NPORT-EX 2 NPORT_64CV_20551613_0325.htm HTML

AB CarVal Credit Opportunities Fund

Consolidated Portfolio of Investments

March 31, 2025 (unaudited)

 

     

Principal

Amount

(000)

        U.S. $ Value  

ASSET BACKED – 45.8%

           

Bonds – 45.8%

           

Alternative Energy – 0.6%

           

Dividend Solar Loans LLC
Series 2019-1
5.68%, 08/22/2039(a)

      U.S.$        481        $ 424,889  

Mill City Solar Loan Ltd.
Series 2019-1
5.92%, 03/20/2043(a) (b)

         114          97,537  

7.14%, 03/20/2043(a) (b)

         106          74,706  

Series 2019-2GS
2.00%, 07/20/2043(a) (b)

         412          284,826  

2.94%, 07/20/2043(a) (b) (c) (d) (e)

         735          379,485     

Series 2020-1
8.64%, 06/20/2047(a) (b) (c) (d) (e) (f)

               1,189          350,077  
          

 

 

  
                1,611,520  
          

 

 

  

Asset Backed Securities – 0.3%

 

Turbine Engines Securitization Ltd.
Series 2013-1
5.125%, 12/13/2048(a) (d) (e)

         700          652,238  

6.375%, 12/13/2048(a) (d) (e)

         131           118,344  
          

 

 

  
             770,582  
          

 

 

  

Collateralized Loan Obligations – 0.8%

 

Nassau Euro CLO I DAC
Series 1X, Class C
5.201% (EURIBOR 3 Month + 2.70%), 12/15/2034(a) (g)

      EUR        1,820          1,961,807  
          

 

 

  

Commercial Mortgage-Backed Securities – 16.0%

 

Ashford Hospitality Trust
Series 2018
5.892% (SOFR 1 Month + 1.57%), 04/15/2035(a) (g)

      U.S.$        2,000          1,961,601  

Atrium Hotel Portfolio Trust
Series 2024
8.599%, 11/10/2029(a)

         2,680          2,762,143  

Banc of America Merrill Lynch
Series 2025
8.32% (SOFR 1 Month + 4.00%), 02/15/2042(a) (g)

         2,500          2,497,944  

BOCA Commercial Mortgage Trust
Series 2024, Class E
8.756% (SOFR 1 Month + 4.44%), 08/15/2041(a) (g)

         930          927,839  

BX Commercial Mortgage Trust
Series 2022-CSMO, Class D
8.657% (SOFR 1 Month + 4.34%), 06/15/2027(a) (g)

         399          399,347  

Series 2024
7.71% (SOFR 1 Month + 3.39%), 01/15/2042(a) (g)

         2,000          1,984,695  

 

1

     

Principal

Amount

(000)

        U.S. $ Value  

BX Trust
Series 2021-ARIA, Class G
7.576% (SOFR 1 Month + 3.26%), 10/15/2036(a) (g)

      U.S.$        2,112        $    2,048,935  

Series 2022-PSB, Class F
11.652% (SOFR 1 Month + 7.33%), 08/15/2039(a) (g)

         510          516,244  

BXSC Commercial Mortgage Trust
Series 2022-WSS, Class F
9.649% (SOFR 1 Month + 5.33%), 03/15/2035(a) (g)

         1,750          1,760,400  

Commercial Mortgage Trust
Series 2024
7.927%, 12/10/2041(a)

         2,000          1,950,584  

CSMC Trust
Series 2017-CHOP, Class F
8.794% (PRIME + 1.29%), 07/15/2032(a) (g)

         220          218,589     

Extended Stay America Trust
Series 2021-ESH, Class G
9.434% (SOFR 1 Month + 5.11%), 07/15/2038(a) (g)

         347          347,340  

GS Mortgage Securities Corp. II
Series 2024-70P, Class E
8.367%, 03/10/2041(a)

         2,509          2,574,013  

GS Mortgage Securities Corp. Trust
Series 2021-ARDN, Class G
9.434% (SOFR 1 Month + 5.11%), 11/15/2036(a) (g)

         500          478,450  

HIH Trust
Series 2024-61P, Class F
9.756% (SOFR 1 Month + 5.44%), 10/15/2041(a) (g)

         2,300          2,294,600  

ILPT Commercial Mortgage Trust
Series 2022
10.259% (SOFR 1 Month + 5.94%), 10/15/2039(a) (g)

               1,500          1,492,862  

JPMorgan Chase Commercial Mortgage Securities Trust
Series 2021-HTL5, Class E
8.10% (SOFR 1 Month + 3.78%), 11/15/2038(a) (g)

         1,608          1,596,076  

Series 2021-HTL5, Class F
8.85% (SOFR 1 Month + 4.53%), 11/15/2038(a) (g)

         1,305          1,292,202  

MTN Commercial Mortgage Trust
Series 2022-LPFL, Class F
9.605% (SOFR 1 Month + 5.29%), 03/15/2039(a) (g)

         2,007          2,008,123  

Pembroke Property Finance 3 DAC
6.478% (EURIBOR 3 Month + 3.95%), 06/01/2043(a) (g)

