N-CSRS 1 d561727dncsrs.htm SANFORD C. BERNSTEIN FUND, INC. Sanford C. Bernstein Fund, Inc.
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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-05555

 

 

SANFORD C. BERNSTEIN FUND, INC.

(Exact name of registrant as specified in charter)

 

 

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

(Address of principal executive offices) (Zip code)

 

 

Joseph J. Mantineo

AllianceBernstein L.P.

1345 Avenue of the Americas

New York, New York 10105

(Name and address of agent for service)

 

 

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

Date of fiscal year end: September 30, 2018

Date of reporting period: March 31, 2018

 

 

 

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ITEM 1. REPORTS TO STOCKHOLDERS.

 

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SANFORD C. BERNSTEIN FUND, INC.

 

 

International Portfolio

Tax-Managed International Portfolio

Emerging Markets Portfolio

Short Duration Diversified Municipal Portfolio

New York Municipal Portfolio

California Municipal Portfolio

Diversified Municipal Portfolio

Short Duration Plus Portfolio

Intermediate Duration Portfolio

 

SEMI-ANNUAL REPORT

MARCH 31, 2018

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Table of Contents

 

Portfolio Manager Commentary

    1  
 

Disclosures and Risks

    6  
 

Historical Performance

     12  
 

Expense Example

     15  
 

Portfolio Summary

     16  
 

Statement of Assets and Liabilities

     20  
 

Statement of Operations

     26  
 

Statement of Changes in Net Assets

     30  
 

Financial Highlights

     36  
 

Notes to Financial Statements

     46  
 

Other

     96  

Before investing in any portfolio of the Sanford C. Bernstein Fund, Inc., a prospective investor should consider carefully the portfolio’s investment objectives and policies, charges, expenses and risks. These and other matters of importance to prospective investors are contained in the portfolio’s prospectus, an additional copy of which may be obtained by visiting our website at www.Bernstein.com and clicking on “Investments”, then “Mutual Fund Information—Prospectuses, SAIs and Shareholder Reports” or by calling your financial advisor or by calling Bernstein’s mutual fund shareholder help line at 212.756.4097. Please read the prospectus carefully before investing.

For performance information current to the most recent month-end, please visit our website at www.Bernstein.com and click on “Investments”, then “Mutual Fund Information—Mutual Fund Performance at a Glance”.

Sanford C. Bernstein Fund, Inc. (the “Fund”) operates as a series company currently comprised of 15 portfolios (hereafter collectively referred to as the “Portfolios” and each individually a “Portfolio”). This report relates only to the International Equity Portfolios, Fixed Income Municipal Portfolios and Fixed Income Taxable Portfolios (together the “SCB Portfolios”). The financial statements of the Overlay Portfolios and the financial highlights of Class A, Class B, Class C Shares, Advisor Class and Class Z Shares (collectively “Retail Classes”) of International, Tax-Managed International, Emerging Markets, New York Municipal, California Municipal, Diversified Municipal and Short Duration Plus Portfolios are presented in separate financial reports.

This shareholder report must be preceded or accompanied by the Sanford C. Bernstein Fund, Inc. prospectus for individuals who are not shareholders of the Fund.

You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit www.AllianceBernstein.com, or go to the Securities and Exchange Commission’s website at www.sec.gov, or call AllianceBernstein at 800.227.4618.

The Fund will file its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may also be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C.; information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330.

The Report of Independent Registered Public Accounting Firm can be found with the applicable Portfolio’s Schedules of Investments. The Schedules of Investments, an integral part of the financial statements for each Portfolio, are included as inserts to this Report.

 

Investment Products Offered:    ·  Are Not FDIC Insured  ·  May Lose Value  ·  Are Not Bank Guaranteed

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Portfolio Manager Commentary (Unaudited)

 

To Our Shareholders—May 15, 2018

On the following pages, you will find the 2018 semi-annual report for the Portfolios1 of the Sanford C. Bernstein Fund, Inc. (collectively, the “Portfolios”, and individually, a “Portfolio”). The semi-annual report covers the six- and 12-month periods ended March 31, 2018, and includes financial statements as well as notes to the financial statements, information about the recent performance of the Portfolios and a listing of each Portfolio’s holdings as of the period end.

Equity market returns decelerated during the six-month period ended March 31, 2018, as volatility resurfaced. Despite this, all regions of the world delivered positive returns for the period, with emerging-market equities remaining the top performer. Reflecting an increase in interest rates, both US taxable and tax-exempt bond returns were slightly negative.

Some slowing of stock returns seemed likely after a very strong 2017, when corporate earnings growth gained momentum and markets responded accordingly. Risk returned in 2018, with a correction in February interrupting the longest and calmest winning streak ever. Concerns about potentially rising inflation and interest rates, as well as risks around tariff wars, spurred heightened volatility, but we believe the global economy is strong enough that markets can withstand increased uncertainty.

Looking ahead, our return expectations remain below long-term averages. In our view, strong 2018 earnings growth has been largely priced in to stocks. We also anticipate that interest rates will climb gradually, potentially leading to subdued bond returns.

If you have any questions about your investments in the Portfolios, please contact your Bernstein Advisor by calling 212.756.4097, or visit www.Bernstein.com. As always, we are firmly dedicated to your investment success. Thank you for your continued interest in the Portfolios.

Sincerely,

Kathleen M. Fisher

President

Sanford C. Bernstein Fund, Inc.

 

1   This performance discussion is intended as a general market commentary. Please note that the information for the Overlay Portfolios of Sanford C. Bernstein Fund. Inc. may be found in a separate report.

International Portfolio

Tax-Managed International Portfolio

Investment Objectives and Strategy

The Portfolios seek to provide long-term capital growth. The Portfolios invest primarily in equity securities of issuers in countries that make up the Morgan Stanley Capital International Europe, Australasia and the Far East (“MSCI EAFE”) Index. AllianceBernstein L.P., the Portfolios’ investment adviser (the “Adviser”), diversifies the Portfolios among many foreign countries, but not necessarily in the same proportion that the countries are represented in the MSCI EAFE Index. Under normal circumstances, the Adviser invests in companies in at least three countries (and normally substantially more) other than the United States. The Portfolios also invest in less developed or emerging equity markets. The Adviser invests the Portfolios’ assets using multiple disciplines as well as capitalization ranges, although the Adviser expects to invest primarily in large- and mid-sized capitalization companies. The Adviser relies on both fundamental and quantitative research to manage both risk and return for the Portfolios. The Portfolios may own stocks selected using the Adviser’s bottom-up fundamental research in value, growth, stability and other disciplines. Within each investment discipline, the Adviser draws on the capabilities of separate investment teams. The research analyses that support buy and sell decisions for the Portfolios are fundamental and bottom-up, based largely on specific company and industry findings and taking into account broad economic forecasts. The International Portfolio is managed without regard to tax considerations. The Tax-Managed International Portfolio seeks to minimize the impact of taxes on shareholders’ returns.

The Portfolios invest primarily in common stocks, but may also invest in preferred stocks, warrants and convertible securities of foreign issuers, including sponsored or unsponsored American Depositary Receipts (“ADRs”) and Global Depositary Receipts (“GDRs”). The Portfolios may use derivatives, such as options, futures contracts, forward contracts and swaps. The Portfolios may enter into foreign currency transactions for hedging and non-hedging purposes on a spot (i.e., cash) basis or through the use of derivatives

 

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Portfolio Manager Commentary (continued)

 

transactions, such as forward currency exchange contracts, currency futures and options thereon, and options on currencies. An appropriate hedge of currency exposure resulting from the Portfolios’ securities positions may not be available or cost effective, or the Adviser may determine not to hedge the positions, possibly even under market conditions where doing so could benefit the Portfolios. The Portfolios generally invest in foreign-currency futures contracts or foreign-currency forward contracts with terms of up to one year. The Portfolios also purchase foreign currency for immediate settlement in order to purchase foreign securities. In addition, each of the Portfolios may invest a portion of its uncommitted cash balances in futures contracts on securities or baskets of securities to expose that portion of the Portfolio to the equity markets. The Portfolios may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, including on individual securities and stock indices, futures contracts (including futures contracts on individual securities and stock indexes) or shares of exchange-traded funds (“ETFs”). These transactions may be used, for example, in an effort to earn extra income, to adjust exposure to individual securities or markets, or to protect all or a portion of the Portfolio from a decline in value, sometimes within certain ranges.

Emerging Markets Portfolio

Investment Objective and Strategy

The Portfolio seeks to provide long-term capital growth through investments in equity securities of companies in emerging-market countries. The Portfolio invests, under normal circumstances, at least 80% of its net assets in securities of companies in emerging markets. The Adviser invests the Portfolio’s assets using multiple disciplines. The Portfolio may own stocks selected using the Adviser’s bottom-up research in value, growth, core and other investment style disciplines. The Adviser may allocate assets to companies in different targeted ranges of market capitalization. Within each investment discipline, the Adviser draws on the capabilities of separate investment teams. The Adviser relies on both fundamental and quantitative research to manage risk and return for the Portfolio.

The Portfolio may invest in companies of any size. The Portfolio invests primarily in common stocks, but may also invest in preferred stocks, warrants and convertible securities of foreign issuers, including sponsored or unsponsored ADRs and GDRs. Under most conditions, the Portfolio intends to have its assets invested among multiple emerging-market countries, although the Portfolio may also invest in more developed country markets. In allocating the Portfolio’s assets among emerging-market countries, the Adviser considers such factors as the geographical distribution of the Portfolio, the sizes of the stock markets represented and the various key economic characteristics of the countries. However, the Portfolio may not necessarily be diversified on a geographical basis. The Adviser also considers the transaction costs and volatility of each individual market.

The Portfolio may enter into foreign currency transactions for hedging and non-hedging purposes on a spot (i.e., cash) basis or through the use of derivatives transactions, such as forward currency exchange contracts, currency futures and options thereon, and options on currencies. An appropriate hedge of currency exposure resulting from the Portfolio’s securities positions may not be available or cost effective, or the Adviser may determine not to hedge the positions, possibly even under market conditions where doing so could benefit the Portfolio. The Portfolio generally invests in foreign-currency futures contracts or foreign-currency forward contracts with terms of up to one year. The Portfolio also purchases foreign currency for immediate settlement in order to purchase foreign securities. In addition, the Portfolio may invest a portion of its uncommitted cash balances in futures contracts on securities or baskets of securities to expose that portion of the Portfolio to the equity markets. The Portfolio may use derivatives, such as options, futures contracts, forward contracts and swaps. The Portfolio may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, including on individual securities and stock indexes, futures contracts (including futures contracts on individual securities and stock indexes) or shares of ETFs. These transactions may be used, for example, in an effort to earn extra income, to adjust exposure to individual securities or markets, or to protect all or a portion of the Portfolio from a decline in value, sometimes within certain ranges. The Portfolio may also make investments in developed foreign securities that comprise the MSCI EAFE Index.

Short Duration Diversified Municipal Portfolio

Investment Objective and Strategy

The Portfolio seeks to provide safety of principal and a moderate rate of return after taking account of federal taxes. As a matter of fundamental policy, the Portfolio, under normal

 

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Portfolio Manager Commentary (continued)

 

circumstances, invests at least 80% of its net assets in municipal securities. The Portfolio invests no more than 25% of its total assets in municipal securities of issuers located in any one state.

The Portfolio invests at least 80% of its total assets in municipal securities rated A or better by national rating agencies (or, if unrated, determined by the Adviser to be of comparable quality) and comparably rated municipal notes. The Portfolio may invest up to 20% of its total assets in fixed-income securities rated BB or B by national rating agencies, which are not investment-grade (commonly known as “junk bonds”).

The Portfolio may invest, without limit, in revenue bonds, which generally do not have the pledge of the credit of the issuer. The Portfolio may invest, without limit, in securities or obligations that are related in such a way that business or political developments or changes affecting one such security could also affect the others (for example, securities with interest that is paid from projects of a similar type).

The Portfolio may also invest up to 20% of its net assets in fixed-income securities of US issuers that are not municipal securities if, in the Adviser’s opinion, these securities will enhance the after-tax return for investors.

The Portfolio may use derivatives, such as options, futures contracts, forward contracts and swaps. The Portfolio seeks to maintain an effective duration of one-half year to two and one-half years under normal market conditions. Duration is a measure that relates the expected price volatility of a security to changes in interest rates. The duration of a debt security is the weighted average term to maturity, expressed in years, of the present value of all future cash flows, including coupon payments and principal repayments. Within the range described above, the Adviser may moderately shorten the average duration of the Portfolio when it expects interest rates to rise and modestly lengthen average duration when it anticipates that interest rates will fall. The Adviser selects securities for purchase or sale based on its assessment of the securities’ risk and return characteristics as well as the securities’ impact on the overall risk and return characteristics of the Portfolio. In making this assessment, the Adviser takes into account various factors including the credit quality and sensitivity to interest rates of the securities under consideration and of the Portfolio’s other holdings.

New York Municipal Portfolio

California Municipal Portfolio

Diversified Municipal Portfolio

Investment Objective and Strategy

Each of the Portfolios seeks to provide safety of principal and maximize total return after taking account of federal taxes (and, in the case of the New York Municipal Portfolio, New York state and local taxes and, in the case of the California Municipal Portfolio, California state taxes). As a matter of fundamental policy, each of the Portfolios, under normal circumstances, invests at least 80% of its net assets in municipal securities (and, in the case of the New York Municipal and California Municipal Portfolios, municipal securities issued by the State of New York or the State of California, or their political subdivisions, or otherwise exempt from New York or California state income tax, respectively). The Diversified Municipal Portfolio will invest no more than 25% of its net assets in municipal securities of issuers located in any one state.

Each of the Portfolios invests at least 80% of its total assets in municipal securities rated A or better by national rating agencies (or, if unrated, determined by the Adviser to be of comparable quality) and comparably rated municipal notes. Each of the Portfolios may invest up to 20% of their total assets in fixed-income securities rated BB or B by national rating agencies, which are not investment-grade (commonly known as “junk bonds”).

Each of the Portfolios may invest, without limit, in revenue bonds, which generally do not have the pledge of the credit of the issuer. Each of the Portfolios may invest, without limit, in securities or obligations that are related in such a way that business or political developments or changes affecting one such security could also affect the others (for example, securities with interest that is paid from projects of a similar type).

Each of the Portfolios may also invest up to 20% of its net assets in fixed-income securities of US issuers that are not municipal securities if, in the Adviser’s opinion, these securities will enhance the after-tax return for investors (and, in the case of the New York Municipal and California Municipal Portfolios, New York investors and California investors, respectively).

 

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2018 Semi-Annual Report     3  

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Portfolio Manager Commentary (continued)

 

The Portfolios may use derivatives, such as options, futures contracts, forward contracts and swaps. Each Portfolio seeks to maintain an effective duration of three and one-half years to seven years under normal market conditions.

The Adviser selects securities for purchase or sale based on its assessment of the securities’ risk and return characteristics as well as the securities’ impact on the overall risk and return characteristics of each of the Portfolios. In making this assessment, the Adviser takes into account various factors including the credit quality and sensitivity to interest rates of the securities under consideration and of the Portfolios’ other holdings.

Short Duration Plus Portfolio

Investment Objective and Strategy

The Portfolio seeks to provide safety of principal and a moderate rate of income that is subject to taxes. The Portfolio invests at least 80% of its total assets in securities rated A or better by national rating agencies (or, if unrated, determined by the Adviser, to be of comparable quality) and comparably rated commercial paper and notes. Many types of securities may be purchased by the Portfolio, including corporate bonds, notes, US government and agency securities, asset-backed securities, mortgage-related securities, inflation-protected securities, bank loan debt and preferred stock, as well as others. The Portfolio may also invest up to 20% of its total assets in fixed-income foreign securities in developed or emerging-market countries.

The Portfolio may use derivatives, such as options, futures contracts, forward contracts and swaps. The Portfolio may invest up to 20% of its total assets in fixed-income securities rated BB or B by national rating agencies, which are not investment-grade (commonly known as “junk bonds”). The Portfolio seeks to maintain an effective duration of one to three years under normal market conditions. Duration is a measure that relates the expected price volatility of a security to changes in interest rates. The duration of a debt security is the weighted average term to maturity, expressed in years, of the present value of all future cash flows, including coupon payments and principal repayments. Within the range described above, the Adviser may moderately shorten the average duration of the Portfolio when it expects interest rates to rise and modestly lengthen average duration when it anticipates that interest rates will fall. The Adviser selects securities for purchase or sale based on its assessment of the securities’ risk and return characteristics as well as the securities’ impact on the overall risk and return characteristics of the Portfolio. In making this assessment, the Adviser takes into account various factors including the credit quality and sensitivity to interest rates of the securities under consideration and of the Portfolio’s other holdings.

The Portfolio may enter into foreign currency transactions on a spot (i.e., cash) basis or through the use of derivatives transactions, such as forward currency exchange contracts, currency futures and options thereon, and options on currencies. An appropriate hedge of currency exposure resulting from the Portfolio’s securities positions may not be available or cost effective, or the Adviser may determine not to hedge the positions, possibly even under market conditions where doing so could benefit the Portfolio.

Intermediate Duration Portfolio

Investment Objective and Strategy

The Portfolio seeks to provide safety of principal and a moderate to high rate of income that is subject to taxes. The Portfolio seeks to maintain an average portfolio quality minimum of A, based on ratings given to the Portfolio’s securities by national rating agencies (or, if unrated, determined by the Adviser, to be of comparable quality). Many types of securities may be purchased by the Portfolio, including corporate bonds, notes, US government and agency securities, asset-backed securities, mortgage-related securities, bank loan debt, preferred stock and inflation-protected securities, as well as others. The Portfolio may also invest up to 25% of its total assets in fixed-income, non-US dollar denominated foreign securities, and may invest without limit in fixed-income, US dollar denominated foreign securities, in each case in developed or emerging-market countries.

The Portfolio may use derivatives, such as options, futures contracts, forward contracts and swaps. The Portfolio may invest up to 25% of its total assets in fixed-income securities rated below investment-grade (BB or below) by national rating agencies (commonly known as “junk bonds”). No more than 5% of the Portfolio’s total assets may be invested in fixed-income securities rated CCC by national rating agencies. The Portfolio seeks to maintain an effective duration of three to six years under normal market conditions. Duration is a measure that relates the expected price volatility of a security to changes in interest rates. The duration of a debt security is the weighted average term to maturity, expressed in years, of the present value of all future cash flows, including coupon payments and principal repayments. Within the range described above, the Adviser may moderately shorten the average duration of the

 

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Portfolio Manager Commentary (continued)

 

Portfolio when it expects interest rates to rise and modestly lengthen average duration when it anticipates that interest rates will fall. The Adviser selects securities for purchase or sale based on its assessment of the securities’ risk and return characteristics as well as the securities’ impact on the overall risk and return characteristics of the Portfolio. In making this assessment, the Adviser takes into account various factors including the credit quality and sensitivity to interest rates of the securities under consideration and of the Portfolio’s other holdings.

The Portfolio may enter into foreign currency transactions on a spot (i.e., cash) basis or through the use of derivatives transactions, such as forward currency exchange contracts, currency futures and options thereon, and options on currencies. An appropriate hedge of currency exposure resulting from the Portfolio’s securities positions may not be available or cost effective, or the Adviser may determine not to hedge the positions, possibly even under market conditions where doing so could benefit the Portfolio.

 

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Disclosures and Risks (Unaudited)

 

Benchmark Disclosures

None of the following indices or averages reflects fees and expenses associated with the active management of a mutual fund portfolio. The MSCI EAFE Index (net, free float-adjusted, market capitalization weighted) represents the equity market performance of developed markets, excluding the US and Canada. The MSCI Emerging Markets (“EM”) Index (net, free float-adjusted, market capitalization weighted) represents the equity market performance of emerging markets. The Bloomberg Barclays 1-Year Municipal Bond Index is a total-return performance benchmark for the short-term municipal bond market with maturities of up to 1.99 years. The Bloomberg Barclays 5-Year General Obligation (“GO”) Municipal Bond Index represents the performance of long-term, investment-grade tax-exempt bonds with maturities ranging from four to six years. The Intercontinental Exchange Bank of America Merrill Lynch® (“ICE BofA ML”) 1-3 Year US Treasury Index represents the performance of US dollar-denominated sovereign debt publicly issued by the US government in its domestic market with a remaining term to final maturity of one to three years. The Bloomberg Barclays US Aggregate Bond Index represents the performance of securities within the US investment-grade fixed-rate bond market, with index components for government and corporate securities, mortgage pass-through securities, asset-backed securities and commercial mortgage-backed securities. MSCI makes no express or implied warranties or representations, and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices, any securities or financial products. This report is not approved, reviewed or produced by MSCI. The MSCI EAFE Index and MSCI EM Index values are calculated using net returns. Net returns include the reinvestment of dividends after deduction of non-US withholding tax. Lipper Averages are the equal-weighted average returns of the funds in the relevant Lipper Inc. categories; the average fund in a category may differ in composition from the Portfolios. Investors cannot invest directly in indices, and their results are not indicative of the performance for any specific investment, including the Portfolios.

A Word About Risk

All Portfolios:

The share price of the Portfolios will fluctuate and you may lose money. There is no guarantee that the Portfolios will achieve their investment objectives.

Cybersecurity Risk: Cybersecurity incidents may allow an unauthorized party to gain access to Portfolio assets, customer data (including private shareholder information), or proprietary information, or cause the Portfolios, the Adviser, and/or its service providers (including, but not limited to, fund accountants, custodians, sub-custodians, transfer agents and financial intermediaries) to suffer data breaches, data corruption or lose operational functionality.

Derivatives Risk: The Portfolios may use derivatives as direct investments to earn income, enhance return and broaden portfolio diversification, which entail greater risk than if used solely for hedging purposes. In addition to other risks such as the credit risk of the counterparty, derivatives involve the risk that changes in the value of the derivative may not correlate with relevant assets, rates or indices. Derivatives may be illiquid and difficult to price or unwind, and small changes may produce disproportionate losses for the Portfolios. Certain derivatives have the potential for unlimited loss, regardless of the size of the initial investment. Assets required to be set aside or posted to cover or secure derivatives positions may themselves go down in value, and these collateral and other requirements may limit investment flexibility. Some derivatives involve leverage, which can make the Portfolios more volatile and can compound other risks. Use of derivatives may have different tax consequences for the Portfolios than an investment in the underlying security, and such differences may affect the amount, timing and character of income distributed to shareholders. The US government and foreign governments are in the process of adopting and implementing regulations governing derivatives markets, including mandatory clearing of certain derivatives, margin, reporting and registration requirements. The ultimate impact of the regulations remains unclear. Additional regulation may make derivatives more costly, limit their availability or utility, otherwise adversely affect their performance, or disrupt markets.

Liquidity Risk: Liquidity risk exists when particular investments are difficult to purchase or sell, possibly preventing the Portfolios from selling out of these illiquid or relatively less liquid securities at an advantageous price. Over recent years, regulatory changes have led to reduced liquidity in the marketplace, and the capacity of dealers to make markets in fixed-income securities has been outpaced by the growth in the size of the fixed-income markets. Liquidity risk may be magnified in a rising interest rate environment, where the value and liquidity of fixed-income securities generally go down.

 

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Disclosures and Risks (continued)

 

Derivatives and securities involving substantial market and credit risk tend to involve greater liquidity risk. The Portfolios are subject to more liquidity risk because the market for municipal securities is generally smaller than many other markets. Illiquid securities and relatively less liquid securities may also be difficult to value.

Management Risk: The Portfolios are subject to management risk because they are actively managed investment portfolios. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolios, but these techniques, analyses and decisions may not work as intended or may not produce the desired results. In some cases, derivatives and other investment techniques may be unavailable or the Adviser may determine not to use them, possibly even under market conditions where their use could benefit the Portfolios. In addition, the Adviser may change the Portfolios’ investment strategies or policies from time to time. Those changes may not lead to the results intended by the Adviser and could have an adverse effect on the value or performance of the Portfolios.

Market Risk: The Portfolios are subject to market risk, which is the risk that stock or bond prices in general may decline over short or extended periods. Stock prices may decline in response to adverse changes in the economy or the economic outlook; deterioration in investor sentiment; interest rate, currency and commodity price fluctuations; adverse geopolitical, social or environmental developments; issuer- and sector-specific considerations; and other factors. In the past decade, financial markets in the United States, Europe and elsewhere have experienced increased volatility, decreased liquidity and heightened uncertainty. These market conditions may recur from time to time and have an adverse impact on various securities markets. The US government and the Federal Reserve, as well as certain foreign governments and central banks, have taken steps to support financial markets. Other governments have tried to support markets by buying stocks and through other market interventions. Government intervention may not work as intended, particularly if the efforts are perceived by investors as being unlikely to achieve the desired results. The Federal Reserve has reduced its market support activities and has begun raising interest rates. Further Federal Reserve or other US or non-US governmental or central bank actions, including interest rate increases or decreases, could negatively affect financial markets generally, increase market volatility and reduce the value and liquidity of securities in which the Portfolios invest.

 

Current political uncertainty surrounding the European Union (“EU”) and its membership may increase market volatility. The United Kingdom has voted to withdraw from the EU, and one or more other countries may withdraw from the EU and/or abandon the Euro, the common currency of the EU. The financial instability of some countries in the EU, together with the risk of that financial instability impacting other more stable countries, may increase the risk of investing in companies in Europe and worldwide. In addition, policy and legislative changes in the United States and in other countries are affecting many aspects of financial regulation, and may in some instances contribute to decreased liquidity and increased volatility in the financial markets. The impact of these changes, and the practical implications for market participants, may not be fully known for some time.

Economies and financial markets throughout the world are becoming increasingly interconnected. Economic, financial or political events, trading and tariff arrangements, terrorism, natural disasters and other circumstances in one country or region could have profound impacts on global economies or markets. As a result, whether or not the Portfolios invest in securities of issuers located in or with significant exposure to countries experiencing economic and financial difficulties, the value and liquidity of the Portfolios’ investments may be negatively affected.

Redemption Risk: The Portfolios may experience heavy redemptions that could cause the Portfolios to liquidate their assets at inopportune times or at a loss or depressed value, which could cause the value of your investment to decline. Redemption risk is heightened during periods of overall market turmoil.

International, Tax-Managed International, Short Duration Plus and Intermediate Duration Portfolios:

Foreign (Non-US) Securities Risk: Investments in foreign securities entail significant risks in addition to those customarily associated with investing in US securities. These risks include risks related to adverse market, economic, political and regulatory factors and social instability, all of which could disrupt the financial markets in which the Portfolios invest and adversely affect the value of the Portfolios’ assets.

 

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Disclosures and Risks (continued)

 

International, Tax-Managed International, Emerging Markets, Short Duration Plus and Intermediate Duration Portfolios:

Foreign Currency Risk: This is the risk that changes in foreign (non-US) currency exchange rates may negatively affect the value of the Portfolios’ investments or reduce the returns of the Portfolios. For example, the value of the Portfolios’ investments in foreign securities and foreign currency positions may decrease if the US dollar is strong (i.e., gaining value relative to other currencies) and other currencies are weak (i.e., losing value relative to the US dollar).

Actions by a Few Major Investors Risk: In certain countries, volatility may be heightened by actions of a few major investors. For example, substantial increases or decreases in cash flows of mutual funds investing in these markets could significantly affect local stock prices and, therefore, share prices of the Portfolios.

Emerging-Markets Securities Risk: The risks of investing in foreign (non-US) securities are heightened with respect to issuers in emerging-market countries because the markets are less developed and less liquid and there may be a greater amount of economic, political and social uncertainty, and these risks are even more pronounced in “frontier” markets, which are investable markets with lower total market capitalization and liquidity than the more developed emerging markets. In addition, the value of the Portfolios’ investments may decline because of factors such as unfavorable or unsuccessful government actions and reduction of government or central bank support.

International, Tax-Managed International and Emerging Markets Portfolios:

Capitalization Risk: Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.

Allocation Risk: The allocation of investments among investment disciplines may have a significant effect on the Portfolios’ performance when the investment disciplines in which the Portfolios have greater exposure perform worse than the investment disciplines with less exposure.

Country Concentration Risk: The Portfolios may not always be diversified among countries or regions and the effect on the share price of the Portfolios of specific risks such as political, regulatory and currency may be magnified due to concentration of the Portfolios’ investments in a particular country or region.

Short Duration Diversified Municipal, New York Municipal, California Municipal, Diversified Municipal, Short Duration Plus and Intermediate Duration Portfolios:

Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Portfolios’ assets can decline as can the value of the Portfolios’ distributions. This risk is significantly greater for fixed-income securities with longer maturities.

Interest Rate Risk: This is the risk that changes in interest rates will affect the value of the Portfolios’ investments in fixed-income debt securities such as bonds and notes. The Portfolios may be subject to a greater risk of rising interest rates due to the current period of historically low rates and the effect of potential government policy initiatives and market reaction to those initiatives. Increases in interest rates may cause the value of the Portfolios’ investments to decline and this decrease in value may not be offset by higher income from new investments. A Portfolio will experience increased interest rate risk to the extent it invests in fixed-income securities with longer maturities or durations. A general rise in interest rates may cause investors to move out of fixed-income securities on a large scale, which could adversely affect the price and liquidity of fixed-income securities and could also result in increased redemptions from a Portfolio that invests largely in fixed-income securities.

Credit Risk: This is the risk that the issuer or the guarantor of a debt security, or the counterparty to a derivatives or other contract, will be unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. The issuer or guarantor may default, potentially causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. The credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security. Investments in fixed-income securities with lower ratings tend to have a higher probability that an issuer will default or fail to meet its payment obligations. At times when credit risk is perceived to be greater, credit “spreads” (i.e., the difference between the yields on lower quality securities and the yields on higher quality

 

(Disclosures and Risks continued on next page)

 

8   Sanford C. Bernstein Fund, Inc.

Table of Contents

Disclosures and Risks (continued)

 

securities) may get larger or “widen”. As a result, the values of the lower quality securities may go down more and they may become harder to sell and less liquid.

Duration Risk: The duration of a fixed-income security may be shorter than or equal to full maturity of the fixed-income security. Fixed-income securities with longer durations have more interest rate risk and will decrease in price as interest rates rise. For example, a fixed-income security with a duration of three years would be expected to decrease in value by approximately 3% if interest rates increase by 1%. Securities that have final maturities longer than their durations may be affected by increased credit spreads to a far greater degree than their durations would suggest, because they are exposed to credit risk until final maturity.

Lower-rated Securities Risk: Lower-rated securities, or junk bonds/high-yield securities, are subject to greater risk of loss of principal and interest and greater market risk than higher-rated securities. The capacity of issuers of lower-rated securities to pay interest and repay principal is more likely to weaken than is that of issuers of higher-rated securities in times of deteriorating economic conditions or rising interest rates.

Prepayment and Extension Risk: Prepayment risk is the risk that a loan, bond or other security might be called or otherwise converted, prepaid or redeemed before maturity. If this happens, particularly during a time of declining interest rates or credit spreads, the Portfolios will not benefit from the rise in market price that normally accompanies a decline in interest rates, and may not be able to invest the proceeds in securities providing as much income, resulting in a lower yield to the Portfolios. Conversely, extension risk is the risk that as interest rates rise or spreads widen, payments of securities may occur more slowly than anticipated by the market. If this happens, the values of these securities may go down because their interest rates are lower than current market rates and they remain outstanding longer than anticipated.

Short Duration Diversified Municipal and Short Duration Plus Portfolios:

Riskier than a Money-Market Fund: Although the Portfolios maintain a short overall duration, they invest in securities with longer maturities and in some cases lower quality than the assets of the type of mutual fund known as a money-market fund. The risk of a decline in the market value of the Portfolios is greater than for a money-market fund since the credit quality of the Portfolios’ securities may be lower and the effective duration of the Portfolios will be longer.

Short Duration Diversified Municipal, New York Municipal, California Municipal and Diversified Municipal Portfolios:

Municipal Market Risk: This is the risk that special factors may adversely affect the value of municipal securities and have a significant effect on the yield or value of the Portfolios’ investments in municipal securities. These factors include economic conditions, political or legislative changes, uncertainties related to the tax status of municipal securities, or the rights of investors in these securities. The value of municipal securities may also be adversely affected by rising health care costs, increasing unfunded pension liabilities, and by the phasing out of federal programs providing financial support. In recent periods an increasing number of municipal issuers have defaulted on obligations, been downgraded or commenced insolvency proceedings. Financial difficulties of municipal issuers may continue or get worse. To the extent the Portfolios invest in a particular state’s municipal securities, they may be vulnerable to events adversely affecting that state, including economic, political and regulatory occurrences, court decisions, terrorism and catastrophic natural disasters, such as hurricanes and earthquakes. The Portfolios’ investments in certain municipal securities with principal and interest payments that are made from the revenues of a specific project or facility, and not general tax revenues, are subject to the risk that factors affecting the project or facility, such as local business or economic conditions, could have a significant effect on the project’s ability to make payments of principal and interest on these securities.

In addition, recent tax law changes could have a material impact on the value of municipal securities. Changes in tax rates or the treatment of income from certain types of municipal securities, among other things, could negatively affect the municipal securities markets.

The Portfolios may invest in municipal securities of issuers in Puerto Rico or other US territories and their governmental agencies and municipalities, which are exempt from federal, state, and, where applicable, local income taxes. These municipal securities may have more risks than those of other US issuers of municipal securities. Like many US states and municipalities, Puerto Rico experienced a significant downturn during the recent recession. Puerto Rico’s downturn was particularly severe, and Puerto Rico continues to face a very challenging economic and fiscal environment. If the general economic situation in Puerto Rico continues to persist or worsens, the volatility and credit quality of Puerto Rican

 

(Disclosures and Risks continued on next page)

 

2018 Semi-Annual Report     9  

Table of Contents

Disclosures and Risks (continued)

 

municipal securities could continue to be adversely affected, and the market for such securities may deteriorate further.

Tax Risk: There is no guarantee that the income on the Portfolios’ municipal securities will be exempt from regular federal income, and if applicable, state income taxes. Unfavorable legislation, adverse interpretations by federal or state authorities, litigation or noncompliant conduct by the issuer of a municipal security could affect the tax-exempt status of municipal securities. If the Internal Revenue Service or a state authority determines that an issuer of a municipal security has not complied with applicable requirements, interest from the security could become subject to regular federal income tax and/or state personal income tax, possibly retroactively to the date the security was issued, the value of the security could decline significantly, and a portion of the distributions to Portfolio shareholders could be recharacterized as taxable. The US Congress has considered changes to US federal tax law that would, if enacted, have a negative impact on certain types of municipal securities, such as private activity bonds, or would otherwise make investments in municipal bonds less attractive.

New York Municipal and California Municipal Portfolios:

Non-Diversification Risk: Concentration of investments in a small number of securities tends to increase risk. The Portfolios may have more risk because they are “non-diversified”, meaning that they can invest more of their assets in a relatively small number of issuers with greater concentration of risk. Matters affecting these issuers can have a more significant effect on the Portfolios’ net asset value (“NAV”).

Short Duration Plus and Intermediate Duration Portfolios:

Inflation-Protected Securities Risk: The terms of inflation-protected securities provide for the coupon and/or maturity value to be adjusted based on changes in an inflation index. Decreases in the inflation rate or in investors’ expectations about inflation could cause these securities to underperform non-inflation-adjusted securities on a total-return basis. In addition, these securities may have limited liquidity in the secondary market.

Mortgage-Related Securities Risk: Mortgage-related securities represent interests in “pools” of mortgages, including consumer loans or receivables held in trust. Mortgage-related securities are subject to credit, interest rate, prepayment and extension risks. These securities also are subject to risk of default on the underlying mortgage, particularly during periods of economic downturn. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-related securities.

Subordination Risk: The Portfolios may invest in securities that are subordinated to more senior securities of an issuer, or which represent interests in pools of such subordinated securities. Subordinated securities will be disproportionately affected by a default or even a perceived decline in creditworthiness of the issuer. Subordinated securities are more likely to suffer a credit loss than non-subordinated securities of the same issuer, any loss incurred by the subordinated securities is likely to be proportionately greater, and any recovery of interest or principal may take more time.

Intermediate Duration Portfolio:

Portfolio Turnover Risk: The Portfolio’s investment strategies may result in high portfolio turnover. The Portfolio generally buys portfolio securities with the intention of holding them for investment. However, when market conditions or other circumstances warrant, securities may be purchased and sold without regard to the length of time held. From time to time, the Portfolio may engage in active short-term trading to seek short-term profits during periods of fluctuating interest rates or for other reasons. This trading may increase the Portfolio’s rate of turnover and the incidence of short-term capital gain taxable as ordinary income. A higher rate of portfolio turnover may increase transaction costs, which must be borne by the Portfolio and its shareholders.

Emerging Markets Portfolio:

Sector Risk: The Portfolio may have more risk because of concentrated investments in a particular market sector, such as the technology or financial services sector. Market or economic factors affecting that sector could have a major effect on the value of the Portfolio’s investments.

These risks are discussed in further detail in the Portfolios’ prospectus.

An Important Note About Historical Performance

Except as noted, returns do not reflect the deduction of taxes that a shareholder would pay on portfolio distributions or the redemption of portfolio shares. Certain Emerging Markets Portfolio performance data presented

 

(Disclosures and Risks continued on next page)

 

10   Sanford C. Bernstein Fund, Inc.

Table of Contents

Disclosures and Risks (continued)

 

herein does not reflect the deduction of historical purchase and redemption fees, which, if reflected, would reduce the level of performance quoted. All fees and expenses related to the operation of the Portfolios have been deducted, except as noted for Emerging Markets Portfolio. International Portfolio, Tax-Managed International Portfolio and Emerging Markets Portfolio returns throughout this report include dividends net of withholding taxes.

The performance shown in this report represents past performance and does not guarantee future results. Performance information is as of the dates shown. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by calling 212.756.4097. The investment return and principal value of an investment in the Portfolios will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost.

Investors should consider the investment objectives, risks, charges and expenses of the Portfolios carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit www.Bernstein.com, click on “Investments”, then “Mutual Fund Information—Prospectuses, SAIs and Shareholder Reports”, or call Bernstein’s mutual fund shareholder help line at 212.756.4097 or contact your Bernstein Advisor. Please read the prospectus and/or summary prospectus carefully before investing.

