –      – 0  – 

Sales

     (115,000     (115,000

Transfers in to Level 3

     – 0  –      – 0  – 

Transfers out of Level 3

     – 0  –      – 0  – 
  

 

 

   

 

 

 

Balance as of 12/31/14

   $ 765,928      $ 765,928   
  

 

 

   

 

 

 

Net change in unrealized appreciation/depreciation from Investments held as of 12/31/14

   $ 18,912      $ 18,912   
  

 

 

   

 

 

 

The Adviser has established a Valuation Committee (the “Committee”) which is responsible for overseeing the pricing and valuation of all securities held in the Portfolio. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily compare of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).


Sanford C. Bernstein Fund, Inc. - Tax-Aware Overlay N Portfolio

Portfolio of Investments

December 31, 2014 (unaudited)

 

      Principal
Amount
(000)
       U.S. $ Value  

MUNICIPAL OBLIGATIONS - 66.7%

       

Long-Term Municipal Bonds - 66.7%

       

New York - 52.6%

       

Albany County Airport Authority

  

AGM Series 2010A

  

5.00%, 12/15/22-12/15/23

   $ 3,555         $ 4,035,124   

Central Islip Union Free School District

  

Series 2013

  

4.00%, 7/15/15

     700           713,839   

5.00%, 7/15/19

     750           865,132   

City of New York NY

  

Series 2010B

  

5.00%, 8/01/16-8/01/19

     5,875           6,395,476   

Series 2010H-2

  

5.00%, 6/01/19

     1,220           1,405,757   

Series 2012I

  

5.00%, 8/01/16

     2,430           2,599,930   

Series 2014A

  

5.00%, 8/01/28

     1,285           1,539,944   

Series 2014J

  

5.00%, 8/01/27

     1,085           1,305,353   

AMBAC Series 2011H4

  

5.00%, 8/01/15

     2,860           2,939,422   

County of Nassau NY

  

Series 2011A

  

5.00%, 4/01/20

     2,050           2,363,035   

Series 2014A

  

5.00%, 4/01/25

     4,775           5,654,412   

County of Onondaga NY

  

Series 2013

  

4.00%, 5/01/15

     2,005           2,029,762   

Hempstead Town Local Development Corp. (Hofstra University)

  

Series 2013

  

5.00%, 7/01/21

     700           820,176   

Jefferson County Industrial Development Agency (ReEnergy Black River LLC/Old)

  

Series 2014

  

4.75%, 1/01/20

     450           450,589   

Long Island Power Authority

  

Series 2010-10-A

  

5.00%, 5/01/15 (Pre-refunded/ETM)

     2,780           2,823,396   

NATL Series 2006A

  

5.00%, 6/01/16 (Pre-refunded/ETM)

     1,335           1,421,989   

Metropolitan Transportation Authority

  

Series 2011B-1

  

5.00%, 11/15/15

     1,400           1,457,106   

Series 2011C

  

5.00%, 11/15/25

     6,505           7,599,791   

Series 2012F

  

5.00%, 11/15/25

     1,000           1,186,740   

AMBAC Series 2005A

  

5.50%, 11/15/16

     1,730           1,885,060   

Metropolitan Transportation Authority (Metropolitan Transportation Authority Ded Tax)

  

Series 2012A

  

5.00%, 11/15/23-11/15/26

     9,840           11,809,399   


      Principal
Amount
(000)
       U.S. $ Value  

Nassau County Interim Finance Authority

  

Series 2012A

       

5.00%, 11/15/16

     9,035           9,786,079   

Nassau Health Care Corp.

       

Series 2014

       

2.25%, 1/15/15

     3,955           3,956,424   

New York City Transitional Finance Authority Future Tax Secured Revenue

       

Series 2009B

       

5.00%, 11/01/18

     4,525           5,174,111   

Series 2010I-2

       

5.00%, 11/01/19

     2,000           2,327,280   

Series 2011B

       

5.00%, 2/01/21

     4,110           4,894,188   

Series 2012F-1

       

5.00%, 5/01/15

     2,500           2,538,950   

Series 2012S

       

5.00%, 5/01/19

     1,000           1,151,720   

Series 2014B

       

5.00%, 11/01/26

     4,000           4,830,320   

Series 2014C

       

5.00%, 11/01/17

     3,340           3,723,332   

New York City Water & Sewer System

       

Series 2010FF

       

5.00%, 6/15/25

     500           579,205   

Series 2011GG

       

5.00%, 6/15/26

     8,070           9,505,007   

New York Local Government Assistance Corp.