      EUR        500           540,650  

PGA National Resort Commercial
Series 2024-RSR2, Class E
8.207% (SOFR 1 Month + 3.89%), 06/15/2039(a) (g)

      U.S.$        500          504,840  

 

2

     

Principal

Amount

(000)

        U.S. $ Value  

Series 2024-RSR2, Class F
9.006% (SOFR 1 Month + 4.69%), 06/15/2039(a) (g)

      U.S.$        1,375        $ 1,371,624  

SHR Trust
Series 2024-LXRY, Class E
8.769% (SOFR 1 Month + 4.45%), 10/15/2041(a) (g)

         700          699,990  

SMRT Commercial Mortgage Trust
Series 2022-MINI, Class E
7.02% (SOFR 1 Month + 2.70%), 01/15/2039(a) (g)

               1,780          1,722,450  

Series 2022-MINI, Class F
7.67% (SOFR 1 Month + 3.35%), 01/15/2039(a) (g)

         2,000          1,880,591  

SWCH Commercial Mortgage Trust
Series 2025
7.659% (SOFR 1 Month + 3.34%), 03/15/2042(a) (g)

         1,000          990,587     

8.558% (SOFR 1 Month + 4.24%), 03/15/2042(a) (g)

         2,000          1,980,658  

THPT Mortgage Trust
Series 2023-THL, Class D
9.252%, 12/10/2034(a)

         1,386          1,409,523  
          

 

 

  
               40,212,900  
          

 

 

  

Consumer Asset-Backed Securities – 12.2%

           

BBVA Consumer Auto FTA
Series 2024-1
8.104% (EURIBOR 3 Month + 5.40%), 04/21/2037(a) (g)

      EUR        412          447,417  

FCT Eurotruck Lease
7.594% (EURIBOR 1 Month + 7.75%), 04/30/2049(d) (e) (g)

         380          410,894  

10.094% (EURIBOR 1 Month + 5.25%), 04/30/2049(d) (e) (g)

         1,790          1,935,526  

Foundation Finance Trust
Series 2024-2
9.35%, 03/15/2050(a)

      U.S.$        1,076          1,114,845  

Series 2025-1
8.37%, 04/15/2050(a)

         2,016          1,975,549  

GoodLeap Home Improvement Solutions Trust
Series 2025-1
7.83%, 02/20/2049(a)

         2,000          2,031,485  

Lendbuzz Auto Receivables Trust
Series 2025
1.00%, 08/15/2031(d) (e)

         950          14,373,594  

Newday Funding Master Issuer PLC
Series 2022-2
11.463% (SONIA + 7.00%), 07/15/2030(a) (g)

      GBP        800          1,045,237  

PPC Zeus DAC
6.873% (EURIBOR 1 Month + 4.50%), 07/23/2029(a) (d) (e) (g)

      EUR        1,517          1,638,934  

 

3

     

Principal

Amount

(000)

        U.S. $ Value  

SC Germany SA Compartment Consumer
Series 2022-1
7.892% (EURIBOR 1 Month + 5.50%), 10/14/2036(a) (g)

      EUR        631        $ 702,085  

10.892% (EURIBOR 1 Month + 8.50%), 10/14/2036(a) (g)

         561          623,962  

Series 2024-1
7.192% (EURIBOR 1 Month + 4.80%), 01/14/2038(a) (g)

         292          315,194  

Securitisation of Catalogue Assets Ltd.
9.438% (SONIA + 4.25%), 01/01/2027(d) (e) (g)

      GBP        567          734,912  

12.158% (SONIA + 6.97%), 01/01/2027(d) (e) (g)

         986          1,278,887  

16.188% (SONIA + 11.00%), 01/01/2027(d) (e) (g)

         540          706,264  

Stream Innovations Issuer Trust
Series 2024-2A
9.05%, 02/15/2045(a)

      U.S.$        1,500          1,538,583  
          

 

 

  
               30,873,368  
          

 

 

  

Residential Mortgage-Backed Securities – 15.9%

           

CFMT LLC
Series 2024
4.00%, 10/25/2054(a) (d) (e)

         1,878          1,605,330  

Clavel Residential 3 DAC
Series 2023
6.173% (EURIBOR 3 Month + 3.50%), 01/28/2076(a) (g)

      EUR        513          551,572  

EFMT
Series 2024-INV2
7.687%, 10/25/2069(a) (d) (e)

      U.S.$              2,765          2,696,963  

Jeronimo Funding DAC
5.612% (EURIBOR 3 Month + 3.00%), 10/25/2064(a) (g)

      EUR        400           413,705  

6.112% (EURIBOR 3 Month + 3.50%), 10/25/2064(a) (g)

         941          958,036     

6.612% (EURIBOR 3 Month + 4.00%), 10/25/2064(a) (g)

         471          466,659  

Mill City Mortgage Loan Trust
Series 2018-4
2.03%, 04/25/2066(a) (b) (d) (e)

      U.S.$        164          69,984  

3.078%, 04/25/2066(a) (b) (d) (e)

         408          218,761  

3.25%, 04/25/2066(a) (b)

         427          326,913  

8.75%, 04/25/2066(a) (b) (d) (e)

         140          56,377  

10.68%, 04/25/2066(a) (b) (c) (d) (e) (f)

