AB Bond Fund, Inc. 

AB Total Return Bond Portfolio 

Portfolio of Investments 

January 31, 2020 (unaudited) 

																																														Principal Amount (000)																				U.S. $ Value
CORPORATES - INVESTMENT GRADE – 20.5%
Industrial – 11.8%
Basic – 1.2%
Alpek SAB de CV 4.25%, 9/18/29 (a)																															U.S.$											203																						$		210,739
Braskem Netherlands Finance BV 4.50%, 1/31/30 (a)																																										895																								899,207
Celulosa Arauco y Constitucion SA 4.20%, 1/29/30 (a)																																										332																								337,814
DuPont de Nemours, Inc.
		4.205%, 11/15/23																																								485																								524,164
		4.493%, 11/15/25																																								485																								541,435
Eastman Chemical Co. 3.80%, 3/15/25																																										220																								235,591
Glencore Funding LLC 4.125%, 5/30/23 (a)																																										516																								543,781
Inversiones CMPC SA 4.375%, 4/04/27 (a)																																										490																								521,752
Inversiones CMPC SA/Cayman Islands Branch 4.375%, 5/15/23 (a)																																										225																								234,773
Orbia Advance Corp. SAB de CV
		4.00%, 10/04/27(a)																																								350																								365,995
		4.875%, 9/19/22(a)																																								225																								238,641
																																																																		4,653,892
Capital Goods – 0.4%
Embraer Netherlands Finance BV 5.40%, 2/01/27																																										540																								611,691
General Electric Co. 0.875%, 5/17/25																															EUR											815																								926,255
																																																																		1,537,946
Communications - Media – 0.7%
Charter Communications Operating LLC/Charter Communications Operating Capital
		4.20%, 3/15/28																													U.S.$											47																								50,726
		4.908%, 7/23/25																																								650																								727,636
		5.05%, 3/30/29																																								675																								773,347
Cox Communications, Inc. 2.95%, 6/30/23 (a)																																										233																								239,566
Time Warner Cable LLC 5.00%, 2/01/20																																										740																								740,000
																																																																		2,531,275
Communications - Telecommunications – 1.9%
AT&T, Inc.
		3.40%, 5/15/25																																								1,610																								1,707,968
		4.125%, 2/17/26																																								1,161																								1,280,176
		4.35%, 3/01/29																																								500																								563,545
		4.55%, 3/09/49																																								395																								449,123
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 4.738%, 3/20/25 (a)																																										740																								784,156
																																														Principal Amount (000)																				U.S. $ Value
Verizon Communications, Inc.
		4.862%, 8/21/46																													U.S.$											355																						$		455,948
		5.012%, 4/15/49																																								443																								587,108
Vodafone Group PLC 3.75%, 1/16/24																																										1,249																								1,332,446
																																																																		7,160,470
Consumer Cyclical - Automotive – 0.4%
Ford Motor Credit Co. LLC 4.063%, 11/01/24																																										360																								371,419
General Motors Financial Co., Inc.
		4.30%, 7/13/25																																								135																								144,937
		5.10%, 1/17/24																																								665																								729,173
		5.25%, 3/01/26																																								165																								185,778
																																																																		1,431,307
Consumer Cyclical - Restaurants – 0.1%
Starbucks Corp. 4.50%, 11/15/48																																										242																								287,213
Consumer Non-Cyclical – 2.6%
AbbVie, Inc. 4.875%, 11/14/48																																										374																								446,470
Anheuser-Busch InBev Worldwide, Inc. 5.55%, 1/23/49																																										945																								1,288,526
BAT Capital Corp. 3.215%, 9/06/26																																										728																								751,587
Becton Dickinson and Co. 3.734%, 12/15/24																																										180																								193,241
Cigna Corp.
		3.75%, 7/15/23																																								252																								266,414
		4.125%, 11/15/25																																								299																								328,685
		4.375%, 10/15/28																																								399																								450,886
Coca-Cola Femsa SAB de CV 2.75%, 1/22/30																																										443																								455,869
CVS Health Corp.
		3.25%, 8/15/29																																								181																								188,269
		4.10%, 3/25/25																																								450																								488,867
		4.30%, 3/25/28																																								450																								499,226
Gilead Sciences, Inc. 2.55%, 9/01/20																																										910																								913,740
Kraft Heinz Foods Co.
		3.75%, 4/01/30(a)																																								544																								575,171
		3.95%, 7/15/25																																								50																								53,567
Mylan NV 3.95%, 6/15/26																																										690																								735,871
Reynolds American, Inc. 6.875%, 5/01/20																																										345																								349,106
Takeda Pharmaceutical Co., Ltd. 4.40%, 11/26/23																																										530																								575,670
Tyson Foods, Inc. 3.95%, 8/15/24																																										541																								585,551
Zimmer Biomet Holdings, Inc. 2.70%, 4/01/20																																										377																								377,222
Zoetis, Inc. 3.45%, 11/13/20																																										334																								337,644
																																																																		9,861,582
																																														Principal Amount (000)																				U.S. $ Value
Energy – 3.0%
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc.
		3.337%, 12/15/27																													U.S.$											433																						$		458,603
		4.08%, 12/15/47																																								175																								186,279
Cenovus Energy, Inc. 4.25%, 4/15/27																																										42																								44,818
Energy Transfer Operating LP
		3.75%, 5/15/30																																								515																								525,104
		4.50%, 4/15/24																																								78																								83,936
		4.75%, 1/15/26																																								1,138																								1,246,565
Energy Transfer Partners LP/Regency Energy Finance Corp. 4.50%, 11/01/23																																										135																								144,090
Eni SpA 4.25%, 5/09/29 (a)																																										850																								958,392
Enterprise Products Operating LLC
		3.70%, 1/31/51																																								546																								545,727
		5.20%, 9/01/20																																								235																								239,460
Hess Corp. 4.30%, 4/01/27																																										648																								692,511
Kinder Morgan, Inc./DE 3.15%, 1/15/23																																										1,700																								1,756,083
Marathon Oil Corp.
		3.85%, 6/01/25																																								111																								118,741
		6.80%, 3/15/32																																								650																								832,715
Newfield Exploration Co. 5.625%, 7/01/24																																										325																								358,819
Occidental Petroleum Corp. 3.50%, 8/15/29																																										630																								649,719
ONEOK, Inc.
		4.00%, 7/13/27																																								679																								728,859
		4.35%, 3/15/29																																								425																								465,116
Sabine Pass Liquefaction LLC
		5.00%, 3/15/27																																								482																								536,934
		5.625%, 3/01/25																																								396																								450,545
Williams Cos., Inc. (The) 4.125%, 11/15/20																																										403																								407,473
																																																																		11,430,489
Other Industrial – 0.1%
Alfa SAB de CV 5.25%, 3/25/24 (a)																																										530																								577,700
Services – 0.4%
Expedia Group, Inc. 3.80%, 2/15/28																																										636																								660,206
Global Payments, Inc. 4.00%, 6/01/23																																										309																								328,588
S&P Global, Inc. 4.40%, 2/15/26																																										584																								660,253
																																																																		1,649,047
Technology – 0.8%
Broadcom Corp./Broadcom Cayman Finance Ltd.
		3.625%, 1/15/24																																								146																								152,798
		3.875%, 1/15/27																																								395																								417,017
																																														Principal Amount (000)																				U.S. $ Value
Broadcom, Inc.
		3.625%, 10/15/24(a)																													U.S.$											270																						$		284,283
		4.25%, 4/15/26(a)																																								311																								336,067
Dell International LLC/EMC Corp. 6.02%, 6/15/26 (a)																																										469																								547,478
KLA Corp. 4.65%, 11/01/24																																										614																								684,205
Lam Research Corp. 2.80%, 6/15/21																																										269																								272,744
Seagate HDD Cayman 4.75%, 1/01/25																																										165																								177,055
																																																																		2,871,647
Transportation - Railroads – 0.1%
Lima Metro Line 2 Finance Ltd.
		4.35%, 4/05/36(a)																																								216																								232,470
		5.875%, 7/05/34(a)																																								191																								225,998
																																																																		458,468
Transportation - Services – 0.1%
Adani Ports & Special Economic Zone Ltd. 3.95%, 1/19/22 (a)																																										545																								560,498
																																																																		45,011,534
Financial Institutions – 8.3%
Banking – 7.1%
ABN AMRO Bank NV 4.75%, 7/28/25 (a)																																										200																								221,534
AIB Group PLC
		4.263%, 4/10/25(a)																																								500																								532,690
		4.75%, 10/12/23(a)																																								225																								243,977
American Express Co. Series C 4.90%, 3/15/20 (b)																																										461																								461,913
Australia & New Zealand Banking Group Ltd. 4.40%, 5/19/26 (a)																																										510																								561,831
Banco Santander SA 5.179%, 11/19/25																																										1,000																								1,136,620
Bank of America Corp.
		Series DD
		6.30%, 3/10/26(b)																																								185																								214,754
		Series L
		3.95%, 4/21/25																																								1,455																								1,574,805
		Series Z
		6.50%, 10/23/24(b)																																								289																								328,717
Barclays Bank PLC 6.86%, 6/15/32 (a) (b)																																										129																								159,223
BBVA USA 5.50%, 4/01/20																																										1,339																								1,346,257
BNP Paribas SA 4.375%, 9/28/25-5/12/26(a)																																										1,007																								1,101,071
																																														Principal Amount (000)																				U.S. $ Value
BPCE SA 5.70%, 10/22/23 (a)																															U.S.$											230																						$		256,940
CIT Group, Inc. 5.25%, 3/07/25																																										383																								423,035
Citigroup, Inc.