       

Series 2007A

       

5.00%, 4/01/16

     1,030           1,089,678   

Series 2010B

       

5.00%, 4/01/20

     4,045           4,768,691   

Series 2012A

       

5.00%, 4/01/16

     3,735           3,951,406   

New York State Dormitory Authority (Fordham University)

       

Series 2011B

       

5.00%, 7/01/41

     5,000           5,315,000   

New York State Dormitory Authority (Mount Sinai Hospital)

       

Series 2010A

       

5.00%, 7/01/18

     645           724,200   

New York State Dormitory Authority (New York State Dormitory Authority Lease)

       

Series 2009A

       

5.00%, 7/01/24

     3,440           3,960,472   

Series 2013A

       

5.00%, 7/01/21

     1,000           1,184,980   

New York State Dormitory Authority (State of New York Pers Income Tax)

       

Series 2008A

       

5.00%, 3/15/18

     4,635           5,215,905   

Series 2012A

       

5.00%, 12/15/21-12/15/22

     3,965           4,796,874   

Series 2014A

       

5.00%, 2/15/28

     2,035           2,430,604   

Series 2014C

       

5.00%, 3/15/29

     3,000           3,574,380   


      Principal
Amount
(000)
       U.S. $ Value  

New York State Dormitory Authority (State University of New York)

       

Series 2012A

       

5.00%, 7/01/26

     1,965           2,322,021   

New York State Energy Research & Development Authority (New York State Electric & Gas Corp.)

       

NATL Series 2010C

       

0.464%, 4/01/34 (a)(b)

     3,225           3,035,502   

New York State Environmental Facilities Corp. (New York City Municipal Water Finance Authority)

       

Series 2012D

       

5.00%, 6/15/20

     1,745           2,064,998   

New York State Thruway Authority (New York State Thruway Authority Ded Tax)

       

Series 2011A

       

5.00%, 4/01/23

     1,590           1,872,384   

Series 2012A

       

5.00%, 4/01/20

     1,975           2,314,186   

AMBAC Series 2005B

       

5.50%, 4/01/20

     2,400           2,872,272   

New York State Thruway Authority (State of New York Pers Income Tax)

       

Series 2010A

       

5.00%, 3/15/25

     4,500           5,280,885   

New York State Urban Development Corp. (State of New York Pers Income Tax)

       

Series 2011A

       

5.00%, 3/15/15

     3,000           3,028,950   

Series 2013C

       

5.00%, 3/15/20

     1,970           2,309,884   

Port Authority of New York & New Jersey

       

Series 20131-78

       

5.00%, 12/01/23

     2,515           3,011,788   

Series 20131-80

       

5.00%, 6/01/21

     2,500           2,986,725   

Series 2014

       

5.00%, 9/01/28

     3,615           4,236,744   

Sales Tax Asset Receivable Corp.

       

Series 2014A

       

5.00%, 10/15/25

     3,750           4,676,325   

Schenectady County Capital Resource Corp. (Ellis Hospital)

       

Series 2012

       

1.75%, 2/15/18

     1,115           1,107,630   

Tobacco Settlement Financing Corp/NY (Tobacco Settlement Financing Corp/NY State Lease)

       

Series 2013B

       

5.00%, 6/01/20

     9,650           10,218,385   

Town of Brookhaven NY

       

Series 2010

       

3.00%, 3/15/15

     1,425           1,433,122   

Town of Hempstead NY

       

Series 2012

       

4.00%, 8/15/15

     2,570           2,630,292   

Triborough Bridge & Tunnel Authority

       

Series 2008C

       

5.00%, 11/15/16

     5,000           5,414,650   


      Principal
Amount
(000)
       U.S. $ Value  

Troy Capital Resource Corp. (Rensselaer Polytechnic Institute)

       

Series 2010B

       

5.00%, 9/01/19-9/01/20

     1,540           1,775,816   
       

 

 

 
            209,372,797   
       

 

 

 

Alabama - 0.3%

       

County of Jefferson AL Sewer Revenue

       

Series 2013D

       

5.00%, 10/01/22

     1,000           1,119,530   
       

 

 