         7,732          16,963  

Series 2019-1
1.943%, 10/25/2069(a) (b) (d) (e)

         216          108,735  

3.563%, 10/25/2069(a) (b) (d) (e)

         429          258,481  

3.569%, 10/25/2069(a) (b) (d) (e)

         214          86,810  

12.81%, 10/25/2069(a) (b) (c) (d) (e) (f)

         7,438          16,149  

 

4

     

Principal

Amount

(000)

        U.S. $ Value  

Series 2019-GS2
0.00%, 08/25/2059(a) (b) (d) (e) (f)

      U.S.$              3,165        $ 15,300  

3.25%, 08/25/2059(a) (b) (d) (e)

         340          232,460  

3.25%, 08/25/2059(a) (b)

         256          211,350  

3.88%, 08/25/2059(a) (b) (d) (e)

         652          372,372  

13.13%, 08/25/2059(a) (b) (c) (d) (e) (f)

         3,559          61,746  

Series 2023-NQM1
6.102%, 10/25/2067(a) (b)

         367           356,119  

6.102%, 10/25/2067(a) (b) (d) (e)

         221          204,222  

Morgan Stanley Residential Mortgage Loan Trust
Series 2024
7.392%, 10/25/2069(a) (d) (e)

         1,115             1,082,782  

New Residential Mortgage Loan Trust
Series 2016-1
4.972%, 03/25/2056(a) (d) (e)

         204          135,730     

Series 2016-2
5.463%, 11/26/2035(a) (d) (e)

         260          197,308  

Series 2018-1
5.738%, 12/25/2057(a) (d) (e)

         682          491,946  

Series 2018-2
5.315%, 02/25/2058(a) (d) (e)

         2,033          1,519,768  

Series 2019-2
4.759%, 12/25/2057(a) (d) (e)

         2,583          1,705,285  

Series 2019-5
4.259%, 08/25/2059(a) (d) (e)

         2,981          1,870,335  

Series 2019-6
4.359%, 09/25/2059(a) (d) (e)

         2,907          1,837,873  

Series 2019-RPL2
3.994%, 02/25/2059(a) (d) (e)

         2,618          1,421,440  

Series 2023
7.535%, 10/25/2063(a) (d) (e)

         2,000          1,972,133  

PRP Advisors, LLC
Series 2023-RCF2
4.00%, 11/25/2053(a)

         1,000          880,996  

Shamrock Residential
Series 2023-1
6.123% (EURIBOR 1 Month + 3.75%), 06/24/2071(a) (g)

      EUR        487          529,595  

7.873% (EURIBOR 1 Month + 5.50%), 06/24/2071(a) (d) (e) (g)

         326          287,834  

8.873% (EURIBOR 1 Month + 6.50%), 06/24/2071(a) (d) (e) (g)

         165          125,425  

9.873% (EURIBOR 1 Month + 7.50%), 06/24/2071(a) (d) (e) (g)

         348          208,090  

Shamrock Residential DAC
Series 2022-2
6.123% (EURIBOR 1 Month + 3.75%), 02/24/2071(a) (g)

         679          762,657  

7.123% (EURIBOR 1 Month + 4.75%), 02/24/2071(a) (g)

         538          617,057  

 

5

     

Principal

Amount

(000)

        U.S. $ Value  

8.873% (EURIBOR 1 Month + 6.50%), 02/24/2071(a) (g)

      EUR        643        $ 770,233  

9.873% (EURIBOR 1 Month + 7.50%), 02/24/2071(a) (g)

         181          223,641  

10.873% (EURIBOR 1 Month + 8.50%), 02/24/2071(a) (d) (e) (g)

         570          348,417  

Verus Securitization Trust
Series 2023-6
7.799%, 09/25/2068(a) (d) (e)

      U.S.$              1,890          1,866,864  

Series 2023-INV2
8.093%, 08/25/2068(a) (d) (e)

         3,139          3,120,460  

Series 2024-4
8.041%, 06/25/2069(a) (d) (e)

         2,000          1,980,026  

Series 2024-6
7.931%, 07/25/2069(a) (d) (e)

         1,402          1,382,707  

Series 2024-7
7.84%, 09/25/2069(a) (d) (e)

         2,264          2,209,194  

Series 2024-8
7.628%, 10/25/2069(a) (d) (e)

         785           768,920     

Series 2024-9
7.372%, 11/25/2069(a) (d) (e)

         2,000          1,941,015  

Series 2025-1
7.349%, 01/25/2070(a) (d) (e)

         500          484,658  
          

 

 

  
               40,047,396  
          

 

 

  

Total Asset Backed
(cost $114,059,744)

              115,477,573  
          

 

 

  

CORPORATE SECURITIES – 18.7%

           

Bank Debt – 16.0%

           

Agriculture/Food – 0.8%

           

Max US Bidco, Inc.
10/02/2030(h)

         1,990          1,949,414  
          

 

 

  

Auto/Motor Carrier – 1.4%

           

Carnaby Inventory II LLC
Series 2024
19.347% (SOFR 1 Month + 14.00%), 05/31/2025(d) (e) (g)

         1,260          1,246,775  

Carnaby Inventory III LLC
19.347% (SOFR 1 Month + 13.625%), 12/31/2049(d) (e) (g)