		3.70%, 1/12/26																																								1,000																								1,085,290
		3.875%, 3/26/25																																								827																								890,902
Citizens Bank NA/Providence RI 2.25%, 3/02/20																																										380																								380,144
Commonwealth Bank of Australia 4.50%, 12/09/25 (a)																																										505																								558,379
Cooperatieve Rabobank UA 4.375%, 8/04/25																																										1,373																								1,510,836
Credit Agricole SA/London 3.25%, 10/04/24 (a)																																										257																								269,937
Danske Bank A/S 3.244%, 12/20/25 (a)																																										492																								507,685
Discover Bank 4.682%, 8/09/28																																										250																								264,813
Goldman Sachs Group, Inc. (The) 3.75%, 5/22/25																																										254																								273,474
HSBC Bank USA NA 4.875%, 8/24/20																																										360																								366,149
HSBC Holdings PLC
		4.041%, 3/13/28																																								212																								231,472
		4.25%, 3/14/24																																								968																								1,040,523
		4.292%, 9/12/26																																								536																								588,576
ING Bank NV 5.80%, 9/25/23 (a)																																										871																								976,687
ING Groep NV 6.875%, 4/16/22 (a) (b)																																										425																								455,154
Intesa Sanpaolo SpA 5.017%, 6/26/24 (a)																																										288																								305,608
JPMorgan Chase & Co.
		3.22%, 3/01/25																																								890																								933,557
		Series FF
		5.00%, 8/01/24(b)																																								488																								510,497
		Series Z
		5.30%, 5/01/20(b)																																								200																								201,200
Lloyds Banking Group PLC 4.582%, 12/10/25																																										729																								802,753
Morgan Stanley
		5.00%, 11/24/25																																								640																								731,974
		Series G
		4.35%, 9/08/26																																								1,030																								1,148,563
Nationwide Building Society 4.00%, 9/14/26 (a)																																										950																								1,016,690
Santander Holdings USA, Inc.
		3.244%, 10/05/26(a)																																								413																								423,593
		4.40%, 7/13/27																																								603																								660,617
Standard Chartered PLC 5.20%, 1/26/24 (a)																																										350																								382,400
UBS AG/Stamford CT 7.625%, 8/17/22																																										620																								697,190
UBS Group AG
																																														Principal Amount (000)																				U.S. $ Value
		4.125%, 9/24/25(a)																													U.S.$											436																						$		481,261
		7.00%, 1/31/24(a) (b)																																								335																								368,101
US Bancorp Series J 5.30%, 4/15/27 (b)																																										380																								417,992
																																																																		27,045,384
Finance – 0.6%
GE Capital International Funding Co. Unlimited Co.
		3.373%, 11/15/25																																								556																								589,977
		4.418%, 11/15/35																																								272																								306,413
Synchrony Financial 4.50%, 7/23/25																																										1,008																								1,095,888
																																																																		1,992,278
Insurance – 0.6%
Centene Corp.
		4.25%, 12/15/27(a)																																								116																								120,923
		4.625%, 12/15/29(a)																																								132																								142,193
Guardian Life Insurance Co. of America (The) 4.85%, 1/24/77 (a)																																										294																								374,653
Hartford Financial Services Group, Inc. (The) 5.50%, 3/30/20																																										110																								110,618
MetLife Capital Trust IV 7.875%, 12/15/37 (a)																																										699																								950,270
Nationwide Mutual Insurance Co. 9.375%, 8/15/39 (a)																																										246																								433,432
Voya Financial, Inc. 5.65%, 5/15/53																																										180																								192,065
																																																																		2,324,154
																																																																		31,361,816
Utility – 0.4%
Electric – 0.4%
Enel Chile SA 4.875%, 6/12/28																																										514																								574,716
Israel Electric Corp., Ltd. Series 6 5.00%, 11/12/24 (a)																																										580																								642,713
TECO Finance, Inc. 5.15%, 3/15/20																																										380																								381,311
																																																																		1,598,740
Total Corporates - Investment Grade (cost $72,776,724)																																																																		77,972,090
MORTGAGE PASS-THROUGHS – 18.3%
Agency Fixed Rate 30-Year – 17.2%
Federal Home Loan Mortgage Corp.
		Series 2019
		3.50%, 9/01/49-11/01/49																																								4,005																								4,219,971
																																														Principal Amount (000)																				U.S. $ Value
		Series 2020
		3.50%, 1/01/50																													U.S.$											1,255																						$		1,330,691
Federal Home Loan Mortgage Corp. Gold
		Series 2005
		5.50%, 1/01/35																																								160																								181,172
		Series 2007
		5.50%, 7/01/35																																								23																								25,668
		Series 2016
		4.00%, 2/01/46																																								1,204																								1,296,867
		Series 2017
		4.00%, 7/01/44																																								928																								999,383
		Series 2018
		4.00%, 8/01/48-12/01/48																																								2,590																								2,755,592
		4.50%, 3/01/48-11/01/48																																								3,378																								3,639,164
		5.00%, 11/01/48																																								656																								715,045
Federal National Mortgage Association
		Series 2003
		5.50%, 4/01/33-7/01/33																																								152																								170,832
		Series 2004
		5.50%, 4/01/34-1/01/35																																								510																								576,155
		Series 2005
		5.50%, 2/01/35																																								63																								71,004
		Series 2007
		5.50%, 8/01/37																																								302																								340,089
		Series 2010
		4.00%, 12/01/40																																								550																								591,866
		Series 2012
		3.50%, 2/01/42-1/01/43																																								3,617																								3,851,931
		Series 2013
		3.50%, 4/01/43																																								1,728																								1,839,946
		4.00%, 10/01/43																																								1,286																								1,383,710
		Series 2016
		3.50%, 1/01/47																																								1,259																								1,315,247
		Series 2017
		3.50%, 9/01/47-1/01/48																																								10,236																								10,684,047
		Series 2018
		3.50%, 11/01/47-4/01/48																																								10,041																								10,495,246
		4.00%, 8/01/48-12/01/48																																								3,231																								3,435,643
		4.50%, 9/01/48																																								3,339																								3,595,568
		Series 2019
		3.50%, 8/01/49-11/01/49																																								6,807																								7,152,298
		4.00%, 6/01/49																																								1,704																								1,818,514
		Series 2020
		3.50%, 1/01/50																																								1,285																								1,356,477
Government National Mortgage Association
		Series 2016
		3.00%, 4/20/46-5/20/46																																								899																								931,173
		Series 2020
		3.00%, 2/01/50, TBA																																								600																								616,969
																																																																		65,390,268
Agency Fixed Rate 15-Year – 1.1%
Federal National Mortgage Association
		Series 2016
		2.50%, 8/01/31-1/01/32																																								3,242																								3,311,733
		Series 2017
																																														Principal Amount (000)																				U.S. $ Value
		2.50%, 2/01/32																													U.S.$											951																						$		971,726
																																																																		4,283,459
Other Agency Fixed Rate Programs – 0.0%
Federal National Mortgage Association Series 2012 2.50%, 5/01/22																																										58																								59,212
Agency ARMs – 0.0%
Federal Home Loan Mortgage Corp. Series 2006 4.095% (LIBOR 12 Month + 0.00%), 1/01/37 (c)																																										19																								19,759
Total Mortgage Pass-Throughs (cost $67,786,192)																																																																		69,752,698
GOVERNMENTS - TREASURIES – 16.6%
Malaysia – 0.2%
Malaysia Government Bond Series 117 3.882%, 3/10/22																															MYR											3,708																								923,262
United States – 16.4%
U.S. Treasury Bonds
		2.25%, 8/15/46																													U.S.$											1,378																								1,438,718
		2.50%, 2/15/45-5/15/46																																								4,460																								4,877,917
		2.875%, 8/15/45-11/15/46																																								1,556																								1,823,627
		3.00%, 5/15/45-2/15/49																																								5,986																								7,228,893
		3.125%, 8/15/44(d)																																								8,704																								10,557,316
		4.375%, 2/15/38-11/15/39																																								5,613																								7,951,454
		4.50%, 2/15/36																																								856																								1,190,097
		5.375%, 2/15/31																																								1,179																								1,636,599
U.S. Treasury Notes
		1.625%, 12/31/21-8/15/29																																								5,641																								5,681,144
		1.75%, 12/31/24(d)																																								4,865																								4,962,300
		2.00%, 12/31/21																																								12,570																								12,721,233
		2.25%, 4/30/21(d)																																								2,420																								2,442,763
																																																																		62,512,061
Total Governments - Treasuries (cost $59,010,815)																																																																		63,435,323
COLLATERALIZED MORTGAGE OBLIGATIONS – 14.7%
Risk Share Floating Rate – 13.0%
Bellemeade Re Ltd.