 

2018 Semi-Annual Report     11  

Table of Contents

Historical Performance (Unaudited)

 

Sanford C. Bernstein Fund Portfolios vs. Their Benchmarks and Lipper Averages

 

     TOTAL RETURNS     AVERAGE ANNUAL TOTAL  RETURNS      
THROUGH MARCH 31, 2018    PAST SIX
MONTHS		     PAST 12
MONTHS		     PAST FIVE
YEARS		     PAST 10
YEARS		     SINCE
INCEPTION		     INCEPTION DATE

International

      3.41 %      17.19 %      6.80 %      0.10 %      3.68 %    4/30/1999

Tax-Managed International

      3.42       17.09       6.83       0.16       5.88     6/22/1992

Return after taxes on Distributions1

      3.25       16.90       6.54       -0.02       5.03      

Return after taxes on Distributions and sale of shares1

      2.35       10.15       5.45       0.30       4.92      

MSCI EAFE Index (net)

      2.63       14.80       6.50       2.74              

Lipper International Multi-Cap Growth Funds Average

      4.44       19.44       6.96       3.17              
                                              

Emerging Markets2

      8.30       22.73       5.82       2.01       7.43     12/15/1995

MSCI EM Index (net)

      8.96       24.93       4.99       3.02              

Lipper Emerging Markets Funds Average

      8.34       23.20       4.65       2.95              
                                              

Short Duration Diversified Municipal

      -0.29       0.25       0.28       1.04       2.42     10/3/1994

Bloomberg Barclays 1-Year Municipal Bond Index

      0.00       0.61       0.66       1.34              

Lipper Short Municipal Debt Funds Average

      -0.23       0.66       0.49       1.33              
                                              

New York Municipal

      -1.03       0.88       1.28       2.72       4.41     1/9/1989

Bloomberg Barclays 5-Year GO Municipal Bond Index

      -1.39       0.40       1.38       3.10              

Lipper New York Intermediate Municipal Debt Funds Average

      -0.82       1.40       1.65       3.13              
                                              

California Municipal

      -0.88       1.02       1.22       2.71       4.17     8/6/1990

Bloomberg Barclays 5-Year GO Municipal Bond Index

      -1.39       0.40       1.38       3.10              

Lipper California Intermediate Municipal Debt Funds Average

      -0.62       1.95       1.96       3.55              
                                              

Diversified Municipal

      -1.09       0.82       1.26       2.72       4.39     1/9/1989

Bloomberg Barclays 5-Year GO Municipal Bond Index

      -1.39       0.40       1.38       3.10              

Lipper Intermediate Municipal Debt Funds Average

      -0.71       1.88       1.76       3.36              
                                              

Short Duration Plus3

      -0.36       0.17       0.42       1.14       3.90     12/12/1988

ICE BofA ML 1-3 Year US Treasury Index

      -0.38       0.03       0.52       1.13              

Lipper Short-Term Investment Grade Debt Funds Average

      -0.20       0.85       0.93       2.00              
                                              

Intermediate Duration

      -0.86       1.54       2.21       4.30       5.93     1/17/1989

Bloomberg Barclays US Aggregate Bond Index

      -1.08       1.20       1.82       3.63              

Lipper Core Bond Funds Average

      -1.11       1.15       1.63       3.59      

 

     Past performance is no guarantee of future results and an investment in the portfolios described could lose value. The current prospectus fee table shows the total operating expense ratios for the Bernstein classes as 1.06% for International Portfolio; 1.01% for Tax-Managed International Portfolio; 1.29% for Emerging Markets Portfolio; 0.50% for Short Duration Diversified Municipal Portfolio; 0.53% for New York Municipal Portfolio; 0.55% for California Municipal Portfolio; 0.47% for Diversified Municipal Portfolio; 0.56% for Short Duration Plus Portfolio and 0.57% for Intermediate Duration Portfolio. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.

 

     There are no sales charges associated with an investment in the Bernstein classes of the Portfolios. Total returns and average annual returns are therefore the same.

 

1   After-tax returns are an estimate, which is based on the highest historical individual federal marginal income tax rates, and do not reflect the impact of state and local taxes; actual after-tax returns depend on an individual investor’s tax situation and are likely to differ from those shown, and are not relevant to investors who hold Portfolio shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts.

 

2   Prior to May 2, 2005, the Portfolio imposed a 2% fee on purchases and redemptions. Effective May 2, 2005, the fees were reduced from 2% to 1%. This fee was eliminated effective February 2, 2015.

 

3   Includes the impact of proceeds received and credited to the Portfolio resulting from class action settlements, which enhanced performance for Short Duration Plus Portfolio for the six- and 12-month periods ended March 31, 2018, by 0.00% and 0.11%, respectively.

 

     Please keep in mind that high, double-digit returns are highly unusual and cannot be sustained. Investors should also be aware that these returns were primarily achieved during favorable market conditions.

See Disclosures, Risks and Note about Historical Performance on pages 6–11.

(Historical Performance continued on next page)

 

12   Sanford C. Bernstein Fund, Inc.

Table of Contents

Historical Performance (continued from previous page)

 

Foreign Stock Portfolios       Municipal Bond Portfolios
International       Short Duration Diversified Municipal

Growth of a $25,000 Investment in the Portfolio

    

Growth of a $25,000 Investment in the Portfolio

LOGO

   

LOGO

   
Tax-Managed International       New York Municipal

Growth of a $25,000 Investment in the Portfolio

    

Growth of a $25,000 Investment in the Portfolio

LOGO

   

LOGO

   
Emerging Markets       California Municipal

Growth of a $25,000 Investment in the Portfolio

    

Growth of a $25,000 Investment in the Portfolio

LOGO

   

LOGO

 

 

     Past performance is no guarantee of future results and an investment in the portfolios described could lose value. Except as noted, returns do not reflect the deduction of taxes that a shareholder would pay on portfolio distributions or the redemption of portfolio shares. All fees and expenses related to the operation of the Portfolios have been deducted. International Portfolio, Tax-Managed International Portfolio and Emerging Markets Portfolio returns throughout this report include dividends net of withholding taxes.

 

     Each chart illustrates the total value of an assumed $25,000 investment as compared to the performance of each Portfolio’s respective benchmark and Lipper Average for the 10-year period ended March 31, 2018.

See Disclosures, Risks and Note about Historical Performance on pages 6–11.

(Historical Performance continued on next page)

 

2018 Semi-Annual Report     13  

Table of Contents

Historical Performance (continued from previous page)

 

Municipal Bond Portfolios       Taxable Bond Portfolios
Diversified Municipal       Short Duration Plus

Growth of a $25,000 Investment in the Portfolio

    

Growth of a $25,000 Investment in the Portfolio

LOGO

   

LOGO

   
        Intermediate Duration
   

Growth of a $25,000 Investment in the Portfolio

   

LOGO

 

     Past performance is no guarantee of future results and an investment in the portfolios described could lose value. Except as noted, returns do not reflect the deduction of taxes that a shareholder would pay on portfolio distributions or the redemption of portfolio shares. All fees and expenses related to the operation of the Portfolios have been deducted. Portfolio returns throughout this report include dividends net of withholding taxes.

 

     Each chart illustrates the total value of an assumed $25,000 investment as compared to the performance of each Portfolio’s respective benchmark and Lipper Average for the 10-year period ended March 31, 2018.

See Disclosures, Risks and Note about Historical Performance on pages 6–11.

 

14   Sanford C. Bernstein Fund, Inc.

Table of Contents

Expense Example—March 31, 2018 (Unaudited)

 

As a shareholder of a Portfolio, you incur various ongoing costs, including management fees and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.

Actual Expenses—The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes—The second line of the table below provides information about hypothetical account values and hypothetical expenses based on a Portfolio’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

INTERNATIONAL PORTFOLIO    BEGINNING
ACCOUNT VALUE
OCTOBER 1, 2017		      ENDING
ACCOUNT VALUE
MARCH 31, 2018		      EXPENSES
PAID DURING
PERIOD*		      ANNUALIZED
EXPENSE
RATIO*		  

International Class Shares

            

Actual

    $ 1,000      $ 1,034.10      $ 5.58        1.10 % 

Hypothetical**

    $ 1,000      $ 1,019.45      $ 5.54        1.10 % 

Tax-Managed International Class Shares

            

Actual

    $ 1,000      $ 1,034.20      $ 5.33        1.05 % 

Hypothetical**

    $ 1,000      $ 1,019.70      $ 5.29        1.05 % 

Emerging Markets Class Shares

            

Actual

    $ 1,000      $ 1,083.00      $ 7.01        1.35 % 

Hypothetical**

    $ 1,000      $ 1,018.20      $ 6.79        1.35 % 

Short Duration Diversified Municipal Class Shares

            

Actual

    $ 1,000      $ 997.10      $ 2.64        0.53 % 

Hypothetical**

    $ 1,000      $ 1,022.29      $ 2.67        0.53 % 

New York Municipal Class Shares

            

Actual

    $ 1,000      $ 989.70      $ 2.63        0.53 % 

Hypothetical**

    $ 1,000      $ 1,022.29      $ 2.67        0.53 % 

California Municipal Class Shares

            

Actual

    $ 1,000      $ 991.20      $ 2.73        0.55 % 

Hypothetical**

    $ 1,000      $ 1,022.19      $ 2.77        0.55 % 

Diversified Municipal Class Shares

            

Actual

    $ 1,000      $ 989.10      $ 2.28        0.46 % 

Hypothetical**

    $ 1,000      $ 1,022.64      $ 2.32        0.46 % 

Short Duration Plus Class Shares

            

Actual

    $ 1,000      $ 996.40      $ 3.09        0.62 % 

Hypothetical**

    $ 1,000      $ 1,021.84      $ 3.13        0.62 % 

Intermediate Duration Class Shares

            

Actual

    $ 1,000      $ 991.40      $ 2.88        0.58 % 

Hypothetical**

    $ 1,000      $ 1,022.04      $ 2.92        0.58 % 

 

*   Expenses are equal to the classes’ annualized expense ratios multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

 

**   Assumes 5% annual return before expenses.

 

2018 Semi-Annual Report     15  

Table of Contents

Portfolio Summary—March 31, 2018 (Unaudited)

 

International Portfolio  
Country Breakdown1      Sector Breakdown1  

 

LOGO

    

Financials

      21.0 % 
    

Consumer Discretionary

      14.9 % 
    

Information Technology

      14.6 % 
    

Consumer Staples

      12.0 % 
    

Industrials

      11.1 % 
    

Health Care

      6.7 % 
    

Telecommunication Services

      6.3 % 
    

Materials

      6.3 % 
    

Energy

      5.1 % 
    

Utilities

      1.6 % 
    

Real Estate

      0.4 % 
       
       
       
Tax-Managed International Portfolio  
Country Breakdown1      Sector Breakdown1  

 

LOGO

    

Financials

      21.0 % 
    

Consumer Discretionary

      14.9 % 
    

Information Technology

      14.6 % 
    

Consumer Staples

      11.9 % 
    

Industrials

      11.2 % 
    

Health Care

      6.7 % 
    

Telecommunication Services

      6.4 % 
    

Materials

      6.3 % 
    

Energy

      5.0 % 
    

Utilities

      1.6 % 
    

Real Estate

      0.4 % 
       
       
       
Emerging Markets Portfolio  
Country Breakdown1      Sector Breakdown1  

 

LOGO

    

Financials

      30.6 % 
    

Information Technology

      25.4 % 
    

Consumer Discretionary

      10.9 % 
    

Energy

      7.1 % 
    

Materials

      6.8 % 
    

Industrials

      5.3 % 
    

Consumer Staples

      4.2 % 
    

Health Care

      3.8 % 
    

Telecommunication Services

      2.7 % 
    

Real Estate

      2.1 % 
    

Utilities

      1.1 % 
       
       

 

1   All data are as of March 31, 2018. The Portfolio’s country and sector breakdowns are expressed as a percentage of each Portfolio’s long-term investments and may vary over time. Each Portfolio may also invest in other financial instruments, including derivative instruments, which provide investment exposure to a variety of asset classes (see “Schedule of Investments” section of the report for the International, Tax-Managed International and Emerging Markets Portfolios).

 

2   “Other” represents 3.3% in MSCI EM Index countries, 9.3% in MSCI EAFE Index countries and 2.1% in other emerging-market countries.

 

3   “Other” represents 5.0% in MSCI EM Index countries, 9.6% in MSCI EAFE Index countries and 0.4% in other emerging-market countries.

 

4   “Other” represents 1.5% in MSCI EM Index countries, 0.6% in MSCI EAFE Index countries and 0.8% in other emerging-market countries.

 

     Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Schedule of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.

 

16   Sanford C. Bernstein Fund, Inc.

Table of Contents

Portfolio Summary—March 31, 2018 (Unaudited) (continued)

 

 

Short Duration Diversified Municipal Portfolio
Quality Rating Breakdown1
Highest of S&P, Moody’s and Fitch		     State Breakdown1
LOGO    

 

LOGO

   
New York Municipal Portfolio
Quality Rating Breakdown1
Highest of S&P, Moody’s and Fitch		     State Breakdown1

 

LOGO

    LOGO

 

1   All data are as of March 31, 2018. The Portfolio’s quality rating and state breakdowns are expressed as a percentage of the Portfolio’s total investments in municipal securities and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Schedule of Investments” section of the report for additional details). The quality ratings are determined by using the S&P Global Ratings (“S&P”), Moody’s Investors Services, Inc. (“Moody’s”) and Fitch Ratings, Ltd. (“Fitch”). The Portfolio considers the credit ratings issued by S&P, Moody’s, and Fitch and uses the highest rating issued by the agencies, including when there is a split rating. These ratings are a measure of the quality and safety of a bond or portfolio, based on the issuer’s financial condition. AAA is the highest (best) and D is the lowest (worst). If applicable, the pre-refunded category includes bonds which are secured by U.S. Government Securities and therefore are deemed high-quality investment grade by the Adviser. If applicable, Not Applicable (N/A) includes non credit worthy investments; such as, equities, currency contracts, futures and options. If applicable, the Not Rated category includes bonds that are not rated by a nationally recognized statistical rating organization. The Adviser evaluates the creditworthiness of non-rated securities based on a number of factors including, but not limited to, cash flows, enterprise value and economic environment.
2   “Other” represents less than 2.7% in 15 different states and District of Columbia.
3   “Other” represents less than 0.3% in 5 different states and District of Columbia.

 

2018 Semi-Annual Report     17  

Table of Contents

Portfolio Summary—March 31, 2018 (Unaudited) (continued)

 

California Municipal Portfolio
Quality Rating Breakdown1
Highest of S&P, Moody’s and Fitch		     State Breakdown1

 

LOGO

    LOGO
   
Diversified Municipal Portfolio
Quality Rating Breakdown1
Highest of S&P, Moody’s and Fitch		     State Breakdown1
LOGO    

 

LOGO

 

1   All data are as of March 31, 2018. The Portfolio’s quality rating and state breakdowns are expressed as a percentage of the Portfolio’s total investments in municipal securities and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Schedule of Investments” section of the report for additional details). The quality ratings are determined by using the S&P Global Ratings (“S&P”), Moody’s Investors Services, Inc. (“Moody’s”) and Fitch Ratings, Ltd. (“Fitch”). The Portfolio considers the credit ratings issued by S&P, Moody’s, and Fitch and uses the highest rating issued by the agencies, including when there is a split rating. These ratings are a measure of the quality and safety of a bond or portfolio, based on the issuer’s financial condition. AAA is the highest (best) and D is the lowest (worst). If applicable, the pre-refunded category includes bonds which are secured by U.S. Government Securities and therefore are deemed high-quality investment grade by the Adviser. If applicable, Not Applicable (N/A) includes non credit worthy investments; such as, equities, currency contracts, futures and options. If applicable, the Not Rated category includes bonds that are not rated by a nationally recognized statistical rating organization. The Adviser evaluates the creditworthiness of non-rated securities based on a number of factors including, but not limited to, cash flows, enterprise value and economic environment.

 

2   “Other” represents less than 2.2% in 28 different states, District of Columbia and Puerto Rico.

 

18   Sanford C. Bernstein Fund, Inc.

Table of Contents

Portfolio Summary—March 31, 2018 (Unaudited) (continued)

 

 

Short Duration Plus Portfolio        
Security Type Breakdown1    
LOGO    
   
Intermediate Duration Portfolio        
Security Type Breakdown1    
LOGO    

 

1   All data are as of March 31, 2018. The Portfolio’s security type breakdown is expressed as a percentage of total investments and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Schedule of Investments” section of the report for additional details).

 

2   “Other” represents less than 0.1% in Emerging Markets—Sovereigns and Quasi-Sovereigns.

 

2018 Semi-Annual Report     19  

Table of Contents

Statement of Assets and Liabilities—March 31, 2018 (Unaudited)

 

      INTERNATIONAL
PORTFOLIO		      TAX-MANAGED
INTERNATIONAL
PORTFOLIO		      EMERGING
MARKETS
PORTFOLIO		  
ASSETS         

Investments in securities, at value

    $ 1,603,537,887      $ 3,729,708,803      $ 1,566,148,880  

Foreign currencies, at value (a)

      4,037,115        10,999,538        5,193,757  

Cash

      0        390,413        0  

Cash collateral due from broker

      2,255,050        4,522,100        610,000  

Receivables:

         

Dividends and interest

      4,730,582        11,281,403        3,315,605  

Foreign withholding tax reclaims

      1,840,678        4,589,370        59,923  

Investment securities sold and foreign currency transactions

      11,369,256        25,958,183        13,040,898  

Capital shares sold

      425,812        1,115,128        621,939  

Variation margin on futures

      114,839        479,052        0  

Unrealized appreciation of forward currency exchange contracts

      2,500,952        26,326,295        3,348,327  
  

 

 

     

 

 

     

 

 

  

Total assets

      1,630,812,171        3,815,370,285        1,592,339,329  
  

 

 

     

 

 

     

 

 

  
LIABILITIES         

Cash collateral due to broker

      795,000        2,984,000        0  

Payables:

         

Investment securities purchased and foreign currency transactions

      8,519,032        20,493,316        9,703,157  

Foreign capital gains taxes

      1,183,661        2,597,501        2,858,596  

Capital shares redeemed

      1,345,335        2,759,968        1,038,315  

Management fee

      1,070,953        2,384,999        1,328,690  

Shareholder servicing fee

      278,332        730,405        305,170  

Transfer Agent fee

      22,769        34,868        43,254  

Distribution fee

      6,026        702        0  

Accrued expenses and other liabilities

      62,092        78,533        106,553  

Unrealized depreciation of forward currency exchange contracts

      4,934,690        17,711,602        981,789  
  

 

 

     

 

 

     

 

 

  

Total liabilities

      18,217,890        49,775,894        16,365,524  
  

 

 

     

 

 

     

 

 

  

NET ASSETS

    $ 1,612,594,281      $ 3,765,594,391      $ 1,575,973,805  
  

 

 

     

 

 

     

 

 

  

Cost of investments

    $ 1,381,152,417      $ 3,272,192,378      $ 1,266,450,619  
  

 

 

     

 

 

     

 

 

  
NET ASSETS CONSIST OF:         

Capital stock, at par

    $ 87,369      $ 203,698      $ 46,852  

Additional paid-in capital

      2,236,407,253        4,881,025,521        1,213,041,274  

Undistributed net investment income/(distributions in excess of net investment income)

      3,796,711        9,517,693        (2,634,232 ) 

Accumulated net realized gain (loss) on investment and foreign currency transactions

      (846,486,461 )       (1,588,615,112 )       64,973,213  

Net unrealized appreciation/depreciation of:

         

Investments and futures transactions (b)

      221,109,288        454,578,383        298,114,737  

Foreign currency denominated assets and liabilities

      (2,319,879 )       8,884,208        2,431,961  
  

 

 

     

 

 

     

 

 

  
   $ 1,612,594,281      $ 3,765,594,391      $ 1,575,973,805  
  

 

 

     

 

 

     

 

 

  

 

 

(a) Cost: $4,057,713, $11,037,341 and $5,172,046, respectively. (Note 1)

(b) Net of accrued foreign capital gains taxes of $1,183,661, $2,597,501 and $1,583,524.

See Notes to Financial Statements. The Schedules of Investments, an integral part of the financial statements for each Portfolio, are included as inserts to this Report.

 

20   Sanford C. Bernstein Fund, Inc.

Table of Contents
      INTERNATIONAL
PORTFOLIO		      TAX-MANAGED
INTERNATIONAL
PORTFOLIO		      EMERGING
MARKETS
PORTFOLIO		  
CALCULATION OF MAXIMUM OFFERING PRICE         

International Class/Tax-Managed International Class/Emerging Markets Class Shares

         

Net Assets

    $ 1,250,098,318      $ 3,298,822,224      $ 1,374,661,723  

Shares of capital stock outstanding

      67,494,715        178,128,383        40,868,322  
  

 

 

     

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 18.52      $ 18.52      $ 33.64  
  

 

 

     

 

 

     

 

 

  

Class A Shares

         

Net Assets

    $ 24,254,007      $ 2,553,974     

Shares of capital stock outstanding

      1,331,265        139,894     
  

 

 

     

 

 

     

Net asset value and redemption price per share

    $ 18.22      $ 18.26     

Sales charge—4.25% of public offering price

      0.81        0.81     
  

 

 

     

 

 

     

Maximum offering price

    $ 19.03      $ 19.07     
  

 

 

     

 

 

     

Class B Shares

         

Net Assets

    $ 4,132      $ 5,063     

Shares of capital stock outstanding

      221.24        273.29     
  

 

 

     

 

 

     

Net asset value and offering price per share

    $ 18.68      $ 18.53     
  

 

 

     

 

 

     

Class C Shares

         

Net Assets

    $ 828,894      $ 185,696     

Shares of capital stock outstanding

      45,100        10,078     
  

 

 

     

 

 

     

Net asset value and offering price per share

    $ 18.38      $ 18.43     
  

 

 

     

 

 

     

Class Z Shares

         

Net Assets

    $ 337,408,930      $ 464,027,434      $ 201,312,082  

Shares of capital stock outstanding

      18,497,667        25,419,320        5,983,926  
  

 

 

     

 

 

     

 

 

  

Net asset value and offering price per share

    $ 18.24      $ 18.25      $ 33.64  
  

 

 

     

 

 

     

 

 

  

 

See Notes to Financial Statements.

 

2018 Semi-Annual Report     21  

Table of Contents

Statement of Assets and Liabilities—March 31, 2018 (Unaudited) (continued)

 

      SHORT  DURATION
DIVERSIFIED
MUNICIPAL
PORTFOLIO		      NEW YORK
MUNICIPAL
PORTFOLIO		      CALIFORNIA
MUNICIPAL
PORTFOLIO		  
ASSETS         

Investments in securities, at value

    $ 205,226,448      $ 1,844,356,566      $ 1,318,478,121  

Cash

      0        3,973        0  

Cash collateral due from broker

      0        270,000        0  

Due from custodian

      0        0        1,465  

Receivables:

         

Interest

      2,746,480        21,484,253        18,390,260  

Investment securities sold

      1,770,571        195,000        9,302,282  

Capital shares sold

      3,316,550        530,122        1,320,682  

Unrealized appreciation of credit default swaps

      0        134,205        94,292  
  

 

 

     

 

 

     

 

 

  

Total assets

      213,060,049        1,866,974,119        1,347,587,102  
  

 

 

     

 

 

     

 

 

  
LIABILITIES         

Due to custodian

      2,075,857        0        5,118,678  

Payables:

         

Dividends to shareholders

      57,363        1,346,946        964,822  

Investment securities purchased

      180,403        28,976,212        32,374,968  

Capital shares redeemed

      217,727        1,720,833        2,541,276  

Management fee

      55,978        646,994        473,749  

Shareholder servicing fee

      18,661        143,078        104,260  

Distribution fee

      0        62,589        31,113  

Transfer Agent fee

      3,093        11,291        6,500  

Accrued expenses

      1,395        65,419        45,430  

Unrealized depreciation of credit default swaps

      0        9,391        6,597  

Upfront premiums received on credit default swaps

      0        646,593        454,336  
  

 

 

     

 

 

     

 

 

  

Total liabilities

      2,610,477        33,629,346        42,121,729  
  

 

 

     

 

 

     

 

 

  

NET ASSETS

    $ 210,449,572      $ 1,833,344,773      $ 1,305,465,373  
  

 

 

     

 

 

     

 

 

  

Cost of investments

    $ 206,385,309      $ 1,823,783,888      $ 1,302,398,636  
  

 

 

     

 

 

     

 

 

  
NET ASSETS CONSIST OF:         

Capital stock, at par

    $ 16,816      $ 133,179      $ 92,986  

Additional paid-in capital

      212,546,478        1,833,083,941        1,310,160,175  

Undistributed net investment income/(distributions in excess of net investment income)

      18,349        (108,120 )       (251,394 ) 

Accumulated net realized loss on investment transactions

      (973,210 )       (20,461,719 )       (20,703,574 ) 

Net unrealized appreciation/depreciation of investments and swap transactions

      (1,158,861 )       20,697,492        16,167,180  
  

 

 

     

 

 

     

 

 

  
   $ 210,449,572      $ 1,833,344,773      $ 1,305,465,373  
  

 

 

     

 

 

     

 

 

  

 

 

See Notes to Financial Statements. The Schedules of Investments, an integral part of the financial statements for each Portfolio, are included as inserts to this Report.

 

22   Sanford C. Bernstein Fund, Inc.

Table of Contents
      SHORT  DURATION
DIVERSIFIED
MUNICIPAL
PORTFOLIO		      NEW YORK
MUNICIPAL
PORTFOLIO		      CALIFORNIA
MUNICIPAL
PORTFOLIO		  
CALCULATION OF MAXIMUM OFFERING PRICE  

Short Duration Diversified Municipal Class/Municipal Class Shares

 

Net Assets

    $ 210,449,572      $ 1,632,623,525      $ 1,186,984,598  

Shares of capital stock outstanding

      16,815,620        118,593,574        84,546,752  
  

 

 

     

 

 

     

 

 

  

Net asset value, and offering and redemption price per share

    $ 12.52      $ 13.77      $ 14.04  
  

 

 

     

 

 

     

 

 

  

Class A Shares

 

Net Assets

       $ 130,303,884      $ 86,496,684  

Shares of capital stock outstanding

         9,468,021        6,160,855  
     

 

 

     

 

 

  

Net asset value and redemption price per share

       $ 13.76      $ 14.04  

Sales charge—3.00% of public offering price

         0.43        0.43  
     

 

 

     

 

 

  

Maximum offering price

       $ 14.19      $ 14.47  
     

 

 

     

 

 

  

Class B Shares

 

Net Assets

       $ 3,040     

Shares of capital stock outstanding

         221     
     

 

 

     

Net asset value and offering price per share

       $ 13.76     
     

 

 

     

Class C Shares

 

Net Assets

       $ 37,806,543      $ 13,713,960  

Shares of capital stock outstanding

         2,746,780        976,977  
     

 

 

     

 

 

  

Net asset value and offering price per share

       $ 13.76      $ 14.04  
     

 

 

     

 

 

  

Advisor Class Shares

 

Net Assets

       $ 32,607,781      $ 18,270,131  

Shares of capital stock outstanding

         2,370,170        1,301,312  
     

 

 

     

 

 

  

Net asset value and offering price per share

       $ 13.76      $ 14.04  
     

 

 

     

 

 

  

 

See Notes to Financial Statements.

 

2018 Semi-Annual Report     23  

Table of Contents

Statement of Assets and Liabilities—March 31, 2018 (Unaudited) (continued)

 

      DIVERSIFIED
MUNICIPAL
PORTFOLIO		      SHORT DURATION
PLUS PORTFOLIO		      INTERMEDIATE
DURATION
PORTFOLIO		  
ASSETS  

Investments in securities, at value

    $ 7,157,884,188      $ 222,520,711      $ 3,632,733,246  

Foreign currencies, at value (a)

      0        0        1,277,813  

Cash

      0        7,075,770        22,631,172  

Cash collateral due from broker

      0        126,451        11,945,603  

Due from custodian

      0        0        2,492  

Receivables:

 

Interest

      83,020,736        630,770        14,595,704  

Investment securities sold

      425,000        4,413,654        198,983  

Capital shares sold

      7,347,371        41,895        2,213,724  

Variation margin on futures

      0        32,484        1,907,903  

Variation margin on centrally cleared swaps

      0        0        450,529  

Terminated centrally cleared interest rate swaps

      0        0        12,533  

Newly entered centrally cleared interest rate swaps

      0        0        22,385  

Unrealized appreciation of forward currency exchange contracts

      0        45,908        2,754,984  

Unrealized appreciation of credit default swaps

      410,609        12,308        189,833  

Unrealized appreciation on variance swaps

      0        0        698  

Upfront premiums paid on credit default swaps

      0        35,124        798,809  
  

 

 

     

 

 

     

 

 

  

Total assets

      7,249,087,904        234,935,075        3,691,736,411  
  

 

 

     

 

 

     

 

 

  
LIABILITIES  

Due to custodian

      29,007,308        0        0  

Payables:

 

Dividends to shareholders

      5,222,984        118,770        2,795,220  

Investment securities purchased

      29,985,037        10,154,381        294,421,732  

Capital shares redeemed

      10,421,347        619,217        3,851,953  

Management fee

      2,111,321        67,497        1,289,179  

Shareholder servicing fee

      487,987        17,687        294,898  

Distribution fee

      120,534        8,081        0  

Transfer Agent fee

      40,118        8,227        23,525  

Terminated centrally cleared interest rate swaps

      0        0        78,986  

Accrued expenses

      257,038        51,830        104,523  

Unrealized depreciation of credit default swaps

      36,657        309,762        4,674,823  

Unrealized depreciation of forward currency exchange contracts

      0        0        1,079,329  

Unrealized depreciation on variance swaps

      0        0        1,338  

Upfront premiums received on credit default swaps

      2,026,434        418,066        8,771,380  
  

 

 

     

 

 

     

 

 

  

Total liabilities

      79,716,765        11,773,518        317,386,886  
  

 

 

     

 

 

     

 

 

  

NET ASSETS

    $ 7,169,371,139      $ 223,161,557      $ 3,374,349,525  
  

 

 

     

 

 

     

 

 

  

Cost of investments

    $ 7,106,858,544      $ 222,907,817      $ 3,610,326,948  
  

 

 

     

 

 

     

 

 

  
NET ASSETS CONSIST OF:  

Capital stock, at par

    $ 507,967      $ 19,281      $ 260,088  

Additional paid-in capital

      7,166,232,199        240,415,210        3,398,449,315  

Undistributed net investment income/(distributions in excess of net investment income)

      (933,966 )       428,071        (2,087,762 ) 

Accumulated net realized loss on investment transactions

      (47,834,657 )       (17,040,254 )       (56,379,132 ) 

Net unrealized appreciation/depreciation of:

 

Investments, futures and swap transactions

      51,399,596        (706,659 )       32,406,108  

Foreign currency denominated assets and liabilities

      0        45,908        1,700,908  
  

 

 

     

 

 

     

 

 

  
   $ 7,169,371,139      $ 223,161,557      $ 3,374,349,525  
  

 

 

     

 

 

     

 

 

  

(a) Cost: $0, $0 and $1,477,257, respectively. (Note 1)

See Notes to Financial Statements. The Schedules of Investments, an integral part of the financial statements for each Portfolio, are included as inserts to this Report.

 

24   Sanford C. Bernstein Fund, Inc.

Table of Contents
      DIVERSIFIED
MUNICIPAL
PORTFOLIO		      SHORT DURATION
PLUS  PORTFOLIO		      INTERMEDIATE
DURATION
PORTFOLIO		  
CALCULATION OF MAXIMUM OFFERING PRICE         

Municipal Class/Short Duration Plus Class/Intermediate Duration Class Shares

         

Net Assets

    $ 5,544,463,782      $ 198,935,605      $ 3,374,349,525  

Shares of capital stock outstanding

      392,792,658        17,188,766        260,087,591  
  

 

 

     

 

 

     

 

 

  

Net asset value, and offering and redemption price per share

    $ 14.12      $ 11.57      $ 12.97  
  

 

 

     

 

 

     

 

 

  

Class A Shares

         

Net Assets

    $ 289,123,833      $ 20,322,291     

Shares of capital stock outstanding

      20,468,216        1,754,481     
  

 

 

     

 

 

     

Net asset value and redemption price per share

    $ 14.13      $ 11.58     

Sales charge—3.00% for Diversified Municipal Portfolio, 4.25% for Short Duration Plus Portfolio of public offering price

      0.44        0.51     
  

 

 

     

 

 

     

Maximum offering price

    $ 14.57      $ 12.09     
  

 

 

     

 

 

     

Class B Shares

         

Net Assets

    $ 28,597      $ 28,071     

Shares of capital stock outstanding

      2,025        2,428     
  

 

 

     

 

 

     

Net asset value and offering price per share

    $ 14.12      $ 11.56     
  

 

 

     

 

 

     

Class C Shares

         

Net Assets

    $ 63,942,794      $ 3,875,590     

Shares of capital stock outstanding

      4,528,478        335,335     
  

 

 

     

 

 

     

Net asset value and offering price per share

    $ 14.12      $ 11.56     
  

 

 

     

 

 

     

Advisor Class Shares

         

Net Assets

    $ 1,271,812,133        

Shares of capital stock outstanding

      90,175,676        
  

 

 

        

Net asset value and offering price per share

    $ 14.10        
  

 

 

        

 

See Notes to Financial Statements.

 

2018 Semi-Annual Report     25  

Table of Contents

Statement of Operations—for the six months ended March 31, 2018 (Unaudited)

 

      INTERNATIONAL
PORTFOLIO		     

TAX-MANAGED
INTERNATIONAL
PORTFOLIO

     EMERGING
MARKETS
PORTFOLIO		  
INVESTMENT INCOME         

Income:

         

Interest

    $ 27,348      $ 71,219      $ 0  

Dividends (a)

      13,074,867        30,176,944        9,754,638  

Other income

      1,592        3,648        1,543  
  

 

 

     

 

 

     

 

 

  

Total income

      13,103,807        30,251,811        9,756,181  
  

 

 

     

 

 

     

 

 

  

Expenses:

         

Management fee (see Note 2A)

      6,815,785        14,987,333        8,152,119  

Shareholder servicing fee (see Note 2B)

      1,631,928        4,186,718        1,721,619  

Custodian fee

      203,723        285,820        299,532  

Transfer Agent fee—Non-Retail Class

      61,408        93,597        142,382  

Transfer Agent fee—Class A

      9,168        1,980        0  

Transfer Agent fee—Class B

      11        10        0  

Transfer Agent fee—Class C

      349        170        0  

Transfer Agent fee—Advisor Class

      0        0        0  

Transfer Agent fee—Class Z

      32,661        43,394        19,173  

Distribution fees—Class A

      29,514        2,632        0  

Distribution fees—Class B

      31        27        0  

Distribution fees—Class C

      3,974        884        0  

Directors’ fees and expenses

      27,152        61,889        25,535  

Auditing and tax fees

      26,607        55,028        20,616  

Registration fees

      34,346        33,291        17,856  

Printing fees

      27,316        24,949        28,304  

Legal fees

      14,557        34,389        13,172  

Miscellaneous

      35,055        50,593        29,447  
  

 

 

     

 

 

     

 

 

  

Total expenses

      8,953,585        19,862,704        10,469,755  

Less: expenses waived and reimbursed by the Adviser (see Note 2A and 2B)

      (231,550 )       (472,491 )       (96,043 ) 
  

 

 

     

 

 

     

 

 

  

Net expenses

      8,722,035        19,390,213        10,373,712  
  

 

 

     

 

 

     

 

 

  

Net investment income (loss)

      4,381,772        10,861,598        (617,531 ) 
  

 

 

     

 

 

     

 

 

  
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS         

Net realized gain (loss) on:

         

Investment transactions (b)

      71,086,359        140,635,689        84,414,704  

Forward currency exchange contracts

      (3,324,838 )       (13,244,658 )       603,987  

Futures

      708,209        2,591,292        0  

Swaps

      0        0        0  

Foreign currency transactions

      195,127        (49,580 )       489,214  
  

 

 

     

 

 

     

 

 

  

Net realized gain (loss) on investment and foreign currency transactions

      68,664,857        129,932,743        85,507,905  
  

 

 

     

 

 

     

 

 

  

Net change in unrealized appreciation/depreciation of:

         

Investments (c)

      (13,196,569 )       (12,476,888 )       38,526,224  

Forward currency exchange contracts

      (3,233,123 )       (32,150 )       2,324,236  

Futures

      (123,665 )       (384,872 )       0  

Swaps

      0        0        0  

Foreign currency denominated assets and liabilities

      67,584        171,558        98,047  
  

 

 

     

 

 

     

 

 

  

Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities

      (16,485,773 )       (12,722,352 )       40,948,507  
  

 

 

     

 

 

     

 

 

  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

      52,179,084        117,210,391        126,456,412  
  

 

 

     

 

 

     

 

 

  

Contributions from affiliates (see Note 2A)

      0        0        31,039  
  

 

 

     

 

 

     

 

 

  

Net increase (decrease) in net assets resulting from operations

    $ 56,560,856      $ 128,071,989      $ 125,869,920  
  

 

 

     

 

 

     

 

 

  

(a) Net of foreign withholding taxes of $1,443,720, $3,383,268 and $1,326,932 for the International Portfolio, Tax-Managed International Portfolio, and Emerging Markets Portfolio, respectively.

(b) Net of foreign capital gains taxes of $117,592, $262,505 and $62,535 for the International Portfolio, Tax-Managed International Portfolio, and Emerging Markets Portfolio, respectively.

(c) Net of (increase) decrease in accrued foreign capital gains taxes of $595,240, $1,347,204, $(1,972,195) for the International Portfolio, Tax-Managed International Portfolio, and Emerging Markets Portfolio, respectively.

See Notes to Financial Statements.