 

Arizona - 0.7%

       

City of Phoenix Civic Improvement Corp. (City of Phoenix Civic Improvement - Airport)

       

Series 2010A

       

5.00%, 7/01/22

     2,575           2,999,231   
       

 

 

 

Colorado - 1.4%

       

City & County of Denver Co. Airport System Revenue (Denver Intl Airport)

       

Series 2011A

       

5.75%, 11/15/20

     3,150           3,796,002   

Plaza Metropolitan District No 1

       

Series 2013

       

5.00%, 12/01/22

     600           666,024   

Regional Transportation District (Denver Transit Partners LLC)

       

Series 2010

       

5.375%, 7/15/25

     1,100           1,209,164   
       

 

 

 
          5,671,190   
       

 

 

 

District of Columbia - 0.6%

       

Metropolitan Washington Airports Authority

       

Series 2010B

       

5.00%, 10/01/21

     2,100           2,428,650   
       

 

 

 

Florida - 3.2%

       

Broward County School Board/FL COP

       

Series 2011A

       

5.00%, 7/01/18

     3,500           3,963,015   

Citizens Property Insurance Corp.

       

Series 2010A-1

       

5.00%, 6/01/16

     1,155           1,226,044   

Series 2012A-1

       

5.00%, 6/01/21

     2,840           3,334,671   

County of Lee FL Airport Revenue (Southwest Florida Intl Airport)

       

AGM Series 2010A

       

5.00%, 10/01/17

     1,710           1,888,268   

Florida State Hurricane Catastrophe Fund Finance Corp.

       

Series 2010A

       

5.00%, 7/01/16 (Pre-refunded/ETM)

     1,885           2,012,765   

State of Florida Lottery Revenue

       

Series 2010C

       

5.00%, 7/01/18

     170           191,680   
       

 

 

 
          12,616,443   
       

 

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

Idaho - 0.2%

       

Idaho Health Facilities Authority (The Terraces at Boise)

       

Series 2014

       

5.25%, 10/01/20

     660           666,706   
       

 

 

 

Illinois - 2.3%

       

Illinois Finance Authority (Illinois Institute of Technology)

       

Series 2006A

       

5.00%, 4/01/18

     475           494,143   

State of Illinois

       

Series 2010

       

5.00%, 1/01/18

     160           175,064   

Series 2012

       

5.00%, 8/01/15

     2,320           2,378,348   

Series 2014

       

5.00%, 5/01/22

     1,000           1,120,740   

State of Illinois (State of Illinois Sales Tax)

       

Series 2010

       

5.00%, 6/15/20

     1,685           1,977,617   

Series 2013

       

4.00%, 6/15/16

     2,915           3,060,925   
       

 

 

 
            9,206,837   
       

 

 

 

Michigan - 1.5%

       

Michigan Finance Authority (City of Detroit MI Sewage Disposal System Revenue)

       

AGM Series 2014C

       

5.00%, 7/01/26

     5,055           5,803,292   
       

 

 

 

New Jersey - 1.5%

       

New Jersey State Turnpike Authority

       

AGM Series 2005D-3

       

5.25%, 1/01/26

     2,555           3,146,176   

New Jersey Transit Corp.

       

Series 2014A

       

5.00%, 9/15/21

     2,410           2,788,707   
       

 

 

 
          5,934,883   
       

 

 

 

Pennsylvania - 1.2%

       

Philadelphia Parking Authority (Philadelphia Airport Parking)

       

Series 2009

       

5.25%, 9/01/23

     200           227,126   

Sports & Exhibition Authority of Pittsburgh and Allegheny County

       

AGM Series 2010

       

5.00%, 2/01/24

     4,000           4,536,840   
       

 

 

 
          4,763,966   
       

 

 

 

Puerto Rico - 0.5%

       

Commonwealth of Puerto Rico

       

NATL Series 2001A

       

5.50%, 7/01/16

     1,945           2,015,156   
       

 

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

Washington - 0.7%

       

Port of Seattle WA

       

Series 2010C

  

5.00%, 2/01/21

     2,300           2,688,194   
       

 

 

 

Total Municipal Obligations
(cost $255,189,291)

          265,286,875   
       

 

 

 
      Shares           

INVESTMENT COMPANIES - 23.9%

       

Funds and Investment Trusts - 23.9%

       

iShares Core MSCI Emerging Markets ETF

     130,359           6,130,784   

SPDR S&P 500 ETF Trust

     433,316           89,046,438   
       

 

 

 

Total Investment Companies
(cost $88,471,385)

          95,177,222   
       

 

 

 
      Principal
Amount
(000)
          

CORPORATES - INVESTMENT GRADE - 2.0%

       

Financial Institutions - 1.7%

       

Banking - 1.7%

       

Bank of America Corp.