         2,400          2,373,615  
          

 

 

  
             3,620,390  
          

 

 

  

Commercial Services – 0.7%

           

United Talent Agency LLC
Series 2024
8.075% (SOFR 1 Month + 3.75%), 07/07/2028(g)

         1,733          1,734,666  
          

 

 

  

 

6

     

Principal

Amount

(000)

        U.S. $ Value  

Communications – 2.4%

           

Arches Buyer, Inc.
Series 2021
8.674% (SOFR 1 Month + 3.26%), 12/06/2027(g)

      U.S.$        1,995        $ 1,950,228  

MH Sub I LLC
Series 2023
8.574% (SOFR 1 Month + 4.25%), 05/03/2028(g)

         0 **         141     

Univision Communications, Inc.
Series 2022
7.689% (SOFR 1 Month + 3.25%), 01/31/2029(g)

         1,990          1,916,779  

Vmed O2 U.K. Holdco 4 Ltd.
Series 2023
10/15/2031(h)

      EUR              2,045          2,185,255  
          

 

 

  
                6,052,403  
          

 

 

  

Financial Services – 1.4%

           

Advisor Group Holdings I
Series 2024
08/17/2028(h)

      U.S.$        1,884          1,868,442  

Nexus Buyer LLC
Series 2025
07/31/2031(h)

         1,607          1,596,390  

USI, Inc.
Series 2024
6.549% (SOFR 3 Month + 2.25%), 09/27/2030(g)

         142           140,547  
          

 

 

  
             3,605,379  
          

 

 

  

Health Care – 3.5%

           

Centrient Holding BV
Series 2024
10/31/2027(h)

      EUR        2,000          2,169,628  

Heartland Dental LLC
Series 2024
8.825% (SOFR 1 Month + 4.50%), 04/28/2028(g)

      U.S.$        1,990          1,985,194  

LSCS Holdings, Inc.
Series 2025
8.799% (SOFR 3 Month + 4.50%), 02/23/2032(g)

         1,430          1,425,966  

Schoen Klinik SE
Series 2025
01/10/2031(h)

      EUR        1,000          1,072,292  

Star Parent, Inc.
8.30% (SOFR 3 Month + 3.75%), 09/30/2030(g)

      U.S.$        2,122          2,023,931  
          

 

 

  
             8,677,011  
          

 

 

  

 

7

     

Principal

Amount

(000)

        U.S. $ Value  

Insurance – 0.8%

 

Asurion LLC
Series 2023
8.675% (SOFR 1 Month + 4.25%), 08/21/2028(g)

      U.S.$        1,990        $ 1,969,591     
          

 

 

  

Leisure/Entertainment – 3.1%

 

Banijay Entertainment S.A.S
Series 2025
03/27/2028(h)

         1,019          1,016,377  

Hoya Midco LLC
Series 2022
02/05/2029(h)

         0 **         352  

Route 66 Development Authority
10/10/2030(h)

         4,075          4,044,438  

Spectacle Gary Holdings LLC
Series 2021
8.675% (SOFR 1 Month + 4.25%), 12/11/2028(g)

         2,792          2,775,831  
          

 

 

  
             7,836,998  
          

 

 

  

Packaging & Containers – 0.6%

           

Swissport Stratosphere U
Series 2024
8.044% (SOFR 3 Month + 3.75%), 03/31/2031(g)

         1,462          1,464,709  
          

 

 

  

Technology – 1.3%

           

Indy US Holdco LLC
Series 2025
03/06/2028(h)

         857           853,144  

X Corp.
10.949% (SOFR 3 Month + 6.50%), 10/29/2029(g)

         2,522          2,505,523  
          

 

 

  
       3,358,667  
          

 

 

  
         40,269,228  
          

 

 

  
     Shares           

Equity Investments – 1.7%

           

Alternative Energy – 0.2%

           

Intersect Power LLC(d) (e) (i)

         95,560          556,542  
          

 

 

  

Financial Services – 1.5%

           

CVI SYM Holdings LLC(b) (d) (e) (i)

           3,758,103          3,700,762  
          

 

 

  
       4,257,304  
          

 

 

  
     Principal
Amount
(000)		           

Bonds – 1.0%

           

Building/Construction Products – 0.1%

           

Country Garden Holdings Co. Ltd.
3.125%, 10/22/2025(a) (i) (j)

      U.S.$        792          76,770  

 

8

     

Principal

Amount

(000)

        U.S. $ Value  

5.125%, 01/17/2025(a) (i) (k)

      U.S.$        2,458        $ 237,548  
          

 

 

  
             314,318  
          

 

 

  

Consumer – 0.6%

 

Stonegate Pub Co. Financing PLC
9.181% (EURIBOR 3 Month + 6.63%), 07/31/2029(a) (g)

      EUR        605          669,282  

10.75%, 07/31/2029(a)

      GBP        511          679,687  
          

 

 

  
             1,348,969  
          

 

 

  

Miscellaneous Industries – 0.3%

 

Forvia SE
5.625%, 06/15/2030(a)

      EUR        97          102,402  

Itelyum Regeneration SpA
5.75%, 04/15/2030(a)

         152          163,091  

Ontex Group NV
5.25%, 04/15/2030(a)