 

26   Sanford C. Bernstein Fund, Inc.

Table of Contents
SHORT  DURATION
DIVERSIFIED
MUNICIPAL
PORTFOLIO		     NEW YORK
MUNICIPAL
PORTFOLIO		     CALIFORNIA
MUNICIPAL
PORTFOLIO		  
   
   
$ 1,480,242     $ 25,223,400     $ 17,533,847  
  0       0       0  
  210       0       1,242  

 

 

    

 

 

    

 

 

  
  1,480,452       25,223,400       17,535,089  

 

 

    

 

 

    

 

 

  
   
  369,581       3,668,036       2,667,905  
  105,828       807,611       585,152  
  39,191       106,390       98,510  
  9,820       18,213       12,945  
  0       26,239       14,153  
  0       7       0  
  0       8,018       2,532  
  0       5,864       2,488  
  0       0       0  
  0       170,394       109,899  
  0       17       0  
  0       203,641       77,460  
  3,364       30,397       21,305  
  2,888       28,124       21,194  
  14,236       28,422       10,377  
  1,237       17,412       14,736  
  3,811       16,751       12,700  
  15,782       39,415       25,380  

 

 

    

 

 

    

 

 

  
  565,738       5,174,951       3,676,736  
  0       0       0  

 

 

    

 

 

    

 

 

  
  565,738       5,174,951       3,676,736  

 

 

    

 

 

    

 

 

  
  914,714       20,048,449       13,858,353  

 

 

    

 

 

    

 

 

  
   
   
  (679,817 )      (1,430,400 )      (1,367,356 ) 
  0       0       0  
  0       0       0  
  0       69,133       48,554  
  0       0       0  

 

 

    

 

 

    

 

 

  
  (679,817 )      (1,361,267 )      (1,318,802 ) 

 

 

    

 

 

    

 

 

  
   
  (722,413 )      (38,995,373 )      (24,513,334 ) 
  0       0       0  
  0       0       0  
  0       124,814       87,695  
  0       0       0  

 

 

    

 

 

    

 

 

  

 

(722,413

) 

     (38,870,559 )      (24,425,639 ) 

 

 

    

 

 

    

 

 

  

 

(1,402,230

) 

     (40,231,826 )      (25,744,441 ) 

 

 

    

 

 

    

 

 

  
  0       0       0  

 

 

    

 

 

    

 

 

  
$ (487,516 )    $ (20,183,377 )    $ (11,886,088 ) 

 

 

    

 

 

    

 

 

  

See Notes to Financial Statements.

 

2018 Semi-Annual Report     27  

Table of Contents

Statement of Operations—for the six months ended March 31, 2018 (Unaudited) (continued)

 

          
DIVERSIFIED
MUNICIPAL
PORTFOLIO		      SHORT DURATION
PLUS  PORTFOLIO		      INTERMEDIATE
DURATION
PORTFOLIO		  
INVESTMENT INCOME         

Income:

         

Interest

    $ 92,386,711      $ 2,112,809      $ 45,311,132  

Dividends

      0        0        120,052  

Other income

      6,896        253        3,294  
  

 

 

     

 

 

     

 

 

  

Total income

      92,393,607        2,113,062        45,434,478  
  

 

 

     

 

 

     

 

 

  

Expenses:

         

Management fee (see Note 2A)

      12,000,169        507,818        7,559,790  

Shareholder servicing fee (see Note 2B)

      2,761,356        112,372        1,686,009  

Custodian fee

      158,613        62,708        155,998  

Transfer Agent fee—Non-Retail Class

      59,625        10,782        91,522  

Transfer Agent fee—Class A

      160,872        19,622        0  

Transfer Agent fee—Class B

      31        58        0  

Transfer Agent fee—Class C

      35,478        3,822        0  

Transfer Agent fee—Advisor Class

      606,073        0        0  

Distribution fees—Class A

      395,294        28,779        0  

Distribution fees—Class B

      148        180        0  

Distribution fees—Class C

      346,726        21,848        0  

Directors’ fees and expenses

      117,676        5,114        56,597  

Registration fees

      113,206        36,766        22,029  

Printing fees

      119,210        17,437        20,743  

Auditing and tax fees

      98,655        8,621        45,615  

Legal fees

      51,498        2,224        32,452  

Miscellaneous

      77,479        17,581        38,896  
  

 

 

     

 

 

     

 

 

  

Total expenses

      17,102,109        855,732        9,709,651  

Less: expenses waived and reimbursed by the Adviser (see Note 2D)

      0        (12,115 )       0  
  

 

 

     

 

 

     

 

 

  

Net expenses

      17,102,109        843,617        9,709,651  
  

 

 

     

 

 

     

 

 

  

Net investment income

      75,291,498        1,269,445        35,724,827  
  

 

 

     

 

 

     

 

 

  
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS         

Net realized gain (loss) on:

         

Investment transactions

      (1,371,981 )       (451,469 )       (18,447,552 ) 

Forward currency exchange contracts

      0        (1,406 )       (4,227,915 ) 

Futures

      0        (916,538 )       (25,646,075 ) 

Swaps

      247,456        69,487        3,551,441  

Foreign currency transactions

      0        (1,234,192 )       (7,319,088 ) 
  

 

 

     

 

 

     

 

 

  

Net realized loss on investment transactions

      (1,124,525 )       (2,534,118 )       (52,089,189 ) 
  

 

 

     

 

 

     

 

 

  

Net change in unrealized appreciation/depreciation of:

         

Investments

      (155,873,211 )       209,933        (26,446,620 ) 

Forward currency exchange contracts

      0        (161,817 )       (238,035 ) 

Futures

      0        174,479        11,947,106  

Swaps

      373,952        34,579        3,265,841  

Foreign currency denominated assets and liabilities

      0        658        90,136  
  

 

 

     

 

 

     

 

 

  

Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities

      (155,499,259 )       257,832        (11,381,572 ) 
  

 

 

     

 

 

     

 

 

  

Net realized and unrealized loss on investment transactions

      (156,623,784 )       (2,276,286 )       (63,470,761 ) 
  

 

 

     

 

 

     

 

 

  

Net decrease in net assets resulting from operations

    $ (81,332,286 )     $ (1,006,841 )     $ (27,745,934 ) 
  

 

 

     

 

 

     

 

 

  

See Notes to Financial Statements.

 

28   Sanford C. Bernstein Fund, Inc.

Table of Contents

 

 

 

 

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2018 Semi-Annual Report     29  

Table of Contents

Statement of Changes in Net Assets

 

    INTERNATIONAL
PORTFOLIO		           TAX-MANAGED
INTERNATIONAL
PORTFOLIO 		 
         
     SIX MONTHS
ENDED  3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		            SIX MONTHS
ENDED  3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		  
INCREASE (DECREASE) IN NET ASSETS FROM          

Operations:

          

Net investment income (loss)

   $ 4,381,772     $ 20,576,512       $ 10,861,598     $ 50,458,101  

Net realized gain (loss) on investment and foreign currency transactions

     68,664,857       104,279,908         129,932,743       305,647,550  

Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities

     (16,485,773 )      123,186,326         (12,722,352 )      218,766,215  

Contributions from affiliates (see Note 2A)

     0       0         0       0  
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

     56,560,856       248,042,746         128,071,989       574,871,866  
 

 

 

    

 

 

      

 

 

    

 

 

  

Dividends and distributions to shareholders:

          

Dividends from net investment income (a)

     (18,965,051 )      (25,878,355 )        (50,598,745 )      (61,728,815 ) 

Distributions from net realized gain on investment transactions (a)

     0       0         0       0  
 

 

 

    

 

 

      

 

 

    

 

 

  

Total dividends and distributions to shareholders

     (18,965,051 )      (25,878,355 )        (50,598,745 )      (61,728,815 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Capital-share transactions:

          

Net proceeds from sales of shares

     72,816,147       287,597,234         161,410,808       332,781,289  

Net proceeds from sales of shares issued to shareholders on reinvestment of dividends and distributions

     17,145,634       23,149,102         41,956,974       50,654,235  
 

 

 

    

 

 

      

 

 

    

 

 

  

Total proceeds from shares sold

     89,961,781       310,746,336         203,367,782       383,435,524  

Cost of shares redeemed

     (172,084,489 )      (397,362,403 )        (212,228,738 )      (787,378,472 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase (decrease) in net assets from capital-share transactions

     (82,122,708 )      (86,616,067 )        (8,860,956 )      (403,942,948 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase (decrease) in net assets

     (44,526,903 )      135,548,324         68,612,288       109,200,103  
NET ASSETS:          

Beginning of period

     1,657,121,184       1,521,572,860         3,696,982,103       3,587,782,000  
 

 

 

    

 

 

      

 

 

    

 

 

  

End of period (b)

   $ 1,612,594,281     $ 1,657,121,184       $ 3,765,594,391     $ 3,696,982,103  
 

 

 

    

 

 

      

 

 

    

 

 

  

(b) Includes undistributed net investment income/(distributions in excess of net investment income) of:

   $ 3,796,711     $ 18,379,990       $ 9,517,693     $ 49,254,840  
 

 

 

    

 

 

      

 

 

    

 

 

  

(a) See pages 34 and 35 for share class information on dividend distributions for the International, Tax-Managed International, Emerging Markets and New York Municipal Portfolios.

See Notes to Financial Statements.

 

30   Sanford C. Bernstein Fund, Inc.

Table of Contents
EMERGING
MARKETS
PORTFOLIO		        

SHORT DURATION

DIVERSIFIED MUNICIPAL
PORTFOLIO

         NEW YORK
MUNICIPAL
PORTFOLIO		  
             
SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		    

YEAR

ENDED

9/30/17

          SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		    

YEAR

ENDED
9/30/17

          SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		    

YEAR

ENDED

9/30/17

  
             
             
$ (617,531 )    $ 9,765,289       $ 914,714     $ 873,199       $ 20,048,449     $ 36,944,369  
 
     
85,507,905
 		     123,757,236         (679,817 )      (130,739 )        (1,361,267 )      (4,421,371 ) 
 
     
40,948,507
 		     120,141,379         (722,413 )      160,390         (38,870,559 )      (28,267,490 ) 
  31,039       52,505         0       0         0       0  

 

 

    

 

 

      

 

 

    

 

 

      

 

 

    

 

 

  
  125,869,920       253,716,409         (487,516 )      902,850         (20,183,377 )      4,255,508  

 

 

    

 

 

      

 

 

    

 

 

      

 

 

    

 

 

  
             
  (8,809,767 )      (7,757,991 )        (913,900 )      (872,739 )        (20,087,690 )      (36,807,537 ) 
  (3,161,494 )      0         0       (114,585 )        0       0  

 

 

    

 

 

      

 

 

    

 

 

      

 

 

    

 

 

  
  (11,971,261 )      (7,757,991 )        (913,900 )      (987,324 )        (20,087,690 )      (36,807,537 ) 

 

 

    

 

 

      

 

 

    

 

 

      

 

 

    

 

 

  
             
  88,955,680       234,666,601         70,619,767       148,607,589         203,586,880       339,506,060  
 
     
10,565,975
 		     5,946,621         766,906       811,755         15,771,262       28,990,168  

 

 

    

 

 

      

 

 

    

 

 

      

 

 

    

 

 

  
  99,521,655       240,613,222         71,386,673       149,419,344         219,358,142       368,496,228  
  (123,515,912 )      (338,833,172 )        (62,841,269 )      (94,518,424 )        (151,695,370 )      (332,118,956 ) 

 

 

    

 

 

      

 

 

    

 

 

      

 

 

    

 

 

  

 

(23,994,257

) 

     (98,219,950 )        8,545,404       54,900,920         67,662,772       36,377,272  

 

 

    

 

 

      

 

 

    

 

 

      

 

 

    

 

 

  
  89,904,402       147,738,468         7,143,988       54,816,446         27,391,705       3,825,243  
             
  1,486,069,403       1,338,330,935         203,305,584       148,489,138         1,805,953,068       1,802,127,825  

 

 

    

 

 

      

 

 

    

 

 

      

 

 

    

 

 

  
$ 1,575,973,805     $ 1,486,069,403       $ 210,449,572     $ 203,305,584       $ 1,833,344,773     $ 1,805,953,068  

 

 

    

 

 

      

 

 

    

 

 

      

 

 

    

 

 

  

$

(2,634,232

) 

   $ 6,793,066       $ 18,349     $ 17,535       $ (108,120 )    $ (68,879 ) 

 

 

    

 

 

      

 

 

    

 

 

      

 

 

    

 

 

  

See Notes to Financial Statements.

 

2018 Semi-Annual Report     31  

Table of Contents

Statement of Changes in Net Assets (continued)

 

   

CALIFORNIA

MUNICIPAL

PORTFOLIO

          

DIVERSIFIED

MUNICIPAL

PORTFOLIO

  
         
     SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		    

YEAR

ENDED

9/30/17

            SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		    

YEAR

ENDED

9/30/17

  
INCREASE (DECREASE) IN NET ASSETS FROM  

Operations:

 

Net investment income

   $ 13,858,353     $ 25,527,975       $ 75,291,498     $ 136,544,593  

Net realized gain (loss) on investment transactions

     (1,318,802 )      (2,827,036 )        (1,124,525 )      (12,149,103 ) 

Net change in unrealized appreciation/depreciation of investments

     (24,425,639 )      (20,083,145 )        (155,499,259 )      (102,321,848 ) 

Contributions from affiliates (see Note 2A)

     0       0         0       1,199  
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

     (11,886,088 )      2,617,794         (81,332,286 )      22,074,841  
 

 

 

    

 

 

      

 

 

    

 

 

  

Dividends to shareholders:

 

Dividends from net investment income (a)

     (13,909,736 )      (25,501,691 )        (75,535,029 )      (136,418,201 ) 

Distributions from net realized gain on investment transactions (a)

     0       0         0       0  
 

 

 

    

 

 

      

 

 

    

 

 

  

Total dividends to shareholders

     (13,909,736 )      (25,501,691 )        (75,535,029 )      (136,418,201 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Capital-share transactions:

 

Net proceeds from sales of shares

     184,871,830       271,327,369         1,003,396,105       1,504,757,972  

Net proceeds from sales of shares issued to shareholders on reinvestment of dividends and distributions

     10,949,882       19,959,923         61,641,865       111,236,436  
 

 

 

    

 

 

      

 

 

    

 

 

  

Total proceeds from shares sold

     195,821,712       291,287,292         1,065,037,970       1,615,994,408  

Cost of shares redeemed

     (128,372,865 )      (241,903,758 )        (695,685,804 )      (1,508,626,543 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase (decrease) in net assets from capital-share transactions

     67,448,847       49,383,534         369,352,166       107,367,865  
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase (decrease) in net assets

     41,653,023       26,499,637         212,484,851       (6,975,495 ) 
NET ASSETS:  

Beginning of period

     1,263,812,350       1,237,312,713         6,956,886,288       6,963,861,783  
 

 

 

    

 

 

      

 

 

    

 

 

  

End of period (b)

   $ 1,305,465,373     $ 1,263,812,350       $ 7,169,371,139     $ 6,956,886,288  
 

 

 

    

 

 

      

 

 

    

 

 

  

(b) Includes undistributed net investment income/(distributions in excess of net investment income) of:

   $ (251,394 )    $ (200,011 )      $ (933,966 )    $ (690,435 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

 

 

 

(a) See page 35 for share class information on dividend distributions for the California Municipal, Diversified Municipal and Short Duration Plus Portfolios.

See Notes to Financial Statements.

 

32   Sanford C. Bernstein Fund, Inc.

Table of Contents

SHORT DURATION

PLUS PORTFOLIO

          

INTERMEDIATE

DURATION

PORTFOLIO

  
       
SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		    

YEAR

ENDED

9/30/17

            SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		    

YEAR

ENDED

9/30/17

  
       
       
$ 1,269,445     $ 2,088,292       $ 35,724,827     $ 76,226,995  
  (2,534,118 )      (35,960 )        (52,089,189 )      411,876  
  257,832       (1,345,903 )        (11,381,572 )      (54,696,351 ) 
  0       5,699         0       3,839  

 

 

    

 

 

      

 

 

    

 

 

  
  (1,006,841 )      712,128         (27,745,934 )      21,946,359  

 

 

    

 

 

      

 

 

    

 

 

  
       
  (1,415,021 )      (2,688,998 )        (37,931,990 )      (85,663,110 ) 
  0       0         0       (36,711,157 ) 

 

 

    

 

 

      

 

 

    

 

 

  
  (1,415,021 )      (2,688,998 )        (37,931,990 )      (122,374,267 ) 

 

 

    

 

 

      

 

 

    

 

 

  
       
  57,086,569       126,069,861         308,221,303       451,312,186  

 

1,137,258

 

     2,191,820         29,445,693       104,881,339  

 

 

    

 

 

      

 

 

    

 

 

  
  58,223,827       128,261,681         337,666,996       556,193,525  
  (89,680,137 )      (219,273,001 )        (260,992,908 )      (536,357,116 ) 

 

 

    

 

 

      

 

 

    

 

 

  

 

(31,456,310

) 

     (91,011,320 )        76,674,088       19,836,409  

 

 

    

 

 

      

 

 

    

 

 

  
  (33,878,172 )      (92,988,190 )        10,996,164       (80,591,499 ) 
       
  257,039,729       350,027,919         3,363,353,361       3,443,944,860  

 

 

    

 

 

      

 

 

    

 

 

  
$ 223,161,557     $ 257,039,729       $ 3,374,349,525     $ 3,363,353,361  

 

 

    

 

 

      

 

 

    

 

 

  

$

428,071

 

   $ 573,647       $ (2,087,762 )    $ 119,401  

 

 

    

 

 

      

 

 

    

 

 

  

See Notes to Financial Statements.

 

2018 Semi-Annual Report     33  

Table of Contents

Statement of Changes in Net Assets (continued)

 

 

   

INTERNATIONAL

PORTFOLIO

          

TAX-MANAGED
INTERNATIONAL

PORTFOLIO

  
         
     SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		    

YEAR

ENDED

9/30/17

            SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		    

YEAR

ENDED

9/30/17

  

Dividends to shareholders:

          

Dividends from net investment income

          

International Class and Tax-Managed International Class, respectively

   $ (14,325,300 )    $ (22,632,899 )      $ (44,003,206 )    $ (54,948,127 ) 

Class A

     (281,507 )      (63,772 )        (24,488 )      (26,996 ) 

Class B

     0       (134 )        (17 )      (46 ) 

Class C

     0       (13,155 )        0       (3,206 ) 

Class Z

     (4,358,244 )      (3,168,395 )        (6,571,034 )      (6,750,440 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
  $ (18,965,051 )    $ (25,878,355 )      $ (50,598,745 )    $ (61,728,815 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

 

   

EMERGING

MARKETS

PORTFOLIO

                     
          
     SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		    

YEAR

ENDED
9/30/17

                     

Dividends and Distributions to shareholders:

           

Dividends from net investment income

           

Emerging Markets Class

   $ (7,273,208 )    $ (6,719,437 )        

Class Z

     (1,536,559 )      (1,038,554 )        
 

 

 

    

 

 

         
  $ (8,809,767 )    $ (7,757,991 )        
 

 

 

    

 

 

         

Distributions from net realized gain on investment transactions

 

   

Emerging Markets Class

   $ (2,782,034 )    $ 0         

Class Z

     (379,460 )      0         
 

 

 

    

 

 

         
  $ (3,161,494 )    $ 0         
 

 

 

    

 

 

         

See Notes to Financial Statements.

 

34   Sanford C. Bernstein Fund, Inc.

Table of Contents
   

NEW YORK

MUNICIPAL

PORTFOLIO

          

CALIFORNIA

MUNICIPAL

PORTFOLIO

  
         
     SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		    

YEAR

ENDED

9/30/17

            SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		    

YEAR

ENDED

9/30/17

  

Dividends to shareholders:

          

Dividends from net investment income

          

Municipal Class

   $ (18,087,431 )    $ (32,912,729 )      $ (12,773,103 )    $ (23,441,848 ) 

Class A

     (1,389,736 )      (2,976,844 )        (869,057 )      (1,625,269 ) 

Class B

     (15 )      (24 )        0       0  

Class C

     (262,324 )      (573,310 )        (95,120 )      (236,025 ) 

Advisor Class (a)

     (348,184 )      (344,630 )        (172,456 )      (198,549 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
  $ (20,087,690 )    $ (36,807,537 )      $ (13,909,736 )    $ (25,501,691 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

 

   

DIVERSIFIED

MUNICIPAL

PORTFOLIO

                     
          
     SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		    

YEAR

ENDED
9/30/17

                     

Dividends to shareholders:

           

Dividends from net investment income

           

Municipal Class

   $ (59,391,905 )    $ (106,556,662 )        

Class A

     (2,975,285 )      (6,628,548 )        

Class B

     (155 )      (581 )        

Class C

     (393,612 )      (900,980 )        

Advisor Class

     (12,774,072 )      (22,331,430 )        
 

 

 

    

 

 

         
  $ (75,535,029 )    $ (136,418,201 )        
 

 

 

    

 

 

         

 

   

SHORT DURATION

PLUS PORTFOLIO

                     
          
     SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		    

YEAR

ENDED
9/30/17

                     

Dividends to shareholders:

           

Dividends from net investment income

           

Short Duration Plus Class

   $ (1,315,438 )    $ (2,543,722 )        

Class A

     (87,384 )      (120,469 )        

Class B

     (70 )      (120 )        

Class C

     (12,129 )      (24,687 )        
 

 

 

    

 

 

         
  $ (1,415,021 )    $ (2,688,998 )        
 

 

 

    

 

 

         

(a) Commenced distribution on July 25, 2016.

See Notes to Financial Statements.

 

2018 Semi-Annual Report     35  

Table of Contents

Financial Highlights

Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:

 

    INTERNATIONAL PORTFOLIO
INTERNATIONAL CLASS		  
           
    

SIX MONTHS

ENDED
3/31/18
(UNAUDITED)

    

YEAR
ENDED

9/30/17

    

YEAR
ENDED

9/30/16

    

YEAR
ENDED

9/30/15

    

YEAR
ENDED

9/30/14

    

YEAR
ENDED

9/30/13

  

Net asset value, beginning of period

   $ 18.11     $ 15.72     $ 14.68     $ 15.86     $ 15.94     $ 13.23  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income from investment operations:

            

Investment income, net†‡

     0.04       0.21       0.25  ^      0.19       0.35       0.23  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     0.57       2.45       1.01       (1.04 )      (0.15 )      2.74  

Contributions from affiliates

     0       0       0       0       0.00  (a)      0  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     0.61       2.66       1.26       (0.85 )      0.20       2.97  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less dividends:

            

Dividends from net investment income

     (0.20 )      (0.27 )      (0.22 )      (0.33 )      (0.28 )      (0.26 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 18.52     $ 18.11     $ 15.72     $ 14.68     $ 15.86     $ 15.94  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return (b)

     3.41%       17.27%       8.63%  ^      (5.46 )%      1.23%       22.81%  
RATIOS/SUPPLEMENTAL DATA            

Net assets, end of period (000 omitted)

     $1,250,098       $1,321,390       $1,355,337       $1,454,581       $1,529,195       $1,599,667  

Average net assets (000 omitted)

     $1,301,975       $1,326,123       $1,418,373       $1,569,703       $1,631,212       $1,523,560  

Ratio to average net assets of:

            

Expenses, net of waivers/reimbursements

     1.10%  *      1.16%       1.16%       1.16%  +      1.15%       1.15%  

Expenses, before waivers/reimbursements

     1.13%  *      1.21%       1.20%       1.21%  +      1.20%       1.20%  

Net investment income‡

     0.47%  *      1.32%       1.66%  ^      1.21%  +      2.15%       1.62%  

Portfolio turnover rate

     20%       82%       77%       80%       67%       72%  

 

See Footnote Summary on page 45.

See Notes to Financial Statements.

 

36   Sanford C. Bernstein Fund, Inc.

Table of Contents
    TAX-MANAGED INTERNATIONAL PORTFOLIO
TAX-MANAGED INTERNATIONAL CLASS		  
           
    

SIX MONTHS
ENDED

3/31/18
(UNAUDITED)

    

YEAR

ENDED

9/30/17

    

YEAR

ENDED

9/30/16

    

YEAR

ENDED

9/30/15

    

YEAR

ENDED

9/30/14

    

YEAR
ENDED

9/30/13

  

Net asset value, beginning of period

   $ 18.15     $ 15.79     $ 14.75     $ 15.93     $ 16.06     $ 13.33  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income from investment operations:

            

Investment income, net†‡

     0.05       0.22       0.25  ^      0.20       0.37       0.24  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     0.57       2.41       1.02       (1.03 )      (0.18 )      2.78  

Contributions from affiliates

     0       0       0       0       0.00  (a)      0  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     0.62       2.63       1.27       (0.83 )      0.19       3.02  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less dividends:

            

Dividends from net investment income

     (0.25 )      (0.27 )      (0.23 )      (0.35 )      (0.32 )      (0.29 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 18.52     $ 18.15     $ 15.79     $ 14.75     $ 15.93     $ 16.06  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return (b)

     3.42%       17.02%       8.65%  ^      (5.32 )%      1.20%       23.04%  †† 
RATIOS/SUPPLEMENTAL DATA            

Net assets, end of period (000 omitted)

     $3,298,822       $3,285,902       $3,247,504       $3,565,820       $3,753,170       $3,835,863  

Average net assets (000 omitted)

     $3,340,223       $3,225,527       $3,404,447       $3,748,062       $3,901,952       $3,581,411  

Ratio to average net assets of:

            

Expenses, net of waivers/reimbursements

     1.05%  *      1.11%       1.11%       1.11%  +      1.11%       1.11%  

Expenses, before waivers/reimbursements

     1.08%  *      1.16%       1.16%       1.16%  +      1.16%       1.16%  

Net investment income‡

     0.54%  *      1.38%       1.68%  ^      1.29%  +      2.25%       1.66%  

Portfolio turnover rate

     21%       78%       69%       76%       64%       72%  

 

See Footnote Summary on page 45.

See Notes to Financial Statements.

 

2018 Semi-Annual Report     37  

Table of Contents

Financial Highlights (continued)

Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:

 

    EMERGING MARKETS PORTFOLIO
EMERGING MARKETS CLASS		  
           
    

SIX MONTHS

ENDED

3/31/18
(UNAUDITED)

    

YEAR

ENDED

9/30/17

    

YEAR

ENDED

9/30/16

    

YEAR

ENDED

9/30/15

    

YEAR

ENDED

9/30/14

    

YEAR

ENDED

9/30/13

  

Net asset value, beginning of period

   $ 31.25     $ 26.21     $ 22.77     $ 28.47     $ 26.95     $ 26.72  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income from investment operations:

            

Net investment income (loss)†‡

     (0.02 )      0.19       0.15  ^      0.23       0.40       0.32  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     2.65       5.00       3.86       (4.98 )      1.35       0.16  

Contributions from affiliates

     0.00  (a)      0.00  (a)      0       0       0       0  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     2.63       5.19       4.01       (4.75 )      1.75       0.48  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less dividends and distributions:

            

Dividends from net investment income

     (0.17 )      (0.15 )      (0.16 )      (0.36 )      (0.30 )      (0.36 ) 

Distributions from net realized gain on investment transactions

     (0.07 )      0       (0.41 )      (0.61 )      0       0  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions

     (0.24 )      (0.15 )      (0.57 )      (0.97 )      (0.30 )      (0.36 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Portfolio transaction fee

     0       0       0       0.02       0.07       0.11  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 33.64     $ 31.25     $ 26.21     $ 22.77     $ 28.47     $ 26.95  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return (b)

     8.30%       19.96%  ^^      18.04%  ^      (17.20 )% (c)      6.79%  (c)      2.17%  (c) 
RATIOS/SUPPLEMENTAL DATA            

Net assets, end of period (000 omitted)

     $1,374,662       $1,308,216       $1,215,605       $1,110,925       $1,298,583       $1,192,290  

Average net assets (000 omitted)

     $1,373,532       $1,233,869       $1,137,202       $1,279,187       $1,272,134       $1,198,415  

Ratio to average net assets of:

            

Expenses, net of waivers/reimbursements

     1.35%  *      1.46%       1.48%       1.44%  +      1.44%       1.44%  

Expenses, before waivers/reimbursements

     1.37%  *      1.48%       1.52%       1.49%  +      1.49%       1.49%  

Net investment income (loss)‡

     (0.11)%  *      0.69%       0.63%  ^      0.84%  +      1.41%       1.19%  

Portfolio turnover rate

     26%       63%       71%       54%       53%       45%  

See Footnote Summary on page 45.

See Notes to Financial Statements.

 

38   Sanford C. Bernstein Fund, Inc.

Table of Contents

 

 

   

SHORT DURATION DIVERSIFIED MUNICIPAL PORTFOLIO

SHORT DURATION DIVERSIFIED MUNICIPAL CLASS

  
           
     SIX MONTHS
ENDED
3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		     YEAR
ENDED
9/30/16		     YEAR
ENDED
9/30/15		     YEAR
ENDED
9/30/14		     YEAR
ENDED
9/30/13		  

Net asset value, beginning of period

   $ 12.60     $ 12.60     $ 12.60     $ 12.62     $ 12.61     $ 12.74  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income from investment operations

            

Investment income, net†

     0.05       0.06       0.06  ^‡      0.03       0.04       0.07  

Net realized and unrealized gain (loss) on investment transactions

     (0.08 )      0.01       0.01       (0.01 )      0.03       (0.07 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (0.03 )      0.07       0.07       0.02       0.07       0  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less dividends and distributions:

            

Dividends from net investment income

     (0.05 )      (0.06 )      (0.06 )      (0.04 )      (0.04 )      (0.07 ) 

Distributions from net realized gain on investment transactions

     0       (0.01 )      (0.01 )      (0.00 )(a)      (0.02 )      (0.06 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total dividends and distributions

     (0.05 )      (0.07 )      (0.07 )      (0.04 )      (0.06 )      (0.13 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 12.52     $ 12.60     $ 12.60     $ 12.60     $ 12.62     $ 12.61  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return (b)

     (0.29)%       0.58%       0.55%  ^      0.14%       0.52%       (0.01)%  
RATIOS/SUPPLEMENTAL DATA            

Net assets, end of period (000 omitted)

     $210,450       $203,306       $148,489       $189,677       $257,900       $273,758  

Average net assets (000 omitted)

     $211,078       $169,137       $164,757       $218,232       $279,244       $323,922  

Ratio to average net assets of:

            

Expenses, net of waivers/reimbursements

     0.53%  *      0.61%       0.65%       0.63%  +      0.62%       0.62%  

Expenses, before waiver/reimbursements

     0.53%  *      0.61%       0.65%       0.63%  +      0.62%       0.62%  

Net investment income

     0.86%  *      0.52%       0.48%  ^‡      0.27%  +      0.29%       0.58%  

Portfolio turnover rate

     9%       44%       42%       25%       32%       52%  

 

See Footnote Summary on page 45.

See Notes to Financial Statements.

 

2018 Semi-Annual Report     39  

Table of Contents

Financial Highlights (continued)

Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:

 

    NEW YORK MUNICIPAL PORTFOLIO
MUNICIPAL CLASS		  
           
     SIX MONTHS
ENDED
3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		     YEAR
ENDED
9/30/16		     YEAR
ENDED
9/30/15		     YEAR
ENDED
9/30/14		     YEAR
ENDED
9/30/13		  

Net asset value, beginning of period

   $ 14.07     $ 14.34     $ 14.10     $ 14.17     $ 14.05     $ 14.66  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income from investment operations:

            

Investment income, net†

     0.16       0.30       0.32  ^      0.34       0.35       0.38  

Net realized and unrealized gain (loss) on investment transactions

     (0.31 )      (0.27 )      0.24       (0.07 )      0.13       (0.60 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (0.15 )      0.03       0.56       0.27       0.48       (0.22 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less dividends and distributions:

            

Dividends from net investment income

     (0.15 )      (0.30 )      (0.32 )      (0.34 )      (0.36 )      (0.38 ) 

Distributions from net realized gain on investment transactions

     0       0       0       0       0       (0.01 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total dividends and distributions

     (0.15 )      (0.30 )      (0.32 )      (0.34 )      (0.36 )      (0.39 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 13.77     $ 14.07     $ 14.34     $ 14.10     $ 14.17     $ 14.05  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return (b)

     (1.03)%       0.29%       3.90%  ^      1.94%       3.43%       (1.52)%  
RATIOS/SUPPLEMENTAL DATA            

Net assets, end of period (000 omitted)

     $1,632,624       $1,595,536       $1,560,549       $1,445,775       $1,433,174       $1,345,338  

Average net assets (000 omitted)

     $1,610,809       $1,557,199       $1,504,287       $1,444,292       $1,371,449       $1,414,589  

Ratio to average net assets of:

            

Expenses

     0.53%  *      0.56%       0.61%       0.61%  +      0.61%       0.61%  

Net investment income

     2.24%  *      2.12%       2.23%  ^      2.42%  +      2.52%       2.67%  

Portfolio turnover rate

     12%       23%       17%       17%       11%       17%  

See Footnote Summary on page 45.

See Notes to Financial Statements.

 

40   Sanford C. Bernstein Fund, Inc.

Table of Contents

 

 

   

CALIFORNIA MUNICIPAL PORTFOLIO

MUNICIPAL CLASS

  
           
     SIX MONTHS
ENDED
3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		     YEAR
ENDED
9/30/16		     YEAR
ENDED
9/30/15		     YEAR
ENDED
9/30/14		     YEAR
ENDED
9/30/13		  

Net asset value, beginning of period

   $ 14.32     $ 14.59     $ 14.40     $ 14.49     $ 14.29     $ 14.91  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income from investment operations:

            

Investment income, net†

     0.15       0.30       0.31  ^      0.32       0.33       0.38  

Net realized and unrealized gain (loss) on investment transactions

     (0.28 )      (0.27 )      0.18       (0.09 )      0.20       (0.62 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (0.13 )      0.03       0.49       0.23       0.53       (0.24 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less dividends:

            

Dividends from net investment income

     (0.15 )      (0.30 )      (0.30 )      (0.32 )      (0.33 )      (0.38 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 14.04     $ 14.32     $ 14.59     $ 14.40     $ 14.49     $ 14.29  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return (b)

     (0.88)%       0.23%       3.46%  ^      1.61%       3.78%       (1.64)%  
RATIOS/SUPPLEMENTAL DATA            

Net assets, end of period (000 omitted)

     $1,186,985       $1,150,520       $1,119,516       $1,036,742       $979,252       $903,265  

Average net assets (000 omitted)

     $1,167,107       $1,118,392       $1,080,590       $1,007,317       $934,129       $951,766  

Ratio to average net assets of:

            

Expenses

     0.55%  *      0.57%       0.63%       0.63%  +      0.63%       0.63%  

Net investment income

     2.17%  *      2.10%       2.10%  ^      2.22%  +      2.32%       2.59%  

Portfolio turnover rate

     13%       17%       12%       16%       10%       23%  

 

See Footnote Summary on page 45.

See Notes to Financial Statements.

 

2018 Semi-Annual Report     41  

Table of Contents

Financial Highlights (continued)

Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:

 

   

DIVERSIFIED MUNICIPAL PORTFOLIO

MUNICIPAL CLASS

  
           
     SIX MONTHS
ENDED
3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		     YEAR
ENDED
9/30/16		     YEAR
ENDED
9/30/15		     YEAR
ENDED
9/30/14		     YEAR
ENDED
9/30/13		  

Net asset value, beginning of period

   $ 14.43     $ 14.67     $ 14.47     $ 14.53     $ 14.36     $ 14.92  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income from investment operations:

            

Investment income, net†

     0.15       0.29       0.29  ^      0.30       0.33       0.38  

Net realized and unrealized gain (loss) on investment transactions

     (0.31 )      (0.24 )      0.20       (0.06 )      0.18       (0.54 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (0.16 )      0.05       0.49       0.24       0.51       (0.16 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less dividends and distributions:

            

Dividends from net investment income

     (0.15 )      (0.29 )      (0.29 )      (0.30 )      (0.34 )      (0.38 ) 

Distributions from net realized gain on investment transactions

     0       0       0       0       (0.00 ) (a)      (0.02 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total dividends and distributions

     (0.15 )      (0.29 )      (0.29 )      (0.30 )      (0.34 )      (0.40 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 14.12     $ 14.43     $ 14.67     $ 14.47     $ 14.53     $ 14.36  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return (b)

     (1.09)%       0.37%       3.40%  ^      1.69%       3.58%       (1.10)%  
RATIOS/SUPPLEMENTAL DATA            

Net assets, end of period (000 omitted)

     $5,544,463       $5,377,573       $5,276,927       $4,860,803       $4,618,712       $4,269,409  

Average net assets (000 omitted)

     $5,507,623       $5,274,036       $5,048,509       $4,800,047       $4,395,640       $4,465,399  

Ratio to average net assets of:

            

Expenses

     0.46%  *      0.49%       0.54%       0.55%  +      0.56%       0.56%  

Net investment income

     2.14%  *      2.02%       1.98%  ^      2.09%  +      2.32%       2.58%  

Portfolio turnover rate

     13%       25%       11%       15%       19%       19%  

 

See Footnote Summary on page 45.

See Notes to Financial Statements.

 

42   Sanford C. Bernstein Fund, Inc.

Table of Contents

 

 

   

SHORT DURATION PLUS PORTFOLIO

SHORT DURATION PLUS CLASS

  
           
     SIX MONTHS
ENDED
3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		     YEAR
ENDED
9/30/16		     YEAR
ENDED
9/30/15		     YEAR
ENDED
9/30/14		     YEAR
ENDED
9/30/13		  

Net asset value, beginning of period

   $ 11.68     $ 11.75     $ 11.74     $ 11.74     $ 11.74     $ 11.91  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income from investment operations:

            

Investment income, net†

     0.06  ‡      0.09  ‡      0.09  ^‡      0.06       0.06       0.05  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     (0.10 )      (0.05 )      0.02       0.02       0.03       (0.11 ) 

Contributions from affiliates

     0       0.00  (a)      0       0       0       0  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (0.04 )      0.04       0.11       0.08       0.09       (0.06 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less dividends:

            

Dividends from net investment income

     (0.07 )      (0.11 )      (0.10 )      (0.08 )      (0.09 )      (0.11 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 11.57     $ 11.68     $ 11.75     $ 11.74     $ 11.74     $ 11.74  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return (b)

     (0.36)%       0.37%  ††      0.96%  ^††      0.69%       0.75%       (0.51)%  
RATIOS/SUPPLEMENTAL DATA            

Net assets, end of period (000 omitted)

     $198,936       $224,323       $313,720       $262,551       $313,410       $395,172  

Average net assets (000 omitted)

     $224,130       $266,909       $281,499       $291,134       $347,138       $467,653  

Ratio to average net assets of:

            

Expenses

     0.62%  *      0.66%       0.65%       0.64%  +      0.62%       0.60%  

Expenses, before waivers/reimbursements

     0.62%  *      0.66%       0.65%       0.64%  +      0.62%       0.60%  

Net investment income

     1.06%  *‡      0.75%  ‡      0.73%  ^‡      0.50%  +      0.55%       0.39%  

Portfolio turnover rate**

     28%       64%       76%       86%       67%       120%  

 

See Footnote Summary on page 45.

