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Document/Exhibit Description Pages Size 1: N-Q Sanford C. Bernstein Fund, Inc. HTML 6.40M 2: EX-99.CERT Certifications HTML 12K
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
(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 |
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 |
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) |
$ | 38,200 | 38,200,089 | |||||
|
|
|||||||
Total Investments - 99.7% |
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 |
1,444,741,542 | |||||||
|
|
|||||||
INVESTMENT COMPANIES - 4.4% |
||||||||
Funds and Investment Trusts - 4.4% |
||||||||
iShares Core MSCI EAFE ETF |
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 |
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% |
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 |
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 |
11,058,798 | |||||||
|
|
|||||||
RIGHTS - 0.0% |
||||||||
Financials - 0.0% |
||||||||
Banks - 0.0% |
||||||||
DGB Financial Group, Inc., expiring 1/13/15 (a) |
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 |
OMR | 92 | 259 | |||||
|
|
|||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS - 1.3% |
||||||||
Repurchase Agreements - 1.3% |
||||||||
State Street Bank & Trust Co. |
16,197 | 16,196,856 | ||||||
|
|
|||||||
Total Investments - 99.0% |
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 |
$ | (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 |
$ | (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 |
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 |
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 |
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 |
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 |
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 |
126,952,158 | |||||||
|
|
|||||||
INFLATION-LINKED SECURITIES - 3.3% |
||||||||
United States - 3.3% |
||||||||
U.S. Treasury Inflation Index |
||||||||
0.125%, 4/15/19 (TIPS) |
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 |
105,073,925 | |||||||
|
|
|||||||
AGENCIES - 2.0% |
||||||||
Agency Debentures - 2.0% |
||||||||
Residual Funding Corp. Principal Strip Zero Coupon, 7/15/20 |
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 |
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 |
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 |
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 |
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) |
U.S.$ | 38,554 | $ | 38,534,916 | ||||
|
|
|||||||
Total Short-Term Investments |
80,899,916 | |||||||
|
|
|||||||
Total Investments - 105.3% |
$ | 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) |
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 |
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 |
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 |
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 |
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 |
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 |
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) |
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 |
8,520,078 | |||||||
|
|
|||||||
COVERED BONDS - 0.4% |
||||||||
DNB Boligkreditt AS 1.45%, 3/21/18 (a) |
1,865 | 1,856,770 | ||||||
|
|
Principal Amount (000) |
U.S. $ Value | |||||
Total Investments - 99.2% |
$ | 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 |
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 |
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 |
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 |
1,735,022 | |||||||
|
|
|||||||
INFLATION-LINKED SECURITIES - 3.6% |
||||||||
United States - 3.6% |
||||||||
U.S. Treasury Inflation Index |
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% |
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 |
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 |
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% |
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 |
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 |
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% |
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 |
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 |
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% |
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 |
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 |
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% |
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 |
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 |
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% |
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 |
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 |
60,135,000 | |||||||
|
|
|||||||
Total Municipal Obligations |
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 |
304,458,074 | |||||||
|
|
|||||||
GOVERNMENTS - TREASURIES - 1.6% |
||||||||
United States - 1.6% |
||||||||
U.S. Treasury Notes |
||||||||
0.75%, 1/15/17 |
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% |
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 |
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 |
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 |
|
1,985,901 | ||||||
|
|
|||||||
RIGHTS - 0.0% |
||||||||
Financials - 0.0% |
||||||||
Banks - 0.0% |
||||||||
DGB Financial Group, expiring 1/13/15 (a) |
4 | 4 | ||||||
|
|
|||||||
SHORT-TERM INVESTMENTS - 18.4% |
||||||||
Investment Companies - 17.8% |
||||||||
AB Fixed Income Shares, Inc. - Government STIF Portfolio, 0.09% (f)(g) |
345,648,555 | 345,648,555 | ||||||
|
|
|||||||
Principal Amount (000) |
||||||||
U.S. Treasury Bills - 0.6% |
||||||||
U.S. Treasury Bill |
$ | 12,000 | 11,999,975 | |||||
|
|
|||||||