         64          69,687  

SNF Group SACA
4.50%, 03/15/2032(a)

         256          275,822  

Starwood Property Trust, Inc.
6.50%, 10/15/2030(a)

      U.S.$        81          80,473  

Summer BC Holdco B SARL
5.875%, 02/15/2030(a)

      EUR        93          98,851  
          

 

 

  
             790,326  
          

 

 

  
             2,453,613  
          

 

 

  

Total Corporate Securities
(cost $47,821,585)

 

        46,980,145  
          

 

 

  
     Shares           

LOAN PORTFOLIOS – 16.6%

           

Equity Investments – 15.3%

           

Alternative Energy – 0.8%

           

Coral Reef SPV SARL(b) (d) (e) (i)

         1,715,513          1,953,680  
          

 

 

  

Commercial Loan Portfolios – 0.5%

           

Powis Finance SARL(b) (d) (e) (i)

         1,077,446          1,252,402  
          

 

 

  

Commercial Real Estate Loans – 1.4%

           

CVI Thompson Holdings LLC(b) (d) (e) (i)

         3,615,782          3,640,536  
          

 

 

  

Consumer Loan Portfolios – 7.6%

           

Creditable Opportunities FD II(d) (e)

          2,429,420          2,626,931  

CVI CB Holdings IV LLC(b) (d) (e) (i)

         1,881,105          2,235,385  

CVI LB Investment Trust II(b) (d) (e)

         1,353,785          1,353,785  

CVI MF Acquisition Trust II(b) (d) (e) (i)

         869,028          930,605  

CVI OCT Acquisition Trust(b) (d) (e) (i)

         6,309,615          6,613,813  

CVI SBT Acquisition Trust(b) (d) (e)

         1,591,283          1,591,283  

Obediente Enterprises LLC(b) (d) (e) (i)

         2,663,308          3,757,425  
          

 

 

  
               19,109,227  
          

 

 

  

 

9

Company    Shares        U.S. $ Value  

Residential Loan Portfolios – 5.0%

           

CAIS Private Equity(b) (d) (e)

         1,402,196        $ 1,516,194  

Kutxabank SA(b) (d) (e) (i)

         310,282          115,104  

Renascentia SPV SRL(b) (d) (e)

         10,142,321          11,096,309  
          

 

 

  
             12,727,607  
          

 

 

  
             38,683,452  
          

 

 

  
     Principal
Amount
(000)		           

Debt Investments – 1.3%

           

Alternative Energy – 1.3%

           

GoldenPeaks Capital
14.328% (EURIBOR 3 Month + 12.00%), 05/02/2029(b) (d) (e) (g)

      U.S.$        3,062          3,244,482  
          

 

 

  

Total Loan Portfolios
(cost $40,404,314)

              41,927,934  
          

 

 

  
     Shares           

SPECIAL OPPORTUNITIES – 6.1%

           

Equity Investments – 6.1%

           

Aviation – 6.1%

           

Aergo Capital Ltd.(b) (d) (e) (i)
(cost $15,074,304)

         15,074,303          15,403,529  
          

 

 

  

Total Investments – 87.2%
(cost $217,359,947)(l)

              219,789,181  

Other assets less liabilities – 12.8%

              32,347,050  
          

 

 

  

Net Assets – 100.0%

            $  252,136,231  
          

 

 

  

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty   

Contracts to

Deliver

(000)

     

In Exchange

For

(000)

     

Settlement

Date

     

Unrealized

Appreciation

(Depreciation)

HSBC Bank USA        GBP        120          USD        156          06/18/2025        $ 587
HSBC Bank USA        GBP        11,254          USD        14,244          06/18/2025          (288,734 )
HSBC Bank USA        USD        6,027          GBP        4,880          06/18/2025          276,289
HSBC Bank USA        EUR        2,674          USD        2,934          09/17/2025          15,075
HSBC Bank USA        EUR        39,660          USD        42,873          09/17/2025          (417,773 )
HSBC Bank USA        USD        1,075          EUR        1,010          09/17/2025          27,648
HSBC Bank USA        USD        559          EUR        510          09/17/2025          (2,699 )
                                   

 

 

  
                                    $  (389,607 ) 
                                   

 

 

  

 

10

CENTRALLY CLEARED INTEREST RATE SWAPS

 

                   Rate Type                                  
Notional
Amount
(000)		     

Termination

Date

     

Payments

made

by the

Fund

     

Payments

received

by the

Fund

     

Payment
Frequency
Paid/

Received

     

Market

Value

       

Upfront

Premiums

Paid

(Received)

       

Unrealized

Appreciation

(Depreciation)

  
USD      15,700      08/05/2027      1 Day
SOFR		      3.799%      Annual      $ (72,801 )       $ 5,354        $ (78,155 ) 
USD      12,800      08/05/2027      1 Day
SOFR		      3.799%      Annual        (63,834 )         4,654          (68,488 ) 
USD      45,758      09/03/2027      1 Day
SOFR		      3.496%      Annual        (554,079 )         —          (554,079 ) 
USD      11,439      09/03/2027      1 Day
SOFR		      3.496%      Annual        (138,520 )         —          (138,520 ) 
                         

 

 

       