       

1.50%, 10/09/15

   $ 2,626           2,636,769   

Citigroup, Inc.

  

2.65%, 3/02/15

     1,212           1,215,572   

JPMorgan Chase & Co.

  

1.35%, 2/15/17

     2,645           2,644,942   
       

 

 

 
          6,497,283   
       

 

 

 

Industrial - 0.3%

       

Communications - Media - 0.1%

       

Viacom, Inc.

       

1.25%, 2/27/15

     640           640,568   
       

 

 

 

Consumer Non-Cyclical - 0.2%

       

Actavis, Inc.

       

1.875%, 10/01/17

     665           662,422   
       

 

 

 
          1,302,990   
       

 

 

 

Total Corporates - Investment Grade
(cost $7,786,956)

          7,800,273   
       

 

 

 
      Shares           

SHORT-TERM INVESTMENTS - 5.6%

       

Investment Companies - 4.1%

       

AllianceBernstein Fixed-Income Shares, Inc. - Government STIF Portfolio,
0.09% (c)(d)
(cost $16,378,858)

     16,378,858           16,378,858   
       

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

U.S. Treasury Bills - 1.5%

       

U.S. Treasury Bill

       

Zero Coupon, 1/02/15

   $ 3,000           3,000,000   

Zero Coupon, 3/12/15 (e)

     3,000           2,999,994   
       

 

 

 

Total U.S. Treasury Bills
(cost $5,999,994)

          5,999,994   
       

 

 

 

Total Short-Term Investments
(cost $22,378,852)

          22,378,852   
       

 

 

 

Total Investments - 98.2%
(cost $373,826,484) (f)

          390,643,222   

Other assets less liabilities - 1.8% (g)

          6,975,224   
       

 

 

 

Net Assets - 100.0%

        $ 397,618,446   
       

 

 

 

FUTURES

 

Type

   Number
of
Contracts
     Expiration
Month
     Original
Value
     Value at
December 31,
2014
     Unrealized
Appreciation/
(Depreciation)
 

Purchased Contracts

  

Euro STOXX 50 Futures

     230         March 2015       $ 8,337,187       $ 8,719,501       $ 382,314   

FTSE 100 Index Futures

     51         March 2015         4,969,509         5,184,647         215,138   

Hang Seng Index Futures

     5         January 2015         754,796         762,413         7,617   

S&P Mid 400 E Mini Futures

     3         March 2015         423,217         434,580         11,363   

SPI 200 Futures

     13         March 2015         1,364,354         1,428,271         63,917   

TOPIX Index Futures

     95         March 2015         11,365,042         11,163,174         (201,868

Sold Contracts

              

U.S. Long Bond (CBT) Futures

     29         March 2015         4,063,584         4,192,313         (128,729

U.S. T-Note 5 Yr (CBT) Futures

     113         March 2015         13,435,580         13,439,055         (3,475

U.S. T-Note 10 Yr (CBT) Futures

     79         March 2015         9,970,528         10,016,953         (46,425
              

 

 

 
               $ 299,852   
              

 

 

 

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty

   Contracts to
Deliver
(000)
     In Exchange
For
(000)
     Settlement
Date
     Unrealized
Appreciation/
(Depreciation)
 

Barclays Bank PLC

   JPY      104,139       USD$      976         2/18/15       $ 106,298   

BNP Paribas SA

   AUD      1,883       USD      1,557         2/18/15         24,219   

BNP Paribas SA

   GBP      1,278       USD      2,060         2/18/15         68,546   

BNP Paribas SA

   JPY      86,404       USD      810         2/18/15         87,931   

BNP Paribas SA

   USD      1,142       AUD      1,316         2/18/15         (70,834

BNP Paribas SA

   USD      2,536       GBP      1,580         2/18/15         (74,697

Citibank

   EUR      1,116       USD      1,402         2/18/15         50,882   

Citibank

   USD      605       EUR      473         2/18/15         (32,261

Credit Suisse International

   USD      724       EUR      582         2/18/15         (19,736

Deutsche Bank AG

   USD      1,374       EUR      1,089         2/18/15         (55,707


Counterparty

   Contracts to
Deliver
(000)
     In Exchange
For
(000)
     Settlement
Date
     Unrealized
Appreciation/
(Depreciation)
 