		Series 2017-1, Class M1
		3.361% (LIBOR 1 Month + 1.70%), 10/25/27(a) (c)																																								96																								96,192
		Series 2018-2A, Class M1B
		3.011% (LIBOR 1 Month + 1.35%), 8/25/28(a) (c)																																								505																								506,322
		Series 2018-3A, Class M1B
		3.511% (LIBOR 1 Month + 1.85%), 10/25/28(a) (c)																																								815																								819,478
		Series 2018-3A, Class M2
																																														Principal Amount (000)																				U.S. $ Value
		4.411% (LIBOR 1 Month + 2.75%), 10/25/28(a) (c)																													U.S.$											325																						$		329,983
		Series 2019-2A, Class M1C
		3.661% (LIBOR 1 Month + 2.00%), 4/25/29(a) (c)																																								487																								488,676
		Series 2019-2A, Class M2
		4.761% (LIBOR 1 Month + 3.10%), 4/25/29(a) (c)																																								325																								333,380
		Series 2019-3A, Class M1B
		3.261% (LIBOR 1 Month + 1.60%), 7/25/29(a) (c)																																								359																								361,857
		Series 2019-3A, Class M1C
		3.611% (LIBOR 1 Month + 1.95%), 7/25/29(a) (c)																																								263																								264,364
		Series 2019-4A, Class M1B
		3.661% (LIBOR 1 Month + 2.00%), 10/25/29(a) (c)																																								885																								887,695
		Series 2019-4A, Class M1C
		4.161% (LIBOR 1 Month + 2.50%), 10/25/29(a) (c)																																								750																								762,419
		Series 2019-4A, Class M2
		4.511% (LIBOR 1 Month + 2.85%), 10/25/29(a) (c)																																								540																								554,753
Connecticut Avenue Securities Trust
		Series 2018-R07, Class 1M2
		4.061% (LIBOR 1 Month + 2.40%), 4/25/31(a) (c)																																								339																								343,403
		Series 2019-HRP1, Class M2
		3.811% (LIBOR 1 Month + 2.15%), 11/25/39(a) (c)																																								842																								849,631
		Series 2019-R01, Class 2M2
		4.111% (LIBOR 1 Month + 2.45%), 7/25/31(a) (c)																																								845																								856,544
		Series 2019-R02, Class 1M2
		3.961% (LIBOR 1 Month + 2.30%), 8/25/31(a) (c)																																								324																								327,574
		Series 2019-R03, Class 1M2
		3.811% (LIBOR 1 Month + 2.15%), 9/25/31(a) (c)																																								670																								676,538
		Series 2019-R04, Class 2M2
		3.761% (LIBOR 1 Month + 2.10%), 6/25/39(a) (c)																																								900																								908,204
		Series 2019-R05, Class 1M2
		3.661% (LIBOR 1 Month + 2.00%), 7/25/39(a) (c)																																								890																								894,605
		Series 2019-R06, Class 2M2
		3.761% (LIBOR 1 Month + 2.10%), 9/25/39(a) (c)																																								890																								899,990
		Series 2019-R07, Class 1M2
		3.761% (LIBOR 1 Month + 2.10%), 10/25/39(a) (c)																																								895																								905,675
		Series 2020-R01, Class 1B1
		4.942% (LIBOR 1 Month + 3.25%), 1/25/40(a) (c)																																								500																								506,025
																																														Principal Amount (000)																				U.S. $ Value
		Series 2020-R01, Class 1M2
		3.742% (LIBOR 1 Month + 2.05%), 1/25/40(a) (c)																													U.S.$											1,100																						$		1,111,792
Eagle Re Ltd.
		Series 2018-1, Class M2
		4.661% (LIBOR 1 Month + 3.00%), 11/25/28(a) (c)																																								325																								329,314
		Series 2019-1, Class M2
		4.961% (LIBOR 1 Month + 3.30%), 4/25/29(a) (c)																																								325																								332,902
		Series 2020-1, Class M1A
		2.576% (LIBOR 1 Month + 0.90%), 1/25/30(a) (c)																																								950																								949,914
Federal Home Loan Mortgage Corp.
		Series 2018-HQA2, Class B1
		5.911% (LIBOR 1 Month + 4.25%), 10/25/48(a) (c)																																								500																								557,246
		Series 2019-DNA1, Class M2
		4.442% (LIBOR 1 Month + 2.65%), 1/25/49(a) (c)																																								1,050																								1,074,154
		Series 2019-DNA3, Class B1
		4.911% (LIBOR 1 Month + 3.25%), 7/25/49(a) (c)																																								600																								623,362
		Series 2019-DNA3, Class M2
		3.711% (LIBOR 1 Month + 2.05%), 7/25/49(a) (c)																																								880																								887,472
		Series 2019-DNA4, Class M2
		3.611% (LIBOR 1 Month + 1.95%), 10/25/49(a) (c)																																								885																								891,723
		Series 2019-FTR2, Class B1
		4.661% (LIBOR 1 Month + 3.00%), 11/25/48(a) (c)																																								750																								755,775
		Series 2019-FTR2, Class M2
		3.811% (LIBOR 1 Month + 2.15%), 11/25/48(a) (c)																																								895																								897,054
		Series 2019-FTR3, Class B2
		6.536% (LIBOR 1 Month + 4.80%), 9/25/47(a) (c)																																								700																								751,212
		Series 2019-HQA1, Class M2
		4.011% (LIBOR 1 Month + 2.35%), 2/25/49(a) (c)																																								800																								810,455
		Series 2019-HQA2, Class B1
		5.761% (LIBOR 1 Month + 4.10%), 4/25/49(a) (c)																																								750																								809,624
		Series 2019-HQA3, Class B1
		4.661% (LIBOR 1 Month + 3.00%), 9/25/49(a) (c)																																								500																								519,437
		Series 2019-HQA3, Class M2
		3.511% (LIBOR 1 Month + 1.85%), 9/25/49(a) (c)																																								355																								356,555
		Series 2019-HQA4, Class B1
		4.611% (LIBOR 1 Month + 2.95%), 11/25/49(a) (c)																																								750																								774,997
		Series 2020-DNA1, Class M2
																																														Principal Amount (000)																				U.S. $ Value
		3.359% (LIBOR 1 Month + 1.70%), 1/25/50(a) (c)																													U.S.$											890																						$		890,987
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
		Series 2014-DN3, Class M3
		5.661% (LIBOR 1 Month + 4.00%), 8/25/24(c)																																								551																								588,198
		Series 2014-HQ3, Class M3
		6.411% (LIBOR 1 Month + 4.75%), 10/25/24(c)																																								494																								524,562
		Series 2015-DNA2, Class M2
		4.261% (LIBOR 1 Month + 2.60%), 12/25/27(c)																																								50																								49,942
		Series 2015-HQA1, Class M2
		4.311% (LIBOR 1 Month + 2.65%), 3/25/28(c)																																								18																								18,263
		Series 2015-HQA2, Class M3
		6.461% (LIBOR 1 Month + 4.80%), 5/25/28(c)																																								500																								546,813
		Series 2016-DNA1, Class M3
		7.211% (LIBOR 1 Month + 5.55%), 7/25/28(c)																																								330																								365,529
		Series 2016-DNA2, Class M3
		6.311% (LIBOR 1 Month + 4.65%), 10/25/28(c)																																								591																								636,579
		Series 2017-DNA3, Class M2
		4.161% (LIBOR 1 Month + 2.50%), 3/25/30(c)																																								250																								258,988
		Series 2017-HQA2, Class M2
		4.311% (LIBOR 1 Month + 2.65%), 12/25/29(c)																																								250																								258,201
		Series 2017-HQA3, Class B1
		6.111% (LIBOR 1 Month + 4.45%), 4/25/30(c)																																								750																								837,056
Federal National Mortgage Association Connecticut Avenue Securities
		Series 2014-C03, Class 1M2
		4.661% (LIBOR 1 Month + 3.00%), 7/25/24(c)																																								243																								256,153
		Series 2014-C04, Class 2M2
		6.661% (LIBOR 1 Month + 5.00%), 11/25/24(c)																																								97																								105,016
		Series 2015-C01, Class 1M2
		5.961% (LIBOR 1 Month + 4.30%), 2/25/25(c)																																								435																								465,434
		Series 2015-C01, Class 2M2
		6.211% (LIBOR 1 Month + 4.55%), 2/25/25(c)																																								171																								177,403
		Series 2015-C02, Class 1M2
		5.661% (LIBOR 1 Month + 4.00%), 5/25/25(c)																																								327																								349,369
		Series 2015-C02, Class 2M2
		5.661% (LIBOR 1 Month + 4.00%), 5/25/25(c)																																								184																								191,653
																																														Principal Amount (000)																				U.S. $ Value
		Series 2015-C03, Class 1M2
		6.661% (LIBOR 1 Month + 5.00%), 7/25/25(c)																													U.S.$											401																						$		438,141
		Series 2015-C03, Class 2M2
		6.661% (LIBOR 1 Month + 5.00%), 7/25/25(c)																																								332																								353,383
		Series 2015-C04, Class 1M2
		7.361% (LIBOR 1 Month + 5.70%), 4/25/28(c)																																								557																								618,592
		Series 2015-C04, Class 2M2
		7.211% (LIBOR 1 Month + 5.55%), 4/25/28(c)																																								341																								365,367
		Series 2016-C01, Class 1M2
		8.411% (LIBOR 1 Month + 6.75%), 8/25/28(c)																																								769																								853,302
		Series 2016-C02, Class 1B
		13.911% (LIBOR 1 Month + 12.25%), 9/25/28(c)																																								149																								213,355
		Series 2016-C02, Class 1M2
		7.661% (LIBOR 1 Month + 6.00%), 9/25/28(c)																																								890																								980,211
		Series 2016-C03, Class 1B
		13.411% (LIBOR 1 Month + 11.75%), 10/25/28(c)																																								100																								139,394
		Series 2016-C05, Class 2M2
		6.111% (LIBOR 1 Month + 4.45%), 1/25/29(c)																																								985																								1,043,974
		Series 2016-C06, Class 1B
		10.911% (LIBOR 1 Month + 9.25%), 4/25/29(c)																																								379																								492,339
		Series 2016-C06, Class 1M2
		5.911% (LIBOR 1 Month + 4.25%), 4/25/29(c)																																								525																								563,562
		Series 2016-C07, Class 2B
		11.161% (LIBOR 1 Month + 9.50%), 5/25/29(c)																																								379																								489,375
		Series 2017-C01, Class 1M2
		5.211% (LIBOR 1 Month + 3.55%), 7/25/29(c)																																								465																								490,690
		Series 2017-C02, Class 2B1
		7.161% (LIBOR 1 Month + 5.50%), 9/25/29(c)																																								750																								891,761
		Series 2017-C03, Class 1M2
		4.661% (LIBOR 1 Month + 3.00%), 10/25/29(c)																																								485																								508,928
		Series 2017-C04, Class 2M2
		4.511% (LIBOR 1 Month + 2.85%), 11/25/29(c)																																								320																								331,963
		Series 2017-C05, Class 1M2
		3.861% (LIBOR 1 Month + 2.20%), 1/25/30(c)																																								491																								499,849
		Series 2017-C07, Class 2M2
		4.161% (LIBOR 1 Month + 2.50%), 5/25/30(c)																																								288																								292,803
																																														Principal Amount (000)																				U.S. $ Value
Home Re Ltd.