 

 

       

 

 

  
                          $  (829,234 )       $    10,008        $  (839,242 ) 
                         

 

 

       

 

 

       

 

 

  

CREDIT DEFAULT SWAPS

 

Swap Counterparty &

Referenced Obligation

   

Fixed

Rate

(Pay)

Receive

     Payment
Frequency		    Implied
Credit
Spread at
March 31,
2025		    

Notional

Amount

(000)

     

Market

Value

    

Upfront

Premiums

Paid

(Received)

    

Unrealized

Appreciation

(Depreciation)

  
Buy Contracts

 

Barclay Bank PLC

 

Republic of Poland Government Bond, 06/20/2029*

      (1.00 %)    Annual      7.50 %      USD        1,551      $ (28,195 )    $ (17,484 )    $ (10,711 ) 

Republic of Poland Government Bond, 06/20/2029*

      (1.00 %)    Annual      7.50 %      USD        705        (11,054 )      (7,628 )      (3,426 ) 

Republic of Poland Government Bond, 12/20/2029*

      (1.00 %)    Annual      7.50 %      USD        470        (6,945 )      (7,407 )      462  
               

 

 

    

 

 

    

 

 

  
                $  (46,194 )    $  (32,519 )    $  (13,675 ) 
               

 

 

    

 

 

    

 

 

  

 

*

Termination date

**

Principal Amount less than 500.

(a)

Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At March 31, 2025, the aggregate market value of these securities amounted to $98,491,109 or 39.1% of net assets.

(b)

Affiliated investments.

(c)

The subordinated notes represented are considered equity positions in the securitized vehicle. The securitized equity investments are entitled to recurring distributions which are generally equal to the excess cash flow generated from the underlying investments after payment of the contractual payments to senior debt holders and other expenses. The current estimated yield that is disclosed, calculated using amortized cost, is based on the current projections of this excess cash flow taking into account assumptions which have been made regarding expected prepayments, losses and future reinvestment rates. These assumptions are periodically reviewed and adjusted. Ultimately, the actual yield may be higher or lower than the estimated yield if actual results differ from those used for the assumptions.

 

11

(d)

Fair valued by the Adviser.

(e)

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

(f)

IO - Interest Only.

(g)

Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.

(h)

This position or a portion of this position represents an unsettled loan purchase. The coupon rate will be determined at the time of settlement and will be based upon a published reference rate and spread, which was determined at the time of purchase.

(i)

Non-income producing security.

(j)

Defaulted.

(k)

Defaulted matured security.

(l)

As of March 31, 2025, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $5,933,174 and gross unrealized depreciation of investments was $(4,746,464), resulting in net unrealized appreciation of $1,186,710.

Currency Abbreviations:

EUR – Euro

GBP – Great British Pound

USD – United States Dollar

Glossary:

CLO – Collateralized Loan Obligations

EURIBOR – Euro Interbank Offered Rate

SOFR – Secured Overnight Financing Rate

SONIA – Sterling Overnight Index Average

COUNTRY BREAKDOWN1

March 31, 2025 (unaudited)

 

  69.7 %       United States
  9.7 %       Ireland
  6.1 %       United Kingdom
  5.9 %       Italy
  1.8 %       Germany
  1.8 %       Spain
  1.6 %       Netherlands
  1.5 %       Poland
  1.1 %       France
  0.7 %       Greece
  0.1 %       China

 

 

       
  100.0 %       Total Investments

 

 

       

 

1 

The Fund’s country breakdown is expressed as a percentage of total investments and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details).

 

12

AB CarVal Credit Opportunities Fund

March 31, 2025 (unaudited)

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

 

  •  

Level 1 - quoted prices in active markets for identical investments

  •  

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

  •  

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

The Fund’s investments in corporate securities and derivatives are primarily valued using Level 2 inputs which generally consist of vendor pricing and multiple broker quotes based on the yield, maturity, credit quality and bids or trading activity in the security or similar securities, thereby demonstrating consensus pricing. Corporate securities valued using Level 1 inputs generally represent an immaterial portion of the investment portfolio; however, they would be valued using the readily available market prices. Inputs from Level 3 are also utilized for corporate securities and derivatives, depending on the information available and characteristics of the asset type. Investments in asset backed, loan portfolios, and special opportunities are valued with Level 3 inputs primarily using a discounted cash flow analysis. This analysis takes into consideration risk adjusted rates of return as applied to the cash inflows and outflows anticipated in connection with managing and/or disposing each specific investment. This analysis may include factors such as income streams, local market activity, timing, collateral, payment history, comparative sales values, and other similar factors that have or will influence the exit of the investment. However, certain structured credit and special opportunities investments may be valued using a market approach depending on the availability of broker quotes or other information. Further, certain asset backed investments may be valued using Level 2 inputs depending on the information available. All forward foreign currency contracts held at March 31, 2025 were valued using Level 2 inputs which include forward rates.

The Fund may use Special Purpose Vehicles (“SPVs”) or other similar vehicles to facilitate its investments in various strategies. The Fund will provide funding to the SPVs in a form of a loan receivable and/or an equity contribution. The SPVs, in turn purchase and own the underlying investment assets. In these instances, the Fund’s loan receivable and/or equity contributions represent the instrument that is fair valued.

Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.

The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of March 31, 2025:

 

13

Investments in Securities:

    Level 1      Level 2     Level 3      Total  
Assets:           
Asset Backed    $ —      $ 59,919,555     $ 55,558,018      $ 115,477,573  
Corporate Securities      —        39,102,451       7,877,694        46,980,145  
Loan Portfolios      —        —       41,927,934        41,927,934  
Special Opportunities      —        —       15,403,529        15,403,529  
  

 

 

     

 

 

    

 

 

     

 

 

  
Total Investments in Securities      —        99,022,006       120,767,175        219,789,181  
Other Financial Instruments(a):           
Assets:           
Forward Currency Exchange Contracts      —        319,599       —        319,599  
Liabilities:           
Forward Currency Exchange Contracts      —        (709,206 )      —        (709,206 ) 
Centrally Cleared Interest Rate Swaps      —        (829,234 )      —        (829,234 ) 
Credit Default Swaps      —        (46,194 )      —        (46,194 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  
Total    $     —      $  97,756,971     $  120,767,175      $  218,524,146  
  

 

 

     

 

 

    

 

 

     

 

 

  

 

(a) 

Other financial instruments include reverse repurchase agreements and derivative instruments, such as futures, forwards, swaps, options and warrants, which are valued at market value.

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

 

     Asset-Backed     Corporate
Securities		     Special
Opportunities		  
Balance as of 06/30/2024    $ 32,941,831     $ 4,122,659     $ 14,813,252  
Accrued discounts/(premiums)      78,258       (75 )      —  
Realized gain (loss)      (35,333 )      (414 )      —  
Change in unrealized appreciation/depreciation      621,946       6,008       207,300  
Purchases      30,457,596       13,958,753       8,745,743  
Sales/Paydowns      (9,064,815 )      (8,570,147 )      (8,362,766 ) 
Transfers into Level 3      609,426       —       —  
Transfers out of Level 3      (50,891 )      (1,639,090 )      —  
  

 

 

    

 

 

    

 

 

  
Balance as of 03/31/2025    $  55,558,018     $    7,877,694     $  15,403,529  
  

 

 

    

 

 

    

 

 

  
Net change in unrealized appreciation/depreciation from investments held as of 03/31/2025    $ 155,949     $ (3,068 )    $ 207,300  
     Loan Portfolio     Total        
Balance as of 06/30/2024    $ 2,634,908     $ 54,512,650    
Accrued discounts/(premiums)      —       78,183    
Realized gain (loss)      489       (35,258 )   
Change in unrealized appreciation/depreciation      1,685,397       2,520,651    
Purchases      53,723,219       106,885,311    
Sales/Paydowns      (16,116,079 )      (42,113,807 )   
Transfers into Level 3      —       609,426    
Transfers out of Level 3      —       (1,689,981 )   
  

 

 

    

 

 

    
Balance as of 03/31/2025    $  41,927,934     $  120,767,175    
  

 

 

    

 

 

    
Net change in unrealized appreciation/depreciation from investments held as of 03/31/2025    $ 1,685,397     $ 2,045,578    
  

 

 

    

 

 

    

 

14

The following presents information about significant unobservable inputs related to the Fund’s Level 3 investments at March 31, 2025.

 

     Quantitative Information about Level 3 Fair Value Measurements  
      Fair Value at
03/31/25		      Valuation Technique    Unobservable Input  

Input Range/Weighted

Average***

  
Asset Backed    $ 3,697,331     

Broker Quotes and/or 3rd

Party Pricing Services**

    N/A     N/A  
   $ 5,129,579      Discounted Cash Flow    Discount Rate     3.75-22.88% / 7.70%  
   $ 32,009,097      Market Comparables    Market Spread*     210-798bps / 444bps  
   $ 14,722,011      Market Comparables    Recent Transaction     N/A  
  

 

 

          
   $ 55,558,018          
  

 

 

          
Corporate Securities    $ 3,620,390      Market Comparables    Discount Rate     23.20%  
   $ 4,257,304      Discounted Cash Flow    Discount Rate     13.36-20.00% / 13.91%  
  

 

 

          
   $ 7,877,694          
  

 

 

          
Loan Portfolios    $  23,606,427      Discounted Cash Flow    Discount Rate     12.50-18.50% / 12.35%  
   $ 15,077,025      Market Approach    Recent Transaction     N/A  
   $ 3,244,482      Discounted Cash Flow    Discount Rate     15.67%  
  

 

 

          
   $ 41,927,934          
  

 

 

          
Special Opportunities    $ 15,403,529      Discounted Cash Flow    Discount Rate     7.52-36.39% / 14.40%  
  

 

 

          

 

*

The Market Spreads are compared to related U.S. Treasuries and used to calculate the fair value.

**

The valuation is based on non-binding broker quotes or market comparables where quantitative inputs are not observable. Broker quotes or market comparables have been reviewed and substantiated by the Adviser and may be adjusted for timing or other market events, if necessary.

***

Represents the range of discount rates or spreads that are utilized as an input by the Adviser for purposes of generating a fair value. Weighted average excludes investments that have been marked to zero fair market value, when applicable.

Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. Significant increases (decreases) in Discount Rate, Recent Transaction, and Market Spread in isolation would be expected to result in a significantly higher (lower) fair value measurement.

 

15

A summary of the Fund’s transactions in affiliated entities by the Adviser for the nine months ended March 31, 2025 is as follows.

 

Issuer    Market Value
06/30/2024
(000)		      Purchases
at Cost
(000)		      Sales
Proceeds
(000)		      Realized
Gain
(Loss)
(000)		    

Change in
Unrealized
Appr./

(Depr.)
(000)

     Market Value
03/31/2025
(000)		      Income
(000)		  
Aergo Capital Ltd.    $  14,813      $ 8,640      $ 8,304      $ 0     $  (254 )    $  14,895      $    753  
CAIS Private Equity      0        1,517        0        0       (1 )      1,516        0  
Coral Reef SPV SARL      0        1,954        0        0       0       1,954        0  
CVI CB Holdings IV LLC      0        3,579        1,344        0       0       2,235        (51 ) 
CVI LB Investment Trust II      0        1,354        0        0       0       1,354        0  
CVI MF Acquisition Trust II      0        1,542        611        0       0       931        18  
CVI OCT Acquisition Trust      0         22,711         13,693         (2,404 )      0       6,614        48  
CVI SBT Acquisition Trust      0        2,057        466        0       0       1,591        0  
CVI Symmetry Holding LLC      0        12,141        8,440        0       0       3,701        327  
CVI Thompson Holdings LLC      0        3,641        0        0       0       3,641        203  
GoldenPeaks Capital,
05/02/2029, 14.328%		      2,329        918        0        0       (3 )      3,244        331  
Kutxabank SA      306        0        86        0       (105 )      115        (15 ) 
Mill City Mortgage Loan Trust,
Series 2018-4,
2.030%, 04/25/2066		      72        0        0        0       (2 )      70        4  
Mill City Mortgage Loan Trust,
Series 2018-4,
3.076%, 04/25/2066		      54        0        0        0       2       56        1  
Mill City Mortgage Loan Trust,
Series 2018-4,
3.078%, 04/25/2066		      226        0        0        0       (8 )      218        9  
Mill City Mortgage Loan Trust,
Series 2018-4,
3.250%, 04/25/2066		      292        0        0        0       35       327        10  
Mill City Mortgage Loan Trust,
Series 2018-4,
10.700%, 04/25/2066		      17        0        0        0       0       17        0  
Mill City Mortgage Loan Trust,
Series 2019-1,
1.943%, 10/25/2069		      109        0        0        0       0       109        5  
Mill City Mortgage Loan Trust,
Series 2019-1,
3.563%, 10/25/2069		      262        0        0        0       (4 )      258        11  
Mill City Mortgage Loan Trust,
Series 2019-1,
3.569%, 10/25/2069		      88        0        0        0       (1 )      87        4  
Mill City Mortgage Loan Trust,
Series 2019-1,
12.830%, 10/25/2069		      17        0        0        (1 )      0       16        0  
Mill City Mortgage Loan Trust,
Series 2019-GS2,
0.080%, 08/25/2059		      16        0        0        0       (1 )      15        2  
Mill City Mortgage Loan Trust,
Series 2019-GS2,
3.250%, 08/25/2059		      489        0        79        11       22       443        14  
Mill City Mortgage Loan Trust,
Series 2019-GS2,
3.880%, 08/25/2059		      374        0        0        0       (1 )      373        18  

 

16

Issuer    Market Value
06/30/2024
(000)		      Purchases
at Cost
(000)		      Sales
Proceeds
(000)		      Realized
Gain
(Loss)
(000)		    

Change in
Unrealized
Appr./

(Depr.)
(000)

     Market Value
03/31/2025
(000)		      Income
(000)		  
Mill City Mortgage Loan Trust,
Series 2019-GS2,
12.820%, 08/25/2059		    $      70      $ 0      $ 0      $ (2 )    $ (6 )    $ 62      $ 0  
Mill City Mortgage Loan Trust,
Series 2023-NQM1,
6.102%, 10/25/2067		      579        0        53        1       33       560        27  
Mill City Solar Loan Ltd.,
Series 2019-1,
5.920%, 03/20/2043		      107        0        0        0       (9 )      98        5  
Mill City Solar Loan Ltd.,
Series 2019-1,
7.140%, 03/20/2043		      84        0        0        0       (9 )      75        6  
Mill City Solar Loan Ltd.,
Series 2019-2GS,
2.000%, 07/20/2043		      296        0        0        0       (11 )      285        6  
Mill City Solar Loan Ltd.,
Series 2019-2GS,
11.880%, 07/20/2043		      428        0        0        0       (49 )      379        0  
Mill City Solar Loan Ltd.,
Series 2020-1,
13.830%, 06/20/2047		      406        0        0        0       (56 )      350        0  
Obediente Enterprises LLC      0        3,858            101        0       0       3,757        1  
Powis Finance SARL      0        1,274        22        0       0       1,252        0  
Prothena Corp. PLC      0        567        58        0       0       509        2  
Renascentia SPV SRL      0         11,096        0        0       0       11,096        0  
Total                               $  (2,395 )    $  (428 )    $  62,203      $  1,739  

 

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