Deutsche Bank AG

     USD         2,799         JPY         315,765         2/18/15       $ (161,587

Goldman Sachs Bank USA

     EUR         1,103         USD         1,372         2/18/15         36,833   

Goldman Sachs Bank USA

     AUD         1,316         USD         1,146         2/18/15         74,765   

Goldman Sachs Bank USA

     JPY         76,771         USD         710         2/18/15         68,657   

Royal Bank of Scotland PLC

     EUR         341         USD         415         2/18/15         2,513   

State Street Bank & Trust Co.

     AUD         359         USD         313         2/18/15         20,360   

State Street Bank & Trust Co.

     USD         745         EUR         597         2/18/15         (22,029
                 

 

 

 
   $ 104,153   
                 

 

 

 

INFLATION (CPI) SWAPS

 

                   Rate Type        

Swap Counterparty

   Notional
Amount
(000)
     Termination
Date
     Payments
made
by the
Fund
    Payments
received
by the
Fund
    Unrealized
Appreciation/
(Depreciation)
 

Barclays Bank PLC

   $ 10,000         10/23/17         1.658     CPI   $ (181,181

Barclays Bank PLC

     6,000         10/23/19         1.873     CPI     (134,192

Citibank

     5,000         10/23/21         2.039     CPI     (135,780

Goldman Sachs International

     7,000         10/23/24         2.245     CPI     (251,773

Barclays Bank PLC

     4,000         10/23/26         2.310     CPI     (161,566

Barclays Bank PLC

     1,000         10/23/29         2.388     CPI     (48,162
            

 

 

 
     $ (912,654
            

 

 

 

 

# Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).

TOTAL RETURN SWAPS

 

Counterparty & Referenced Obligation

   # of Shares
or Units
     Rate Paid/
Received
    Notional
Amount
(000)
     Maturity
Date
     Unrealized
Appreciation/
(Depreciation)
 

Receive Total Return on Reference Obligation

  

Citibank

             

MSCI Daily TR Net EAFE Index

     2,412         LIBOR Plus 0.05   $ 12,611         5/6/15       $ (886,311

Goldman Sachs International

             

Russell 2000 Total Return Index

     335         LIBOR Minus 0.06     1,878         2/26/15         25,880   

Standard and Poor’s Midcap 400 Index

     93         LIBOR Plus 0.07     190         2/26/15         3   

Standard and Poor’s Midcap 400 Index

     1,156         LIBOR Plus 0.14     2,281         3/16/15         82,124   
             

 

 

 
              $ (778,304
             

 

 

 

 

(a) An auction rate security whose interest rate resets at each auction date. Auctions are typically held every week or month. The rate shown is as of December 31, 2014 and the aggregate market value of this security amounted to $3,035,502 or 0.76% of net assets.
(b) Variable rate coupon, rate shown as of December 31, 2014.
(c) To obtain a copy of the fund’s financial statements, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AllianceBernstein at (800) 227-4618.


(d) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(e) Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.
(f) As of December 31, 2014, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $17,324,709 and gross unrealized depreciation of investments was $(507,971), resulting in net unrealized appreciation of $16,816,738.
(g) An amount of U.S. $1,931,867 has been segregated to collateralize margin requirements for the open futures contracts at December 31, 2014.

As of December 31, 2014, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 12.7% and 4.2%, respectively.

Currency Abbreviation:

 

AUD    -    Australian Dollar
EUR    -    Euro
GBP    -    Great British Pound
JPY    -    Japanese Yen
USD    -    United States Dollar

Glossary:

 

AGM    -    Assured Guaranty Municipal
AMBAC    -    Ambac Assurance Corporation
CBT    -    Chicago Board of Trade
COP    -    Certificate of Participation
CPI    -    Consumer Price Index
EAFE    -    Europe, Australia, and Far East
ETF    -    Exchange Traded Fund
ETM    -    Escrowed to Maturity
FTSE    -    Financial Times Stock Exchange
LIBOR    -    London Interbank Offered Rates
MSCI    -    Morgan Stanley Capital International
NATL    -    National Interstate Corporation
SPDR    -    Standard & Poor’s Depository Receipt
SPI    -    Share Price Index
TOPIX    -    Tokyo Price Index


Sanford C. Bernstein Fund, Inc. - Tax-Aware Overlay N Portfolio

December 31, 2014 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolio. Unobservable inputs reflect the Portfolio’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

   

Level 1—quoted prices in active markets for identical investments

   

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

   

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

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

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.