		Series 2018-1, Class B1
		5.661% (LIBOR 1 Month + 4.00%), 10/25/28(a) (c)																													U.S.$											500																						$		519,419
		Series 2018-1, Class M1
		3.261% (LIBOR 1 Month + 1.60%), 10/25/28(a) (c)																																								390																								390,327
JP Morgan Madison Avenue Securities Trust Series 2014-CH1, Class M2 5.911% (LIBOR 1 Month + 4.25%), 11/25/24 (c) (e)																																										67																								73,543
Mortgage Insurance-Linked Notes
		Series 2019-1, Class M2
		4.561% (LIBOR 1 Month + 2.90%), 11/26/29(a) (c)																																								900																								918,476
		Series 2020-1, Class M1A
		2.61% (LIBOR 1 Month + 0.95%), 2/25/30(a) (c)																																								900																								900,328
		Series 2020-1, Class M2A
		3.66% (LIBOR 1 Month + 2.00%), 2/25/30(a) (c)																																								850																								851,532
Oaktown Re III Ltd. Series 2019-1A, Class M1B 3.611% (LIBOR 1 Month + 1.95%), 7/25/29 (a) (c)																																										710																								711,778
PMT Credit Risk Transfer Trust
		Series 2019-1R, Class A
		3.805% (LIBOR 1 Month + 2.00%), 3/27/24(c) (e)																																								552																								550,408
		Series 2019-2R, Class A
		4.555% (LIBOR 1 Month + 2.75%), 5/27/23(c) (e)																																								642																								647,313
		Series 2019-3R, Class A
		4.349% (LIBOR 1 Month + 2.70%), 10/27/22(c) (e)																																								622																								626,441
Radnor Re Ltd.
		Series 2018-1, Class B1
		5.461% (LIBOR 1 Month + 3.80%), 3/25/28(a) (c)																																								500																								518,207
		Series 2019-1, Class M1B
		3.611% (LIBOR 1 Month + 1.95%), 2/25/29(a) (c)																																								835																								836,837
		Series 2019-2, Class M1B
		3.411% (LIBOR 1 Month + 1.75%), 6/25/29(a) (c)																																								351																								352,199
Wells Fargo Credit Risk Transfer Securities Trust
		Series 2015-WF1, Class 1M2
		6.911% (LIBOR 1 Month + 5.25%), 11/25/25(c) (e)																																								362																								406,532
		Series 2015-WF1, Class 2M2
																																														Principal Amount (000)																				U.S. $ Value
		7.161% (LIBOR 1 Month + 5.50%), 11/25/25(c) (e)																													U.S.$											105																						$		118,707
																																																																		49,515,478
Agency Floating Rate – 1.1%
Federal Home Loan Mortgage Corp. REMICs
		Series 4116, Class LS
		4.524% (6.20% – LIBOR 1 Month), 10/15/42(c) (f)																																								1,243																								276,041
		Series 4719, Class JS
		4.474% (6.15% – LIBOR 1 Month), 9/15/47(c) (f)																																								1,775																								297,423
Federal National Mortgage Association REMICs
		Series 2011-131, Class ST
		4.879% (6.54% – LIBOR 1 Month), 12/25/41(c) (f)																																								870																								192,593
		Series 2012-70, Class SA
		4.889% (6.55% – LIBOR 1 Month), 7/25/42(c) (f)																																								1,577																								365,085
		Series 2015-90, Class SL
		4.489% (6.15% – LIBOR 1 Month), 12/25/45(c) (f)																																								1,705																								355,250
		Series 2016-77, Class DS
		4.339% (6.00% – LIBOR 1 Month), 10/25/46(c) (f)																																								1,670																								313,685
		Series 2017-16, Class SG
		4.389% (6.05% – LIBOR 1 Month), 3/25/47(c) (f)																																								1,797																								353,815
		Series 2017-26, Class TS
		4.289% (5.95% – LIBOR 1 Month), 4/25/47(c) (f)																																								1,668																								338,413
		Series 2017-62, Class AS
		4.489% (6.15% – LIBOR 1 Month), 8/25/47(c) (f)																																								1,747																								311,228
		Series 2017-81, Class SA
		4.539% (6.20% – LIBOR 1 Month), 10/25/47(c) (f)																																								1,800																								370,370
		Series 2017-97, Class LS
		4.539% (6.20% – LIBOR 1 Month), 12/25/47(c) (f)																																								1,557																								358,069
Government National Mortgage Association Series 2017-65, Class ST 4.492% (6.15% – LIBOR 1 Month), 4/20/47 (c) (f)																																										1,701																								354,186
																																																																		3,886,158
Non-Agency Fixed Rate – 0.4%
Alternative Loan Trust
		Series 2006-24CB, Class A16
		5.75%, 8/25/36																																								270																								219,616
		Series 2006-28CB, Class A14
		6.25%, 10/25/36																																								198																								161,571
		Series 2006-J1, Class 1A13
																																														Principal Amount (000)																				U.S. $ Value
		5.50%, 2/25/36																													U.S.$											140																						$		126,731
Countrywide Home Loan Mortgage Pass-Through Trust Series 2006-13, Class 1A19 6.25%, 9/25/36																																										69																								52,667
First Horizon Alternative Mortgage Securities Trust Series 2006-FA3, Class A9 6.00%, 7/25/36																																										233																								177,952
JP Morgan Alternative Loan Trust Series 2006-A3, Class 2A1 4.219%, 7/25/36																																										629																								552,533
Structured Asset Securities Corp. Mortgage Pass-Through Certificates Series 2002-3, Class B3 6.50%, 3/25/32																																										452																								253,726
																																																																		1,544,796
Non-Agency Floating Rate – 0.2%
Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR4, Class A2 1.851% (LIBOR 1 Month + 0.19%), 12/25/36 (c)																																										579																								302,080
HomeBanc Mortgage Trust Series 2005-1, Class A1 1.911% (LIBOR 1 Month + 0.25%), 3/25/35 (c)																																										161																								144,456
Impac Secured Assets Corp. Series 2005-2, Class A2D 2.091% (LIBOR 1 Month + 0.43%), 3/25/36 (c)																																										280																								243,879
Residential Accredit Loans, Inc. Trust Series 2007-QS4, Class 2A4 2.001% (LIBOR 1 Month + 0.34%), 3/25/37 (c)																																										626																								129,354
																																																																		819,769
Agency Fixed Rate – 0.0%
Federal National Mortgage Association Grantor Trust Series 2004-T5, Class AB4 2.332%, 5/28/35																																										65																								63,205
Total Collateralized Mortgage Obligations (cost $55,509,208)																																																																		55,829,406
COMMERCIAL MORTGAGE-BACKED SECURITIES – 11.9%
Non-Agency Fixed Rate CMBS – 8.9%
CFCRE Commercial Mortgage Trust Series 2016-C4, Class A4 3.283%, 5/10/58																																										735																								781,919
CGRBS Commercial Mortgage Trust Series 2013-VN05, Class A 3.369%, 3/13/35 (a)																																										1,305																								1,362,239
Citigroup Commercial Mortgage Trust
		Series 2013-GC11, Class B
																																														Principal Amount (000)																				U.S. $ Value
		3.732%, 4/10/46																													U.S.$											500																						$		522,711
		Series 2013-GC17, Class D
		5.262%, 11/10/46(a)																																								565																								597,685
		Series 2015-GC27, Class A5
		3.137%, 2/10/48																																								1,223																								1,290,262
		Series 2015-GC35, Class A4
		3.818%, 11/10/48																																								340																								373,419
		Series 2016-GC36, Class A5
		3.616%, 2/10/49																																								425																								463,303
		Series 2018-B2, Class A4
		4.009%, 3/10/51																																								1,050																								1,187,859
Commercial Mortgage Trust
		Series 2013-SFS, Class A1
		1.873%, 4/12/35(a)																																								240																								240,216
		Series 2015-CR24, Class A5
		3.696%, 8/10/48																																								430																								467,618
		Series 2015-CR25, Class A4
		3.759%, 8/10/48																																								1,045																								1,140,588
		Series 2015-DC1, Class A5
		3.35%, 2/10/48																																								765																								813,341
		Series 2015-PC1, Class A5
		3.902%, 7/10/50																																								685																								750,115
CSAIL Commercial Mortgage Trust
		Series 2015-C2, Class A4
		3.504%, 6/15/57																																								332																								355,899
		Series 2015-C3, Class A4
		3.718%, 8/15/48																																								573																								621,281
		Series 2015-C4, Class A4
		3.808%, 11/15/48																																								1,450																								1,585,042
GS Mortgage Securities Trust
		Series 2013-G1, Class A2
		3.557%, 4/10/31(a)																																								766																								787,097
		Series 2018-GS9, Class A4
		3.992%, 3/10/51																																								1,125																								1,269,031
JP Morgan Chase Commercial Mortgage Securities Trust
		Series 2011-C5, Class D
		5.599%, 8/15/46(a)																																								127																								130,608
		Series 2012-C6, Class D
		5.329%, 5/15/45																																								690																								702,760