Total Investments - 99.0% |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
7,304,149 | |||||||
|
|
Principal Amount (000) |
U.S. $ Value | |||||||
AGENCIES - 0.5% |
||||||||
Agency Debentures - 0.5% |
||||||||
Residual Funding Corp. Principal Strip |
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 |
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 |
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 |
2,401,300 | |||||||
|
|
|||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS - 11.6% |
||||||||
Investment Companies - 9.8% |
||||||||
AB Fixed Income Shares, Inc. - |
104,805,280 | 104,805,280 | ||||||
|
|
|||||||
Principal Amount (000) |
||||||||
U.S. Treasury Bills - 1.8% |
||||||||
U.S. Treasury Bill |
$ | 19,370 | 19,369,767 | |||||
|
|
|||||||
Total Short-Term Investments |
124,175,047 | |||||||
|
|
|||||||
Total Investments - 105.0% |
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 |
5.00 | % | 3.53 | % | 4,700 | $ | 298,324 | $ | (27,702 | ) | ||||||||||
CDX-NAIG |
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 |
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 |
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 |
4,698,562 | |||||||
|
|
|||||||
RIGHTS - 0.0% |
||||||||
Financials - 0.0% |
||||||||
Banks - 0.0% |
||||||||
DGB Financial Group, expiring 1/13/15 (a) |
6 | 6 | ||||||
|
|
|||||||
SHORT-TERM INVESTMENTS - 16.4% |
||||||||
Investment Companies - 15.2% |
||||||||
AB Fixed-Income Shares, Inc. - |
613,482,773 | 613,482,773 | ||||||
|
|
|||||||
Principal Amount (000) |
||||||||
U.S. Treasury Bills - 1.2% |
||||||||
U.S. Treasury Bill |
$ | 50,000 | 49,999,951 | |||||
|
|
|||||||
Total Short-Term Investments |
663,482,724 | |||||||
|
|
|||||||
Total Investments - 98.9% |
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 |
||||||||
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 |
||||||||
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 |
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 |
8,315,000 | |||||||
|
|
|||||||
Total Municipal Obligations |
||||||||
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 |
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 |
37,959,820 | |||||||
|
|
|||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS - 4.7% |
||||||||
Investment Companies - 2.9% |
||||||||
AB Fixed Income Shares, Inc. - Government STIF |
50,495,299 | 50,495,299 | ||||||
|
|
|||||||
Principal Amount (000) |
||||||||
U.S. Treasury Bills - 1.8% |
||||||||
U.S. Treasury Bill |
$ | 31,000 | 30,999,970 | |||||
|
|
|||||||
Total Short-Term Investments |
81,495,269 | |||||||
|
|
|||||||
Total Investments - 98.9% |
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 |
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 |
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 |
9,231,106 | |||||||
|
|
Company |
Shares | U.S. $ Value | ||||||
SHORT-TERM INVESTMENTS - 6.2% |
||||||||
Investment Companies - 4.6% |
||||||||
AB Fixed Income Shares, Inc. - |
$ | 23,722,601 | $ | 23,722,601 | ||||
|
|
|||||||
Principal Amount (000) |
||||||||
U.S. Treasury Bills - 1.6% |
||||||||
U.S. Treasury Bill |
$ | 8,200 | $ | 8,199,992 | ||||
|
|
|||||||
Total Short-Term Investments |
31,922,593 | |||||||
|
|
|||||||
Total Investments - 98.7% |
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 |
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 |
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 |
7,800,273 | |||||||
|
|
|||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS - 5.6% |
||||||||
Investment Companies - 4.1% |
||||||||
AllianceBernstein Fixed-Income Shares, Inc. - Government STIF Portfolio, |
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 |
5,999,994 | |||||||
|
|
|||||||
Total Short-Term Investments |
22,378,852 | |||||||
|
|
|||||||
Total Investments - 98.2% |
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: |
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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: |
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Investment Companies |
16,378,858 | – 0 | – | – 0 | – | 16,378,858 | ||||||||||
U.S. Treasury Bills |
– 0 | – | 5,999,994 | – 0 | – | 5,999,994 | ||||||||||
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Total Investments in Securities |
111,556,080 | 273,347,399 | 5,739,743 | 390,643,222 | ||||||||||||
Other Financial Instruments*: |
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Assets: |
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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: |
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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 | ) | ||||||||
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Total+ |
$ | 111,388,814 | $ | 272,227,712 | $ | 5,739,743 | $ | 389,356,269 | ||||||||
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* | 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 | – | ||||
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Balance as of 12/31/14 |
$ | 5,739,743 | $ | 5,739,743 | ||||
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Net change in unrealized appreciation/depreciation from Investments held as of 12/31/14 |
$ | 16,911 | $ | 16,911 | ||||
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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 | |
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 | |
President |
Date: February 23, 2015
By: | /s/ Joseph J. Mantineo | |
Joseph J. Mantineo | ||
Treasurer and Chief Financial Officer |
Date: February 23, 2015
This ‘N-Q’ Filing | Date | Other Filings | ||
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9/30/15 | None on these Dates | |||
Filed on / Effective on: | 3/3/15 | |||
2/23/15 | ||||
For Period End: | 12/31/14 | |||
List all Filings |