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

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2014:

 

Investments in Securities:

   Level 1     Level 2     Level 3     Total  

Assets:

  

Long-Term Municipal Bonds

   $ – 0  –    $ 259,547,132      $ 5,739,743      $ 265,286,875   

Investment Companies

     95,177,222        – 0  –      – 0  –      95,177,222   

Corporates - Investment Grade

     – 0  –      7,800,273        – 0  –      7,800,273   

Short-Term Investments:

        

Investment Companies

     16,378,858        – 0  –      – 0  –      16,378,858   

U.S. Treasury Bills

     – 0  –      5,999,994        – 0  –      5,999,994   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments in Securities

     111,556,080        273,347,399        5,739,743        390,643,222   

Other Financial Instruments*:

        

Assets:

        

Futures

     11,363        668,986        – 0  –      680,349   

Forward Currency Exchange Contracts

     – 0  –      541,004        – 0  –      541,004   

Total Return Swaps

     – 0  –      108,007        – 0  –      108,007   

Liabilities:

        

Futures

     (178,629     (201,868     – 0  –      (380,497

Forward Currency Exchange Contracts

     – 0  –      (436,851     – 0  –      (436,851

Inflation (CPI) Swaps

     – 0  –      (912,654     – 0  –      (912,654

Total Return Swaps

     – 0  –      (886,311     – 0  –      (886,311
  

 

 

   

 

 

   

 

 

   

 

 

 

Total+

   $ 111,388,814      $ 272,227,712      $ 5,739,743      $ 389,356,269   
  

 

 

   

 

 

   

 

 

   

 

 

 


* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
+ There were no transfers between any levels during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

 

     Long-Term Municipal
Bonds
    Total  

Balance as of 9/30/14

   $ 5,280,423      $ 5,280,423   

Accrued discounts/(premiums)

     (7,591     (7,591

Realized gain (loss)

     – 0  –      – 0  – 

Change in unrealized appreciation/depreciation

     16,911        16,911   

Purchases

     450,000        450,000   

Sales

     – 0  –      – 0  – 

Transfers in to Level 3

     – 0  –      – 0  – 

Transfers out of Level 3

     – 0  –      – 0  – 
  

 

 

   

 

 

 

Balance as of 12/31/14

   $ 5,739,743      $ 5,739,743   
  

 

 

   

 

 

 

Net change in unrealized appreciation/depreciation from Investments held as of 12/31/14

   $ 16,911      $ 16,911   
  

 

 

   

 

 

 

As of December 31, 2014 all Level 3 securities were priced by third party vendors or at cost, which approximates fair value.

The Adviser has established a Valuation Committee (the “Committee”) which is responsible for overseeing the pricing and valuation of all securities held in the Portfolio. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily compare of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).


ITEM 2. CONTROLS AND PROCEDURES.

(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effective at the reasonable assurance level based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.

(b) There were no significant changes in the registrant’s internal control over financial reporting that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

 

ITEM 3. EXHIBITS.

The following exhibits are attached to this Form N-Q:

 

EXHIBIT NO.

 

DESCRIPTION OF EXHIBIT

3 (a) (1)   Certification of Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
3 (a) (2)   Certification of Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant): Sanford C. Bernstein Fund, Inc.
By:   /s/    Dianne F. Lob
 

Dianne F. Lob

President

Date: February 23, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:   /s/    Dianne F. Lob
 

Dianne F. Lob

President

Date: February 23, 2015

 

By:   /s/    Joseph J. Mantineo
  Joseph J. Mantineo
  Treasurer and Chief Financial Officer

Date: February 23, 2015


Dates Referenced Herein

This ‘N-Q’ Filing    Date    Other Filings
9/30/15None on these Dates
Filed on / Effective on:3/3/15
2/23/15
For Period End:12/31/14
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