		Series 2012-C6, Class E
		5.329%, 5/15/45(a)																																								389																								378,690
		Series 2012-C8, Class AS
		3.424%, 10/15/45(a)																																								850																								878,224
JPMBB Commercial Mortgage Securities Trust
		Series 2014-C21, Class A5
		3.775%, 8/15/47																																								735																								790,762
		Series 2014-C24, Class C
		4.558%, 11/15/47																																								890																								929,640
		Series 2015-C30, Class A5
		3.822%, 7/15/48																																								425																								464,360
		Series 2015-C31, Class A3
		3.801%, 8/15/48																																								1,009																								1,102,504
		Series 2015-C33, Class A4
		3.77%, 12/15/48																																								1,050																								1,149,095
																																														Principal Amount (000)																				U.S. $ Value
JPMCC Commercial Mortgage Securities Trust Series 2017-JP7, Class XA 1.218%, 9/15/50 (g)																															U.S.$											4,728																						$		281,932
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ 5.452%, 9/15/39																																										135																								71,684
LSTAR Commercial Mortgage Trust Series 2016-4, Class A2 2.579%, 3/10/49 (a)																																										615																								618,362
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C16, Class A5 3.892%, 6/15/47																																										730																								786,370
Morgan Stanley Capital I Trust
		Series 2005-IQ9, Class D
		5.00%, 7/15/56(h)																																								62																								62,049
		Series 2016-UB12, Class A4
		3.596%, 12/15/49																																								660																								721,898
UBS Commercial Mortgage Trust
		Series 2018-C10, Class A4
		4.313%, 5/15/51																																								750																								867,847
		Series 2018-C8, Class A4
		3.983%, 2/15/51																																								720																								811,644
		Series 2018-C9, Class A4
		4.117%, 3/15/51																																								1,300																								1,481,752
UBS-Barclays Commercial Mortgage Trust Series 2012-C4, Class A5 2.85%, 12/10/45																																										1,098																								1,125,667
Wells Fargo Commercial Mortgage Trust
		Series 2015-C27, Class A5
		3.451%, 2/15/48																																								1,040																								1,114,610
		Series 2015-SG1, Class A4
		3.789%, 9/15/48																																								725																								789,656
		Series 2015-SG1, Class C
		4.623%, 9/15/48																																								516																								537,802
		Series 2016-C35, Class XA
		2.11%, 7/15/48(g)																																								3,828																								370,532
		Series 2016-LC24, Class XA
		1.821%, 10/15/49(g)																																								8,942																								758,904
		Series 2016-LC25, Class C
		4.566%, 12/15/59																																								545																								583,977
		Series 2016-NXS6, Class C
		4.457%, 11/15/49																																								600																								642,894
		Series 2018-C43, Class A4
		4.012%, 3/15/51																																								900																								1,014,456
WF-RBS Commercial Mortgage Trust Series 2013-C11, Class XA 1.333%, 3/15/45 (a) (g)																																										7,581																								228,703
																																																																		34,007,007
Non-Agency Floating Rate CMBS – 3.0%
Ashford Hospitality Trust
		Series 2018-ASHF, Class A
		2.576% (LIBOR 1 Month + 0.90%), 4/15/35(a) (c)																																								568																								567,521
																																														Principal Amount (000)																				U.S. $ Value
		Series 2018-KEYS, Class A
		2.676% (LIBOR 1 Month + 1.00%), 5/15/35(a) (c)																													U.S.$											1,000																						$		998,744
Atrium Hotel Portfolio Trust Series 2018-ATRM, Class A 2.626% (LIBOR 1 Month + 0.95%), 6/15/35 (a) (c)																																										750																								749,766
BAMLL Commercial Mortgage Securities Trust Series 2017-SCH, Class AF 2.676% (LIBOR 1 Month + 1.00%), 11/15/33 (a) (c)																																										1,330																								1,330,002
BFLD Series 2019-DPLO, Class D 3.516% (LIBOR 1 Month + 1.84%), 10/15/34 (a) (c)																																										530																								529,681
BHMS Series 2018-ATLS, Class A 2.926% (LIBOR 1 Month + 1.25%), 7/15/35 (a) (c)																																										547																								547,081
Braemar Hotels & Resorts Trust Series 2018-PRME, Class A 2.496% (LIBOR 1 Month + 0.82%), 6/15/35 (a) (c)																																										700																								697,363
BX Trust Series 2018-EXCL, Class A 2.764% (LIBOR 1 Month + 1.09%), 9/15/37 (a) (c)																																										780																								779,412
CLNY Trust Series 2019-IKPR, Class D 3.701% (LIBOR 1 Month + 2.03%), 11/15/38 (a) (c)																																										540																								537,290
DBWF Mortgage Trust Series 2018-GLKS, Class A 2.688% (LIBOR 1 Month + 1.03%), 11/19/35 (a) (c)																																										541																								540,268
GS Mortgage Securities Corp. Trust
		Series 2019-BOCA, Class A
		2.876% (LIBOR 1 Month + 1.20%), 6/15/38(a) (c)																																								725																								724,575
		Series 2019-SMP, Class A
		2.826% (LIBOR 1 Month + 1.15%), 8/15/32(a) (c)																																								700																								700,079
Morgan Stanley Capital I Trust
		Series 2015-XLF2, Class SNMA
		3.626% (LIBOR 1 Month + 1.95%), 11/15/26(c) (e)																																								173																								171,995
		Series 2019-BPR, Class C
		4.726% (LIBOR 1 Month + 3.05%), 5/15/36(a) (c)																																								520																								518,041
Natixis Commercial Mortgage Securities Trust
		Series 2018-850T, Class A
		2.46% (LIBOR 1 Month + 0.78%), 7/15/33(a) (c)																																								540																								539,508
		Series 2019-MILE, Class A
																																														Principal Amount (000)																				U.S. $ Value
		3.176% (LIBOR 1 Month + 1.50%), 7/15/36(a) (c)																													U.S.$											379																						$		379,950
Starwood Retail Property Trust Series 2014-STAR, Class A 3.146% (LIBOR 1 Month + 1.47%), 11/15/27 (a) (c)																																										1,045																								1,043,248
																																																																		11,354,524
Agency CMBS – 0.0%
Government National Mortgage Association Series 2006-39, Class IO 0.00%, 7/16/46 (g)																																										772																								8
Total Commercial Mortgage-Backed Securities (cost $43,764,106)																																																																		45,361,539
INFLATION-LINKED SECURITIES – 7.1%
Japan – 0.9%
Japanese Government CPI Linked Bond Series 22 0.10%, 3/10/27																															JPY											380,651																								3,606,092
United States – 6.2%
U.S. Treasury Inflation Index
		0.125%, 4/15/21-7/15/26 (TIPS)																													U.S.$											17,943																								18,068,322
		0.375%, 7/15/25 (TIPS)																																								4,471																								4,629,726
		0.75%, 7/15/28 (TIPS)																																								676																								729,405
																																																																		23,427,453
Total Inflation-Linked Securities (cost $26,466,998)																																																																		27,033,545
ASSET-BACKED SECURITIES – 5.4%
Autos - Fixed Rate – 3.0%
Avis Budget Rental Car Funding AESOP LLC
		Series 2016-1A, Class A
		2.99%, 6/20/22(a)																																								418																								423,631
		Series 2018-1A, Class A
		3.70%, 9/20/24(a)																																								920																								974,529
		Series 2018-2A, Class A
		4.00%, 3/20/25(a)																																								755																								814,550
CPS Auto Trust Series 2017-A, Class E 7.07%, 4/15/24 (a)																																										550																								578,495
Exeter Automobile Receivables Trust
		Series 2016-1A, Class D
		8.20%, 2/15/23(a)																																								270																								278,234
		Series 2016-3A, Class D
		6.40%, 7/17/23(a)																																								350																								365,620
		Series 2017-1A, Class D
		6.20%, 11/15/23(a)																																								525																								552,730
		Series 2017-3A, Class C
		3.68%, 7/17/23(a)																																								385																								393,972
Flagship Credit Auto Trust
																																														Principal Amount (000)																				U.S. $ Value
		Series 2016-2, Class D
		8.56%, 11/15/23(a)																													U.S.$											350																						$		372,759
		Series 2016-4, Class E
		6.44%, 1/16/24(a)																																								565																								596,214
		Series 2017-3, Class A
		1.88%, 10/15/21(a)																																								5																								4,764
		Series 2017-4, Class A
		2.07%, 4/15/22(a)																																								56																								56,067
		Series 2018-3, Class B
		3.59%, 12/16/24(a)																																								675																								689,191
		Series 2019-3, Class E