See Notes to Financial Statements.

 

2018 Semi-Annual Report     43  

Table of Contents

Financial Highlights (continued)

Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:

 

   

INTERMEDIATE DURATION PORTFOLIO

INTERMEDIATE DURATION CLASS

  
           
     SIX MONTHS
ENDED
3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		     YEAR
ENDED
9/30/16		     YEAR
ENDED
9/30/15		     YEAR
ENDED
9/30/14		     YEAR
ENDED
9/30/13		  

Net asset value, beginning of period

   $ 13.23     $ 13.63     $ 13.41     $ 13.72     $ 13.47     $ 14.24  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income from investment operations

            

Investment income, net†

     0.14       0.30       0.36  ^      0.34       0.39       0.36  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     (0.26 )      (0.21 )      0.46       0.01       0.27       (0.61 ) 

Contributions from affiliates

     0       0.00  (a)      0       0.00  (a)      0       0.00  (a) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     (0.12 )      0.09       0.82       0.35       0.66       (0.25 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less dividends and distributions:

            

Dividends from net investment income

     (0.14 )      (0.34 )      (0.42 )      (0.40 )      (0.38 )      (0.41 ) 

Distributions from net realized gain on investment transactions

     0       (0.15 )      (0.18 )      (0.26 )      (0.03 )      (0.11 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total dividends and distributions

     (0.14 )      (0.49 )      (0.60 )      (0.66 )      (0.41 )      (0.52 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 12.97     $ 13.23     $ 13.63     $ 13.41     $ 13.72     $ 13.47  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return (b)

     (0.86)%       0.71%       6.33%  ^††      2.56%       4.96%       (1.82)%  †† 
RATIOS/SUPPLEMENTAL DATA            

Net assets, end of period (000 omitted)

     $3,374,350       $3,363,353       $3,443,945       $3,446,978       $3,848,564       $3,966,383  

Average net assets (000 omitted)

     $3,362,805       $3,350,914       $3,395,239       $3,575,822       $3,885,193       $4,405,415  

Ratio to average net assets of:

            

Expenses

     0.58%  *      0.59%       0.59%       0.59%  +      0.58%       0.57%  

Net investment income

     2.12%  *      2.27%       2.67%  ^      2.49%  +      2.86%       2.57%  

Portfolio turnover rate**

     116%       230%       146%       249%       244%       200%  

 

See Footnote Summary on page 45.

See Notes to Financial Statements.

 

44   Sanford C. Bernstein Fund, Inc.

Table of Contents

 

 

†   Based on average shares outstanding.
‡   Net of fees and expense waived by the Adviser.
^   For the year ended September 30, 2016, the amount includes a refund for overbilling of prior years’ custody out of pocket fees as follows:

 

PORTFOLIO    NET
INVESTMENT
INCOME PER
SHARE		      NET
INVESTMENT
INCOME
RATIO		      TOTAL
RETURN		  

International

      $0.003        0.02%        0.02%  

Tax-Managed International

      0.002        0.01%        0.01%  

Emerging Markets

      0.007        0.03%        0.03%  

Short Duration Diversified Municipal

      0.005        0.04%        0.04%  

New York Municipal

      0.001        0.01%        0.01%  

California Municipal

      0.001        0.01%        0.01%  

Diversified Municipal

      0.001        0.004%        0.004%  

Short Duration Plus

      0.004        0.03%        0.03%  

Intermediate Duration

      0.001        0.01%        0.01%  

 

+   The ratio includes expenses attributable to costs of proxy solicitation.
††   Includes the impact of proceeds received and credited to the Portfolio resulting from the class action settlements, which enhanced the performance for the Tax-Managed International Portfolio for the year ended September 30, 2013 by 0.02%, and the Intermediate Duration Portfolio for the years ended September 30, 2016 and September 30, 2013 by 0.03% and 0.01%, respectively, and the Short Duration Plus Portfolio for the years ended September 30, 2017 and September 30, 2016 by 0.11% and 0.05%, respectively.
**   The Portfolio accounts for dollar roll transactions as purchases and sales.
^^   The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements.
*   Annualized.
(a)   Amount is less than $.005.
(b)   Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Total return does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Total investment return calculated for a period of less than one year is not annualized.
(c)   This reflects the return to a shareholder who purchased shares of the Portfolio at the beginning of the period and redeemed them at the end of the period, paying, in each case, the applicable portfolio transaction fee. Effective May 2, 2005 the portfolio transaction fee payable when shares of the Portfolio are purchased or sold was reduced from 2.00% to 1.00%. The fee was eliminated effective February 2, 2015. Total return to a shareholder for the years ending September 30, 2015, September 30, 2014, September 30, 2013 and September 30, 2012, without taking into account these transaction fees would have been (18.03)%, 4.67%, 0.14% and 12.34%, respectively.

See Notes to Financial Statements.

 

2018 Semi-Annual Report     45  

Table of Contents

Notes to Financial Statements

 

NOTE 1. Organization and Significant Accounting Policies

Sanford C. Bernstein Fund, Inc. (the “Fund”) is a managed open-end registered investment company, incorporated in Maryland on May 4, 1988. The Fund operates as a series company currently comprised of 15 portfolios (hereafter collectively referred to as the “Portfolios” and each individually a “Portfolio”) with the following share classes offered:

 

INTERNATIONAL EQUITY PORTFOLIOS

  

SHARE CLASSES OFFERED

International

  

International Class*, Class A, Class B, Class C and Class Z

Tax-Managed International

  

Tax-Managed International Class*, Class A, Class B, Class C and Class Z

Emerging Markets

  

Emerging Markets Class* and Class Z

FIXED INCOME MUNICIPAL PORTFOLIO

    

Short Duration Diversified Municipal

  

Short Duration Diversified Municipal Class*

INTERMEDIATE MUNICIPAL PORTFOLIOS

    

New York Municipal

  

Municipal Class*, Class A, Class B, Class C and Advisor Class

California Municipal

  

Municipal Class*, Class A, Class C and Advisor Class

Diversified Municipal

  

Municipal Class*, Class A, Class B, Class C and Advisor Class

FIXED INCOME TAXABLE PORTFOLIOS

    

Short Duration Plus

  

Short Duration Plus Class*, Class A, Class B and Class C

Intermediate Duration

  

Intermediate Duration Class*

 

  * Bernstein Class

 

OVERLAY PORTFOLIOS

    

Overlay A

  

Class 1 and Class 2

Tax-Aware Overlay A

  

Class 1 and Class 2

Overlay B

  

Class 1 and Class 2

Tax-Aware Overlay B

  

Class 1 and Class 2

Tax-Aware Overlay C

  

Class 1 and Class 2

Tax-Aware Overlay N

  

Class 1 and Class 2

Each Portfolio has its own investment objectives. This report relates only to the International Equity Portfolios, Fixed Income Municipal Portfolio, Intermediate Municipal Portfolios and Fixed Income Taxable Portfolios (together the “SCB Portfolios”). The financial statements of the Overlay Portfolios and the financial highlights of Class A, Class B, Class C, Advisor Class and Class Z Shares (collectively “Retail Classes”) of International, Tax-Managed International, Emerging Markets, New York Municipal, California Municipal, Diversified Municipal and Short Duration Plus Portfolios are presented in separate financial reports. Effective January 15, 2016, International, Tax-Managed International and Emerging Markets Portfolios commenced offering of Class Z Shares. Effective July 25, 2016, New York Municipal and California Municipal Portfolios commenced offering of Advisor Class Shares. Each class of shares has identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan, as applicable. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. Each Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Portfolios.

 

46   Sanford C. Bernstein Fund, Inc.

Table of Contents
A.   Portfolio Valuation

Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Fund’s Board of Directors (the “Board”).

In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the “Adviser”) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Such factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.

Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Portfolios may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Portfolios value their securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolios generally value many of their foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.

 

B.   Fair Value Measurements

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolios 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 value as described in Note 1.A above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolios. Unobservable inputs reflect the Portfolios’ 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.

 

2018 Semi-Annual Report     47  

Table of Contents

Notes to Financial Statements (continued)

 

 

  •  

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 Portfolios’ 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 are then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.

Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.

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

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

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

 

48   Sanford C. Bernstein Fund, Inc.

Table of Contents

The following tables summarize the valuation of the Portfolios’ investments by the above fair value hierarchy levels as of March 31, 2018:

 

INTERNATIONAL PORTFOLIO
INVESTMENTS IN SECURITIES:		   LEVEL 1      LEVEL 2     LEVEL 3      TOTAL  

Assets:

          

Common Stocks:

          

Financials

   $ 22,278,144      $ 306,681,164     $ 0      $ 328,959,308  

Consumer Discretionary

     30,628,693        202,271,366       0        232,900,059  

Information Technology

     18,426,797        210,234,593       0        228,661,390  

Consumer Staples

     17,437,546        170,809,632       0        188,247,178  

Industrials

     8,852,790        166,051,076       0        174,903,866  

Health Care

     16,885,666        88,241,632       0        105,127,298  

Telecommunication Services

     0        99,195,214       0        99,195,214  

Materials

     14,078,705        84,541,126       0        98,619,831  

Energy

     14,352,635        65,099,524       0        79,452,159  

Utilities

     5,510,609        19,235,119       0        24,745,728  

Real Estate

     0        6,421,840       0        6,421,840  

Short-Term Investments

     36,304,016        0       0        36,304,016  

Total Investments in Securities

     184,755,601        1,418,782,286  (a)      0        1,603,537,887  

Other Financial Instruments (b):

          

Assets:

          

Forward Currency Exchange Contracts

     0        2,500,952       0        2,500,952  

Liabilities:

          

Futures

     (92,521 )       0       0        (92,521 )(c) 

Forward Currency Exchange Contracts

     0        (4,934,690 )      0        (4,934,690 ) 

Total (d)(e)(f)

   $ 184,663,080      $ 1,416,348,548     $ 0      $ 1,601,011,628  
TAX-MANAGED INTERNATIONAL PORTFOLIO
INVESTMENTS IN SECURITIES:		   LEVEL 1      LEVEL 2     LEVEL 3      TOTAL  

Assets:

          

Common Stocks:

          

Financials

   $ 51,864,962      $ 716,827,217     $ 0      $ 768,692,179  

Consumer Discretionary

     71,570,760        470,643,263       0        542,214,023  

Information Technology

     42,382,580        490,630,694       0        533,013,274  

Consumer Staples

     40,154,767        395,835,047       0        435,989,814  

Industrials

     20,350,201        386,993,571       0        407,343,772  

Health Care

     39,471,182        205,299,297       0        244,770,479  

Telecommunication Services

     0        233,138,568       0        233,138,568  

Materials

     33,631,080        195,672,679       0        229,303,759  

Energy

     32,283,002        151,837,608       0        184,120,610  

Utilities

     12,573,264        44,719,347       0        57,292,611  

Real Estate

     0        14,832,784       0        14,832,784  

Short-Term Investments

     78,996,930        0       0        78,996,930  

Total Investments in Securities

     423,278,728        3,306,430,075  (a)      0        3,729,708,803  

 

2018 Semi-Annual Report     49  

Table of Contents

Notes to Financial Statements (continued)

 

TAX-MANAGED INTERNATIONAL PORTFOLIO
INVESTMENTS IN SECURITIES:		   LEVEL 1      LEVEL 2     LEVEL 3     TOTAL  

Other Financial Instruments (b):

         

Assets:

         

Forward Currency Exchange Contracts

   $ 0      $ 26,326,295     $ 0     $ 26,326,295  

Liabilities:

         

Futures

     (340,541 )       0       0       (340,541 )(c) 

Forward Currency Exchange Contracts

     0        (17,711,602 )      0       (17,711,602 ) 

Total (f)(g)(h)

   $ 422,938,187      $ 3,315,044,768     $ 0     $ 3,737,982,955  
EMERGING MARKETS PORTFOLIO
INVESTMENTS IN SECURITIES:		   LEVEL 1      LEVEL 2     LEVEL 3     TOTAL  

Assets:

         

Common Stocks:

         

Financials

   $ 73,691,725      $ 402,934,283     $ 0     $ 476,626,008  

Information Technology

     80,875,658        309,249,715       0       390,125,373  

Consumer Discretionary

     54,372,195        113,742,923       0       168,115,118  

Energy

     90,720,396        19,478,421       0       110,198,817  

Materials

     16,622,017        89,962,358       0 (i)      106,584,375  

Industrials

     24,300,519        58,844,362       0       83,144,881  

Consumer Staples

     7,266,992        57,331,673       0       64,598,665  

Health Care

     6,860,952        52,195,559       0       59,056,511  

Telecommunication Services

     1,512,584        40,309,108       0       41,821,692  

Real Estate

     103,668        24,886,403       0       24,990,071  

Utilities

     17,242,393        0       0       17,242,393  

Equity Linked Notes

     0        14,299,580       0       14,299,580  

Short-Term Investments

     9,345,396        0       0       9,345,396  

Total Investments in Securities

     382,914,495        1,183,234,385  (a)      0       1,566,148,880  

Other Financial Instruments (b):

         

Assets:

         

Forward Currency Exchange Contracts

     0        3,348,327       0       3,348,327  

Liabilities:

         

Forward Currency Exchange Contracts

     0        (981,789 )      0       (981,789 ) 

Total (f)(j)(k)

   $ 382,914,495      $ 1,185,600,923     $ 0     $ 1,568,515,418  
SHORT DURATION DIVERSIFIED MUNICIPAL  PORTFOLIO
INVESTMENTS IN SECURITIES:		   LEVEL 1      LEVEL 2     LEVEL 3     TOTAL  

Assets:

         

Long-Term Municipal Bonds

   $ 0      $ 174,699,214     $ 4,818,936     $ 179,518,150  

Short-Term Municipal Notes

     0        25,158,974       0       25,158,974  

Short-Term Investments

     0        549,324       0       549,324  

Total Investments in Securities

     0        200,407,512       4,818,936       205,226,448  

Other Financial Instruments (b)

     0        0       0       0  

Total (l)

   $ 0      $ 200,407,512     $ 4,818,936     $ 205,226,448  

 

50   Sanford C. Bernstein Fund, Inc.

Table of Contents

NEW YORK MUNICIPAL PORTFOLIO

INVESTMENTS IN SECURITIES:

   LEVEL 1      LEVEL 2      LEVEL 3     TOTAL  

Assets:

          

Long-Term Municipal Bonds

   $ 0      $ 1,779,605,546      $ 33,233,120     $ 1,812,838,666  

Short-Term Municipal Notes

     0        26,079,151        3,502,345       29,581,496  

Short-Term Investments

     0        1,936,404        0       1,936,404  

Total Investments in Securities

     0        1,807,621,101        36,735,465       1,844,356,566  

Other Financial Instruments (b):

          

Assets

     0        0        0       0  

Liabilities:

          

Credit Default Swaps

     0        (521,779 )       0       (521,779 ) 

Total (l)

   $ 0      $ 1,807,099,322      $ 36,735,465     $ 1,843,834,787  

CALIFORNIA MUNICIPAL PORTFOLIO

INVESTMENTS IN SECURITIES:

   LEVEL 1      LEVEL 2      LEVEL 3     TOTAL  

Assets:

          

Long-Term Municipal Bonds

   $ 0      $ 1,266,641,589      $ 30,440,384 (i)    $ 1,297,081,973  

Short-Term Municipal Notes

     0        20,493,398        0       20,493,398  

Short-Term Investments

     0        902,750        0       902,750  

Total Investments in Securities

     0        1,288,037,737        30,440,384       1,318,478,121  

Other Financial Instruments (b):

          

Assets

     0        0        0       0  

Liabilities:

          

Credit Default Swaps

     0        (366,641 )       0       (366,641 ) 

Total (l)

   $ 0      $ 1,287,671,096      $ 30,440,384     $ 1,318,111,480  
DIVERSIFIED MUNICIPAL PORTFOLIO
INVESTMENTS IN SECURITIES:		   LEVEL 1      LEVEL 2      LEVEL 3     TOTAL  

Assets:

          

Long-Term Municipal Bonds

   $ 0      $ 6,650,305,197      $ 103,269,095     $ 6,753,574,292  

Short-Term Municipal Notes

     0        399,678,883        0       399,678,883  

Governments—Treasuries

     0        3,896,250        0       3,896,250  

Short-Term Investments

     0        734,763        0       734,763  

Total Investments in Securities

     0        7,054,615,093        103,269,095       7,157,884,188  

Other Financial Instruments (b):

          

Assets

     0        0        0       0  

Liabilities:

          

Credit Default Swaps

     0        (1,652,482 )       0       (1,652,482 ) 

Total (l)

   $ 0      $ 7,052,962,611      $ 103,269,095     $ 7,156,231,706  

 

2018 Semi-Annual Report     51  

Table of Contents

Notes to Financial Statements (continued)

 

SHORT DURATION PLUS PORTFOLIO
INVESTMENTS IN SECURITIES:		   LEVEL 1      LEVEL 2      LEVEL 3      TOTAL  

Assets:

           

Governments—Treasuries

   $ 0      $ 70,813,878      $ 0      $ 70,813,878  

Corporates—Investment Grade

     0        48,009,289        0        48,009,289  

Asset-Backed Securities

     0        29,571,375        2,466,375        32,037,750  

Commercial Mortgage-Backed Securities

     0        17,089,888        1,424,531        18,514,419  

Collateralized Mortgage Obligations

     0        16,187,488        0        16,187,488  

Inflation-Linked Securities

     0        11,910,062        0        11,910,062  

Mortgage Pass-Throughs

     0        3,077,853        0        3,077,853  

Emerging Markets—Corporate Bonds

     0        354,112        0        354,112  

Short-Term Investments

     0        21,615,860        0        21,615,860  

Total Investments in Securities

     0        218,629,805        3,890,906        222,520,711  

Other Financial Instruments (b):

           

Assets:

           

Futures

     19,953        0        0        19,953  (c) 

Forward Currency Exchange Contracts

     0        45,908        0        45,908  

Credit Default Swaps

     0        1,124        0        1,124  

Liabilities:

           

Futures

     (42,052 )       0        0        (42,052 )(c) 

Credit Default Swaps

     0        (681,520 )       0        (681,520 ) 

Total (l)

   $ (22,099 )     $ 217,995,317      $ 3,890,906      $ 221,864,124  
INTERMEDIATE DURATION PORTFOLIO
INVESTMENTS IN SECURITIES:		   LEVEL 1      LEVEL 2      LEVEL 3      TOTAL  

Assets:

           

Mortgage Pass-Throughs

   $ 0      $ 737,675,261      $ 0      $ 737,675,261  

Corporates—Investment Grade

     0        667,166,031        3,241,194        670,407,225  

Governments—Treasuries

     0        340,605,814        0        340,605,814  

Asset-Backed Securities

     0        271,951,586        50,615,460        322,567,046  

Commercial Mortgage-Backed Securities

     0        234,340,788        54,843,184        289,183,972  

Collateralized Mortgage Obligations

     0        213,315,834        1,496,003        214,811,837  

Inflation-Linked Securities

     0        164,051,769        0        164,051,769  

Corporates—Non-Investment Grade

     0        117,275,833        0        117,275,833  

Agencies

     0        77,066,571        0        77,066,571  

Emerging Markets—Corporate Bonds

     0        34,959,189        0        34,959,189  

Emerging Markets—Treasuries

     0        28,723,007        0        28,723,007  

Local Governments—US Municipal Bonds

     0        12,974,512        0        12,974,512  

Governments—Sovereign Bonds

     0        5,150,166        0        5,150,166  

Common Stocks

     0        0        2,831,250        2,831,250  

Emerging Markets—Sovereigns

     0        2,120,167        0        2,120,167  

Quasi-Sovereigns

     0        1,999,639        0        1,999,639  

Short-Term Investments:

           

Governments—Treasuries

     0        269,383,162        0        269,383,162  

Agency Discount Notes

     0        214,423,275        0        214,423,275  

U.S. Treasury Bills

     0        92,839,620        0        92,839,620  

 

52   Sanford C. Bernstein Fund, Inc.

Table of Contents
INTERMEDIATE DURATION PORTFOLIO
INVESTMENTS IN SECURITIES:		   LEVEL 1      LEVEL 2      LEVEL 3      TOTAL  

Commercial Paper

   $ 0      $ 33,683,931      $ 0      $ 33,683,931  

Total Investments in Securities

     0        3,519,706,155        113,027,091        3,632,733,246  

Other Financial Instruments (b):

           

Assets:

           

Futures

     9,002,789        0        0        9,002,789  (c) 

Forward Currency Exchange Contracts

     0        2,754,984        0        2,754,984  

Centrally Cleared Interest Rate Swaps

     0        7,394,043        0        7,394,043  (c) 

Credit Default Swaps

     0        28,300        0        28,300  

Variance Swaps

     0        698        0        698  

Liabilities:

           

Futures

     (1,743,500 )       0        0        (1,743,500 )(c) 

Forward Currency Exchange Contracts

     0        (1,079,329 )       0        (1,079,329 ) 

Centrally Cleared Interest Rate Swaps

     0        (167,760 )       0        (167,760 )(c) 

Credit Default Swaps

     0        (12,485,861 )       0        (12,485,861 ) 

Variance Swaps

     0        (1,338 )       0        (1,338 ) 

Total (m)

   $ 7,259,289      $ 3,516,149,892      $ 113,027,091      $ 3,636,436,272  

 

  (a) A significant portion of the Portfolio’s foreign equity investments are categorized as Level 2 investments since they are valued using fair value prices based on third party vendor modeling tools to the extent available, see Note 1.A.

 

  (b) 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.

 

  (c) Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the schedule of investments. Centrally cleared swaps with upfront premiums are presented here at market value.

 

  (d) An amount of $18,280,514 was transferred from Level 1 to Level 2 due to decrease in trading volume during the reporting period.

 

  (e) An amount of $25,718,830 was transferred from Level 1 to Level 2 due to the above mentioned foreign equity fair valuation using third party vendor modeling tools during the reporting period.

 

  (f) There were de minimis transfers under 1% of net assets from Level 2 to Level 1 during the reporting period.

 

  (g) An amount of $41,251,912 was transferred from Level 1 to Level 2 due to decrease in trading volume during the reporting period.

 

  (h) An amount of $56,277,981 was transferred from Level 1 to Level 2 due to the above mentioned foreign equity fair valuation using third party vendor modelling tools during the reporting period.

 

  (i) The Portfolio held securities with zero market value at period end.

 

  (j) An amount of $29,761,609 was transferred from Level 1 to Level 2 due to the above mentioned foreign equity fair valuation using third party vendor modeling tools during the reporting period.

 

  (k) An amount of $25,893,769 was transferred from Level 1 to Level 2 due to decrease in trading volume during the reporting period.

 

  (l) There were no transfers between any levels during the reporting period.

 

  (m) There were no transfers between Level 1 and Level 2 during the reporting period.

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

 

2018 Semi-Annual Report     53  

Table of Contents

Notes to Financial Statements (continued)

 

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

 

EMERGING MARKETS PORTFOLIO   COMMON
STOCKS(a) 		     TOTAL                  

Balance as of 9/30/17

   $ 0      $ 0        

Accrued discounts/(premiums)

     0        0        

Realized gain (loss)

     0        0        

Change in unrealized appreciation/depreciation

     0        0        

Purchases

     0        0        

Sales

     0        0        

Transfers in to Level 3

     0        0        

Transfers out of Level 3

     0        0        
 

 

 

     

 

 

        

Balance as of 3/31/18

   $ 0      $ 0        
 

 

 

     

 

 

        

Net change in unrealized appreciation/depreciation from investments held as of 3/31/18 (b)

   $ 0      $ 0                    

SHORT DURATION DIVERSIFIED

MUNICIPAL PORTFOLIO

   LONG-TERM
MUNICIPAL  BONDS		      TOTAL                  

Balance as of 9/30/17

   $ 1,001,985      $ 1,001,985        

Accrued discounts/(premiums)

     (22,180 )       (22,180 )       

Realized gain (loss)

     (670,000 )       (670,000 )       

Change in unrealized appreciation/depreciation

     506,208        506,208        

Purchases

     4,255,923        4,255,923        

Sales

     (253,000 )       (253,000 )       

Transfers in to Level 3

     0        0        

Transfers out of Level 3

     0        0        
 

 

 

     

 

 

        

Balance as of 3/31/18

   $ 4,818,936      $ 4,818,936        
 

 

 

     

 

 

        

Net change in unrealized appreciation/depreciation from investments held as of 3/31/18 (b)

   $ (33,142 )     $ (33,142 )                   
NEW YORK MUNICIPAL PORTFOLIO   LONG-TERM
MUNICIPAL  BONDS		      SHORT-TERM
MUNICIPAL  NOTES		      TOTAL          

Balance as of 9/30/17

   $ 27,083,617      $ 4,820,287      $ 31,903,904     

Accrued discounts/(premiums)

     (163,503 )       (14,651 )       (178,154 )    

Realized gain (loss)

     (1,525,609 )       0        (1,525,609 )    

Change in unrealized appreciation/depreciation

     988,566        (3,291 )       985,275     

Purchases

     20,196,743        0        20,196,743     

Sales

     (13,346,694 )       (1,300,000 )       (14,646,694 )    

Transfers in to Level 3

     0        0        0     

Transfers out of Level 3

     0        0        0     
 

 

 

     

 

 

     

 

 

     

Balance as of 3/31/18

   $ 33,233,120      $ 3,502,345      $ 36,735,465     
 

 

 

     

 

 

     

 

 

     

Net change in unrealized appreciation/depreciation from investments held as of 3/31/18 (b)

  $ (60,961 )     $ 133      $ (60,828 )          

 

54   Sanford C. Bernstein Fund, Inc.

Table of Contents
CALIFORNIA MUNICIPAL PORTFOLIO   LONG-TERM
MUNICIPAL  BONDS(a)		      TOTAL                  

Balance as of 9/30/17

   $ 23,859,247      $ 23,859,247        

Accrued discounts/(premiums)

     (116,219 )       (116,219 )       

Realized gain (loss)

     0        0        

Change in unrealized appreciation/depreciation

     (138,763 )       (138,763 )       

Purchases

     6,836,119        6,836,119        

Sales

     0        0        

Transfers in to Level 3

     0        0        

Transfers out of Level 3

     0        0        
 

 

 

     

 

 

        

Balance as of 3/31/18

   $ 30,440,384      $ 30,440,384        
 

 

 

     

 

 

        

Net change in unrealized appreciation/depreciation from investments held as of 3/31/18 (b)

  $ (138,763 )     $ (138,763 )                   
DIVERSIFIED MUNICIPAL PORTFOLIO   LONG-TERM
MUNICIPAL  BONDS		      TOTAL                  

Balance as of 9/30/17

   $ 71,131,365      $ 71,131,365        

Accrued discounts/(premiums)

     (394,225 )       (394,225 )       

Realized gain (loss)

     (16,218 )       (16,218 )       

Change in unrealized appreciation/depreciation

     (750,810 )       (750,810 )       

Purchases

     36,779,468        36,779,468        

Sales

     (3,480,485 )       (3,480,485 )       

Transfers in to Level 3

     0        0        

Transfers out of Level 3

     0        0        
 

 

 

     

 

 

        

Balance as of 3/31/18

   $ 103,269,095      $ 103,269,095        
 

 

 

     

 

 

        

Net change in unrealized appreciation/depreciation from investments held as of 3/31/18 (b)

   $ (739,003 )     $ (739,003 )                   
SHORT DURATION PLUS PORTFOLIO   ASSET-BACKED
SECURITIES		      COMMERCIAL
MORTGAGE-
BACKED
SECURITIES 		     TOTAL          

Balance as of 9/30/17

   $ 2,940,010      $ 1,450,211      $ 4,390,221     

Accrued discounts/(premiums)

     40        (669 )       (629 )    

Realized gain (loss)

     174        0        174     

Change in unrealized appreciation/depreciation

     (21,693 )       (25,011 )       (46,704 )    

Purchases/Payups

     398,957        0        398,957     

Sales/Paydowns

     (851,113 )       0        (851,113 )    

Transfers in to Level 3

     0        0        0     

Transfers out of Level 3

     0        0        0     
 

 

 

     

 

 

     

 

 

     

Balance as of 3/31/18

   $ 2,466,375      $ 1,424,531      $ 3,890,906     
 

 

 

     

 

 

     

 

 

     

Net change in unrealized appreciation/depreciation from investments held as of 3/31/18 (b)

  $ (21,693 )     $ (25,011 )     $ (46,704 )          

 

2018 Semi-Annual Report     55  

Table of Contents

Notes to Financial Statements (continued)

 

INTERMEDIATE DURATION PORTFOLIO   CORPORATES -
INVESTMENT GRADE		      ASSET-
BACKED
SECURITIES		      COMMERCIAL
MORTGAGE-
BACKED
SECURITIES 		        

Balance as of 9/30/17

   $ —      $ 35,784,826      $ 41,870,514    

Accrued discounts/(premiums)

     1,688        197        15,379    

Realized gain (loss)

     —        (3,104,663 )       (774,799 )   

Change in unrealized appreciation/depreciation

     (863 )       (512,167 )       245,704    

Purchases/Payups

     3,240,369        23,732,997        21,147,470    

Sales/Paydowns

     —        (5,285,730 )       (7,661,084 )   

Transfers in to Level 3

     —        —        —    

Transfers out of Level 3

     —        —        —    
 

 

 

     

 

 

     

 

 

    

Balance as of 3/31/18

   $ 3,241,194      $ 50,615,460      $ 54,843,184    
 

 

 

     

 

 

     

 

 

    

Net change in unrealized appreciation/depreciation from investments held as of 3/31/18 (b)

   $ (863 )     $ (512,167 )     $ (92,377 )         
     COLLATERALIZED
MORTGAGE
OBLIGATIONS		     

COMMON

STOCKS

      TOTAL         

Balance as of 9/30/17

   $ 6,068,447      $ 2,919,144      $ 86,642,931    

Accrued discounts/(premiums)

     —        —        17,264    

Realized gain (loss)

     —        —        (3,879,462 )   

Change in unrealized appreciation/depreciation

     2,178        (87,894 )       (353,042 )   

Purchases/Payups

     —        —        48,120,836    

Sales/Paydowns

     —        —        (12,946,814 )   

Transfers in to Level 3

     —        —        —    

Transfers out of Level 3

     (4,574,622 )       —        (4,574,622 )(c)   
 

 

 

     

 

 

     

 

 

    

Balance as of 3/31/18

   $ 1,496,003      $ 2,831,250      $ 113,027,091    
 

 

 

     

 

 

     

 

 

    

Net change in unrealized appreciation/depreciation from investments held as of 3/31/18 (b)

   $ 2,178      $ (87,894 )     $ (691,123 )         

 

  (a) The Portfolio held securities with zero market value at period end.

 

  (b) The unrealized appreciation/depreciation is included in net change in unrealized appreciation/depreciation on investments and other financial instruments in the accompanying statement of operations.

 

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

The following presents information about significant unobservable inputs related to the Portfolio’s Level 3 investments at March 31, 2018. Securities priced by i) broker or ii) third party vendors, which approximates fair value, are excluded from the following table:

 

   

QUANTITATIVE INFORMATION ABOUT LEVEL 3 FAIR VALUE MEASUREMENTS

CALIFORNIA MUNICIPAL PORTFOLIO  

FAIR VALUE
AT 3/31/18

     

VALUATION
TECHNIQUE

   

UNOBSERVABLE
INPUT

   

INPUT

Long-Term Municipal Bonds

     $0      Qualitative Assessment         $0.00/N/A
INTERMEDIATE DURATION PORTFOLIO   FAIR VALUE
AT 3/31/18		      VALUATION
TECHNIQUE		    UNOBSERVABLE
INPUT		    INPUT
Common Stocks   $ 2,831,250      Market Approach    NAV Equivalent    $1,006.49/N/A

 

56   Sanford C. Bernstein Fund, Inc.

Table of Contents

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

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

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

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

 

C.   Foreign Currency Translation

The accounting records of the Portfolios are maintained in U.S. dollars. Prices of securities and other assets and liabilities denominated in non-U.S. currencies are translated into U.S. dollars using the exchange rate at 4:00 p.m., Eastern Time. Amounts related to the purchases and sales of securities, investment income and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions.

Net realized gain or loss on foreign currency transactions represents net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on security transactions and the difference between the amount of dividends, interest and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent amount actually received or paid. Net unrealized currency gains and losses arising from valuing foreign currency denominated assets and liabilities, other than security investments, at the current exchange rate are reflected as part of unrealized appreciation/depreciation on foreign currencies.

The Portfolios do isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of securities held at period end. The Portfolios do isolate the effect of changes in foreign exchange rates from changes in market prices of securities sold during the year, as required by the Internal Revenue Code.

The International Portfolio, Tax-Managed International Portfolio, Emerging Markets Portfolio, Short Duration Plus Portfolio and Intermediate Duration Portfolio may invest in foreign securities and foreign currency transactions that may involve risks not associated with domestic investments as a result of the level of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability, among others.

 

D.   Taxes

Each Portfolio is treated as a separate entity for federal income tax purposes. Each Portfolio intends to continue to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986 as they apply to regulated investment companies. By so complying, each Portfolio will not be subject to federal and state income taxes to the extent that all of

 

2018 Semi-Annual Report     57  

Table of Contents

Notes to Financial Statements (continued)

 

its income is distributed. The Portfolios may be subject to taxes imposed by countries in which they invest. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned based on management’s understanding of applicable local tax law.

In consideration of recent decisions rendered by the European courts, International Portfolio and Tax-Managed International Portfolio filed reclaims to recover taxes withheld on dividends earned from certain European Union countries during calendar years 2008 through 2010. These filing are subject to various administrative and judicial proceedings within these countries. No amounts for additional tax reclaims are disclosed in the financial statements due to the uncertainty as to the ultimate resolution of proceedings, the likelihood of receipt of these reclaims, and the potential timing of payment.

In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Portfolios’ tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Portfolios’ financial statements. As of September 30, 2017, the Portfolios did not have any unrecognized tax benefits.

 

E.   Security Transactions and Related Investment Income

Security transactions are accounted for on the trade date (the date the buy or sell order is executed). Securities gains and losses are calculated on the identified cost basis. Interest income is recorded on the accrual basis and dividend income is recorded on the ex-dividend date or as soon as the Portfolios are informed of the dividend. The Portfolios amortize premiums and accrete discounts as adjustments to interest income.

 

F.   Securities Transactions on a When-Issued or Delayed-Delivery Basis

Each Portfolio may purchase securities on a when-issued basis or purchase or sell securities on a delayed-delivery basis. At the time a Portfolio commits to purchase a security on a when-issued or delayed-delivery basis, the Portfolio will record the transaction and use the security’s value in determining the Portfolio’s net asset value. At the time a Portfolio commits to sell a security on a delayed-delivery basis, the Portfolio will record the transaction and exclude the security’s value in determining the Portfolio’s net asset value.

 

G.   Class Allocations

All income earned and expenses incurred by the Portfolios are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Portfolio represented by the shares of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Fund are charged proportionately to each Portfolio or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.

 

H.   Distribution of Income and Gains

Net investment income of each Portfolio except the International Portfolio, Tax-Managed International Portfolio and Emerging Markets Portfolio is declared and recorded as a dividend to shareholders daily and is payable to shareholders monthly. Dividends from net investment income, if any, of the International Portfolio, Tax-Managed International Portfolio and Emerging Markets Portfolio will be paid to shareholders at least once a year.

Distributions of net realized gains, less any available loss carryforwards, if any, for all the Portfolios will be paid to shareholders at least once a year, and recorded on the ex-dividend date.

Elements of realized gains and net investment income may be recorded in different accounting periods for financial reporting (book) and federal income tax (tax) purposes (temporary differences). To the extent that such distributions required for tax purposes exceed income and gains recorded for book purposes as a result of such temporary differences, “excess distributions” are reflected in the accompanying statement of assets and liabilities. To the extent distributions exceed income and gains for tax purposes, such distributions would be shown as “return of capital” on the statement of changes in net assets. Certain other differences—permanent differences—arise because treatment of elements of income and gains is different between book and tax accounting. Permanent differences are reclassified in the year they arise.

 

58   Sanford C. Bernstein Fund, Inc.

Table of Contents
I.   Repurchase Agreements

Each Portfolio may enter into repurchase agreements with banks or securities broker-dealers. It is the Fund’s policy that its custodian receives delivery of the securities collateralizing repurchase agreements, the amount of which at the time of purchase and each subsequent business day is required to be maintained at such a level that the market value of the collateral is equal to at least 100% of the repurchase price. Repurchase agreements could involve certain risks in the event of default or insolvency of the other party, including possible delays or restrictions on the Portfolio’s ability to dispose of the underlying securities.

 

NOTE 2. Investment Management and Transactions with Affiliated Persons

 

A.   Management Fee

Under the Investment Management Agreement between the Fund and the Adviser, the Adviser manages the investment of each Portfolio’s assets, places purchase and sale orders, and bears various expenses, including the salaries and expenses of all personnel except those of outside directors. In addition, the Adviser agrees to permit its directors, officers and employees who may be elected directors or officers of the Fund to serve in the capacities to which they are elected. The Adviser renders these services subject to the general oversight of the Board.