		3.84%, 12/15/26(a)																																								960																								971,269
Ford Credit Floorplan Master Owner Trust Series 2017-1, Class A1 2.07%, 5/15/22																																										710																								710,692
Hertz Vehicle Financing II LP
		Series 2015-1A, Class B
		3.52%, 3/25/21(a)																																								386																								386,572
		Series 2015-3A, Class A
		2.67%, 9/25/21(a)																																								180																								180,703
		Series 2017-1A, Class A
		2.96%, 10/25/21(a)																																								950																								956,289
		Series 2019-1A, Class A
		3.71%, 3/25/23(a)																																								680																								705,239
		Series 2019-2A, Class A
		3.42%, 5/25/25(a)																																								500																								524,608
Hertz Vehicle Financing LLC Series 2018-2A, Class A 3.65%, 6/27/22 (a)																																										1,035																								1,059,093
																																																																		11,595,221
Other ABS - Fixed Rate – 1.7%
Consumer Loan Underlying Bond Credit Trust Series 2018-P1, Class A 3.39%, 7/15/25 (a)																																										114																								114,203
Marlette Funding Trust
		Series 2017-1A, Class C
		6.658%, 3/15/24(a)																																								647																								647,769
		Series 2017-3A, Class B
		3.01%, 12/15/24(a)																																								117																								116,687
		Series 2018-3A, Class A
		3.20%, 9/15/28(a)																																								155																								155,700
		Series 2018-4A, Class A
		3.71%, 12/15/28(a)																																								179																								181,116
		Series 2019-3A, Class A
		2.69%, 9/17/29(a)																																								494																								496,246
		Series 2020-1A, Class A
		2.24%, 3/15/30(a)																																								1,625																								1,626,250
Prosper Marketplace Issuance Trust Series 2019-3A, Class A 3.19%, 7/15/25 (a)																																										255																								256,437
																																														Principal Amount (000)																				U.S. $ Value
SBA Tower Trust Series 2015-1A,Class C 3.156%, 10/08/20 (a)																															U.S.$											688																						$		688,440
SoFi Consumer Loan Program LLC
		Series 2016-2, Class A
		3.09%, 10/27/25(a)																																								55																								54,820
		Series 2016-3, Class A
		3.05%, 12/26/25(a)																																								70																								70,500
		Series 2017-1, Class A
		3.28%, 1/26/26(a)																																								75																								75,740
		Series 2017-2, Class A
		3.28%, 2/25/26(a)																																								110																								110,811
		Series 2017-3, Class A
		2.77%, 5/25/26(a)																																								111																								111,658
		Series 2017-4, Class B
		3.59%, 5/26/26(a)																																								870																								888,654
		Series 2017-6, Class A2
		2.82%, 11/25/26(a)																																								490																								492,188
SoFi Consumer Loan Program Trust Series 2018-3, Class A2 3.67%, 8/25/27 (a)																																										341																								345,076
																																																																		6,432,295
Credit Cards - Fixed Rate – 0.7%
World Financial Network Credit Card Master Trust
		Series 2018-B, Class A
		3.46%, 7/15/25																																								330																								339,145
		Series 2018-B, Class M
		3.81%, 7/15/25																																								825																								846,315
		Series 2019-A, Class M
		3.61%, 12/15/25																																								780																								801,185
		Series 2019-B, Class M
		3.04%, 4/15/26																																								600																								607,522
																																																																		2,594,167
Home Equity Loans - Fixed Rate – 0.0%
Credit-Based Asset Servicing & Securitization LLC Series 2003-CB1, Class AF 3.95%, 1/25/33																																										55																								56,861
Home Equity Loans - Floating Rate – 0.0%
ABFC Trust Series 2003-WF1, Class A2 2.786% (LIBOR 1 Month + 1.13%), 12/25/32 (c)																																										23																								23,256
Total Asset-Backed Securities (cost $20,236,097)																																																																		20,701,800
CORPORATES - NON-INVESTMENT GRADE – 2.3%
Financial Institutions – 1.3%
Banking – 1.2%
Citigroup, Inc.
		5.95%, 1/30/23(b)																																								216																								230,338
		Series Q
																																														Principal Amount (000)																				U.S. $ Value
		5.95%, 8/15/20(b)																													U.S.$											575																						$		584,810
Credit Suisse Group AG 7.50%, 7/17/23(a) (b)																																										1,020																								1,126,529
Goldman Sachs Group, Inc. (The)
		Series M
		5.375%, 5/10/20(b)																																								482																								484,906
		Series P
		5.00%, 11/10/22(b)																																								133																								134,839
Morgan Stanley Series J 5.55%, 7/15/20 (b)																																										110																								111,502
Royal Bank of Scotland Group PLC
		8.625%, 8/15/21(b)																																								320																								345,722
		Series U
		4.265% (LIBOR 3 Month + 2.32%), 9/30/27(b) (c)																																								700																								699,804
Standard Chartered PLC
		3.28% (LIBOR 3 Month + 1.51%), 1/30/27(a) (b) (c)																																								400																								364,508
		7.50%, 4/02/22(a) (b)																																								363																								388,395
																																																																		4,471,353
Finance – 0.1%
Navient Corp.
		6.625%, 7/26/21																																								440																								464,266
		7.25%, 1/25/22																																								99																								106,687
																																																																		570,953
																																																																		5,042,306
Industrial – 1.0%
Basic – 0.1%
Sealed Air Corp. 4.00%, 12/01/27 (a)																																										379																								381,592
Capital Goods – 0.1%
TransDigm, Inc. 6.25%, 3/15/26 (a)																																										362																								391,000
Communications - Media – 0.1%
CSC Holdings LLC 6.75%, 11/15/21																																										120																								128,851
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375%, 8/15/26 (a)																																										226																								225,288
																																																																		354,139
Consumer Cyclical - Automotive – 0.1%
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 4.375%, 5/15/26 (a)																															EUR											130																								148,502
																																														Principal Amount (000)																				U.S. $ Value
Consumer Non-Cyclical – 0.3%
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC 3.50%, 2/15/23 (a)																															U.S.$											671																						$		682,461
Spectrum Brands, Inc. 5.75%, 7/15/25																																										512																								532,843
																																																																		1,215,304
Energy – 0.2%
Sunoco LP/Sunoco Finance Corp. 4.875%, 1/15/23																																										459																								470,521
Transocean Poseidon Ltd. 6.875%, 2/01/27 (a)																																										225																								237,557
																																																																		708,078
Technology – 0.1%
CommScope, Inc.
		5.50%, 3/01/24(a)																																								172																								176,470
		6.00%, 3/01/26(a)																																								235																								246,612
																																																																		423,082
																																																																		3,621,697
Total Corporates - Non-Investment Grade (cost $8,442,271)																																																																		8,664,003
QUASI-SOVEREIGNS – 0.6%
Quasi-Sovereign Bonds – 0.6%
Brazil – 0.1%
GUSAP III LP 4.25%, 1/21/30 (a)																																										535																								561,482
Chile – 0.2%
Corp. Nacional del Cobre de Chile 3.15%, 1/14/30 (a)																																										565																								575,611
Indonesia – 0.2%
Pertamina Persero PT 6.45%, 5/30/44 (a)																																										570																								737,972
Mexico – 0.1%
Petroleos Mexicanos
		6.75%, 9/21/47																																								392																								395,469
		6.84%, 1/23/30(a)																																								143																								154,940
																																																																		550,409
Total Quasi-Sovereigns (cost $2,240,010)																																																																		2,425,474
LOCAL GOVERNMENTS - US MUNICIPAL BONDS – 0.4%
United States – 0.4%
State of California
		Series 2010
		7.625%, 3/01/40 (cost $1,388,998)																																								970																								1,632,054
																																														Principal Amount (000)																				U.S. $ Value
EMERGING MARKETS - CORPORATE BONDS – 0.4%
Industrial – 0.4%
Capital Goods – 0.0%
Odebrecht Finance Ltd.