The Portfolios pay the Adviser an investment management fee, based on an annual rate, for such services as follows:

 

    ANNUAL PERCENTAGE OF AVERAGE DAILY NET ASSETS OF EACH PORTFOLIO  
PORTFOLIO                  

FIRST

$2.5 BILLION

     

NEXT

$2.5 BILLION

      THEREAFTER  
International           0.750 %       0.650 %       0.600 % 
             
                    

FIRST

$2.5 BILLION

     

NEXT

$2.5 BILLION

      THEREAFTER  
Tax-Managed International           0.750 %       0.650 %       0.600 % 
             
                    

FIRST

$2.5 BILLION

     

NEXT

$2.5 BILLION

      THEREAFTER  
Emerging Markets           0.950 %       0.900 %       0.850 % 
             
                            

FIRST

$750 MILLION

      THEREAFTER  
Short Duration Diversified Municipal              0.300 %       0.250 % 
             
                            

FIRST

$750 MILLION

      THEREAFTER  
Short Duration Plus              0.350 %       0.300 % 
             
            

FIRST

$1 BILLION

     

NEXT

$2 BILLION

     

NEXT

$2 BILLION

      THEREAFTER  
New York Municipal and California Municipal        0.425 %       0.375 %       0.325 %       0.275 % 
             
    

FIRST

$1 BILLION

     

NEXT

$2 BILLION

     

NEXT

$2 BILLION

     

NEXT

$2 BILLION

      THEREAFTER  
Diversified Municipal     0.425 %       0.375 %       0.325 %       0.275 %       0.225 % 
             
            

FIRST

$2.5 BILLION

     

NEXT

$2.5 BILLION

     

NEXT

$3 BILLION

      THEREAFTER  
Intermediate Duration              0.450 %       0.400 %       0.350 %       0.300 % 

 

2018 Semi-Annual Report     59  

Table of Contents

Notes to Financial Statements (continued)

 

For the period from January 27, 2017 to December 31, 2017, the below Portfolios paid the Adviser an investment management fee, based on an annual rate, for such services as follows:

 

    ANNUAL PERCENTAGE OF AVERAGE DAILY NET ASSETS OF EACH PORTFOLIO  
            

FIRST

$1 BILLION

     

NEXT

$3 BILLION

     

NEXT

$2 BILLION

     

NEXT

$2 BILLION

      THEREAFTER  
International        0.925 %       0.850 %       0.800 %       0.750 %       0.650 % 
                
    

FIRST

$1 BILLION

     

FIRST

$3 BILLION

     

NEXT

$2 BILLION

     

NEXT

$2 BILLION

     

NEXT

$2 BILLION

      THEREAFTER  
Tax-Managed International     0.925 %       0.850 %       0.800 %       0.750 %       0.650 %       0.600 % 
                
            

FIRST

$1 BILLION

     

NEXT

$1 BILLION

     

NEXT

$1 BILLION

     

NEXT

$3 BILLION

      THEREAFTER  
Emerging Markets        1.175 %       1.050 %       1.000 %       0.900 %       0.850 % 
                
                                    

FIRST

$750 MILLION

      THEREAFTER  
Short Duration Diversified Municipal                 0.400 %       0.350 % 
                
                                    

FIRST

$750 MILLION

      THEREAFTER  
Short Duration Plus                 0.450 %       0.400 % 
                
            

FIRST

$1 BILLION

     

NEXT

$2 BILLION

     

NEXT

$2 BILLION

     

NEXT

$2 BILLION

      THEREAFTER  
Intermediate Duration              0.500 %       0.450 %       0.400 %       0.350 %       0.300 % 
                

Prior to January 27, 2017, the below Portfolios paid the Adviser an investment management fee, based on an annual rate, for such services as follows:

 

    ANNUAL PERCENTAGE OF AVERAGE DAILY NET ASSETS OF EACH PORTFOLIO  
                            

FIRST

$750 MILLION

      THEREAFTER  
Short Duration Diversified Municipal              0.450 %       0.400 % 
             
            

FIRST

$1 BILLION

     

NEXT

$2 BILLION

     

NEXT

$2 BILLION

      THEREAFTER  
New York Municipal and California Municipal        0.500 %       0.450 %       0.400 %       0.350 % 
             
    

FIRST

$1 BILLION

     

NEXT

$2 BILLION

     

NEXT

$2 BILLION

     

NEXT

$2 BILLION

      THEREAFTER  
Diversified Municipal     0.500 %       0.450 %       0.400 %       0.350 %       0.300 % 
             

Prior to January 1, 2018, the Adviser voluntarily waived the annual investment management fees of the International Portfolio and Tax-Managed International Portfolio by an amount equal to 0.05% per annum of the respective average net assets of the Portfolios. Prior to January 1, 2018, the Adviser voluntarily waived the annual investment management fees of the Emerging Markets Portfolio by an amount equal to 0.025% per annum of the respective average net assets. For the six months ended March 31, 2018, such waivers amounted to $207,310, $467,064 and $96,043 for the International Portfolio, Tax-Managed International Portfolio and Emerging Markets Portfolio, respectively.

Prior to January 27, 2018, the Adviser agreed to bear certain expenses to the extent necessary to limit the total operating expenses on an annual basis (the “Expense Cap”) to 1.20%, 1.20%, 1.95%, 1.95% and 0.95% of average daily net assets for Bernstein Class shares, Class A, Class B, Class C and Class Z, respectively, for the International Portfolio and Tax-Managed International Portfolio, 1.50% and 1.25% for Bernstein Class shares and Class Z, respectively, for the Emerging Markets Portfolio. For the six months ended March 31, 2018, there was no such reimbursement.

During the six months ended March 31, 2018, the Adviser reimbursed the Emerging Markets Portfolio $31,039 for trading losses incurred due to trade entry errors. During the year ended September 30, 2017, the Adviser reimbursed the

 

60   Sanford C. Bernstein Fund, Inc.

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Emerging Markets Portfolio, Diversified Municipal Portfolio, Short Duration Plus Portfolio and Intermediate Duration Portfolio Portfolios $52,505, $1,199, $5,699 and $3,839, respectively, for trading losses incurred due to trade entry errors.

 

B.   Shareholder Servicing Fee; Transfer Agency Fee

Under the Shareholder Servicing Agreement between the Sanford C. Bernstein Fund, Inc. and the Adviser, the Adviser pays expenses it incurs in providing shareholder servicing to the Fund, the Portfolios and individual shareholders. The Shareholder Servicing Agreement does not apply to the Retail Classes. Such services include, but are not limited to, providing information to shareholders concerning their Sanford C. Bernstein Fund investments, systematic withdrawal plans, fund dividend payments and reinvestments, shareholder account or transactions status, net asset value of shares, fund performance, fund services, plans and options, fund investment policies, portfolio holdings and tax consequences of fund investments; dealing with shareholder complaints and other correspondence relating to fund matters; and communications with shareholders when proxies are being solicited from them with respect to voting their fund shares. Under the agreement, the fee paid by each Portfolio except the International Portfolio, Tax-Managed International Portfolio, and Emerging Markets Portfolio to the Adviser for services is 0.10 of 1%, annualized, of the average daily net assets attributable to the Bernstein Class during the month, and the fee paid by the International Portfolio, Tax-Managed International Portfolio, and Emerging Markets Portfolio for services is 0.25 of 1%, annualized, of the average daily net assets attributable to the Bernstein Class during the month.

Under a Transfer Agency Agreement between the Sanford C. Bernstein Fund, Inc., on behalf of the Retail Classes, and AllianceBernstein Investor Services, Inc. (“ABIS”), the Retail Classes compensate ABIS, a wholly owned subsidiary of the Adviser, for providing personnel and facilities to perform transfer agency services. ABIS may make payments to intermediaries that provide omnibus account services, sub accounting services and/or networking services. For the six months ended March 31, 2018, the compensation retained by ABIS amounted to: International Portfolio, $36,514; Tax-Managed International Portfolio, $43,883; Emerging Markets Portfolio, $19,173; New York Municipal Portfolio, $12,345; California Municipal Portfolio, $9,029; Diversified Municipal Portfolio, $178,703; and Short Duration Plus Portfolio, $8,194.

The Adviser is currently waiving the costs of transfer agency fees for Classes A, B and C and printing fees for Classes A, B, C and Z of the International and Tax-Managed International Portfolios. For the six months ended March 31, 2018, such waivers amounted to $24,240 and $5,427, respectively.

 

C.   Distribution Arrangements—the Portfolios Except the Retail Classes

Under the Distribution Agreement between the Fund, on behalf of each Portfolio, and Sanford C. Bernstein & Co., LLC (the “Distributor”), the Distributor agrees to act as agent to sell shares of the SCB Portfolios. The Distributor receives no fee for this service, and furthermore agrees to pay all expenses arising from the performance of its obligations under this agreement. The Distributor is a wholly owned subsidiary of the Adviser.

 

D.   Distribution Arrangements—the Retail Classes Only

The Retail Classes of the International Portfolio, the Tax-Managed International Portfolio, the Intermediate Municipal Portfolios, and the Short Duration Plus Portfolio have adopted a Distribution Services Agreement (the “Agreement”), including a distribution plan pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement, each of the Retail Classes pays distribution services fees to AllianceBernstein Investments, Inc., (the “Retail Distributor”), a wholly owned subsidiary of the Adviser, at an annual rate of up to 0.30 of 1% of the Class A Shares, and 1% of the Class B and Class C Shares of the respective average daily net assets attributable to the Retail Classes. Effective January 30, 2015, payments under the Agreement in respect of Class A shares are limited to an annual rate of 0.25 of 1% of Class A shares’ average daily net assets. With respect to the Short Duration Plus Portfolio, the Distributor voluntarily reduced distribution service fees of Class A Shares to 0.20 of 1% of the average daily net assets for the period of April 1, 2015 to June 30, 2015 and further voluntarily reduced fees to zero for the period of July 1, 2015 to October 31, 2015. Effective April 1, 2012, the Distributor voluntarily agreed to waive 0.55 of 1% to limit fees for Short Duration Plus Portfolio to 0.45 of 1% of the average daily net assets attributable to the Class B Shares and Class C Shares. The fees are accrued daily and paid monthly. For the six months ended March 31, 2018, such waiver amounted to $12,115. The Agreement provides that the Retail Distributor will use such payments in their entirety for distribution assistance and

 

2018 Semi-Annual Report     61  

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Notes to Financial Statements (continued)

 

promotional activities. The Retail Distributor has advised the Sanford C. Bernstein Fund, Inc., that it has incurred expenses in excess of the distribution costs reimbursed by each of the Retail Classes as follows:

 

    PORTFOLIO  
     INTERNATIONAL      TAX-MANAGED
INTERNATIONAL 		     NEW YORK
MUNICIPAL		      CALIFORNIA
MUNICIPAL		      DIVERSIFIED
MUNICIPAL		      SHORT
DURATION PLUS		  

Class B

   $ 196,285      $ 225,619      $ 743,241      $ 507,022      $ 455,452      $ 14,176  

Class C

     1,463,349        1,237,432        2,364,684        1,312,530        3,174,275        1,023,893  

There are no distribution and servicing fees on the Advisor Class Shares.

While such costs may be recovered from each Portfolio in future periods so long as the Agreement is in effect, the rate of the distribution and servicing fees payable under the Agreement may not be increased without a shareholder vote. In accordance with the Agreement, there is no provision for recovery of unreimbursed distribution costs incurred by the Distributor beyond the current fiscal year for Class A shares. The Agreement also provides that the Adviser may use its own resources to finance the distribution of each Portfolio’s shares.

 

E.   Other Transactions with Affiliates

Class A Shares of the Retail Classes are sold with a front-end sales charge of up to 4.25% for purchases not exceeding $1,000,000. Effective October 1, 2009, the Intermediate Municipal Portfolios Class A shares were sold with a reduced front-end sales charge of up to 3.00% for purchases up to $500,000; purchases of $500,000 or more will not be subject to a sales charge. With respect to purchases of $1,000,000 or more ($500,000 or more with respect to the Intermediate Municipal Portfolios effective October 1, 2009), Class A Shares redeemed within one year of purchase may be subject to a contingent deferred sales charge of 1%. Class B Shares of the Intermediate Municipal Portfolios and the Short Duration Plus Portfolio are currently sold with a contingent deferred sales charge that declines from 3% to zero depending on the period of time the shares are held. Class B Shares of the International Portfolio and the Tax-Managed International Portfolio are currently sold with a contingent deferred sales charge that declines from 4% to zero depending on the period of time the shares are held. Effective January 31, 2009, sales of Class B shares of the Portfolios to new investors were suspended. Effective October 4, 2016 sales of Class B shares of California Municipal Portfolio to new and existing investors were suspended. Class B shares will only be issued (i) upon the exchange of Class B shares from another AB mutual fund, (ii) for purposes of dividend reinvestment, (iii) through the Portfolios’ Automatic Investment Program (the “Program”) for accounts that established the Program prior to January 31, 2009, and (iv) for purchases of additional shares by Class B shareholders as of January 31, 2009. The ability to establish a new Program for accounts containing Class B shares was suspended as of January 31, 2009. Class B Shares will automatically convert to Class A Shares six years after the end of the calendar month of purchase for the Intermediate Municipal Portfolios and the Short Duration Plus Portfolio, and eight years after the end of the calendar month of purchase for the International Portfolio and the Tax-Managed International Portfolio.

Class C Shares are subject to a contingent deferred sales charge of 1% on redemptions made within the first year after purchase, and 0% after the first year of purchase. Effective April 10, 2017, Class C shares will automatically convert to Class A shares ten years after the end of the calendar month of purchase.

AllianceBernstein Investments, Inc. has advised the Fund, that it has retained front-end sales charges from sales of Class A Shares and received contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C Shares for the six months ended March 31, 2018, as follows:

 

      

FRONT-END
SALES
CHARGES

CLASS A

      CONTINGENT DEFERRED SALES  CHARGES  
PORTFOLIO         CLASS A      CLASS C  

International

      $ 166      $ 37      $ 0  

Tax-Managed International

        147        0        0  

New York Municipal

        59        2,165        284  

California Municipal

        15        67        316  

Diversified Municipal

        0        1,186        550  

Short Duration Plus

        49        0        0  

 

62   Sanford C. Bernstein Fund, Inc.

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Brokerage commissions paid on investment transactions and brokerage commissions paid to Sanford C. Bernstein & Co., LLC and Sanford C. Bernstein & Co., Ltd., affiliates of the Adviser, for the six months ended March 31, 2018 were as follows:

 

PORTFOLIO  

TOTAL

COMMISSIONS

      SANFORD C. BERNSTEIN
& CO., LLC		     

SANFORD C. BERNSTEIN

& CO., LTD.

  

International

   $ 394,623      $ 0      $ 0  

Tax-Managed International

     863,363        0        0  

Emerging Markets

     922,626        0        0  

Short Duration Plus

     2,754        0        0  

Intermediate Duration

     78,032        0        0  

There were no brokerage commissions paid by Short Duration Diversified Municipal, New York Municipal, California Municipal and Diversified Municipal for the six months ended March 31, 2018.

 

NOTE 3. Investment Security Transactions

 

A.   Purchases and Sales

For the six months ended March 31, 2018, the Portfolios had purchases and sales transactions, excluding transactions in short-term instruments, as follows:

 

PORTFOLIO   PURCHASES EXCLUDING
U.S. GOVERNMENT
SECURITIES		      PURCHASES OF
U.S. GOVERNMENT
SECURITIES		      SALES EXCLUDING
U.S.  GOVERNMENT
SECURITIES		     

SALES OF
U.S. GOVERNMENT

SECURITIES

  

International

   $ 314,641,377      $ 0      $ 396,127,094      $ 0  

Tax-Managed International

     758,956,559        0        780,050,270        0  

Emerging Markets

     405,076,695        0        449,167,075        0  

Short Duration Diversified Municipal

     39,782,758        0        17,080,095        0  

New York Municipal

     318,099,593        0        134,237,509        87,685,523  

California Municipal

     271,930,367        0        100,929,683        60,835,921  

Diversified Municipal

     1,216,384,749        5,004,492        530,618,892        341,967,042  

Short Duration Plus

     10,151,337        51,664,471        19,417,690        63,798,545  

Intermediate Duration

     420,792,126        3,319,078,363        245,896,298        3,260,145,887  

The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation are as follows:

 

    GROSS UNREALIZED     

NET UNREALIZED
APPRECIATION/

(DEPRECIATION)

  
PORTFOLIO   APPRECIATION      (DEPRECIATION)     

International

   $ 275,959,810      $ (56,100,599 )     $ 219,859,211  

Tax-Managed International

     623,762,008        (157,971,431 )       465,790,577  

Emerging Markets

     357,475,362        (55,410,563 )       302,064,799  

Short Duration Diversified Municipal

     98,292        (1,257,153 )       (1,158,861 ) 

New York Municipal

     30,958,214        (10,260,722 )       20,697,492  

California Municipal

     23,009,156        (6,841,976 )       16,167,180  

Diversified Municipal

     114,826,095        (63,426,499 )       51,399,596  

Short Duration Plus

     1,619,922        (2,280,673 )       (660,751 ) 

Intermediate Duration

     78,649,997        (44,568,234 )       34,081,763  

 

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Notes to Financial Statements (continued)

 

 

B.   Derivative Financial Instruments

Each Portfolio may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.

The principal types of derivatives utilized by the Portfolios, as well as the methods in which they may be used are:

 

  •  

Futures

Each Portfolio may buy or sell futures for investment purposes or for the purpose of hedging its portfolio against adverse effects of potential movements in the market. The Portfolios bear the market risk that arises from changes in the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Portfolios may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under “Currency Transactions”.

At the time a Portfolio enters into futures, a Portfolio deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Portfolios agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Portfolios as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.

Use of long futures subjects the Portfolios to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Portfolios to unlimited risk of loss. Each Portfolio may enter into futures only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transactions; therefore, the Portfolios’ credit risk is subject to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.

During the six months ended March 31, 2018, the International Portfolio and Tax-Managed International Portfolio held futures for hedging purposes. During the six months ended March 31, 2018, the Emerging Markets Portfolio held futures for non-hedging purposes. During the six months ended March 31, 2018, the Short Duration Plus Portfolio and Intermediate Duration Portfolio held futures for hedging and non-hedging purposes.

 

  •  

Forward Currency Exchange Contracts

The International Portfolio, Tax-Managed International Portfolio, Emerging Markets Portfolio, Short Duration Plus Portfolio and Intermediate Duration Portfolio may enter into forward currency exchange contracts on either a spot (i.e., cash) or forward basis. Spot contracts are entered into at the rate then prevailing in the currency-exchange market. Forward currency exchange contracts obligate the contracting parties to purchase or sell a specific currency at a specified future date at a specified price. The Portfolios will generally not enter into a forward currency exchange contract with a term greater than one year. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on foreign currency transactions. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Portfolio. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.

Forward currency exchange contracts used to protect the Portfolios from adverse currency movements involve the risk that the Adviser may not accurately predict currency movements. As a result, total return could be adversely affected. The Adviser may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps and other options. The Adviser may enter into foreign currency transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value.

 

64   Sanford C. Bernstein Fund, Inc.

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Under certain circumstances, the Non-U.S. stock portfolios may commit a substantial portion or the entire value of their Portfolios to the consummation of these contracts. The Adviser will consider the effect that a substantial commitment of assets to forward currency exchange contracts would have on the investment program of these Portfolios and the flexibility of the Portfolios to purchase additional securities.

During the six months ended March 31, 2018, the International Portfolio, Tax-Managed International Portfolio and Short Duration Plus Portfolio held forward currency exchange contracts for hedging purposes. During the six months ended March 31, 2018, the Emerging Markets Portfolio and Intermediate Duration Portfolio held forward currency exchange contracts for hedging and non-hedging purposes.

 

  •  

Swaps

The Portfolios may enter into swaps to hedge their exposure to interest rates, credit risk, or currencies. Certain Portfolios may also enter into swaps for non-hedging purposes as a means of gaining market exposures, including by making direct investments in foreign currencies, as described below under “Currency Transactions.” A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Portfolios in accordance with the terms of the respective swaps to provide value and recourse to the Portfolios or their counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.

Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Portfolios, and/or the termination value at the end of the contract. Therefore, the Portfolios consider the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Portfolios and the counterparty and by the posting of collateral by the counterparty to the Portfolios to cover the Portfolios’ exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Portfolios accrue for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received in connection with credit default swaps are recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the statement of operations.

Certain standardized swaps, including certain interest rate swaps and credit default swaps are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (“FCMs”) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.

At the time the Portfolios enter into a centrally cleared swap, the Portfolios deposit and maintain as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Portfolios agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Portfolios as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.

Interest Rate Swaps:

The Fixed-Income Portfolios are subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Portfolios hold fixed rate bonds, the value of these bonds may decrease if interest rates rise. To

 

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Notes to Financial Statements (continued)

 

help hedge against this risk and to maintain its ability to generate income at prevailing market rates, the Portfolios may enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Portfolios may elect to pay a fixed rate and receive a floating rate, or receive a fixed rate and pay a floating rate on a notional amount.

In addition, a Portfolio may also enter into interest rate swap transactions to preserve a return or spread on a particular investment or portion of its portfolio, or protecting against an increase in the price of securities the Portfolio anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Portfolio with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) computed based on a contractually-based principal (or “notional”) amount. Interest rate swaps are entered into on a net basis (i.e., the two payment streams are netted out, with the Portfolio receiving or paying, as the case may be, only the net amount of the two payments).

During the six months ended March 31, 2018, the Intermediate Duration Portfolio held interest rate swaps for hedging and non-hedging purposes.

Credit Default Swaps:

The Fixed-Income Portfolios may enter into credit default swaps for multiple reasons, including to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults by corporate and sovereign issuers held by the Portfolios, or to create exposure to corporate or sovereign issuers to which they are not otherwise exposed. The Portfolios may purchase credit protection (“Buy Contract”) or provide credit protection (“Sale Contract”) on the referenced obligation of the credit default swap. During the term of the swap, the Portfolios receive/(pay) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Portfolio is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Portfolios will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap (the “Maximum Payout Amount”) and deliver/(take delivery of) the referenced obligation or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront premium received upon entering into the agreement, or net amounts received from settlement of buy protection credit default swaps entered into by the Portfolios for the same referenced obligations with the same counterparty. As of March 31, 2018, the Portfolios did not have Buy Contracts outstanding with respect to the same referenced obligation and same counterparty for its Sale Contracts outstanding.

Credit default swaps may involve greater risks than if a Portfolio had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If a Portfolio is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If a Portfolio is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Portfolio coupled with the periodic payments previously received, may be less than the Maximum Payout Amount it pays to the buyer, resulting in a net loss to the Portfolio.

Implied credit spreads over U.S. Treasuries of comparable maturity utilized in determining the market value of credit default swaps on issuers as of period end are disclosed in the schedule of investments. The implied spreads serve as an indicator of the current status of the payment/performance risk and typically reflect the market’s assessment of the likelihood of default by the issuer of the referenced obligation. The implied credit spread of a particular reference obligation also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Widening credit spreads typically represent a deterioration of the referenced obligation’s credit soundness and greater likelihood of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced obligation.

During the six months ended March 31, 2018, the New York Municipal Portfolio, California Municipal Portfolio and Diversified Municipal Portfolio held credit default swaps for non-hedging purposes. During the six months ended March 31, 2018, the Short Durations Plus Portfolio and Intermediate Duration Portfolio held credit default swaps for hedging and non-hedging purposes.

 

66   Sanford C. Bernstein Fund, Inc.

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Variance Swaps:

A Portfolio may enter into variance swaps to hedge equity market risk or adjust exposure to the equity markets. Variance swaps are contracts in which two parties agree to exchange cash payments based on the difference between the stated level of variance and the actual variance realized on underlying asset(s) or index(es). Actual “variance” as used here is defined as the sum of the square of the returns on the reference asset(s) or index(es) (which in effect is a measure of its “volatility”) over the length of the contract term. So the parties to a variance swap can be said to exchange actual volatility for a contractually stated rate of volatility.

During the six months ended March 31, 2018, the Intermediate Duration Portfolio held variance swaps for hedging purposes.

A Portfolio typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, a Portfolio typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of a Portfolio’s net liability, held by the defaulting party, may be delayed or denied.

A Portfolio’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of a Portfolio decline below specific levels (“net asset contingent features”). If these levels are triggered, a Portfolio’s OTC counterparty has the right to terminate such transaction and require the Portfolio to pay or receive a settlement amount in connection with the terminated transaction. For additional details, please refer to netting arrangements by the OTC counterparty tables below.

During the six months ended March 31, 2018, the Portfolios had entered into the following derivatives:

 

INTERNATIONAL PORTFOLIO    ASSET DERIVATIVES      LIABILITY DERIVATIVES  
DERIVATIVE TYPE   

STATEMENT OF ASSETS
AND LIABILITIES

LOCATION

    FAIR VALUE      STATEMENT OF ASSETS
AND  LIABILITIES LOCATION		    FAIR VALUE  

Equity contracts

         

Receivable/Payable for variation margin on futures

    $ 92,521 * 

Foreign currency contracts

   

Unrealized appreciation on forward currency exchange contracts

    $ 2,500,952     

Unrealized depreciation on forward currency exchange contracts

      4,934,690  

Total

         $ 2,500,952           $ 5,027,211  

 

  * Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the schedule of investments.

 

DERIVATIVE TYPE    LOCATION OF GAIN OR  (LOSS) ON
DERIVATIVES WITHIN
STATEMENT OF OPERATIONS		    REALIZED GAIN
OR (LOSS) ON
DERIVATIVES		     CHANGE IN  UNREALIZED
APPRECIATION OR
(DEPRECIATION)		  

Equity contracts

   

Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures

    $ 708,209     $ (123,665 ) 

Foreign currency contracts

   

Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts

      (3,324,838 )      (3,233,123 ) 

Total

         $ (2,616,629 )    $ (3,356,788 ) 

 

2018 Semi-Annual Report     67  

Table of Contents

Notes to Financial Statements (continued)

 

 

TAX-MANAGED
INTERNATIONAL  PORTFOLIO		    ASSET DERIVATIVES      LIABILITY DERIVATIVES  
DERIVATIVE TYPE    STATEMENT OF ASSETS
AND LIABILITIES
LOCATION		    FAIR VALUE      STATEMENT OF ASSETS
AND LIABILITIES LOCATION		    FAIR VALUE  

Equity contracts

         

Receivable/Payable for variation margin on futures

    $ 340,541 * 

Foreign currency contracts

   

Unrealized appreciation on forward currency exchange contracts

    $ 26,326,295     

Unrealized depreciation on forward currency exchange contracts

      17,711,602  

Total

         $ 26,326,295           $ 18,052,143  

 

  * Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the schedule of investments.

 

DERIVATIVE TYPE   

LOCATION OF GAIN OR (LOSS) ON
DERIVATIVES WITHIN

STATEMENT OF OPERATIONS

   

REALIZED GAIN

OR (LOSS) ON
DERIVATIVES

     CHANGE IN UNREALIZED
APPRECIATION OR
(DEPRECIATION)		  

Equity contracts

   

Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures

    $ 2,591,292     $ (384,872 ) 

Foreign currency contracts

   

Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts

      (13,244,658 )      (32,150 ) 

Total

         $ (10,653,366 )    $ (417,022 ) 

 

EMERGING MARKETS
PORTFOLIO		    ASSET DERIVATIVES      LIABILITY DERIVATIVES  
DERIVATIVE TYPE    STATEMENT OF ASSETS
AND LIABILITIES
LOCATION		    FAIR VALUE      STATEMENT OF ASSETS
AND LIABILITIES LOCATION		    FAIR VALUE  

Foreign currency contracts

   

Unrealized appreciation on forward currency exchange contracts

    $ 3,348,327     

Unrealized depreciation on forward currency exchange contracts

    $ 981,789  

Total

         $ 3,348,327           $ 981,789  

 

DERIVATIVE TYPE    LOCATION OF GAIN OR (LOSS) ON
DERIVATIVES WITHIN
STATEMENT OF OPERATIONS		    REALIZED GAIN
OR (LOSS) ON
DERIVATIVES		      CHANGE IN UNREALIZED
APPRECIATION OR
(DEPRECIATION)		  

Foreign currency contracts

   

Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts

    $ 603,987      $ 2,324,236  

Total

         $ 603,987      $ 2,324,236  

 

68   Sanford C. Bernstein Fund, Inc.

Table of Contents
NEW YORK MUNICIPAL
PORTFOLIO		    ASSET DERIVATIVES      LIABILITY DERIVATIVES  
DERIVATIVE TYPE    STATEMENT OF ASSETS
AND  LIABILITIES
LOCATION		    FAIR VALUE      STATEMENT OF ASSETS
AND  LIABILITIES LOCATION		    FAIR VALUE  

Credit contracts

   

Unrealized appreciation on credit default swap contracts

    $ 134,205     

Unrealized depreciation on credit default swap contracts

    $ 9,391  

Total

         $ 134,205           $ 9,391  

 

DERIVATIVE TYPE    LOCATION OF GAIN OR  (LOSS) ON
DERIVATIVES WITHIN
STATEMENT OF OPERATIONS		    REALIZED GAIN
OR (LOSS) ON
DERIVATIVES		      CHANGE IN UNREALIZED
APPRECIATION OR
(DEPRECIATION)		  

Credit contracts

   

Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps

    $ 69,133      $ 124,814  

Total

         $ 69,133      $ 124,814  

 

CALIFORNIA MUNICIPAL
PORTFOLIO		    ASSET DERIVATIVES      LIABILITY DERIVATIVES  
DERIVATIVE TYPE    STATEMENT OF ASSETS
AND  LIABILITIES
LOCATION		    FAIR VALUE      STATEMENT OF ASSETS
AND  LIABILITIES LOCATION		    FAIR VALUE  

Credit contracts

   

Unrealized appreciation on credit default swap contracts

    $ 94,292     

Unrealized depreciation on credit default swap contracts

    $ 6,597  

Total

         $ 94,292           $ 6,597  

 

DERIVATIVE TYPE   

LOCATION OF GAIN OR (LOSS)  ON
DERIVATIVES WITHIN

STATEMENT OF OPERATIONS

    REALIZED GAIN
OR (LOSS) ON
DERIVATIVES		      CHANGE IN  UNREALIZED
APPRECIATION OR
(DEPRECIATION)		  

Credit contracts

   

Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps

    $ 48,554      $ 87,695  

Total

         $ 48,554      $ 87,695  

 

DIVERSIFIED MUNICIPAL
PORTFOLIO		    ASSET DERIVATIVES      LIABILITY DERIVATIVES  
DERIVATIVE TYPE    STATEMENT OF ASSETS
AND  LIABILITIES
LOCATION		    FAIR VALUE      STATEMENT OF ASSETS
AND  LIABILITIES LOCATION		    FAIR VALUE  

Credit contracts

   

Unrealized appreciation on credit default swap contracts

    $ 410,609     

Unrealized depreciation on credit default swap contracts

    $ 36,657  

Total

         $ 410,609           $ 36,657  

 

2018 Semi-Annual Report     69  

Table of Contents

Notes to Financial Statements (continued)

 

 

DERIVATIVE TYPE    LOCATION OF GAIN OR (LOSS) ON
DERIVATIVES WITHIN
STATEMENT OF OPERATIONS		    REALIZED GAIN
OR (LOSS) ON
DERIVATIVES		      CHANGE IN UNREALIZED
APPRECIATION OR
(DEPRECIATION)		  

Credit contracts

   

Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps

    $ 247,456      $ 373,952  

Total

         $ 247,456      $ 373,952  

 

SHORT DURATION PLUS
PORTFOLIO		    ASSET DERIVATIVES     LIABILITY DERIVATIVES  
DERIVATIVE TYPE    STATEMENT OF ASSETS
AND  LIABILITIES
LOCATION		    FAIR VALUE     STATEMENT OF ASSETS
AND  LIABILITIES LOCATION		    FAIR VALUE  

Interest rate contracts

   

Receivable/Payable for variation margin on futures

    $ 19,953 *   

Receivable/Payable for variation margin on futures

    $ 42,052 * 

Foreign currency contracts

   

Unrealized appreciation on forward currency exchange contracts

      45,908       

Credit contracts

   

Unrealized appreciation on credit default swaps

      12,308    

Unrealized depreciation on credit default swaps

      309,762  

Total

         $ 78,169          $ 351,814  

 

  * Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the schedule of investments.

 

DERIVATIVE TYPE    LOCATION OF GAIN OR (LOSS) ON
DERIVATIVES WITHIN
STATEMENT OF OPERATIONS		   

REALIZED GAIN

OR (LOSS) ON
DERIVATIVES

     CHANGE IN UNREALIZED
APPRECIATION OR
(DEPRECIATION)		  

Interest rate contracts

   

Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures

    $ (916,538 )    $ 174,479  

Foreign currency contracts

   

Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts

      (1,406 )      (161,817 ) 

Credit contracts

   

Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps

      69,487       34,579  

Total

         $ (848,457 )    $ 47,241  

 

70   Sanford C. Bernstein Fund, Inc.

Table of Contents
INTERMEDIATE DURATION
PORTFOLIO		    ASSET DERIVATIVES     LIABILITY DERIVATIVES  
DERIVATIVE TYPE   

STATEMENT OF ASSETS
AND  LIABILITIES

LOCATION

    FAIR VALUE     STATEMENT OF ASSETS
AND LIABILITIES LOCATION		    FAIR VALUE  

Interest rate contracts

   

Receivable/Payable for variation margin on futures

    $ 9,002,789 *   

Receivable/Payable for variation margin on futures

    $ 1,743,500 * 

Interest rate contracts

   

Receivable/Payable for variation margin on centrally cleared swaps

      7,393,911 *   

Receivable/Payable for variation margin on centrally cleared swaps

      167,760 * 

Foreign currency contracts

   

Unrealized appreciation on forward currency exchange contracts

      2,754,984    

Unrealized depreciation on forward currency exchange contracts

      1,079,329  

Credit contracts

   

Unrealized appreciation on credit default swaps

      189,833    

Unrealized depreciation on credit default swaps

      4,674,823  

Equity contracts

   

Unrealized appreciation on variance swaps

      698    

Unrealized depreciation on variance swaps

      1,338  

Total

         $ 19,342,215          $ 7,666,750  

 

  * Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the schedule of investments.

 

DERIVATIVE TYPE    LOCATION OF GAIN OR (LOSS) ON
DERIVATIVES WITHIN
STATEMENT OF OPERATIONS		    REALIZED GAIN
OR (LOSS) ON
DERIVATIVES		     CHANGE IN UNREALIZED
APPRECIATION OR
(DEPRECIATION)		  

Interest rate contracts

   

Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures

    $ (25,646,075 )    $ 11,947,106  

Foreign currency contracts

   

Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts

      (4,227,915 )      (238,035 ) 

Interest rate contracts

   

Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps

      2,655,631       2,606,422  

Credit contracts

   

Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps

      895,810       660,059  

Equity contracts

   

Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps

      0       (640 ) 

Total

         $ (26,322,549 )    $ 14,974,912  

The following tables represent the average monthly volume of the Portfolios’ derivative transactions during the six months ended March 31, 2018:

 

INTERNATIONAL PORTFOLIO        

Futures:

   

Average original value of buy contracts

    $ 13,631,106  

Forward Currency Exchange Contracts:

   

Average principal amount of buy contracts

    $ 469,927,716  

Average principal amount of sale contracts

    $ 442,227,272  

 

2018 Semi-Annual Report     71  

Table of Contents

Notes to Financial Statements (continued)

 

 

TAX-MANAGED INTERNATIONAL PORTFOLIO        

Futures:

   

Average original value of buy contracts

    $ 47,165,578  

Forward Currency Exchange Contracts:

   

Average principal amount of buy contracts

    $ 1,165,444,846  

Average principal amount of sale contracts

    $ 1,111,037,482  

 

EMERGING MARKETS PORTFOLIO        

Forward Currency Exchange Contracts:

   

Average principal amount of buy contracts

    $ 224,682,638  

Average principal amount of sale contracts

    $ 231,785,003  

 

NEW YORK MUNICIPAL PORTFOLIO        

Credit Default Swaps:

   

Average notional amount of sale contracts

    $ 9,444,000  (a) 

 

  (a) Positions were open for five months during the period.    

 

CALIFORNIA MUNICIPAL PORTFOLIO        

Credit Default Swaps:

   

Average notional amount of sale contracts

    $ 6,633,200  (a) 

 

  (a) Positions were open for five months during the period.    

 

DIVERSIFIED MUNICIPAL PORTFOLIO        

Credit Default Swaps:

   

Average notional amount of sale contracts

    $ 33,350,400  (a) 

 

  (a) Positions were open for five months during the period.    

 

SHORT DURATION PLUS PORTFOLIO        

Futures:

   

Average original value of buy contracts

    $ 72,991,755  

Average original value of sale contracts

    $ 2,680,095  

Forward Currency Exchange Contracts:

   

Average principal amount of buy contracts

    $ 997,528  (a) 

Average principal amount of sale contracts

    $ 24,439,931  

Credit Default Swaps:

   

Average notional amount of buy contracts

    $ 2,699,000  

Average notional amount of sale contracts

    $ 5,062,143  

 

  (a) Positions were open for one month during the period.    

 

INTERMEDIATE DURATION PORTFOLIO        

Futures:

   

Average original value of buy contracts

    $ 788,896,968  

Average original value of sale contracts

    $ 356,500,045  

Forward Currency Exchange Contracts:

   

Average principal amount of buy contracts

    $ 105,338,097  

Average principal amount of sale contracts

    $ 508,897,113  

 

72   Sanford C. Bernstein Fund, Inc.

Table of Contents
INTERMEDIATE DURATION PORTFOLIO        

Centrally Cleared Interest Rate Swaps:

   

Average notional amount

    $ 509,243,793  

Credit Default Swaps:

   

Average notional amount of buy contracts

    $ 78,041,000  

Average notional amount of sale contracts

    $ 83,170,429  

Centrally Cleared Credit Default Swaps:

   

Average notional amount of sale contracts

    $ 16,790,000  (a) 

Variance Swaps:

   

Average notional amount

    $ 5,139,852  (b) 

 

  (a) Positions were open for one month during the period.

 

  (b) Positions were open for three months during the period.

For financial reporting purposes, the Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.

All OTC derivatives held at period end were subject to netting arrangements. The following tables present the Portfolios’ derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements and net of the related collateral received/pledged by the Portfolios as of March 31, 2018. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the tables.

 

INTERNATIONAL PORTFOLIO  
COUNTERPARTY   DERIVATIVE ASSETS
SUBJECT TO A MA		     DERIVATIVE
AVAILABLE
FOR OFFSET		     CASH
COLLATERAL
RECEIVED*		     SECURITY
COLLATERAL
RECEIVED*		     NET AMOUNT  OF
DERIVATIVES
ASSETS		  

Bank of America, NA

   $ 16,299     $ (16,299 )    $ 0     $ 0     $ 0  

Barclays Bank PLC

     762,062       (154,389 )      0       0       607,673  

BNP Paribas SA

     32,797       (32,797 )      0       0       0  

Citibank, NA

     345,031       (196,179 )      0       0       148,852  

Credit Suisse International

     352,782       (352,782 )      0       0       0  

Deutsche Bank AG

     283,868       (5,988 )      0       0       277,880  

HSBC Bank USA

     108,219       (1,316 )      0       0       106,903  

JPMorgan Chase Bank, NA

     292,911       (23,937 )      0       0       268,974  

Morgan Stanley & Co., Inc.