		5.25%, 6/27/29(a) (i) (j)																													U.S.$											341																						$		17,476
		7.125%, 6/26/42(a) (i) (j)																																								394																								18,838
																																																																		36,314
Communications - Media – 0.1%
Globo Comunicacao e Participacoes SA 4.875%, 1/22/30 (a)																																										417																								425,557
Consumer Non-Cyclical – 0.2%
BRF GmbH 4.35%, 9/29/26 (a)																																										350																								357,656
BRF SA 3.95%, 5/22/23 (a)																																										203																								205,855
Virgolino de Oliveira Finance SA 10.50%, 1/28/18 (e) (i) (k)																																										660																								19,800
																																																																		583,311
Transportation - Services – 0.1%
Rumo Luxembourg SARL 5.875%, 1/18/25 (a)																																										315																								338,330
																																																																		1,383,512
Utility – 0.0%
Electric – 0.0%
Terraform Global Operating LLC 6.125%, 3/01/26 (e)																																										153																								159,030
Total Emerging Markets - Corporate Bonds (cost $2,268,269)																																																																		1,542,542
																																										Shares
COMMON STOCKS – 0.2%
Financials – 0.2%
Insurance – 0.2%
Mt Logan Re Ltd. (Preference Shares)(l) (m) (n)     (cost $626,000)																																										626																								606,266
																																											Principal Amount (000)
COLLATERALIZED LOAN OBLIGATIONS – 0.1%
CLO – Floating Rate – 0.1%
York CLO-7 Ltd. Series 2019-2A, Class C 4.695% (LIBOR 3 Month + 2.75%), 1/22/33 (a) (c) (cost $500,000)																															U.S.$											500																								500,000
																																														Principal Amount (000)																				U.S. $ Value
EMERGING MARKETS - SOVEREIGNS – 0.1%
Egypt – 0.1%
Egypt Government International Bond 6.125%, 1/31/22 (a) (cost $235,000)																															U.S.$											235																						$		246,309
SHORT-TERM INVESTMENTS – 2.3%
Governments - Treasuries – 1.5%
Japan – 1.5%
Japan Treasury Discount Bill
		Series 869
		Zero Coupon, 2/17/20																													JPY											241,600																								2,229,812
		Series 874
		Zero Coupon, 3/16/20																																								370,000																								3,415,145
Total Governments - Treasuries (cost $5,630,022)																																																																		5,644,957
																																										Shares
Investment Companies – 0.8%
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 1.50%(o) (p) (q) (cost $3,040,727)																																										3,040,727																								3,040,727
Total Short-Term Investments (cost $8,670,749)																																																																		8,685,684
Total Investments – 100.9% (cost $369,921,437)(r)																																																																		384,388,733
Other assets less liabilities – (0.9)%																																																																		(3,259,977)
Net Assets – 100.0%																																																																$		381,128,756
FUTURES
Description																		Number of Contracts															Expiration Month																		Current Notional															Value and Unrealized Appreciation/ (Depreciation)
Purchased Contracts
Euro-Bund Futures																		23							March 2020																							$		4,464,945															$		77,897
U.S. 10 Yr Ultra Futures																		66							March 2020																									9,613,313																	168,628
U.S. T-Note 2 Yr (CBT) Futures																		134							March 2020																									28,992,156																	104,194
U.S. T-Note 5 Yr (CBT) Futures																		130							March 2020																									15,641,641																	188,592
U.S. T-Note 10 Yr (CBT) Futures																		9							March 2020																									1,184,906																	2,565
U.S. Ultra Bond (CBT) Futures																		45							March 2020																									8,715,938																	384,082
Sold Contracts
10 Yr Japan Bond (OSE) Futures																		3							March 2020																									4,232,200																	(22,445)
Long Gilt Futures																		19							March 2020																									3,385,577																	(72,595)
																																																																$		830,918
FORWARD CURRENCY EXCHANGE CONTRACTS
Counterparty																	Contracts to Deliver (000)																		In Exchange For (000)																						Settlement Date																Unrealized Appreciation/ (Depreciation)
Goldman Sachs Bank USA																	USD		941																MYR				3,844																		2/13/20											$					(5,307)
Goldman Sachs Bank USA																	MYR		3,844																USD				936																		8/13/20																4,329
HSBC Bank USA																	USD		556																ZAR				8,069																		4/08/20																(23,297)
JPMorgan Chase Bank, NA																	JPY		1,011,642																USD				9,305																		4/09/20																(64,302)
State Street Bank & Trust Co.																	MYR		3,844																USD				916																		2/13/20																(19,465)
State Street Bank & Trust Co.																	GBP		291																USD				381																		3/13/20																(3,083)
State Street Bank & Trust Co.																	USD		379																GBP				289																		3/13/20																2,149
State Street Bank & Trust Co.																	USD		145																ZAR				2,104																		4/08/20																(6,020)
State Street Bank & Trust Co.																	ZAR		8,784																USD				601																		4/08/20																20,540
UBS AG																	EUR		919																USD				1,028																		4/08/20																4,690
																																																																$									(89,766)
CENTRALLY CLEARED CREDIT DEFAULT SWAPS
Description								Fixed Rate (Pay) Receive								Payment Frequency					Implied Credit Spread at January 31, 2020								Notional Amount (000)																		Market Value															Upfront Premiums Paid (Received)													Unrealized Appreciation/ (Depreciation)
Buy Contracts
	CDX-NAIG Series 32, 5 Year Index, 6/20/24*							(1.00)				%				Quarterly					0.44			%			USD							5,620											$				(140,717)													$	(89,974)												$				(50,743)
* Termination date
CENTRALLY CLEARED INTEREST RATE SWAPS
										Rate Type
Notional Amount (000)					Termination Date									Payments made by the Fund							Payments received by the Fund											Payment Frequency Paid/ Received													Market Value										Upfront Premiums Paid (Received)															Unrealized Appreciation/ (Depreciation)
	CAD			27,650			8/27/21									3 Month CDOR							1.623%							Semi-Annual/  Semi-Annual								$			(68,344)														$					146												$			(68,490)
	SEK			121,200			8/30/24									3 Month STIBOR							(0.165)%							Quarterly/Annual											(225,169)																			—															(225,169)
	CAD			5,160			1/14/25									3 Month CDOR							1.950%							Semi-Annual/  Semi-Annual											58,107																			11															58,096
	JPY			1,155,060			12/13/29									6 Month LIBOR							0.080%							Semi-Annual/  Semi-Annual											78,338																			—															78,338
	USD			2,000			12/13/29									1.764%							3 Month LIBOR							Semi-Annual/Quarterly											(52,573)																			—															(52,573)
										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)
	CAD			1,100			1/14/50									2.210%							3 Month CDOR							Semi-Annual/  Semi-Annual								$			(64,964)														$					4												$			(64,968)
																																					$   (274,605)																	$				161													$  (274,766)
CREDIT DEFAULT SWAPS
Swap Counterparty & Referenced Obligation						Fixed Rate (Pay) Receive							Payment Frequency									Implied Credit Spread at January 31, 2020											Notional Amount (000)											Market Value															Upfront Premiums Paid (Received)															Unrealized Appreciation/ (Depreciation)
Sale Contracts
Citibank, NA
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00		%				Monthly					5.69						%		USD								153				$				(9,446)												$					(19,362)												$				9,916
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								36								(2,222)																	(4,624)																2,402
Citigroup Global Markets, Inc.
		CDX-CMBX.NA.BB Series 6, 5/11/63*							5.00						Monthly					11.41								USD								1,284								(177,899)																	(206,489)																28,590
		CDX-CMBX.NA.BB Series 6, 5/11/63*							5.00						Monthly					11.41								USD								144								(19,951)																	(23,308)																3,357
		CDX-CMBX.NA.BB Series 6, 5/11/63*							5.00						Monthly					11.41								USD								16								(2,216)																	(2,563)																347
		CDX-CMBX.NA.BB Series 6, 5/11/63*							5.00						Monthly					11.41								USD								26								(3,606)																	(4,150)																544
		CDX-CMBX.NA.BB Series 6, 5/11/63*							5.00						Monthly					11.41								USD								304								(42,119)																	(47,402)																5,283
		CDX-CMBX.NA.BB Series 6, 5/11/63*							5.00						Monthly					11.41								USD								152								(21,059)																	(23,425)																2,366
		CDX-CMBX.NA.BB Series 6, 5/11/63*							5.00						Monthly					11.41								USD								5,000								(694,139)																	(561,647)																(132,492)
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								201								(12,392)																	(26,588)																14,196
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								85								(5,241)																	(11,511)																6,270
Swap Counterparty & Referenced Obligation						Fixed Rate (Pay) Receive							Payment Frequency									Implied Credit Spread at January 31, 2020											Notional Amount (000)											Market Value															Upfront Premiums Paid (Received)															Unrealized Appreciation/ (Depreciation)
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00		%				Monthly					5.69						%		USD								269				$				(16,584)												$					(39,985)												$				23,401
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								252								(15,557)																	(28,775)																13,218
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								362								(22,348)																	(41,335)																18,987
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								504								(31,114)																	(56,278)																25,164
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								723								(44,633)																	(80,732)																36,099
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								504								(31,114)																	(55,173)																24,059
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								857								(52,906)																	(91,622)																38,716
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								540								(33,336)																	(58,026)																24,690
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								200								(12,347)																	(21,464)																9,117
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								180								(11,112)																	(22,778)																11,666
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								252								(15,557)																	(31,890)																16,333
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								178								(10,989)																	(23,267)																12,278
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								297								(18,310)																	(45,476)																27,166
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								41								(2,528)																	(6,587)																4,059
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								351								(21,697)																	(42,216)																20,519
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								105								(6,491)																	(12,629)																6,138
Swap Counterparty & Referenced Obligation						Fixed Rate (Pay) Receive							Payment Frequency									Implied Credit Spread at January 31, 2020											Notional Amount (000)											Market Value															Upfront Premiums Paid (Received)															Unrealized Appreciation/ (Depreciation)
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00		%				Monthly					5.69						%		USD								107				$				(6,597)												$					(10,855)												$				4,258
Credit Suisse International
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								155								(9,556)																	(10,689)																1,133
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								1,882								(116,014)																	(76,739)																(39,275)
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								2,150								(132,547)																	(124,102)																(8,445)
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								291								(17,940)																	(43,058)																25,118
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								509								(31,380)																	(32,842)																1,462
Deutsche Bank AG
		CDX-CMBX.NA.A Series 6, 5/11/63*							2.00						Monthly					1.65								USD								850								8,330																	(16,584)																24,914
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								46								(2,835)																	(2,633)																(202)
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								531								(32,736)																	(43,563)																10,827
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								52								(3,206)																	(6,080)																2,874
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								322								(19,852)																	(40,470)																20,618
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								179								(11,035)																	(20,421)																9,386
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								181								(11,159)																	(20,642)																9,483
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								530								(32,675)																	(56,949)																24,274
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								745								(45,930)																	(52,078)																6,148
Goldman Sachs International
Swap Counterparty & Referenced Obligation						Fixed Rate (Pay) Receive							Payment Frequency									Implied Credit Spread at January 31, 2020											Notional Amount (000)											Market Value															Upfront Premiums Paid (Received)															Unrealized Appreciation/ (Depreciation)
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00		%				Monthly					5.69						%		USD								760				$				(46,854)												$					(60,346)												$				13,492
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								1,125								(69,356)																	(85,780)																16,424
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								219								(13,501)																	(14,481)																980
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								311								(19,173)																	(26,804)																7,631
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								26								(1,603)																	(2,324)																721
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								52								(3,206)																	(4,734)																1,528
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								52								(3,206)																	(5,123)																1,917
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								104								(6,411)																	(11,198)																4,787
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								260								(16,029)																	(35,293)																19,264
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								574								(35,387)																	(75,903)																40,516
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								356								(21,948)																	(37,830)																15,882
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								20								(1,233)																	(3,030)																1,797
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								90								(5,556)																	(11,512)																5,956
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								325								(20,036)																	(49,829)																29,793
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								224								(13,809)																	(36,516)																22,707
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								313								(19,296)																	(51,759)																32,463
JPMorgan Securties, LLC
Swap Counterparty & Referenced Obligation						Fixed Rate (Pay) Receive							Payment Frequency									Implied Credit Spread at January 31, 2020											Notional Amount (000)											Market Value															Upfront Premiums Paid (Received)															Unrealized Appreciation/ (Depreciation)
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00		%				Monthly					5.69						%		USD								32				$				(1,973)												$					(3,115)												$				1,142
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								1,550								(95,687)																	(214,816)																119,129
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								131								(8,076)																	(12,712)																4,636
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								30								(1,850)																	(2,919)																1,069
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								374								(23,057)																	(45,747)																22,690
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								130								(8,015)																	(16,042)																8,027
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								61								(3,761)																	(7,764)																4,003
Morgan Stanley & Co. International PLC
		CDX-CMBX.NA.BBB- Series 6, 5/11/63*							3.00						Monthly					5.69								USD								800								(49,320)																	(117,922)																68,602
																																								$				(2,290,388)												$					(3,080,506)												$				790,118
* Termination date
(a)			Security is exempt from registration under Rule 144A of the Securities Act of 1933.  These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.  At January 31, 2020, the aggregate market value of these securities amounted to $94,287,930 or 24.7% of net assets.
(b)			Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date.
(c)			Floating Rate Security. Stated interest/floor/ceiling rate was in effect at January 31, 2020.
(d)			Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.
(e)			Security is exempt from registration under Rule 144A of the Securities Act of 1933.  These securities, which represent 0.73% of net assets as of January 31, 2020, are considered illiquid and restricted.  Additional information regarding such securities follows:
144A/Restricted & Illiquid Securities																		Acquisition Date																	Cost																		Market Value																							Percentage of Net Assets
JP Morgan Madison Avenue Securities Trust     Series 2014-CH1, Class M2 5.911%, 11/25/24																		11/06/15													$				66,567																	$	73,543																							0.02				%
Morgan Stanley Capital I Trust     Series 2015-XLF2, Class SNMA 3.626%, 11/15/26																		11/16/15																	172,201																		171,995																							0.05				%
PMT Credit Risk Transfer Trust     Series 2019-1R, Class A 3.805%, 3/27/24																		3/21/19																	552,084																		550,408																							0.14				%
PMT Credit Risk Transfer Trust     Series 2019-2R, Class A 4.555%, 5/27/23																		6/07/19																	641,817																		647,313																							0.17				%
PMT Credit Risk Transfer Trust     Series 2019-3R, Class A 4.349%, 10/27/22																		11/27/19																	622,558																		626,441																							0.16				%
Terraform Global Operating LLC 6.125%, 3/01/26																		2/08/18																	153,000																		159,030																							0.04				%
Virgolino de Oliveira Finance SA 10.50%, 1/28/18																		1/27/14																	365,927																		19,800																							0.01				%
Wells Fargo Credit Risk Transfer Securities Trust     Series 2015-WF1, Class 1M2 6.911%, 11/25/25																		9/28/15																	370,334																		406,532																							0.11				%
Wells Fargo Credit Risk Transfer Securities Trust     Series 2015-WF1, Class 2M2 7.161%, 11/25/25																		9/28/15																	106,892																		118,707																							0.03				%
(f)			Inverse interest only security.
(g)			IO - Interest Only.
(h)			Illiquid security.
(i)			Non-income producing security.
(j)			Defaulted.
(k)			Defaulted matured security.
(l)			Restricted and illiquid security.
Restricted & Illiquid Securities																		Acquisition Date																	Cost																		Market Value																							Percentage of Net Assets
Mt Logan Re Ltd.(Preference Shares)																		12/30/14													$				626,000																	$	606,266																							0.16				%
(m)			Fair valued by the Adviser.
(n)			Security in which significant unobservable inputs (Level 3) were used in determining fair value.
(o)			Affiliated investments.
(p)			To obtain a copy of the fund's shareholder report, please go to the Securities and Exchange Commission's website at www.sec.gov, or call AB at (800) 227-4618.
(q)			The rate shown represents the 7-day yield as of period end.
(r)			As of January 31, 2020, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $18,319,764 and gross unrealized depreciation of investments was $(2,646,707), resulting in net unrealized appreciation of $15,673,057.
Currency Abbreviations:
CAD – Canadian Dollar
EUR – Euro
GBP – Great British Pound
JPY – Japanese Yen
MYR – Malaysian Ringgit
SEK – Swedish Krona
USD – United States Dollar
ZAR – South African Rand
Glossary:
ABS – Asset-Backed Securities
ARMs – Adjustable Rate Mortgages
CBT – Chicago Board of Trade
CDOR – Canadian Dealer Offered Rate
CDX-CMBX.NA – North American Commercial Mortgage-Backed Index
CDX-NAIG – North American Investment Grade Credit Default Swap Index
CLO – Collateralized Loan Obligations
CMBS – Commercial Mortgage-Backed Securities
CPI – Consumer Price Index
LIBOR – London Interbank Offered Rates
OSE – Osaka Securities Exchange
REMICs – Real Estate Mortgage Investment Conduits
STIBOR – Stockholm Interbank Offered Rate
TBA – To Be Announced
TIPS – Treasury Inflation Protected Security

AB Bond Fund, Inc. 

AB Total Return Bond Portfolio 

January 31, 2020 (unaudited) 

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.  • Level 1 - quoted prices in active markets for identical investments  • Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment    speeds, credit risk, etc.)  • Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of    investments)
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.  Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, by pricing vendors, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.
Valuations of mortgage-backed or other asset backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of January 31, 2020:
Investments in Securities:		Level 1		Level 2		Level 3		Total
Assets:
Corporates - Investment Grade		$	—	$	77,972,090	$	—		$	77,972,090
Mortgage Pass-Throughs			—		69,752,698		—			69,752,698
Governments - Treasuries			—		63,435,323		—			63,435,323
Collateralized Mortgage Obligations			—		55,829,406		—			55,829,406
Commercial Mortgage-Backed Securities			—		45,361,539		—			45,361,539
Inflation-Linked Securities			—		27,033,545		—			27,033,545
Asset-Backed Securities			—		20,701,800		—			20,701,800
Corporates - Non-Investment Grade			—		8,664,003		—			8,664,003
Quasi-Sovereigns			—		2,425,474		—			2,425,474
Local Governments - US Municipal Bonds			—		1,632,054		—			1,632,054
Emerging Markets - Corporate Bonds			—		1,542,542		—			1,542,542
Common Stocks			—		—		606,266			606,266
Collateralized Loan Obligations			—		500,000		—			500,000
Emerging Markets - Sovereigns			—		246,309		—			246,309
Short-Term Investments:
	Governments - Treasuries		—		5,644,957		—			5,644,957
	Investment Companies		3,040,727		—		—			3,040,727
Total Investments in Securities			3,040,727		380,741,740		606,266			384,388,733
Other Financial Instruments(a):
Assets:
Futures			925,958		—		—			925,958
Forward Currency Exchange Contracts			—		31,708		—			31,708
Centrally Cleared Interest Rate Swaps			—		136,445		—			136,445
Credit Default Swaps			—		8,330		—			8,330
Liabilities:
Futures			(95,040)		—		—			(95,040)
Forward Currency Exchange Contracts			—		(121,474)		—			(121,474)
Centrally Cleared Credit Default Swaps			—		(140,717)		—			(140,717)
Centrally Cleared Interest Rate Swaps			—		(411,050)		—			(411,050)
Credit Default Swaps			—		(2,298,718)		—			(2,298,718)
Total		$	3,871,645	$	377,946,264	$	606,266		$	382,424,175(b)
(a)	Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value.
(b)	Amounts of $5,889,223, $62,884 and $257,216 for Asset-Backed Securities, Collateralized Mortgage Obligations and Commercial Mortgage-Backed Securities, respectively,  were transferred out of Level 3 into Level 2 as improved transparency of price inputs received from pricing vendors has increased the observability during the reporting period.

A summary of the Fund’s transactions in AB mutual funds for the three months ended January 31, 2020 is as follows: 

Fund	Market Value  10/30/19  (000)	Purchases  at Cost  (000)	Sales  Proceeds  (000)	Market Value  1/31/20  (000)	Dividend  Income  (000)
Government Money Market Portfolio	$11,000	$43,696	$51,655	$3,041	$14