     175,019       (63,918 )      0       0       111,101  

Royal Bank of Scotland PLC

     39,760       (39,760 )      0       0       0  

Standard Chartered Bank

     64,019       (64,019 )      0       0       0  

State Street Bank & Trust Co.

     19,633       (19,633 )      0       0       0  

UBS AG

     8,552       0       0       0       8,552  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 2,500,952     $ (971,017 )    $ 0     $ 0     $ 1,529,935 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

2018 Semi-Annual Report     73  

Table of Contents

Notes to Financial Statements (continued)

 

 

COUNTERPARTY   DERIVATIVE LIABILITIES
SUBJECT TO A MA		     DERIVATIVE
AVAILABLE
FOR OFFSET		     CASH
COLLATERAL
PLEDGED*		     SECURITY
COLLATERAL
PLEDGED*		     NET AMOUNT  OF
DERIVATIVES
LIABILITIES		  

Bank of America, NA

   $ 127,844     $ (16,299 )    $ 0     $ 0     $ 111,545  

Barclays Bank PLC

     154,389       (154,389 )      0       0       0  

BNP Paribas SA

     1,016,421       (32,797 )      (983,624 )      0       0  

Citibank, NA

     196,179       (196,179 )      0       0       0  

Credit Suisse International

     725,261       (352,782 )      0       0       372,479  

Deutsche Bank AG

     5,988       (5,988 )      0       0       0  

Goldman Sachs Bank USA

     5,165       0       0       0       5,165  

HSBC Bank USA

     1,316       (1,316 )      0       0       0  

JPMorgan Chase Bank, NA

     23,937       (23,937 )      0       0       0  

Morgan Stanley & Co., Inc.

     63,918       (63,918 )      0       0       0  

Royal Bank of Scotland PLC

     1,466,397       (39,760 )      0       0       1,426,637  

Standard Chartered Bank

     1,044,019       (64,019 )      (680,000 )      0       300,000  

State Street Bank & Trust Co.

     103,856       (19,633 )      0       0       84,223  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 4,934,690     $ (971,017 )    $ (1,663,624 )    $ 0     $ 2,300,049 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

  * The actual collateral received/pledged may be more than the amount reported due to over-collateralization.

 

  ^ Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty.

 

TAX-MANAGED INTERNATIONAL PORTFOLIO  
COUNTERPARTY   DERIVATIVE ASSETS
SUBJECT TO A MA		     DERIVATIVE
AVAILABLE
FOR OFFSET		     CASH
COLLATERAL
RECEIVED*		     SECURITY
COLLATERAL
RECEIVED*		     NET AMOUNT  OF
DERIVATIVES
ASSETS		  

Bank of America, NA

   $ 4,420,123     $ 0     $ (440,000 )    $ 0     $ 3,980,123  

Barclays Bank PLC

     1,647,988       (1,042,701 )      0       0       605,287  

BNP Paribas SA

     2,130,602       (186,793 )      (1,847,000 )      0       96,809  

Citibank, NA

     2,371,872       (2,371,872 )      0       0       0  

Credit Suisse International

     2,077,570       (612,406 )      (697,000 )      0       768,164  

Deutsche Bank AG

     5,196,283       (18,625 )      0       0       5,177,658  

HSBC Bank USA

     682,993       (682,993 )      0       0       0  

JPMorgan Chase Bank, NA

     2,651,930       (2,574,720 )      0       0       77,210  

Morgan Stanley & Co., Inc.

     208,449       (208,449 )      0       0       0  

Royal Bank of Scotland PLC

     3,973,056       (3,940,070 )      0       0       32,986  

Standard Chartered Bank

     910,073       (910,073 )      0       0       0  

State Street Bank & Trust Co.

     36,434       (36,434 )      0       0       0  

UBS AG

     18,922       0       0       0       18,922  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 26,326,295     $ (12,585,136 )    $ (2,984,000 )    $ 0     $ 10,757,159 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

74   Sanford C. Bernstein Fund, Inc.

Table of Contents
COUNTERPARTY   DERIVATIVE LIABILITIES
SUBJECT TO A MA		     DERIVATIVE
AVAILABLE
FOR OFFSET		     CASH
COLLATERAL
PLEDGED*		     SECURITY
COLLATERAL
PLEDGED*		     NET AMOUNT  OF
DERIVATIVES
LIABILITIES		  

Barclays Bank PLC

   $ 1,042,701     $ (1,042,701 )    $ 0     $ 0     $ 0  

BNP Paribas SA

     186,793       (186,793 )      0       0       0  

Citibank, NA

     3,328,419       (2,371,872 )      0       0       956,547  

Credit Suisse International

     612,406       (612,406 )      0       0       0  

Deutsche Bank AG

     18,625       (18,625 )      0       0       0  

Goldman Sachs Bank USA

     17,887       0       0       0       17,887  

HSBC Bank USA

     2,755,209       (682,993 )      0       0       2,072,216  

JPMorgan Chase Bank, NA

     2,574,720       (2,574,720 )      0       0       0  

Morgan Stanley & Co., Inc.

     982,178       (208,449 )      0       0       773,729  

Royal Bank of Scotland PLC

     3,940,070       (3,940,070 )      0       0       0  

Standard Chartered Bank

     1,688,560       (910,073 )      (778,487 )      0       0  

State Street Bank & Trust Co.

     564,034       (36,434 )      0       0       527,600  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 17,711,602     $ (12,585,136 )    $ (778,487 )    $ 0     $ 4,347,979 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

  * The actual collateral received/pledged may be more than the amount reported due to over-collateralization.

 

  ^ Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty.

 

EMERGING MARKETS PORTFOLIO  
COUNTERPARTY   DERIVATIVE ASSETS
SUBJECT TO A MA		     DERIVATIVE
AVAILABLE
FOR OFFSET		     CASH
COLLATERAL
RECEIVED*		     SECURITY
COLLATERAL
RECEIVED*		     NET AMOUNT  OF
DERIVATIVES
ASSETS		  

Bank of America, NA

   $ 41,809     $ (41,809 )    $ 0     $ 0     $ 0  

Barclays Bank PLC

     753,258       (67,412 )      0       (685,846 )      0  

BNP Paribas SA

     9,415       0       0       0       9,415  

Citibank, NA

     1,604,637       (497,263 )      0       0       1,107,374  

HSBC Bank USA

     84,576       (13,169 )      0       0       71,407  

JPMorgan Chase Bank, NA

     123,437       0       0       0       123,437  

Morgan Stanley & Co., Inc.

     32,789       0       0       0       32,789  

Royal Bank of Scotland PLC

     117,513       0       0       0       117,513  

Societe Generale

     242,018       0       0       0       242,018  

State Street Bank & Trust Co.

     338,875       (1,803 )      0       0       337,072  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 3,348,327     $ (621,456 )    $ 0     $ (685,846 )    $ 2,041,025 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

2018 Semi-Annual Report     75  

Table of Contents

Notes to Financial Statements (continued)

 

COUNTERPARTY   DERIVATIVE LIABILITIES
SUBJECT  TO A MA		     DERIVATIVE
AVAILABLE
FOR OFFSET		     CASH
COLLATERAL
PLEDGED*		     SECURITY
COLLATERAL
PLEDGED*		     NET AMOUNT  OF
DERIVATIVES
LIABILITIES		  

Bank of America, NA

   $ 170,557     $ (41,809 )    $ 0     $ 0     $ 128,748  

Barclays Bank PLC

     67,412       (67,412 )      0       0       0  

Citibank, NA

     497,263       (497,263 )      0       0       0  

Deutsche Bank AG

     225,146       0       (225,146 )      0       0  

Goldman Sachs Bank USA

     6,439       0       0       0       6,439  

HSBC Bank USA

     13,169       (13,169 )      0       0       0  

State Street Bank & Trust Co.

     1,803       (1,803 )      0       0       0  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 981,789     $ (621,456 )    $ (225,146 )    $ 0     $ 135,187 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

  * The actual collateral received/pledged may be more than the amount reported due to over-collateralization.

 

  ^ Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty.

 

NEW YORK MUNICIPAL PORTFOLIO  
COUNTERPARTY   DERIVATIVE LIABILITIES
SUBJECT TO A MA		     DERIVATIVE
AVAILABLE
FOR OFFSET		     CASH
COLLATERAL
PLEDGED*		     SECURITY
COLLATERAL
PLEDGED*		     NET AMOUNT  OF
DERIVATIVES
LIABILITIES		  

Credit Suisse International

   $ 251,490     $ 0     $ (251,490 )    $ 0     $ 0  

Deutsche Bank AG

     111,780       0       0       0       111,780  

Goldman Sachs International

     142,228       0       0       0       142,228  

Morgan Stanley Capital Services LLC

     16,281       0       0       0       16,281  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 521,779     $ 0     $ (251,490 )    $ 0     $ 270,289 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

  * The actual collateral received/pledged may be more than the amount reported due to over-collateralization.

 

  ^ Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty.

 

CALIFORNIA MUNICIPAL PORTFOLIO  
COUNTERPARTY   DERIVATIVE LIABILITIES
SUBJECT  TO A MA		     DERIVATIVE
AVAILABLE
FOR  OFFSET		     CASH
COLLATERAL
PLEDGED*		     SECURITY
COLLATERAL
PLEDGED*		     NET AMOUNT  OF
DERIVATIVES
LIABILITIES		  

Credit Suisse International

   $ 176,904     $ 0     $ 0     $ 0     $ 176,904  

Deutsche Bank AG

     78,474       0       0       0       78,474  

Goldman Sachs International

     99,796       0       0       0       99,796  

Morgan Stanley Capital Services LLC

     11,467       0       0       0       11,467  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 366,641     $ 0     $ 0     $ 0     $ 366,641 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

  * The actual collateral received/pledged may be more than the amount reported due to over-collateralization.

 

  ^ Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty.

 

76   Sanford C. Bernstein Fund, Inc.

Table of Contents
DIVERSIFIED MUNICIPAL PORTFOLIO  
COUNTERPARTY   DERIVATIVE LIABILITIES
SUBJECT  TO A MA		     DERIVATIVE
AVAILABLE
FOR  OFFSET		     CASH
COLLATERAL
PLEDGED*		     SECURITY
COLLATERAL
PLEDGED*		     NET AMOUNT  OF
DERIVATIVES
LIABILITIES		  

Credit Suisse International

   $ 597,284     $ 0     $ 0     $ (597,284 )    $ 0  

Deutsche Bank AG

     436,398       0       0       (436,398 )      0  

Goldman Sachs International

     555,251       0       0       (555,251 )      0  

Morgan Stanley Capital Services LLC

     63,549       0       0       0       63,549  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 1,652,482     $ 0     $ 0     $ (1,588,933 )    $ 63,549 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

  * The actual collateral received/pledged may be more than the amount reported due to over-collateralization.

 

  ^ Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty.

 

SHORT DURATION PLUS PORTFOLIO  
COUNTERPARTY   DERIVATIVE ASSETS
SUBJECT TO A MA		     DERIVATIVE
AVAILABLE
FOR OFFSET		     CASH
COLLATERAL
RECEIVED*		     SECURITY
COLLATERAL
RECEIVED*		     NET AMOUNT  OF
DERIVATIVES
ASSETS		  

Citibank, NA

   $ 45,908     $ 0     $ 0     $ 0     $ 45,908  

Citigroup Global Markets, Inc.

     36       (36 )      0       0       0  

Credit Suisse International

     651       (651 )      0       0       0  

Deutsche Bank AG

     437       (437 )      0       0       0  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 47,032     $ (1,124 )    $ 0     $ 0     $ 45,908 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
COUNTERPARTY   DERIVATIVE LIABILITIES
SUBJECT TO A MA		     DERIVATIVE
AVAILABLE
FOR OFFSET		     CASH
COLLATERAL
PLEDGED*		     SECURITY
COLLATERAL
PLEDGED*		     NET AMOUNT  OF
DERIVATIVES
LIABILITIES		  

Citigroup Global Markets, Inc.

   $ 25,103     $ (36 )    $ 0     $ 0     $ 25,067  

Credit Suisse International

     412,508       (651 )      0       (264,241 )      147,616  

Deutsche Bank AG

     173,592       (437 )      0       0       173,155  

Goldman Sachs International

     70,317       0       0       0       70,317  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 681,520     $ (1,124 )    $ 0     $ (264,241 )    $ 416,155 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

  * The actual collateral received/pledged may be more than the amount reported due to over-collateralization.

 

  ^ Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty.

 

2018 Semi-Annual Report     77  

Table of Contents

Notes to Financial Statements (continued)

 

 

INTERMEDIATE DURATION PORTFOLIO  
COUNTERPARTY   DERIVATIVE ASSETS
SUBJECT TO A MA		     DERIVATIVE
AVAILABLE
FOR OFFSET		     CASH
COLLATERAL
RECEIVED*		     SECURITY
COLLATERAL
RECEIVED*		     NET AMOUNT  OF
DERIVATIVES
ASSETS		  

Australia and New Zealand Banking Group Ltd.

   $ 4,146     $ 0     $ 0     $ 0     $ 4,146  

Barclays Bank PLC

     1,727       (1,727 )      0       0       0  

BNP Paribas SA

     150,253       0       0       0       150,253  

Citibank, NA

     964,185       (559,670 )      0       0       404,515  

Citigroup Global Markets, Inc.

     87       (87 )      0       0       0  

Credit Suisse International

     72,235       (72,235 )      0       0       0  

Deutsche Bank AG

     15,053       (15,053 )      0       0       0  

Goldman Sachs Bank USA/Goldman Sachs International

     194,747       (194,747 )      0       0       0  

HSBC Bank USA

     706,539       (458,894 )      0       0       247,645  

JPMorgan Chase Bank, NA

     321,564       (254,904 )      0       0       66,660  

Morgan Stanley & Co., Inc./Morgan Stanley Capital Services LLC

     18,845       (3,713 )      0       0       15,132  

Royal Bank of Scotland PLC

     135,995       (135,995 )      0       0       0  

Standard Chartered Bank

     198,606       0       0       0       198,606  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 2,783,982     $ (1,697,025 )    $ 0     $ 0     $ 1,086,957 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
COUNTERPARTY   DERIVATIVE LIABILITIES
SUBJECT  TO A MA		     DERIVATIVE
AVAILABLE
FOR OFFSET		     CASH
COLLATERAL
PLEDGED*		     SECURITY
COLLATERAL
PLEDGED*		     NET AMOUNT  OF
DERIVATIVES
LIABILITIES		  

Barclays Bank PLC

   $ 60,844     $ (1,727 )    $ 0     $ (59,117 )    $ 0  

Citibank, NA

     559,670       (559,670 )      0       0       0  

Citigroup Global Markets, Inc.

     1,171,441       (87 )      0       (1,171,354 )      0  

Credit Suisse International

     4,512,743       (72,235 )      0       (4,440,508 )      0  

Deutsche Bank AG

     3,585,344       (15,053 )      0       (3,570,291 )      0  

Goldman Sachs Bank USA/Goldman Sachs International

     2,381,638       (194,747 )      0       (2,186,891 )      0  

HSBC Bank USA

     458,894       (458,894 )      0       0       0  

JPMorgan Chase Bank, NA

     254,904       (254,904 )      0       0       0  

Morgan Stanley & Co., Inc./Morgan Stanley Capital Services LLC

     293,159       (3,713 )      0       (246,614 )      42,832  

Royal Bank of Scotland PLC

     287,638       (135,995 )      0       0       151,643  

State Street Bank & Trust Co.

     253       0       0       0       253  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 13,566,528     $ (1,697,025 )    $ 0     $ (11,674,775 )    $ 194,728^  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

  * The actual collateral received/pledged may be more than the amount reported due to over-collateralization.

 

  ^ Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty.

 

78   Sanford C. Bernstein Fund, Inc.

Table of Contents
C.   Currency Transactions

The International, Tax-Managed International, Emerging Markets, Short Duration Plus and Intermediate Duration Portfolios may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Portfolios may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Portfolios may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Portfolios and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Portfolios may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).

 

D.   TBA and Dollar Rolls

The Portfolios may invest in TBA mortgage-backed securities. A TBA, or “To Be Announced”, trade represents a contract for the purchase or sale of mortgage-backed securities to be delivered at a future agree-upon date; however, the specific mortgage pool numbers or the number of pools that will be delivered to fulfill the trade obligation or terms of the contract are unknown at the time of the trade. Mortgage pools (including fixed-rate or variable-rate mortgages) guaranteed by the Government National Mortgage Association, or GNMA, the Federal National Mortgage Association, or FNMA, or the Federal Home Loan Mortgage Corporation, or FHLMC, are subsequently allocated to the TBA transactions.

The Short Duration Plus Portfolio and the Intermediate Duration Portfolio may enter into dollar rolls. Dollar rolls involve sales by the Portfolios of securities for delivery in the current month and the Portfolio’s simultaneously contracting to repurchase substantially similar (same type and coupon) securities on a specified future date. During the roll period, the Portfolios forgo principal and interest paid on the securities. The Portfolios are compensated by the difference between the current sales price and the lower forward price for the future purchase (often referred to as the “drop”) as well as by the interest earned on the cash proceeds of the initial sale. Dollar rolls involve the risk that the market value of the securities the Portfolios are obligated to repurchase under the agreement may decline below the repurchase price. Dollar rolls are speculative techniques. For the six months ended March 31, 2018, Intermediate Duration Portfolio earned drop income of $3,913,399, which is included in interest income in the accompanying statement of operations.

 

E.   Reverse Repurchase Agreements

The Intermediate Duration Portfolio may enter into reverse repurchase transactions (“RVP”) in accordance with the terms of a Master Repurchase Agreement (“MRA”), under which the Portfolio sells securities and agrees to repurchase them at a mutually agreed upon date and price. At the time a Portfolio enters into a reverse repurchase agreement, it will establish a segregated account with the custodian containing liquid assets having a value at least equal to the repurchase price. Under the MRA and other Master Agreements, the Portfolio is permitted to offset payables and/or receivables with collateral held and/or posted to the counterparty and create one single net payment due to or from the Portfolio in the event of a default. In the event of a default by a MRA counterparty, the Portfolio may be considered an unsecured creditor with respect to any excess collateral (collateral with a market value in excess of the repurchase price) held by and/or posted to the counterparty, and as such the return of such excess collateral may be delayed or denied. For the six months ended March 31, 2018, the average amount of reverse repurchase agreements outstanding for the Intermediate Duration Portfolio was $1,235,287 and the daily weighted average annualized interest rate was (1.51)%. During the period, the Intermediate Duration Portfolio received net interest payment from counterparties.

 

2018 Semi-Annual Report     79  

Table of Contents

Notes to Financial Statements (continued)

 

 

NOTE 4. Distributions to Shareholders

The tax character of distributions to be paid for the year ending September 30, 2018 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended September 30, 2017 and September 30, 2016 were as follows:

 

PORTFOLIO    2017        2016  

International

        

Distributions paid from:

        

Ordinary income

    $ 25,878,355        $ 21,802,390  
  

 

 

       

 

 

  

Total distributions paid

    $ 25,878,355        $ 21,802,390  
  

 

 

       

 

 

  
       

Tax-Managed International

                    

Distributions paid from:

        

Ordinary income

    $ 61,728,815        $ 55,480,983  
  

 

 

       

 

 

  

Total distributions paid

    $ 61,728,815        $ 55,480,983  
  

 

 

       

 

 

  
       

Emerging Markets

                    

Distributions paid from:

        

Ordinary income

    $ 7,757,991        $ 7,737,820  

Long-term capital gains

      0          20,157,829  
  

 

 

       

 

 

  

Total distributions paid

    $ 7,757,991        $ 27,895,649  
  

 

 

       

 

 

  
       

Short Duration Diversified Municipal

                    

Distributions paid from:

        

Ordinary income

    $ 125,956        $ 57,406  

Long-term capital gains

      0          140,585  
  

 

 

       

 

 

  

Total taxable distributions paid

      125,956          197,991  

Tax exempt distributions

      861,368          715,751  
  

 

 

       

 

 

  

Total distributions paid

    $ 987,324        $ 913,742  
  

 

 

       

 

 

  
       

New York Municipal

                    

Distributions paid from:

        

Ordinary income

    $ 1,619,735        $ 588,980  

Long-term capital gains

      0          0  
  

 

 

       

 

 

  

Total taxable distributions

      1,619,735          588,980  

Tax exempt distributions

      35,187,802          37,012,114  
  

 

 

       

 

 

  

Total distributions paid

    $ 36,807,537        $ 37,601,094  
  

 

 

       

 

 

  
       

California Municipal

                    

Distributions paid from:

        

Ordinary income

    $ 1,112,617        $ 412,433  

Long-term capital gains

      0          0  
  

 

 

       

 

 

  

Total taxable distributions paid

      1,112,617          412,433  

Tax exempt distributions

      24,389,074          24,154,507  
  

 

 

       

 

 

  

Total distributions paid

    $ 25,501,691        $ 24,566,940  
  

 

 

       

 

 

  
       

 

80   Sanford C. Bernstein Fund, Inc.

Table of Contents
PORTFOLIO    2017        2016  

Diversified Municipal

                    

Distributions paid from:

        

Ordinary income

    $ 6,527,462        $ 3,460,879  

Long-term capital gains

      0          0  
  

 

 

       

 

 

  

Total taxable distributions paid

      6,527,462          3,460,879  

Tax exempt distributions

      129,890,739          127,335,748  
  

 

 

       

 

 

  

Total distributions paid

    $ 136,418,201        $ 130,796,627  
  

 

 

       

 

 

  
       

Short Duration Plus

                    

Distributions paid from:

        

Ordinary income

    $ 2,688,998        $ 2,655,169  
  

 

 

       

 

 

  

Total distributions paid

    $ 2,688,998        $ 2,655,169  
  

 

 

       

 

 

  
       

Intermediate Duration

                    

Distributions paid from:

        

Ordinary income

    $ 101,163,132        $ 121,745,198  

Long-term capital gains

      21,211,135          30,658,611  
  

 

 

       

 

 

  

Total distributions paid

    $ 122,374,267        $ 152,403,809  
  

 

 

       

 

 

  

As of September 30, 2017, the components of accumulated earnings/(deficit) on a tax basis were as follows:

 

PORTFOLIO  

UNDISTRIBUTED
ORDINARY

INCOME(a)

    

UNDISTRIBUTED
LONG TERM
CAPITAL

GAINS

    

ACCUMULATED

CAPITAL AND

OTHER

LOSSES(b)

    

UNREALIZED

APPRECIATION/
(DEPRECIATION)(c)

    

TOTAL

ACCUMULATED

EARNINGS/

(DEFICIT)(d)

  

International

   $ 18,659,329     $ 0     $ (910,864,476 )    $ 230,709,002     $ (661,496,145 ) 

Tax-Managed International

     49,829,843       0       (1,697,877,316 )      454,939,401       (1,193,108,072 ) 

Emerging Markets

     8,805,806       0       (15,680,918 )      256,420,814       249,545,702  

Short Duration Diversified Municipal

     49,880       0       (293,394 )      (436,448 )      (679,962 ) 

New York Municipal

     987,475       0       (19,100,452 )      59,568,051       41,455,074  

California Municipal

     525,441       0       (19,384,772 )      40,592,819       21,733,488  

Diversified Municipal

     3,217,667       0       (46,710,133 )      206,898,855       163,406,389  

Short Duration Plus

     498,791       0       (14,608,104 )      (690,389 )      (14,799,702 ) 

Intermediate Duration

     0       0       (10,037,794 )      53,335,770       43,297,976  

 

  (a) Includes tax exempt income as shown below:

 

Short Duration Diversified Municipal

      49,880  

New York Municipal

      987,475  

California Municipal

      525,441  

Diversified Municipal

      3,217,667  

 

  (b)

As of September 30, 2017 certain Portfolios had capital loss carryforwards for federal income tax purposes. During the fiscal year ended September 30, 2017 International Portfolio, Tax-Managed International Portfolio, and Emerging Markets Portfolio utilized capital loss carryforwards of $99,746,296, $325,858,055, and $126,444,947 respectively, to offset current year net realized gains. Additionally, International Portfolio and Short Duration Plus Portfolio had $41,457,938 and $5,807,512 respectively, of capital loss carryforwards expire during the fiscal year. As

 

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Notes to Financial Statements (continued)

 

  of September 30, 2017 Short Duration Plus Portfolio and Intermediate Duration Portfolio deferred $1,088 and $379,091 in straddle losses. Net capital losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Portfolio’s next taxable year. In this regard Short Duration Diversified Municipal Portfolio elected to defer $293,394 of post-October capital losses. These losses are deemed to arise on October 1, 2017. As of September 30, 2017, Intermediate Duration Portfolio had a qualified late-year ordinary loss deferral of 1,117,276, which is deemed to arise on October 1, 2017.

 

  (c) The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the tax deferral of losses on wash sales, the tax treatment of swaps and passive foreign investment companies (PFICs), and the realization for tax purposes of gains/losses on certain derivative instruments.

 

  (d) The differences between book-basis and tax-basis components of accumulated earnings/(deficit) are attributable primarily to foreign capital gains tax exposure on Peruvian securities, the tax treatment of interest on defaulted securities and dividends payable to shareholders.

For tax purposes, net capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an indefinite period. These post-December 22, 2010 capital losses must be utilized prior to the earlier capital losses, which are subject to expiration. Post-December 22, 2010 capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered short-term as under previous regulation.

As of September 30, 2017, the following Portfolios had net capital loss carryforwards which will expire as follows:

 

PORTFOLIO   

SHORT-TERM

AMOUNT

        LONG-TERM
AMOUNT 		       EXPIRATION  

International

    $ 910,864,476          n/a          2018  

Tax-Managed International

      1,697,877,316          n/a          2018  

Emerging Markets

      n/a          15,680,918          No expiration  

New York Municipal

      2,260,090          16,840,362          No expiration  

California Municipal

      2,406,179          n/a          2019  

California Municipal

      802,943          16,175,650          No expiration  

Diversified Municipal

      5,545,006          41,165,127          No expiration  

Short Duration Plus

      1,960,592          n/a          2018  

Short Duration Plus

      2,061,764          n/a          2019  

Short Duration Plus

      4,089,301          6,495,359          No expiration  

Intermediate Duration Portfolio

      8,541,427          n/a          No expiration  

 

NOTE 5. Risks Involved in Investing in the Portfolios

Interest Rate Risk—This is the risk that changes in interest rates will affect the value of the Portfolios’ investments in fixed-income debt securities such as bonds and notes. The Portfolios may be subject to a greater risk of rising interest rates due to the current period of historically low rates and the effect of potential government policy initiatives and market reaction to those initiatives. Increases in interest rates may cause the value of the Portfolios’ investments to decline and this decrease in value may not be offset by higher income from new investments. A Portfolio will experience increased interest rate risk to the extent it invests in fixed-income securities with longer maturities or durations. A general rise in interest rates may cause investors to move out of fixed-income securities on a large scale, which could adversely affect the price and liquidity of fixed-income securities and could also result in increased redemptions from a Portfolio that invests largely in fixed-income securities.

Credit Risk—This is the risk that the issuer or the guarantor of a debt security, or the counterparty to a derivatives or other contract, will be unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. The issuer or guarantor may default, potentially causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. The credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.

 

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Investments in fixed-income securities with lower ratings tend to have a higher probability that an issuer will default or fail to meet its payment obligations. At times when credit risk is perceived to be greater, credit “spreads” (i.e., the difference between the yields on lower quality securities and the yields on higher quality securities) may get larger or “widen”. As a result, the values of the lower quality securities may go down more and they may become harder to sell and less liquid.

Duration Risk—The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more interest rate risk and will decrease in price as interest rates rise. For example, a fixed-income security with a duration of three years would be expected to decrease in value by approximately 3% if interest rates increase by 1%. Securities that have final maturities longer than their durations may be affected by increased credit spreads to a far greater degree than their durations would suggest, because they are exposed to credit risk until final maturity.

Municipal Market Risk—This is the risk that special factors may adversely affect the value of municipal securities and have a significant effect on the yield or value of the Municipal Portfolios’ investments in municipal securities. These factors include economic conditions, political or legislative changes, uncertainties related to the tax status of municipal securities, or the rights of investors in these securities. The value of municipal securities may also be adversely affected by rising health care costs, increasing unfunded pension liabilities, and by the phasing out of federal programs providing financial support. In recent periods an increasing number of municipal issuers have defaulted on obligations, been down-graded or commenced insolvency proceedings. Financial difficulties of municipal issuers may continue or get worse. The New York Municipal Portfolio and California Municipal Portfolio invest primarily in securities issued by the State of New York and California, respectively, and their various political subdivisions, and the performance of each of these Portfolios is closely tied to economic conditions within the applicable state and the financial condition of that state and its agencies and municipalities. The Portfolios’ investments in certain municipal securities with principal and interest payments that are made from the revenues of a specific project or facility, and not general tax revenues, are subject to the risk that factors affecting the project or facility, such as local business or economic conditions, could have a significant effect on the project’s ability to make payments of principal and interest on these securities. In addition, recent tax law changes could have a material impact on the value of municipal securities. Changes in tax rates or the treatment of income from certain types of municipal securities, among other things, could negatively affect the municipal securities markets.

The Portfolios may invest in the municipal securities of Puerto Rico and other US territories and their governmental agencies and municipalities, which are exempt from federal, state, and, where applicable, local income taxes. These municipal securities may have more risks than those of other US issuers of municipal securities. Like many US states and municipalities, Puerto Rico experienced a significant downturn in the recent recession. Puerto Rico’s downturn was particularly severe, and Puerto Rico continues to face a very challenging economic and fiscal environment. If the general economic situation in Puerto Rico continues to persist or worsens, the volatility and credit quality of Puerto Rican municipal securities could continue to be adversely affected, and the market for such securities may deteriorate further.

Inflation Risk—This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Portfolios’ assets can decline as can the value of the Portfolios’ distributions. This risk is significantly greater for fixed-income securities with longer maturities.

Non-diversification Risk—Concentration of investments in a small number of securities tends to increase risk. The New York Municipal and California Municipal Portfolios are not “diversified.” This means the Portfolios can invest more of their assets in a relatively small number of issuers with greater concentration of risk. Matters affecting these issuers can have a more significant effect on the Portfolios’ net asset value.

Inflation-Protected Securities Risk—The terms of inflation-protected securities provide for the coupon and/or maturity value to be adjusted based on changes in inflation. Decreases in the inflation rate or in investors’ expectations about inflation could cause these securities to underperform non-inflation-adjusted securities on a total-return basis. In addition, these securities may have limited liquidity in the secondary market.

 

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Notes to Financial Statements (continued)

 

Foreign (Non-U.S.) Securities Risk—Investments in foreign securities entail significant risks in addition to those customarily associated with investing in U.S. securities. These risks include risks related to economic, political and social instability, which could disrupt the financial markets in which the Portfolios invest and adversely affect the value of the Portfolios’ assets.

Country Concentration Risk—The Portfolios may not always be diversified among countries or regions and the effect on the share price of the Portfolios of specific risks such as political, regulatory and currency may be magnified due to concentration of the Portfolios’ investments in a particular country or region.

Emerging Markets Securities Risk—The risks of investing in foreign (non-U.S.) securities are heightened with respect to issuers in emerging-market countries because the markets are less developed and less liquid and there may be a greater amount of economic, political and social uncertainty, and these risks are even more pronounced in “frontier” markets, which are investable markets with lower total market capitalization and liquidity than the more developed emerging markets. In addition, the value of the Portfolios’ investments may decline because of factors such as unfavorable or unsuccessful government actions and reduction of government or central bank support.

Sector Risk—The Portfolios may have more risk because of concentrated investments in a particular market sector, such as the technology or financial services sector. Market or economic factors affecting that sector could have a major effect on the value of the Portfolios’ investments.

Derivatives Risk—The Portfolios may use derivatives as direct investments to earn income, enhance return and broaden portfolio diversification, which entail greater risk than if used solely for hedging purposes. In addition to other risks such as the credit risk of the counterparty, derivatives involve the risk that changes in the value of the derivative may not correlate with relevant assets, rates or indices. Derivatives may be illiquid and difficult to price or unwind, and small changes may produce disproportionate losses for the Portfolios. Certain derivatives have the potential for unlimited loss, regardless of the size of the initial investment. Assets required to be set aside or posted to cover or secure derivatives positions may themselves go down in value, and these collateral and other requirements may limit investment flexibility. Some derivatives involve leverage, which can make the Portfolios more volatile and can compound other risks. Use of derivatives may have different tax consequences for the Portfolios than an investment in the underlying security, and such differences may affect the amount, timing and character of income distributed to shareholders, including the proportion of income consisting of exempt-interest dividends. The U.S. Government and foreign governments are in the process of adopting and implementing regulations governing derivatives markets, including mandatory clearing of certain derivatives, margin, reporting and registration requirements. The ultimate impact of the regulations remains unclear. Additional regulation may make derivatives more costly, limit their availability or utility, otherwise adversely affect their performance, or disrupt markets.

Mortgage-Related Securities Risk—Mortgage-related securities represent interests in “pools” of mortgages, including consumer loans or receivables held in trust. Mortgage-related securities are subject to credit, interest rate, prepayment and extension risks. These securities also are subject to risk of default on the underlying mortgage, particularly during periods of economic downturn. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-related securities.

Prepayment and Extension Risk—Prepayment risk is the risk that a loan, bond or other security might be called or otherwise converted, prepaid or redeemed before maturity. If this happens, particularly during a time of declining interest rates or credit spreads, the Portfolios will not benefit from the rise in market price that normally accompanies a decline in interest rates, and may not be able to invest the proceeds in securities providing as much income, resulting in a lower yield to the Portfolios. Conversely, extension risk is the risk that as interest rates rise or spreads widen, payments of securities may occur more slowly than anticipated by the market. If this happens, the values of these securities may go down because their interest rates are lower than current market rates and they remain outstanding longer than anticipated.

Subordination Risk—The Portfolios may invest in securities that are subordinated to more senior securities of an issuer, or which represent interests in pools of such subordinated securities. Subordinated securities will be disproportionately affected by a default or even a perceived decline in creditworthiness of the issuer. Subordinated securities are more likely to suffer a credit loss than non-subordinated securities of the same issuer, any loss incurred by the subordinated securities is likely to be proportionately greater, and any recovery of interest or principal may take more time.

 

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Management Risk—The Portfolios are subject to management risk because they are an actively managed investment portfolios. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolios, but these techniques, analyses and decisions may not work as intended or may not produce the desired results. In some cases, derivative and other investment techniques may be unavailable or the Adviser may determine not to use them, possibly even under market conditions where their use could benefit the Portfolios. In addition, the Adviser may change the Portfolios’ investment strategies or policies from time to time. Those changes may not lead to the results intended by the Adviser and could have an adverse effect on the value or performance of the Portfolios.

Liquidity Risk—Liquidity risk exists when particular investments are difficult to purchase or sell, possibly preventing the Portfolios from selling out of these illiquid or relatively less liquid securities at an advantageous price. Derivatives and securities involving substantial market and credit risk tend to involve greater liquidity risk. Illiquid securities and relatively less liquid securities may also be difficult to value.

Redemption Risk—The Portfolios may experience heavy redemptions that could cause the Portfolios to liquidate their assets at inopportune times or at a loss or depressed value, which could cause the value of your investment to decline. Redemption risk is heightened during periods of overall market turmoil.

Foreign Currency Risk—This is the risk that changes in foreign (non-U.S.) currency exchange rates may negatively affect the value of the Portfolios’ investments or reduce the returns of the Portfolios. For example, the value of the Portfolios’ investments in foreign stocks and foreign currency positions may decrease if the U.S. Dollar is strong (i.e., gaining value relative to other currencies) and other currencies are weak (i.e., losing value relative to the U.S. Dollar).

Actions by a Few Major Investors—In certain countries, volatility may be heightened by actions of a few major investors. For example, substantial increases or decreases in cash flows of mutual funds investing in these markets could significantly affect local stock prices and, therefore, share prices of the Portfolios.

Market Risk—The Portfolios are subject to market risk, which is the risk that bond prices in general may decline over short or extended periods. Stock prices may decline in response to adverse changes in the economy or the economic outlook; deterioration in investor sentiment; interest rate, currency and commodity price fluctuations; adverse geopolitical, social or environmental developments; issuer- and sector-specific considerations; and other factors. In the past decade, financial markets in the United States and elsewhere have experienced increased volatility, decreased liquidity and heightened uncertainty. These market conditions may recur from time to time and have on adverse impact on various securities market. The U.S. Government and the Federal Reserve, as well as certain foreign governments and central banks, have taken steps to support financial markets. Other governments have tried to support markets by buying stocks and through other market interventions. Government intervention may not work as intended, particularly if the efforts are perceived by investors as being unlikely to achieve the desired results. The Federal Reserve has reduced its market support activities and has begun raising interest rates. Further Federal Reserve or other U.S. or non-U.S. governmental or central bank actions, including interest rate increases or decreases, could negatively affect financial markets generally, increase market volatility and reduce the value and liquidity of securities in which the Portfolios invest.

Current political uncertainty surrounding the European Union (“EU”) and its membership may increase market volatility. The United Kingdom has voted to withdraw from the EU, and one or more other countries may withdraw from the EU and/or abandon the Euro, the common currency of the EU. The financial instability of some countries in the EU, together with the risk of that financial instability impacting other more stable countries, may increase the risk of investing in companies in Europe and worldwide. In addition, policy and legislative changes in the United States and in other countries are affecting many aspects of financial regulation, and may in some instances contribute to decreased liquidity and increased volatility in the financial markets. The impact of these changes, and the practical implications for market participants, may not be fully known for some time.

Economies and financial markets throughout the world are becoming increasingly interconnected. Economic, financial or political events, trading and tariff arrangements, terrorism, natural disasters and other circumstances in one country or region could have profound impacts on global economies or markets. As a result, whether or not the Portfolios invest in securities of issuers located in or with significant exposure to countries experiencing economic and financial difficulties, the value and liquidity of the Portfolios’ investments may be negatively affected.

 

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Notes to Financial Statements (continued)

 

Tax Risk—There is no guarantee that the income on a Portfolio’s municipal securities will be exempt from regular federal income, and if applicable, state income taxes. Unfavorable legislation, adverse interpretations by federal or state authorities, litigation or noncompliant conduct by the issuer of a municipal security could affect the tax-exempt status of municipal securities. If the Internal Revenue Service or a state authority determines that an issuer of a municipal security has not complied with applicable requirements, interest from the security could become subject to regular federal income tax and/or state personal income tax, possibly retroactively to the date the security was issued, the value of the security could decline significantly, and a portion of the distributions to Portfolio shareholders could be recharacterized as taxable. The U.S. Congress has considered changes to U.S. federal tax law that would, if enacted, have a negative impact on certain types of municipal securities, such as private activity bonds, or would otherwise make investments in municipal bonds less attractive.

Capitalization Risk—Investments in small- and mid-capitalization companies may be more volatile than investments in large-cap companies. Investments in small-cap companies may have additional risks because these companies have limited product lines, markets or financial resources.

Allocation Risk—The allocation of investments among investment disciplines may have a significant effect on the Portfolios’ performance when the investment disciplines in which the Portfolios have greater exposure perform worse than the investment disciplines with less exposure.

Lower-Rated Securities Risk—Lower-rated securities, or junk bonds/high yield securities, are subject to greater risk of loss of principal and interest and greater market risk than higher-rated securities. The capacity of issuers of lower-rated securities to pay interest and repay principal is more likely to weaken than is that of issuers of higher-rated securities in times of deteriorating economic conditions or rising interest rates.

Riskier than a Money-Market Fund—Although the Short Duration Portfolios maintain a short overall duration, they invest in securities with longer maturities and in some cases lower quality than the assets of the type of mutual fund known as a money-market fund. The risk a of decline in the market value of the Portfolios is greater than for a money-market fund since the credit quality of the Portfolios’ securities may be lower and the effective duration of the Portfolios will be longer.

Portfolio Turnover Risk—The Intermediate Duration Portfolio’s investment strategies may result in high portfolio turnover. The Portfolio generally buys portfolio securities with the intention of holding them for investment. However, when market conditions or other circumstances warrant, securities may be purchased and sold without regard to the length of time held. From time to time, the Portfolio may engage in active short-term trading to seek short-term profits during periods of fluctuating interest rates or for other reasons. This trading may increase the Portfolio’s rate of turnover and the incidence of short-term capital gain taxable as ordinary income. A higher rate of portfolio turnover may increase transaction costs, which must be borne by the Portfolio and its shareholders.

Cybersecurity Risk—Cybersecurity incidents may allow an unauthorized party to gain access to Portfolio assets, customer data (including private shareholder information), or proprietary information, or cause the Portfolios, the Adviser, and/or its service providers (including, but not limited to, fund accountants, custodians, sub-custodians, transfer agents and financial intermediaries) to suffer data breaches, data corruption or lose operational functionality.

Indemnification Risk—In the ordinary course of business, the Portfolios enter into contracts that contain a variety of indemnifications. The Portfolios’ maximum exposure under these arrangements is unknown. However, the Portfolios have not had prior claims or losses pursuant to these indemnification provisions and expect the risk of loss thereunder to be remote. Therefore, the Portfolios have not accrued any liability in connection with these indemnification provisions.

 

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NOTE 6. Capital-Share Transactions

The Fund has authorized 15.5 billion shares of common stock, par value $0.001 per share, of which 11.2 billion shares are allocated to the SCB Portfolios. The allocation is as follows:

 

    ALLOCATION OF SHARES (IN MILLIONS)  
PORTFOLIO   BERNSTEIN
CLASS
SHARES		     CLASS A
SHARES		     CLASS B
SHARES		     CLASS C
SHARES		    

ADVISOR

CLASS

SHARES

    

CLASS R

SHARES

    

CLASS Z

SHARES

    

CLASS T

SHARES

     TOTAL  

International

     600       200       200       200       0       200       300       0       1,700  

Tax-Managed International

     600       200       200       200       0       0       300       0       1,500  

Emerging Markets

     200       0       0       0       0       0       300       0       500  

Short Duration Diversified Municipal

     100       0       0       0       0       0       0       0       100  

New York Municipal

     400       200       200       200       200       0       0       300       1,500  

California Municipal

     200       200       200       200       200       0       0       300       1,300  

Diversified Municipal

     800       400       400       400       400       0       0       300       2,700  

Short Duration Plus

     200       200       200       200       0       200       0       300       1,300  

Intermediate Duration

     600       0       0       0       0       0       0       0       600  

Share transactions for each Portfolio for the six months ended March 31, 2018 and the year ended September 30, 2017, were as follows:

 

    INTERNATIONAL PORTFOLIO  
         
    SHARES           AMOUNT  
         
     SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		            SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		  

International Class Shares

          

Shares sold

     2,882,275       7,483,074       $ 53,556,296     $ 118,954,332  

Shares issued to shareholders on reinvestment of dividends

     689,746       1,336,312         12,511,988       19,911,064  

Shares redeemed

     (9,035,838 )      (22,063,768 )        (167,548,995 )      (363,680,486 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net decrease

     (5,463,817 )      (13,244,382 )      $ (101,480,711 )    $ (224,815,090 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
         

Class A Shares

                                        

Shares sold

     151,067       1,062,230       $ 2,768,943     $ 17,941,202  

Shares issued to shareholders on reinvestment of dividends

     15,448       3,967         275,584       58,191  

Shares converted from Class B

     181       719         3,276       10,961  

Shares converted from Class C

     5,263       44,838         94,564       730,037  

Shares redeemed

     (107,660 )      (95,430 )        (1,959,876 )      (1,518,459 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase

     64,299       1,016,324       $ 1,182,491     $ 17,221,932  
 

 

 

    

 

 

      

 

 

    

 

 

  
         

 

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Notes to Financial Statements (continued)

 

    INTERNATIONAL PORTFOLIO  
         
    SHARES           AMOUNT  
         
     SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		            SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		  

Class B Shares

          

Shares sold

     0       317       $ 0     $ 4,672  

Shares issued to shareholders on reinvestment of dividends

     0       9         0       133  

Shares converted to Class A

     (177 )      (705 )        (3,276 )      (10,961 ) 

Shares redeemed

     0       (590 )        0       (9,392 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net decrease

     (177 )      (969 )      $ (3,276 )    $ (15,548 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
         

Class C Shares

 

Shares sold

     10,846       14,393       $ 200,768     $ 234,350  

Shares issued to shareholders on reinvestment of dividends

     0       782         0       11,542  

Shares converted to Class A

     (5,249 )      (44,702 )        (94,564 )      (730,037 ) 

Shares redeemed

     (13,938 )      (22,278 )        (253,330 )      (341,744 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net decrease

     (8,341 )      (51,805 )      $ (147,126 )    $ (825,889 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
         

Class Z Shares

 

Shares sold

     897,081       8,699,691       $ 16,192,300     $ 149,721,680  

Shares issued to shareholders on reinvestment of dividends

     244,149       215,963         4,358,062       3,168,172  

Shares redeemed

     (118,479 )      (1,798,353 )        (2,224,448 )      (31,071,324 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase

     1,022,751       7,117,301       $ 18,325,914     $ 121,818,528  
 

 

 

    

 

 

      

 

 

    

 

 

  
         
    TAX-MANAGED INTERNATIONAL PORTFOLIO  
         
    SHARES           AMOUNT  
         
     SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		            SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		  

Tax-Managed International Class Shares

 

Shares sold

     6,452,942       15,801,467       $ 120,236,763     $ 254,717,530  

Shares issued to shareholders on reinvestment of dividends

     1,949,586       2,930,958         35,365,491       43,876,449  

Shares redeemed

     (11,335,100 )      (43,277,193 )        (211,754,901 )      (720,956,205 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net decrease

     (2,932,572 )      (24,544,768 )      $ (56,152,647 )    $ (422,362,226 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
         

 

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    TAX-MANAGED INTERNATIONAL PORTFOLIO  
         
    SHARES           AMOUNT  
         
     SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		            SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		  

Class A Shares

          

Shares sold

     36,271       4,449       $ 670,643     $ 69,658  

Shares issued to shareholders on reinvestment of dividends

     1,154       1,738         20,640       25,631  

Shares converted from Class B

     22       0  (a)        404       1  

Shares converted from Class C

     0       11,040         0       180,190  

Shares redeemed

     (2,782 )      (9,567 )        (51,545 )      (154,008 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase

     34,665       7,660       $ 640,142     $ 121,472  
 

 

 

    

 

 

      

 

 

    

 

 

  
         

Class B Shares

 

Shares issued to shareholders on reinvestment of dividends

     1       3       $ 17     $ 45  

Shares converted to Class A

     (22 )      0  (a)        (404 )      (1 ) 

Shares redeemed

     0  (a)      (1 )        (1 )      (20 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase (decrease)

     (21 )      2       $ (388 )    $ 24  
 

 

 

    

 

 

      

 

 

    

 

 

  
         

Class C Shares

 

Shares sold

     547       382       $ 10,000     $ 5,572  

Shares issued to shareholders on reinvestment of dividends

     0       128         0       1,895  

Shares converted to Class A

     0       (11,007 )        0       (180,190 ) 

Shares redeemed

     (999 )      (1,650 )        (17,829 )      (26,578 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net decrease

     (452 )      (12,147 )      $ (7,829 )    $ (199,301 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
         

Class Z Shares

 

Shares sold

     2,242,046       4,508,015       $ 40,492,998     $ 77,808,338  

Shares issued to shareholders on reinvestment of dividends

     367,702       457,642         6,570,826       6,750,215  

Shares redeemed

     (22,374 )      (3,825,356 )        (404,058 )      (66,061,470 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase

     2,587,374       1,140,301       $ 46,659,766     $ 18,497,083  
 

 

 

    

 

 

      

 

 

    

 

 

  

 

  (a) Share amount is less than one full share.

 

2018 Semi-Annual Report     89  

Table of Contents

Notes to Financial Statements (continued)

 

 

    EMERGING MARKETS PORTFOLIO  
         
    SHARES           AMOUNT  
         
     SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		            SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		  

Emerging Markets Class Shares

          

Shares sold

     2,387,645       6,567,500       $ 79,231,766     $ 177,786,348  

Shares issued to shareholders on reinvestment of dividends and distributions

     273,652       195,234         8,650,126       4,908,179  

Shares redeemed

     (3,652,912 )      (11,275,164 )        (121,703,630 )      (311,572,502 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net decrease

     (991,615 )      (4,512,430 )      $ (33,821,738 )    $ (128,877,975 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
         

Class Z Shares

                                        

Shares sold

     296,797       1,850,969       $ 9,723,914     $ 56,880,253  

Shares issued to shareholders on reinvestment of dividends and distributions

     60,628       41,306         1,915,849       1,038,442  

Shares redeemed

     (51,878 )      (885,752 )        (1,812,282 )      (27,260,670 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase

     305,547       1,006,523       $ 9,827,481     $ 30,658,025  
 

 

 

    

 

 

      

 

 

    

 

 

  
         
    SHORT DURATION DIVERSIFIED MUNICIPAL  PORTFOLIO  
         
    SHARES           AMOUNT  
         
     SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		            SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		  

Shares sold

     5,629,245       11,807,092       $ 70,619,767     $ 148,607,589  

Shares issued to shareholders on reinvestment of dividends and distributions

     61,160       64,537         766,906       811,755  

Shares redeemed

     (5,010,306 )      (7,519,438 )        (62,841,269 )      (94,518,424 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase

     680,099       4,352,191       $ 8,545,404     $ 54,900,920  
 

 

 

    

 

 

      

 

 

    

 

 

  

 

90   Sanford C. Bernstein Fund, Inc.

Table of Contents
    NEW YORK MUNICIPAL PORTFOLIO  
         
    SHARES           AMOUNT  
         
     SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		            SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		  

Municipal Class Shares

 

Shares sold

     12,918,669       19,091,535       $ 179,831,096     $ 267,503,221  

Shares issued to shareholders on reinvestment of dividends and distributions

     1,036,221       1,873,246         14,418,403       26,272,260  

Shares redeemed

     (8,724,593 )      (16,463,233 )        (121,456,297 )      (230,874,702 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase

     5,230,297       4,501,548       $ 72,793,202     $ 62,900,779  
 

 

 

    

 

 

      

 

 

    

 

 

  
         

Class A Shares

 

Shares sold

     736,765       2,035,461       $ 10,269,083     $ 28,533,394  

Shares issued to shareholders on reinvestment of dividends and distributions

     64,926       145,234         903,635       2,035,945  

Shares converted from Class B

     50       937         693       13,389  

Shares converted from Class C

     33,228       278,265         459,041       3,901,274  

Shares redeemed

     (1,411,095 )      (5,079,985 )        (19,662,064 )      (71,109,393 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net decrease

     (576,126 )      (2,620,088 )      $ (8,029,612 )    $ (36,625,391 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
         

Class B Shares

 

Shares sold

     0       115       $ 0     $ 1,626  

Shares issued to shareholders on reinvestment of dividends and distributions

     1       2         16       24  

Shares converted to Class A

     (50 )      (938 )        (693 )      (13,389 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net decrease

     (49 )      (821 )      $ (677 )    $ (11,739 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
         

Class C Shares

 

Shares sold

     79,241       318,936       $ 1,106,075     $ 4,452,161  

Shares issued to shareholders on reinvestment of dividends and distributions

     13,714       31,105         190,904       435,980  

Shares converted to Class A

     (33,228 )      (278,265 )        (459,041 )      (3,901,274 ) 

Shares redeemed

     (356,000 )      (995,117 )        (4,956,203 )      (13,921,339 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net decrease

     (296,273 )      (923,341 )      $ (4,118,265 )    $ (12,934,472 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
         

Advisor Class Shares

 

Shares sold

     854,866       2,507,684       $ 11,920,892     $ 35,100,995  

Shares issued to shareholders on reinvestment of dividends and distributions

     18,587       17,539         258,304       245,959  

Shares redeemed

     (370,785 )      (882,851 )        (5,161,072 )      (12,298,859 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase

     502,668       1,642,372       $ 7,018,124     $ 23,048,095  
 

 

 

    

 

 

      

 

 

    

 

 

  

 

2018 Semi-Annual Report     91  

Table of Contents

Notes to Financial Statements (continued)

 

 

    CALIFORNIA MUNICIPAL PORTFOLIO  
         
    SHARES           AMOUNT  
         
     SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		            SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		    

YEAR

ENDED
9/30/17

  

Municipal Class Shares

          

Shares sold

     9,822,634       14,133,796       $ 139,204,520     $ 202,035,648  

Shares issued to shareholders on reinvestment of dividends

     723,535       1,314,669         10,251,108       18,770,778  

Shares redeemed

     (6,316,204 )      (11,849,010 )        (89,503,425 )      (169,177,542 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase

     4,229,965       3,599,455       $ 59,952,203     $ 51,628,884  
 

 

 

    

 

 

      

 

 

    

 

 

  
         

Class A Shares

                                        

Shares sold

     2,009,969       3,145,839       $ 28,507,707     $ 44,748,351  

Shares issued to shareholders on reinvestment of dividends

     38,425       66,438         544,244       948,442  

Shares converted from Class C

     41,527       317,574         594,267       4,532,026  

Shares redeemed

     (1,748,360 )      (4,032,757 )        (24,795,838 )      (57,250,056 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase (decrease)

     341,561       (502,906 )      $ 4,850,380     $ (7,021,237 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
         

Class C Shares

                                        

Shares sold

     140,301       248,462       $ 1,991,332     $ 3,533,756  

Shares issued to shareholders on reinvestment of dividends

     4,684       10,655         66,416       152,029  

Shares converted to Class A

     (41,552 )      (317,574 )        (594,267 )      (4,532,026 ) 

Shares redeemed

     (315,351 )      (279,061 )        (4,472,940 )      (3,973,403 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net decrease

     (211,918 )      (337,518 )      $ (3,009,459 )    $ (4,819,644 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
         

Advisor Class Shares

                                        

Shares sold

     1,029,076       1,157,076       $ 14,574,004     $ 16,477,588  

Shares issued to shareholders on reinvestment of dividends

     6,233       6,212         88,114       88,674  

Shares redeemed

     (634,816 )      (486,279 )        (9,006,395 )      (6,970,731 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase

     400,493       677,009       $ 5,655,723     $ 9,595,531  
 

 

 

    

 

 

      

 

 

    

 

 

  
         

 

92   Sanford C. Bernstein Fund, Inc.

Table of Contents
    DIVERSIFIED MUNICIPAL PORTFOLIO  
         
    SHARES           AMOUNT  
         
     SIX MONTHS
ENDED  3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		            SIX MONTHS
ENDED  3/31/18
(UNAUDITED)		    

YEAR

ENDED

9/30/17

  

Municipal Class Shares

          

Shares sold

     50,344,534       73,074,749       $ 719,503,297     $ 1,050,177,361  

Shares issued to shareholders on reinvestment of dividends and distributions

     3,352,948       5,954,553         47,831,213       85,589,664  

Shares redeemed

     (33,541,857 )      (66,104,006 )        (478,313,738 )      (949,455,532 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase

     20,155,625       12,925,296       $ 289,020,772     $ 186,311,493  
 

 

 

    

 

 

      

 

 

    

 

 

  
         

Class A Shares

                                        

Shares sold

     2,254,532       7,682,832       $ 32,179,522     $ 110,171,391  

Shares issued to shareholders on reinvestment of dividends and distributions

     134,731       303,037         1,924,419       4,356,491  

Shares converted from Class B

     131       2,531         1,867       36,721  

Shares converted from Class C

     32,429       641,949         461,416       9,232,031  

Shares redeemed

     (5,659,021 )      (15,637,557 )        (80,912,915 )      (224,297,017 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net decrease

     (3,237,198 )      (7,007,208 )      $ (46,345,691 )    $ (100,500,383 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
         

Class B Shares

                                        

Shares sold

     21       45       $ 300     $ 641  

Shares issued to shareholders on reinvestment of dividends and distributions

     11       22         153       321  

Shares converted to Class A

     (131 )      (2,531 )        (1,867 )      (36,721 ) 

Shares redeemed

     0       (747 )        0       (10,893 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net decrease

     (99 )      (3,211 )      $ (1,414 )    $ (46,652 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
         

Class C Shares

                                        

Shares sold

     142,163       453,469       $ 2,036,006     $ 6,489,789  

Shares issued to shareholders on reinvestment of dividends and distributions

     19,683       44,863         280,982       644,691  

Shares converted to Class A

     (32,437 )      (641,948 )        (461,416 )      (9,232,031 ) 

Shares redeemed

     (709,472 )      (2,150,804 )        (10,137,853 )      (30,828,313 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net decrease

     (580,063 )      (2,294,420 )      $ (8,282,281 )    $ (32,925,864 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
         

Advisor Class Shares

                                        

Shares sold

     17,527,002       22,895,764       $ 249,213,697     $ 328,650,038  

Shares issued to shareholders on reinvestment of dividends and distributions

     814,164       1,437,483         11,605,098       20,645,269  

Shares redeemed

     (8,837,305 )      (20,573,869 )        (125,858,015 )      (294,766,036 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase

     9,503,861       3,759,378       $ 134,960,780     $ 54,529,271  
 

 

 

    

 

 

      

 

 

    

 

 

  

 

2018 Semi-Annual Report     93  

Table of Contents

Notes to Financial Statements (continued)

 

 

    SHORT DURATION PLUS PORTFOLIO  
         
    SHARES           AMOUNT  
         
     SIX MONTHS
ENDED  3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		            SIX MONTHS
ENDED  3/31/18
(UNAUDITED)		    

YEAR

ENDED
9/30/17

  

Short Duration Plus Class Shares

          

Shares sold

     4,536,025       9,120,742       $ 52,846,153     $ 106,607,659  

Shares issued to shareholders on reinvestment of dividends

     91,389       175,972         1,061,250       2,057,285  

Shares redeemed

     (6,639,798 )      (16,801,294 )        (77,134,937 )      (196,290,374 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net decrease

     (2,012,384 )      (7,504,580 )      $ (23,227,534 )    $ (87,625,430 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
         

Class A Shares

                                        

Shares sold

     296,339       1,186,589       $ 3,445,587     $ 13,889,300  

Shares issued to shareholders on reinvestment of dividends

     5,822       9,344         67,667       109,398  

Shares converted from Class B

     799       6,327         9,298       74,109  

Shares converted from Class C

     12,054       232,595         140,703       2,721,372  

Shares redeemed

     (919,607 )      (1,254,355 )        (10,702,772 )      (14,680,569 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase (decrease)

     (604,593 )      180,500       $ (7,039,517 )    $ 2,113,610  
 

 

 

    

 

 

      

 

 

    

 

 

  
         

Class B Shares

                                        

Shares sold

     0       1,359       $ 0     $ 15,861  

Shares issued to shareholders on reinvestment of dividends

     5       15         62       179  

Shares converted to Class A

     (801 )      (6,339 )        (9,298 )      (74,109 ) 

Shares redeemed

     (544 )      (754 )        (6,308 )      (8,794 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net decrease

     (1,340 )      (5,719 )      $ (15,544 )    $ (66,863 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
         

Class C Shares

                                        

Shares sold

     55,581       236,433       $ 644,828     $ 2,761,560  

Shares issued to shareholders on reinvestment of dividends

     714       2,136         8,279       24,958  

Shares converted to Class A

     (12,085 )      (233,192 )        (140,703 )      (2,721,372 ) 

Shares redeemed

     (145,244 )      (471,161 )        (1,686,119 )      (5,497,783 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net decrease

     (101,034 )      (465,784 )      $ (1,173,715 )    $ (5,432,637 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
         

 

94   Sanford C. Bernstein Fund, Inc.

Table of Contents
    INTERMEDIATE DURATION PORTFOLIO  
         
    SHARES           AMOUNT  
         
     SIX MONTHS
ENDED  3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		            SIX MONTHS
ENDED  3/31/18
(UNAUDITED)		    

YEAR

ENDED
9/30/17

  

Shares sold

     23,534,463       34,239,924       $ 308,221,303     $ 451,312,186  

Shares issued to shareholders on reinvestment of dividends and distributions

     2,251,327       7,996,334         29,445,693       104,881,339  

Shares redeemed

     (19,916,399 )      (40,686,525 )        (260,992,908 )      (536,357,116 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase

     5,869,391       1,549,733       $ 76,674,088     $ 19,836,409  
 

 

 

    

 

 

      

 

 

    

 

 

  
         

 

NOTE 7. Recent Accounting Pronouncements

In March 2017, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (the “ASU”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The ASU does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. The ASU is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. At this time, management is evaluating the implications of these changes on the financial statements.

 

NOTE 8. Subsequent Events

Effective April 26, 2018, the International Portfolio, the Tax-Managed International Portfolio, the Emerging Markets Portfolio and the Short Duration Diversified Municipal Portfolio intend to invest uninvested cash balances in an affiliated money market fund, the AB Government Money Market Portfolio of AB Fixed-Income Shares, Inc. (the “Money Market Portfolio”), as permitted by Rule 12d1-1 under the 1940 Act.

Effective April 26, 2018, the Fund authorized an additional 1 billion Class Z shares of Common Stock, par value $0.001 per share, of which 0.2 billion, 0.2 billion and 0.6 billion shares are allocated to New York Municipal, California Municipal Portfolio and Diversified Municipal Portfolio, respectively.

Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no other material events that would require disclosure in the Portfolios’ financial statements through this date.

 

2018 Semi-Annual Report     95  

Table of Contents

Sanford C. Bernstein Fund, Inc.

 

 

BOARD OF DIRECTORS

Bart Friedman*^

Chairman

Kathleen Fisher

President

R. Jay Gerken*

Director

William Kristol*

Director

Debra Perry*

Director

Donald K. Peterson*

Director

 

 

OFFICERS

Sharon E. Fay(1)

Vice President

Kent W. Hargis(1)

Vice President

Laurent Saltiel(1)

Vice President

Henry S. D’Auria(1)

Vice President

Fred S. Cohen(1)

Vice President

R.B. (“Guy”) Davidson III(1)

Vice President

Terrance T. Hults(1)

Vice President

Matthew J. Norton(1)

Vice President

Andrew Potter(1)

Vice President

Avi Lavi(1)

Vice President

Shawn E. Keegan(1)

Vice President

Michael Canter(1)

Vice President

Douglas J. Peebles(1)

Vice President

Janaki Rao(1)

Vice President

Greg J. Wilensky(1)

Vice President

Mark Phelps(1)

Vice President

Daniel C. Roarty(1)

Vice President

Nelson Yu(1)

Vice President

Joseph J. Mantineo

Treasurer and Chief Financial Officer

Phyllis J. Clarke

Controller

Emilie D. Wrapp

Secretary

Vincent S. Noto

Chief Compliance Officer

 

 

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

PricewaterhouseCoopers LLP

300 Madison Avenue New York, New York 10017

 

 

LEGAL COUNSEL

Willkie Farr & Gallagher LLP

787 Seventh Avenue New York, New York 10019

 

 

CUSTODIAN AND ACCOUNTING AGENT

State Street Bank and Trust Company

State Street Corporation CCB/5 1 Iron Street Boston, Massachusetts 02210

 

 

TRANSFER AGENT

DST Asset Manager Solutions

2000 Crown Colony Drive Quincy, Massachusetts 02169

 

 

INVESTMENT ADVISER

AllianceBernstein L.P.

1345 Avenue of the Americas New York, New York 10105

 

* Member of the Audit Committee, the Nominating, Governance and Compensation Committee and the Independent Directors Committee.

^ Member of the Fair Value Pricing Committee.

(1) The day-to-day management of, and investment decisions for, the International Portfolio and Tax-Managed International Portfolio are made by the International Team; Ms. Fay and Messrs. Hargis, Lavi, Phelps, Roarty and Yu are the investment professionals with the most significant responsibility for the day-to-day management of the Funds’ Portfolios. The day-to-day management of, and investment decisions for, the Emerging Markets Portfolio are made by the Emerging Markets Team; Messrs. D’Auria, Saltiel and Yu are the investment professionals with the most significant responsibility for the day-to-day management of the Fund’s Portfolio. The day-to-day management of, and investment decisions for, the Short Duration Plus Portfolio are made by the U.S. Investment Grade: Liquid Markets Structured Products Investment Team; Messrs. Canter, Keegan, Rao and Wilensky are the professionals with the most significant responsibility for the day-to-day management of the Fund’s Portfolio. The day-to-day management of, and investment decisions for, the Intermediate Duration Portfolio are made by the U.S. Investment Grade: Core Fixed Income Team; Messrs. Canter, Keegan, Peebles, Rao and Wilensky are the investment professionals with the most significant responsibility for the day-to-day management of the Fund’s Portfolio. The day-to-day management of, and investment decisions for, the Fixed Income Municipal Portfolios are made by the Municipal Bond Investment Team; Messrs. Cohen, Davidson, Hults, Norton and Potter are the investment professionals with the most significant responsibility for the day-to-day management of the Funds’ Portfolios.

 

96   Sanford C. Bernstein Fund, Inc.

Table of Contents

Board’s Consideration of Investment Management Arrangement

 

Tax-Managed International Portfolio

International Portfolio

Emerging Markets Portfolio

Short Duration Diversified Municipal Portfolio

New York Municipal Portfolio

California Municipal Portfolio

Diversified Municipal Portfolio

Short Duration Plus Portfolio

Intermediate Duration Portfolio

Overlay A Portfolio

Tax-Aware Overlay A Portfolio

Overlay B Portfolio

Tax-Aware Overlay B Portfolio

Tax-Aware Overlay C Portfolio

Tax-Aware Overlay N Portfolio

The Fund’s Board of Directors, including the Directors who are not interested persons of the Fund (the “Independent Directors”), unanimously approved the continuation of the Investment Management Agreement between the Sanford C. Bernstein Fund, Inc. (the “Fund”), on behalf of the Tax-Managed International, International, Emerging Markets, Short Duration Diversified Municipal, New York Municipal, California Municipal, Diversified Municipal, Short Duration Plus, Intermediate Duration, Overlay A, Tax-Aware Overlay A, Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios (each, a “Portfolio” and collectively, the “Portfolios”) and AllianceBernstein L.P. (the “Adviser”) (the “Investment Management Agreement”) at a meeting held on October 25-26, 2017. In connection with the process relating to the annual review of the Investment Management Agreement between the Fund and the Adviser, the Adviser received a letter dated August 18, 2017, from counsel to the Independent Directors. The letter contained a list of information requested by the Independent Directors to conduct their annual review. The Board of Directors, including the Independent Directors, met in person in July 2017 and received and reviewed certain information relating to the profitability of the Adviser in 2016 and prior years in relation to its services to the Fund, and received and evaluated extensive additional materials relating to the renewal of the Investment Management Agreement from the Adviser during in-person meetings in September and October 2017. In addition, the Independent Directors received materials prepared by the Senior Officer1 as described below. At the July 27, 2017 meeting, the Independent Directors met separately with independent counsel and the Senior Officer, and met with Seth Bernstein, the Chief Executive Officer of the Adviser, to discuss (among other things) the importance of the Private Client business to the Adviser and the role played by the Portfolios, as well as the capabilities the Adviser could provide to clients. On September 28, 2017, the Board of Directors held an in-person meeting to discuss its review of the Investment Management Agreement and the materials the Directors had been provided. Also on September 28, 2017, the Independent Directors met separately with independent counsel and the Senior Officer in executive session. Following the September 28, 2017 meeting, the Independent Directors, through counsel, requested certain additional information which was provided by the Adviser on October 5, 2017. The Independent Directors held a telephonic meeting on October 17, 2017 to discuss the contract renewal materials and supplemental materials. On October 25-26, 2017, the Board of Directors held an in-person meeting to continue their review of the Investment Management Agreement. During this meeting, the Independent Directors met with counsel to the Independent Directors as well as the Fund’s Senior Officer to review the contract renewal materials provided by the Adviser as well as the Senior Officer’s report and conclusions. At the conclusion of this meeting, the Board approved the continuation of the Investment Management Agreement for an additional annual term as described below.

In approving the continuation of the Investment Management Agreement, the Board of Directors, including the Independent Directors, considered all information it deemed reasonably necessary to evaluate the terms of the Agreement and considered whether continuation of the Investment Management Agreement would be in the best interests of each Portfolio.

 

 

1 Philip Kirstein, the Fund’s Senior Officer, retired effective 12/31/2017.

 

2018 Semi-Annual Report     97  

Table of Contents

Board’s Consideration of Investment Management Arrangement (continued)

 

The Board of Directors also reviewed an independent evaluation prepared by the Fund’s Senior Officer of the reasonableness of the advisory fees in the Investment Management Agreement, wherein the Senior Officer concluded that the contractual fees contained in the Adviser’s proposal were reasonable with respect to all Portfolios and within the range of what would have been negotiated at arms-length in light of the surrounding circumstances.

The matters discussed below were considered separately by the Independent Directors in executive sessions, during which experienced counsel that is independent of the Adviser provided guidance to the Independent Directors. No single factor was considered in isolation or to be determinative to the decision of the Board to approve the continuation of the Investment Management Agreement. Rather, the Board concluded, in light of a weighing and balancing of all factors considered, and in light of the proposal to establish breakpoints for the Overlay A and the Tax-Aware Overlay A Portfolios’ fee schedules, and to reduce fees for the Short Duration Diversified Municipal, Short Duration Plus, Intermediate Duration, Tax-Managed International, International, and Emerging Markets Portfolios, effective January 1, 2018, that it was in the best interests of each Portfolio to approve the continuation of the Investment Management Agreement including the fees to be charged for services thereunder, as summarized below.

Fees and Expenses

The Board of Directors, including the Independent Directors, compared the fees and expense ratios of each Portfolio as proposed by the Adviser (before and after any fee waivers and expense reimbursements) against fees and expense ratios of a peer group of funds with similar investment objectives (“peer group”). Both the peer group and the funds within the peer group, with respect to the fee and expense data, were prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data. The Senior Officer also performed analyses of the advisory fees, and compared such analyses to the Portfolios’ peer groups.

The Board also received and considered information about the services rendered, and the fee rates charged, to other clients advised by the Adviser, including information about recent advisory fee changes with respect to other investment companies and non-investment company clients advised by the Adviser.

On the basis of its review and consideration of the fees as described above and the Board’s consideration of the other factors described below, the Board concluded that the contractual advisory fees as proposed are reasonable.

Nature, Extent and Quality of Services

The Board of Directors, including the Independent Directors, considered the nature, quality and extent of services performed by the Adviser and its affiliates gained from their experience as directors of the Fund, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, and the Adviser’s initiative in identifying and raising potential issues with the Directors. The Board also considered the Adviser’s responsiveness, frankness and attention to concerns raised by the Directors from time to time, including the Adviser’s willingness to consider and implement organizational changes designed to improve investment results and the services provided to the Portfolios. The Board also considered the scope and quality of the Adviser’s investment management capabilities, other resources dedicated to performing its services, the quality of its compliance, administrative and other services provided to the Portfolios and the background and experience of the Adviser’s senior management. The Board reviewed the qualifications, backgrounds and responsibilities of the investment staff primarily responsible for day-to-day portfolio management services for each Portfolio and noted the Adviser’s commitment to strong research and investment management capabilities throughout changing market environments. The Board reviewed the compliance and administrative services of the Adviser that support the investment advisory services provided to the Portfolios and noted that such staff appeared sufficient to provide a high level of service to the Portfolios. The Board also considered how the organizational capabilities and financial condition of the Adviser may affect the nature and quality of its services. The Board further reviewed information about AXA Financial’s proposed initial public offering (“IPO”) of a minority stake in its US operations, including AXA Group’s interest in the Adviser, and the statements of the Adviser that it will continue to operate as an independent, publicly-traded US asset manager and that the IPO is not anticipated to change the Adviser’s current management structure or strategy.

In considering the nature and quality of the services provided by the Adviser, the Board of Directors, including the Independent Directors, received and considered information about each Portfolio’s investment performance, as well as the performance of its peer group and the performance of an appropriate benchmark index. (The Board recognized that

 

98   Sanford C. Bernstein Fund, Inc.

Table of Contents

the benchmark indices do not account for fees and expenses incurred by a fund, including the Portfolios.) The Board was provided with performance data versus each Portfolio’s peer group, for the l-year, 3-year, 5-year and 10-year periods, as applicable, ended June 30, 2017 (“relevant periods”) and versus each Portfolio’s benchmark index, for the year to date, l-year, 3-years, 5-years, 10-years and since inception periods, as applicable, ended June 30, 2017. Both the funds included in each Portfolio’s peer group and the comparative performance data were provided to the Directors by Broadridge. The Directors also receive detailed comparative performance information for the Portfolios at each regular Board meeting during the year.

The Directors noted the complexity of the Overlay Portfolios, in particular the complexity of managing the globally diversified set of asset classes and derivatives in which the Overlay Portfolios can invest as well as the complexity of dynamically allocating assets through the Overlay Portfolios among various asset classes as economic and market conditions change in seeking to provide the desired risk/return trade-off for their investors. The Directors also noted the Adviser’s continued efforts to enhance the Overlay Portfolios.

The Board concluded that the Adviser had the experience and resources necessary to provide services of appropriate nature, quality and scope with respect to the Portfolios.

Profitability

The Board of Directors, including the Independent Directors, considered the level of the Adviser’s profits in respect of its management of the Portfolios. The materials provided to the Independent Directors included information indicating the profitability of the Portfolios to the Adviser for calendar years 2015 and 2016, which had been reviewed by an independent consultant retained by the Senior Officer. The Directors reviewed the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and noted that there are many potentially acceptable allocation methodologies for information of this type. The Directors noted that they received information regarding all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to the Adviser’s subsidiaries that provide transfer agency, distribution and brokerage services to the Portfolios, and that they had focused on profitability before taxes and distribution expenses. The Directors also received a presentation at the July 27, 2017 Board meeting from the independent consultant who reviewed the Adviser’s method of calculating profitability. The Directors recognized that it is difficult to make comparisons of profitability among fund advisory contracts because comparative information is not generally publicly available and is affected by numerous factors including different cost accounting methodologies.

After reviewing all relevant factors, the Board of Directors, including the Independent Directors, concluded that the level of the Adviser’s profits in respect of its management of the Portfolios was not excessive.

Economies of Scale

The Board of Directors, including the Independent Directors, considered whether there have been economies of scale in respect of the management of the Portfolios, whether the Portfolios have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale.

At the October 26, 2017 Board meeting, the Directors received the Senior Officer Report which included a discussion of possible economies of scale. The Directors discussed with the Senior Officer possible ways in which any such economies of scale may be shared with the Portfolios, including by investment in enhanced services.

After reviewing the profitability and economies of scale information provided by the Adviser, the Board concluded that the benefits of any economies of scale were appropriately being shared with Portfolio investors by way of, among other things, breakpoint arrangements as currently in effect as well as the new breakpoints proposed for the Overlay A and Tax-Aware Overlay A Portfolios; proposed fee reductions for the Short Duration Diversified Municipal, Short Duration Plus, Intermediate Duration, Tax-Managed International, International, and Emerging Markets Portfolios, effective January 1, 2018; the fact that that the New York Municipal Portfolio, California Municipal Portfolio and Diversified Municipal Portfolio had recently implemented advisory fee reductions in 2017; the fact that in the case of the Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios the fee levels initially established had assumed achievement of significant scale and that these Portfolios are considerably smaller in asset size than the Overlay A and Tax-Aware Overlay A Portfolios; expense caps and waivers on select Portfolios; and the Adviser’s continued

 

2018 Semi-Annual Report     99  

Table of Contents

Board’s Consideration of Investment Management Arrangement (continued)

 

reinvestment in the business, including by researching and implementing new product enhancements, although the Adviser decreased its operating expenses and staff in recent years. The Directors also noted that, because of the investment by the Overlay A and Tax-Aware Overlay A Portfolios in affiliated portfolios, there are significant waivers of management fees for the Overlay A and Tax-Aware Overlay A Portfolios to reflect their investment in such affiliated portfolios.

Fall-Out Benefits and Other Revenue

The Board of Directors, including the Independent Directors, also took into account so-called “fall-out benefits” to the Adviser, such as soft dollar arrangements (whereby the Adviser receives the benefit of research services from many of the brokers and dealers that execute purchases and sales of securities on behalf of its clients on an agency basis), Rule 12b-1 fees and sales charges received by the principal underwriter (which is a wholly owned subsidiary of the Adviser) with respect to the retail share classes of certain Portfolios, and transfer agency fees paid by the retail share classes of certain Portfolios to a wholly-owned subsidiary of the Adviser. The Directors recognized that the Adviser’s profitability would be lower without these benefits. They also considered other benefits potentially derived from an increase in the Adviser’s business as a result of its relationship with the Fund. The Directors concluded that these fall-out benefits to the Adviser were acceptable.

Advisory Fee Rate Schedule

On the basis of the information considered, the Board determined to approve the continuation of the Investment Management Agreement for an additional annual term, with the addition of breakpoints to the Overlay A and the Tax-Aware Overlay A Portfolios’ fee schedules, and with the reduction of certain other Portfolios’ contractual fee schedules, as set forth below:

 

      ADVISORY FEE SCHEDULE
Short Duration Diversified Municipal Portfolio    0.30% of the first $750 million; 0.25% of assets in excess of $750 million
  
Short Duration Plus Portfolio    0.35% of the first $750 million; 0.30% of assets in excess of $750 million
  
New York Municipal Portfolio    0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% in excess of $5 billion
  
California Municipal Portfolio    0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% in excess of $5 billion
  
Diversified Municipal Portfolio    0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% in excess of $5 billion up to, but not exceeding $7 billion; 0.225% of assets in excess of $7 billion
  
Intermediate Duration Portfolio    0.45% of the first $2.5 billion; 0.40% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.35% in excess of $5 billion up to, but not exceeding $8 billion; 0.30% of assets in excess of $8 billion
  
Tax-Managed International Portfolio    0.75% of the first $2.5 billion; 0.65% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.60% in excess of $5 billion
  
International Portfolio    0.75% of the first $2.5 billion; 0.65% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.60% in excess of $5 billion
  

 

100   Sanford C. Bernstein Fund, Inc.

Table of Contents
      ADVISORY FEE SCHEDULE
Emerging Markets Portfolio    0.95% of the first $2.5 billion; 0.90% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.85% in excess of $5 billion
  
Overlay A Portfolio    0.90% of the first $5 billion; 0.875% in excess of $5 billion
  
Tax-Aware Overlay A Portfolio    0.90% of the first $5 billion; 0.875% in excess of $5 billion
  
Overlay B Portfolio    0.65%
  
Tax-Aware Overlay B Portfolio    0.65%
  
Tax-Aware Overlay C Portfolio    0.65%
  
Tax-Aware Overlay N Portfolio    0.65%

 

2018 Semi-Annual Report     101  

Table of Contents

 

 

 

 

LOGO

Distributor

SANFORD C. BERNSTEIN FUND, INC.

1345 AVENUE OF THE AMERICAS, NEW YORK, NY 10105

(212) 756-4097

SCBI-1947-0318

Table of Contents

Sanford C. Bernstein Fund, Inc.

 

March 31, 2018

Schedule of Investments

To the Semi-Annual Report

For the Stock Portfolios

 

 

 

 

 

 

 

 

 

 

Tax-Managed International

 

 

International

 

 

Emerging Markets

Table of Contents

Sanford C. Bernstein Fund, Inc.

Schedule of Investments

Tax-Managed International Portfolio

March 31, 2018 (Unaudited)

 

Company   Shares     U.S. $ Value  
COMMON STOCKS–96.9%  
Financials–20.4%  
Banks–10.9%  

Bank Hapoalim BM

     638,087     $ 4,388,071  

Barclays PLC

     7,551,120       22,065,169  

BNP Paribas SA

     422,250       31,314,350  

BOC Hong Kong Holdings Ltd.

     6,959,500       34,141,763  

Credicorp Ltd.

     108,080       24,538,483  

Danske Bank A/S

     166,748       6,247,760  

DBS Group Holdings Ltd.

     583,100       12,316,439  

DNB ASA

     1,762,250       34,711,429  

Erste Group Bank AG

     733,948       36,897,975  

Hang Seng Bank Ltd.

     342,300       7,953,200  

HDFC Bank Ltd.

     1,418,855       41,964,121  

KB Financial Group, Inc.

     213,440       12,378,926  

KBC Group NV

     93,430       8,135,776  

Mitsubishi UFJ Financial Group, Inc.

     6,831,100       45,396,867  

National Australia Bank Ltd.

     389,720       8,603,664  

Oversea-Chinese Banking Corp., Ltd.

     672,000       6,619,871  

Royal Bank of Canada

     150,190       11,601,590  

Seven Bank Ltd.

     1,178,200       3,779,710  

Sumitomo Mitsui Financial Group, Inc.

     198,700       8,429,704  

Svenska Handelsbanken AB–Class A

     1,405,750       17,595,532  

Swedbank AB–Class A

     910,580       20,461,048  

Toronto-Dominion Bank (The)

     160,050       9,082,358  
   

 

 

  
      408,623,806  
   

 

 

  
Capital Markets–3.2%  

Azimut Holding SpA

     517,938       11,133,294  

Credit Suisse Group AG (REG)

     2,095,504       35,194,029  

Euronext NV(a)

     144,630       10,601,222  

IG Group Holdings PLC

     959,330       10,744,171  

Partners Group Holding AG

     60,942       45,348,439  

Thomson Reuters Corp.

     171,880       6,642,531  
   

 

 

  
      119,663,686  
   

 

 

  
Consumer Finance–1.0%  

Bharat Financial Inclusion Ltd.(b)

     1,235,680       20,878,824  

Hitachi Capital Corp.

     697,100       17,644,675  
   

 

 

  
      38,523,499  
   

 

 

  
Diversified Financial Services–0.2%  

ORIX Corp.

     445,400       7,981,998  
   

 

 

  
Insurance–4.5%  

Admiral Group PLC

     127,880       3,309,842  

AIA Group Ltd.

     4,211,800       36,005,313  

Allianz SE (REG)

     202,660       45,812,738  

Direct Line Insurance Group PLC

     1,015,454       5,437,257  

NN Group NV

     211,979       9,418,212  

PICC Property & Casualty Co., Ltd.–Class H

     9,674,000       17,094,234  

Prudential PLC

     1,330,057     $ 33,236,360  

Swiss Re AG

     140,280       14,317,912  

Tryg A/S

     261,480       6,092,261  
   

 

 

  
      170,724,129  
   

 

 

  
Thrifts & Mortgage Finance–0.6%  

Housing Development Finance Corp., Ltd.

     824,820       23,175,061  
   

 

 

  
      768,692,179  
   

 

 

  
   
 
Consumer Discretionary–14.4%  
Auto Components–4.0%  

Aptiv PLC

     280,760       23,856,177  

Continental AG

     33,422       9,231,531  

Delphi Technologies PLC

     219,281       10,448,740  

Faurecia SA

     263,261       21,302,032  

Hankook Tire Co., Ltd.

     320,920       15,883,880  

Magna International, Inc. (New York)–Class A

     493,200       27,791,820  

NGK Spark Plug Co., Ltd.

     1,045,000       25,180,352  

Valeo SA

     248,897       16,464,558  
   

 

 

  
      150,159,090  
   

 

 

  
Automobiles–2.4%  

Honda Motor Co., Ltd.

     820,300       28,395,983  

Peugeot SA

     1,277,430       30,759,710  

Subaru Corp.

     914,200       30,262,542  
   

 

 

  
      89,418,235  
   

 

 

  
Distributors–0.2%  

PALTAC Corp.

     161,500       8,801,058  
   

 

 

  
Hotels, Restaurants & Leisure–0.9%  

Aristocrat Leisure Ltd.

     811,130       15,144,217  

Compass Group PLC

     293,360       5,990,106  

Merlin Entertainments PLC(a)

     1,606,400       7,811,227  

Playtech PLC

     392,370       4,035,466  
   

 

 

  
      32,981,016  
   

 

 

  
Household Durables–2.5%  

Auto Trader Group PLC(a)

     2,216,940       10,897,198  

Fujitsu General Ltd.

     245,100       4,390,125  

Nikon Corp.

     1,286,900       23,261,829  

Panasonic Corp.

     3,484,100       50,033,388  

Persimmon PLC

     198,290       7,037,761  
   

 

 

  
      95,620,301  
   

 

 

  
Internet & Direct Marketing Retail–0.2%  

Ctrip.com International Ltd. (ADR)(b)

     203,218       9,474,023  
   

 

 

  
Leisure Products–0.7%  

Amer Sports Oyj(b)

     604,390       18,651,562  

Bandai Namco Holdings, Inc.

     196,800       6,369,176  
   

 

 

  
      25,020,738  
   

 

 

  
Media–0.4%  

CTS Eventim AG & Co. KGaA

     229,980       10,781,052  

Daiichikosho Co., Ltd.

     84,100       4,423,344  
   

 

 

  
      15,204,396  
   

 

 

  

 

Schedule of Investments—Tax-Managed International Portfolio     1  

Table of Contents
     
Company   Shares     U.S. $ Value  
Multiline Retail–0.5%  

B&M European Value Retail SA

     2,092,647     $ 11,487,142  

Next PLC

     117,320       7,842,724  
   

 

 

  
      19,329,866  
   

 

 

  
Textiles, Apparel & Luxury Goods–2.6%  

Crystal International Group Ltd.(a)(b)

     4,822,500       4,893,270  

HUGO BOSS AG

     295,834       25,772,128  

LVMH Moet Hennessy Louis Vuitton SE

     34,899       10,754,935  

Moncler SpA

     322,530       12,274,909  

Pandora A/S

     309,290       33,463,974  

Samsonite International SA

     1,977,800       9,046,084  
   

 

 

  
      96,205,300  
   

 

 

  
      542,214,023  
   

 

 

  
   
 
Information Technology–14.1%  
Communications Equipment–0.7%  

Nokia Oyj

     5,164,900       28,521,168  
   

 

 

  
Electronic Equipment, Instruments & Components–1.7%  

Halma PLC

     721,462       11,942,544  

Horiba Ltd.

     231,000       17,985,641  

Ingenico Group SA

     161,560       13,113,354  

Keyence Corp.

     21,400       13,367,677  

Murata Manufacturing Co., Ltd.

     53,100       7,329,507  
   

 

 

  
      63,738,723  
   

 

 

  
Internet Software & Services–2.7%  

Alibaba Group Holding Ltd. (Sponsored ADR)(b)

     148,730       27,297,904  

carsales.com Ltd.

     537,210       5,614,325  

Kakaku.com, Inc.

     237,800       4,208,431  

Moneysupermarket.com Group PLC

     2,391,850       9,627,603  

Tencent Holdings Ltd.

     541,000       29,040,630  

Yahoo Japan Corp.

     5,291,600       24,769,421  
   

 

 

  
      100,558,314  
   

 

 

  
IT Services–1.4%  

Amadeus IT Group SA–Class A

     221,720       16,407,971  

Capgemini SE

     197,389       24,629,096  

Otsuka Corp.

     267,400       13,632,798  
   

 

 

  
      54,669,865  
   

 

 

  
Semiconductors & Semiconductor Equipment–4.5%  

ams AG

     234,620       24,637,495  

ASML Holding NV

     162,673       32,256,989  

Disco Corp.

     43,600       9,319,203  

Infineon Technologies AG

     619,230       16,653,090  

SCREEN Holdings Co., Ltd.

     263,800       23,828,770  

SUMCO Corp.

     763,900       19,951,208  

Taiwan Semiconductor Manufacturing Co., Ltd.

     5,157,000       43,680,813  
   

 

 

  
      170,327,568  
   

 

 

  
Software–2.2%  

Check Point Software Technologies Ltd.(b)

     85,310     $ 8,474,695  

Constellation Software, Inc./Canada

     9,742       6,609,981  

Nice Ltd.(b)

     136,869       12,788,511  

Nintendo Co., Ltd.

     55,900       24,834,866  

Oracle Corp. Japan

     203,500       16,889,265  

SAP SE

     48,561       5,098,019  

Temenos Group AG(b)

     64,200       7,698,175  
   

 

 

  
      82,393,512  
   

 

 

  
Technology Hardware, Storage & Peripherals–0.9%  

Samsung Electronics Co., Ltd.

     14,040       32,804,124  
   

 

 

  
      533,013,274  
   

 

 

  
   
 
Consumer Staples–11.6%  
Beverages–1.7%  

Coca-Cola Bottlers Japan Holdings, Inc.

     463,300       19,133,139  

Diageo PLC

     313,170       10,591,316  

Royal Unibrew A/S

     174,320       11,572,902  

Suntory Beverage & Food Ltd.

     166,900       8,124,777  

Treasury Wine Estates Ltd.

     1,144,524       14,953,481  
   

 

 

  
      64,375,615  
   

 

 

  
Food & Staples Retailing–0.5%  

Tsuruha Holdings, Inc.

     133,500       19,213,709  
   

 

 

  
Food Products–3.7%  

Calbee, Inc.

     283,400       9,629,888  

Glanbia PLC

     952,322       16,404,980  

Kerry Group PLC–Class A

     178,270       18,074,627  

Nestle SA (REG)

     296,330       23,422,364  

Orkla ASA

     2,744,070       29,572,813  

Salmar ASA

     455,620       18,760,418  

WH Group Ltd.(a)

     20,986,000       22,486,200  
   

 

 

  
      138,351,290  
   

 

 

  
Household Products–1.9%  

Henkel AG & Co. KGaA (Preference Shares)

     224,580       29,521,724  

Reckitt Benckiser Group PLC

     259,880       21,935,908  

Unicharm Corp.

     706,600       20,380,839  
   

 

 

  
      71,838,471  
   

 

 

  
Personal Products–1.0%  

Godrej Consumer Products Ltd.

     982,450       16,550,885  

Kose Corp.

     51,000       10,721,361  

Unilever PLC

     178,290       9,888,420  
   

 

 

  
      37,160,666  
   

 

 

  
Tobacco–2.8%  

British American Tobacco PLC

     1,194,414       69,045,327  

Japan Tobacco, Inc.

     1,061,700       30,329,576  

Scandinavian Tobacco Group A/S(a)

     322,850       5,675,160  
   

 

 

  
      105,050,063  
   

 

 

  
      435,989,814  
   

 

 

  
   

 

2   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
     
Company   Shares     U.S. $ Value  
Industrials–10.8%  
Aerospace & Defense–1.7%  

Airbus SE

     323,113     $ 37,402,817  

BAE Systems PLC

     3,394,821       27,775,392  
   

 

 

  
      65,178,209  
   

 

 

  
Airlines–2.2%  

Japan Airlines Co., Ltd.

     1,026,600       41,799,185  

Qantas Airways Ltd.

     8,791,864       39,664,930  
   

 

 

  
      81,464,115  
   

 

 

  
Building Products–1.3%  

Assa Abloy AB–Class B

     408,478       8,853,938  

Cie de Saint-Gobain

     341,060       18,009,673  

Kingspan Group PLC

     480,780       20,350,201  
   

 

 

  
      47,213,812  
   

 

 

  
Commercial Services & Supplies–0.6%  

China Everbright International Ltd.

     12,157,000       17,165,410  

G4S PLC

     1,097,360       3,819,261  
   

 

 

  
      20,984,671  
   

 

 

  
Electrical Equipment–1.4%  

Nidec Corp.

     85,600       13,174,577  

Philips Lighting NV(a)

     440,515       16,562,067  

Schneider Electric SE (Paris)

     266,050       23,428,723  
   

 

 

  
      53,165,367  
   

 

 

  
Industrial Conglomerates–0.7%  

Siemens AG (REG)

     204,610       26,107,679  
   

 

 

  
Machinery–1.1%  

Atlas Copco AB–Class B

     92,470       3,610,550  

FANUC Corp.

     46,400       11,941,182  

Glory Ltd.

     466,400       16,736,736  

Hoshizaki Corp.

     83,100       7,408,451  

Kone Oyj–Class B

     61,380       3,063,342  
   

 

 

  
      42,760,261  
   

 

 

  
Professional Services–1.7%  

Adecco Group AG (REG)

     129,498       9,224,142  

Intertek Group PLC

     138,190       9,045,663  

Recruit Holdings Co., Ltd.

     376,400       9,433,947  

RELX NV

     553,666       11,476,880  

RELX PLC

     569,960       11,708,023  

Wolters Kluwer NV

     264,370       14,060,476  
   

 

 

  
      64,949,131  
   

 

 

  
Road & Rail–0.1%  

Central Japan Railway Co.

     24,500       4,675,641  
   

 

 

  
Transportation Infrastructure–0.0%  

Aena SME SA(a)

     4,190       844,886  
   

 

 

  
      407,343,772  
   

 

 

  
   
 
Health Care–6.5%  
Biotechnology–0.7%  

Genmab A/S(b)

     52,310       11,269,925  

Grifols SA (ADR)

     797,890       16,915,268  
   

 

 

  
      28,185,193  
   

 

 

  
Health Care Equipment & Supplies–0.7%  

Cochlear Ltd.

     44,180     $ 6,204,963  

Essilor International Cie Generale d’Optique SA

     155,980       21,041,791  
   

 

 

  
      27,246,754  
   

 

 

  
Health Care Providers & Services–0.7%  

Apollo Hospitals Enterprise Ltd.

     1,609,580       26,236,436  
   

 

 

  
Life Sciences Tools & Services–0.8%  

Eurofins Scientific SE

     36,234       19,094,357  

Gerresheimer AG

     119,490       9,819,096  
   

 

 

  
      28,913,453  
   

 

 

  
Pharmaceuticals–3.6%  

Indivior PLC(b)

     3,840,260       21,952,221  

Novo Nordisk A/S–Class B

     104,510       5,140,414  

Ono Pharmaceutical Co., Ltd.

     1,100,000       34,998,451  

Roche Holding AG

     174,789       40,096,074  

Sanofi

     55,780       4,475,788  

Shionogi & Co., Ltd.

     91,800       4,780,348  

Teva Pharmaceutical Industries Ltd.

     11,102       189,433  

Teva Pharmaceutical Industries Ltd. (Sponsored ADR)

     1,027,090       17,552,968  

Vectura Group PLC(b)

     4,592,260       5,002,946  
   

 

 

  
      134,188,643  
   

 

 

  
      244,770,479  
   

 

 

  
   
 
Telecommunication Services–6.2%  
Diversified Telecommunication Services–5.5%  

BT Group PLC

     12,060,080       38,493,482  

Cellnex Telecom SA(a)

     287,480       7,685,463  

China Unicom Hong Kong Ltd.(b)

     26,894,000       34,405,514  

Com Hem Holding AB

     578,290       9,390,885  

Deutsche Telekom AG (REG)

     1,024,360       16,759,245  

HKT Trust & HKT Ltd.–Class SS

     10,161,000       12,784,867  

Nippon Telegraph & Telephone Corp.

     1,477,900       68,948,548  

Telekomunikasi Indonesia Persero Tbk PT

     27,005,000       7,101,098  

Telenor ASA

     454,550       10,336,975  
   

 

 

  
      205,906,077  
   

 

 

  
Wireless Telecommunication Services–0.7%  

Vodafone Group PLC

     9,953,283       27,232,491  
   

 

 

  
      233,138,568  
   

 

 

  
   
 
Materials–6.1%  
Chemicals–3.5%  

Air Water, Inc.

     785,000       15,344,045  

Chr Hansen Holding A/S

     147,140       12,734,539  

Covestro AG(a)

     36,000       3,544,813  

Croda International PLC

     245,260       15,755,833  

Incitec Pivot Ltd.

     5,639,740       15,348,703  

Johnson Matthey PLC

     545,690       23,279,806  

 

Schedule of Investments—Tax-Managed International Portfolio     3  

Table of Contents
     
Company   Shares     U.S. $ Value  

Nippon Shokubai Co., Ltd.

     344,500     $ 23,819,132  

Umicore SA

     396,840       21,022,669  
   

 

 

  
      130,849,540  
   

 

 

  
Construction Materials–0.3%  

CRH PLC (London)

     363,280       12,280,219  
   

 

 

  
Containers & Packaging–0.2%  

Amcor Ltd./Australia

     715,150       7,831,134  
   

 

 

  
Metals & Mining–2.1%  

Boliden AB

     160,980       5,664,632  

First Quantum Minerals Ltd.

     1,123,240       15,771,655  

Gerdau SA (Preference Shares)

     3,804,000       17,859,425  

Norsk Hydro ASA

     3,318,660       19,685,253  

South32 Ltd.

     1,389,650       3,492,433  

Yamato Kogyo Co., Ltd.

     575,100       15,869,468  
   

 

 

  
      78,342,866  
   

 

 

  
      229,303,759  
   

 

 

  
   
 
Energy–4.9%  
Oil, Gas & Consumable Fuels–4.9%  

Caltex Australia Ltd.

     202,350       4,915,299  

Canadian Natural Resources Ltd. (Toronto)

     532,610       16,742,892  

JXTG Holdings, Inc.

     5,259,500       32,064,951  

PetroChina Co., Ltd.–Class H

     32,384,000       22,494,492  

Royal Dutch Shell PLC (Euronext Amsterdam)–Class A

     1,628,420       51,876,840  

Royal Dutch Shell PLC–Class A

     431,800       13,661,521  

Royal Dutch Shell PLC–Class B

     402,015       12,936,219  

Showa Shell Sekiyu KK

     432,000       5,880,792  

TOTAL SA

     139,699       8,007,494  

YPF SA (Sponsored ADR)

     718,784       15,540,110  
   

 

 

  
      184,120,610  
   

 

 

  
   
 
Utilities–1.5%  
Electric Utilities–0.4%  

EDP–Energias de Portugal SA

     4,214,812       16,014,622  
   

 

 

  
Multi-Utilities–0.4%  

Suez

     1,044,590     $ 15,136,044  
   

 

 

  
Water Utilities–0.7%  

Beijing Enterprises Water Group Ltd.

     24,116,000       13,568,681  

Cia de Saneamento Basico do Estado de Sao Paulo

     1,186,000       12,573,264  
   

 

 

  
      26,141,945  
   

 

 

  
      57,292,611  
   

 

 

  
   
 
Real Estate–0.4%  
Real Estate Management & Development–0.4%  

SM Prime Holdings, Inc.

     22,814,000       14,832,784  
   

 

 

  
Total Common Stocks
(cost $3,193,195,448)		       3,650,711,873  
   

 

 

  
   
   
Principal Amount (000)         
SHORT-TERM INVESTMENTS–2.1%          
Repurchase Agreements–2.1%    

State Street Bank & Trust Co.

   $ 78,997       78,996,930  

0.28%, dated 3/29/18 due 4/02/18 in the amount of $78,999,387 (collateralized by $78,345,000 U.S. Treasury Bond and U.S. Treasury Notes, 1.375% to 3.625%, due 2/15/20 to 11/30/20, value $80,579,281)
(cost $78,996,930)

    
Total Investments—99.0%
(cost $3,272,192,378)		       3,729,708,803 (c) 

Other assets less liabilities—1.0%

       35,885,588  
   

 

 

  
Net Assets—100.0%     $ 3,765,594,391  
   

 

 

  

 

 

FUTURES (see Note 3)

 

 

Description   Number of
Contracts		     Expiration
Month		   Notional
(000)		     Original
Value		     Value at
March 31,
2018		     Unrealized
Appreciation/
(Depreciation)		  
Purchased Contracts  
Mini MSCI EAFE Futures     438     June 2018     USD       22     $ 44,153,681     $ 43,813,140     $ (340,541 ) 

 

 

FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3)

 

 

Counterparty   Contracts to
Deliver
(000)		     In Exchange
For
(000)		     Settlement
Date		     Unrealized
Appreciation/
(Depreciation)		  
Bank of America, NA     CAD       4,892       USD       3,936       4/17/18     $ 137,276  
Bank of America, NA     USD       51,326       EUR       43,112       4/17/18       1,770,162  
Bank of America, NA     USD       69,763       GBP       51,461       4/17/18         2,476,173  

 

4   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
Counterparty   Contracts to
Deliver
(000)		     In Exchange
For
(000)		     Settlement
Date		     Unrealized
Appreciation/
(Depreciation)		  
Bank of America, NA     KRW       69,071,786       USD       65,089       4/26/18     $   36,512  
Barclays Bank PLC     ILS       95,664       USD       28,000       4/17/18       703,090  
Barclays Bank PLC     JPY       2,137,746       USD       20,135       4/17/18       28,271  
Barclays Bank PLC     USD       11,269       EUR       9,418       4/17/18       330,335  
Barclays Bank PLC     USD       20,050       EUR       16,253       4/17/18       (32,668 ) 
Barclays Bank PLC     USD       12,160       JPY       1,338,295       4/17/18       427,391  
Barclays Bank PLC     USD       5,850       NZD       8,147       4/17/18       37,344  
Barclays Bank PLC     USD       29,341       RUB       1,675,605       4/17/18       (146,754 ) 
Barclays Bank PLC     CNY       151,863       USD       24,014       4/19/18       (186,512 ) 
Barclays Bank PLC     USD       7,143       CNY       45,129       4/19/18       48,649  
Barclays Bank PLC     USD       5,899       KRW       6,331,209       4/26/18       63,436  
Barclays Bank PLC     INR       8,327,843       USD       126,694       5/17/18       (676,767 ) 
Barclays Bank PLC     USD       4,206       INR       275,592       5/17/18       9,472  
BNP Paribas SA     AUD       20,738       USD       16,724       4/17/18       796,746  
BNP Paribas SA     CHF       12,316       USD       13,171       4/17/18       274,908  
BNP Paribas SA     USD       7,704       AUD       9,788       4/17/18       (186,793 ) 
BNP Paribas SA     USD       22,589       GBP       16,839       4/17/18       1,048,992  
BNP Paribas SA     TWD       383,234       USD       13,263       6/07/18       9,956  
Citibank, NA     CAD       9,605       USD       7,577       4/17/18       120,011  
Citibank, NA     EUR       19,214       USD       23,824       4/17/18       160,835  
Citibank, NA     GBP       29,840       USD       42,180       4/17/18       291,015  
Citibank, NA     HKD       43,198       USD       5,531       4/17/18       24,041  
Citibank, NA     JPY       2,476,544       USD       23,452       4/17/18       158,610  
Citibank, NA     JPY       1,766,216       USD       16,229       4/17/18       (383,495 ) 
Citibank, NA     NOK       278,178       USD       34,655       4/17/18       (846,723 ) 
Citibank, NA     USD       43,036       EUR       35,100       4/17/18       191,927  
Citibank, NA     USD       105,967       EUR       85,105       4/17/18       (1,153,574 ) 
Citibank, NA     USD       30,804       GBP       21,698       4/17/18       (344,689 ) 
Citibank, NA     USD       32,668       JPY       3,624,735       4/17/18       1,425,433  
Citibank, NA     USD       74,697       JPY       7,927,773       4/17/18       (130,283 ) 
Citibank, NA     USD       4,489       SEK       35,521       4/17/18       (230,901 ) 
Citibank, NA     CNY       38,828       USD       6,139       4/19/18       (48,658 ) 
Citibank, NA     TWD       811,777       USD       27,974       6/07/18       (98,547 ) 
Citibank, NA     USD       8,175       CHF       7,659       7/17/18       (91,549 ) 
Credit Suisse International     BRL       88,068       USD       27,134       4/03/18       458,654  
Credit Suisse International     USD       26,496       BRL       88,068       4/03/18       179,373  
Credit Suisse International     CHF       5,634       USD       5,998       4/17/18       98,466  
Credit Suisse International     GBP       4,821       USD       6,654       4/17/18       (113,465 ) 
Credit Suisse International     NOK       209,817       USD       26,922       4/17/18       145,025  
Credit Suisse International     NOK       55,572       USD       6,864       4/17/18       (227,810 ) 
Credit Suisse International     NZD       8,147       USD       5,982       4/17/18       94,564  
Credit Suisse International     USD       14,137       AUD       18,754       4/17/18       266,464  
Credit Suisse International     USD       14,293       JPY       1,523,995       4/17/18       41,771  
Credit Suisse International     USD       28,938       NOK       225,027       4/17/18       (219,617 ) 
Credit Suisse International     USD       18,600       PLN       66,377       4/17/18       793,253  
Credit Suisse International     USD       10,492       EUR       8,419       7/17/18       (51,514 ) 
Deutsche Bank AG     CAD       109,965       USD       88,232       4/17/18       2,853,097  
Deutsche Bank AG     USD       126,815       CHF       123,117       4/17/18       2,103,172  
Deutsche Bank AG     USD       13,974       EUR       11,541       4/17/18       240,014  
Deutsche Bank AG     USD       15,328       EUR       12,345       7/17/18       (18,625 ) 
Goldman Sachs Bank USA     JPY       1,805,177       USD       16,961       4/17/18       (17,887 ) 
HSBC Bank USA     SEK       95,059       USD       12,078       4/17/18       682,993  
HSBC Bank USA     USD       129,716       AUD       165,305       4/17/18       (2,755,209 ) 
JPMorgan Chase Bank, NA     AUD       41,745       USD       33,085       4/17/18       1,023,223  
JPMorgan Chase Bank, NA     CHF       58,376       USD       61,688       4/17/18       561,320  
JPMorgan Chase Bank, NA     EUR       6,785       USD       8,466       4/17/18       110,069  
JPMorgan Chase Bank, NA     HKD       929,061       USD       119,058       4/17/18       620,669  
JPMorgan Chase Bank, NA     NOK       377,788       USD       45,639       4/17/18       (2,574,720 ) 
JPMorgan Chase Bank, NA     PLN       66,377       USD       19,604       4/17/18       211,324  
JPMorgan Chase Bank, NA     USD       13,438       CNY       85,114       4/19/18       125,325  
Morgan Stanley & Co., Inc.     GBP       7,918       USD       11,252       4/17/18       136,856  

 

Schedule of Investments—Tax-Managed International Portfolio     5  

Table of Contents
Counterparty   Contracts to
Deliver
(000)		     In Exchange
For
(000)		     Settlement
Date		     Unrealized
Appreciation/
(Depreciation)		  
Morgan Stanley & Co., Inc.     ILS       15,688       USD       4,461       4/17/18     $ (15,735 ) 
Morgan Stanley & Co., Inc.     JPY       868,160       USD       8,237       4/17/18       71,593  
Morgan Stanley & Co., Inc.     JPY       2,127,088       USD       19,179       4/17/18       (828,200 ) 
Morgan Stanley & Co., Inc.     USD       21,643       GBP       15,340       4/17/18       (108,985 ) 
Morgan Stanley & Co., Inc.     USD       5,904       HKD       46,084       4/17/18       (29,258 ) 
Royal Bank of Scotland PLC     EUR       70,010       USD       87,586       4/17/18       1,363,192  
Royal Bank of Scotland PLC     JPY       2,210,897       USD       20,341       4/17/18       (454,518 ) 
Royal Bank of Scotland PLC     USD       5,894       CAD       7,390       4/17/18       (156,316 ) 
Royal Bank of Scotland PLC     USD       89,644       CHF       82,613       4/17/18       (3,137,609 ) 
Royal Bank of Scotland PLC     USD       91,090       EUR       75,527       4/17/18       1,927,042  
Royal Bank of Scotland PLC     USD       13,393       GBP       9,976       4/17/18       610,735  
Royal Bank of Scotland PLC     CNY       48,680       USD       7,684       4/19/18       (73,759 ) 
Royal Bank of Scotland PLC     PEN       66,598       USD       20,568       4/19/18       (64,119 ) 
Royal Bank of Scotland PLC     USD       5,272       KRW       5,674,671       4/26/18       72,087  
Royal Bank of Scotland PLC     USD       15,529       AUD       20,141       7/17/18       (53,749 ) 
Standard Chartered Bank     BRL       88,068       USD       26,496       4/03/18       (179,373 ) 
Standard Chartered Bank     USD       26,712       BRL       88,068       4/03/18       (36,004 ) 
Standard Chartered Bank     USD       11,179       EUR       9,209       4/17/18       162,342  
Standard Chartered Bank     USD       10,139       JPY       1,141,171       4/17/18       595,011  
Standard Chartered Bank     CNY       993,239       USD       156,874       4/19/18       (1,404,883 ) 
Standard Chartered Bank     USD       10,451       CNY       66,376       4/19/18       126,561  
Standard Chartered Bank     BRL       88,068       USD       26,637       5/03/18       26,159  
Standard Chartered Bank     PHP       592,213       USD       11,209       5/30/18       (68,300 ) 
State Street Bank & Trust Co.     HKD       62,833       USD       8,046       4/17/18       36,434  
State Street Bank & Trust Co.     USD       3,842       AUD       4,905       4/17/18       (74,283 ) 
State Street Bank & Trust Co.     USD       13,451       GBP       9,453       4/17/18       (181,164 ) 
State Street Bank & Trust Co.     USD       7,330       SEK       59,538       4/17/18       (192,491 ) 
State Street Bank & Trust Co.     USD       8,658       TRY       33,854       4/17/18       (116,096 ) 
UBS AG     USD       14,046       JPY       1,495,395       4/17/18       18,922  
           

 

 

  
            $ 8,614,693  
           

 

 

  

 

 

(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 March 31, 2018, the aggregate market value of these securities amounted to $91,001,506 or 2.4% of net assets.
(b)   Non-income producing security.
(c)   On March 30, 2018, the Portfolio and U.S. stock exchanges were closed for business due to a U.S. holiday but the foreign markets remained open for trading. The Portfolio valued its foreign securities using the closing market prices from the respective foreign markets as of March 29, 2018 for financial reporting purposes.

Currency Abbreviations:

AUD—Australian Dollar

BRL—Brazilian Real

CAD—Canadian Dollar

CHF—Swiss Franc

CNY—Chinese Yuan Renminbi

EUR—Euro

GBP—Great British Pound

HKD—Hong Kong Dollar

ILS—Israeli Shekel

INR—Indian Rupee

JPY—Japanese Yen

KRW—South Korean Won

NOK—Norwegian Krone

NZD—New Zealand Dollar

PEN—Peruvian Sol

PHP—Philippine Peso

PLN—Polish Zloty

RUB—Russian Ruble

SEK—Swedish Krona

TRY—Turkish Lira

TWD—New Taiwan Dollar

USD—United States Dollar

Glossary:

ADR—American Depositary Receipt

EAFE—Europe, Australia, and Far East

MSCI—Morgan Stanley Capital International

REG—Registered Shares

See notes to financial statements.

 

6   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents

Sanford C. Bernstein Fund, Inc.

Schedule of Investments

International Portfolio

March 31, 2018 (Unaudited)

 

Company   Shares     U.S. $ Value  
COMMON STOCKS–97.2%  
Financials–20.4%  
Banks–10.9%  

Bank Hapoalim BM

     255,404     $ 1,756,392  

Barclays PLC

     3,149,120       9,202,061  

BNP Paribas SA

     181,270       13,443,107  

BOC Hong Kong Holdings Ltd.

     2,994,500       14,690,353  

Credicorp Ltd.

     46,890       10,645,906  

Danske Bank A/S

     72,718       2,724,618  

DBS Group Holdings Ltd.

     255,200       5,390,422  

DNB ASA

     759,220       14,954,524  

Erste Group Bank AG

     313,670       15,769,221  

Hang Seng Bank Ltd.

     143,100       3,324,870  

HDFC Bank Ltd.

     611,930       18,098,470  

KB Financial Group, Inc.

     92,720       5,377,502  

KBC Group NV

     40,600       3,535,401  

Mitsubishi UFJ Financial Group, Inc.

     2,917,600       19,389,249  

National Australia Bank Ltd.

     166,920       3,685,014  

Oversea-Chinese Banking Corp., Ltd.

     300,500       2,960,225  

Royal Bank of Canada

     63,110       4,875,001  

Seven Bank Ltd.

     511,700       1,641,553  

Sumitomo Mitsui Financial Group, Inc.

     86,800       3,682,427  

Svenska Handelsbanken AB–Class A

     611,600       7,655,292  

Swedbank AB–Class A

     391,220       8,790,849  

Toronto-Dominion Bank (The)

     67,870       3,851,419  
   

 

 

  
      175,443,876  
   

 

 

  
Capital Markets–3.2%  

Azimut Holding SpA

     223,246       4,798,766  

Credit Suisse Group AG (REG)(a)

     871,953       14,644,467  

Euronext NV(b)

     60,320       4,421,390  

IG Group Holdings PLC

     401,730       4,499,240  

Partners Group Holding AG

     26,165       19,470,019  

Thomson Reuters Corp.

     75,190       2,905,818  
   

 

 

  
      50,739,700  
   

 

 

  
Consumer Finance–1.0%  

Bharat Financial Inclusion Ltd.(a)

     529,880       8,953,184  

Hitachi Capital Corp.

     294,700       7,459,311  
   

 

 

  
      16,412,495  
   

 

 

  
Diversified Financial Services–0.2%  

ORIX Corp.

     193,400       3,465,915  
   

 

 

  
Insurance–4.5%  

Admiral Group PLC

     56,040       1,450,450  

AIA Group Ltd.

     1,813,400       15,502,169  

Allianz SE (REG)

     85,630       19,357,272  

Direct Line Insurance Group PLC

     442,928       2,371,662  

NN Group NV

     89,112       3,959,240  

PICC Property & Casualty Co., Ltd.–Class H

     4,038,000       7,135,261  
Company   Shares     U.S. $ Value  

Prudential PLC

     572,524     $ 14,306,615  

Swiss Re AG

     59,630       6,086,235  

Tryg A/S

     114,280       2,662,627  
   

 

 

  
      72,831,531  
   

 

 

  
Thrifts & Mortgage Finance–0.6%  

Housing Development Finance Corp., Ltd.

     358,250       10,065,791  
   

 

 

  
      328,959,308  
   

 

 

  
   
 
Consumer Discretionary–14.4%  
Auto Components–4.0%  

Aptiv PLC

     120,270       10,219,342  

Continental AG

     14,469       3,996,500  

Delphi Technologies PLC

     94,419       4,499,065  

Faurecia SA

     110,520       8,942,838  

Hankook Tire Co., Ltd.

     142,860       7,070,831  

Magna International, Inc. (New York)–Class A

     209,670       11,814,905  

NGK Spark Plug Co., Ltd.

     443,800       10,693,818  

Valeo SA

     108,286       7,163,129  
   

 

 

  
      64,400,428  
   

 

 

  
Automobiles–2.4%  

Honda Motor Co., Ltd.

     352,700       12,209,269  

Peugeot SA

     553,540       13,328,895  

Subaru Corp.

     388,700       12,867,042  
   

 

 

  
      38,405,206  
   

 

 

  
Distributors–0.2%  

PALTAC Corp.

     67,400       3,673,011  
   

 

 

  
Hotels, Restaurants & Leisure–0.9%  

Aristocrat Leisure Ltd.

     346,290       6,465,414  

Compass Group PLC

     129,720       2,648,747  

Merlin Entertainments PLC(b)

     697,931       3,393,736  

Playtech PLC

     167,180       1,719,421  
   

 

 

  
      14,227,318  
   

 

 

  
Household Durables–2.5%  

Auto Trader Group PLC(b)

     924,060       4,542,146  

Fujitsu General Ltd.

     106,100       1,900,417  

Nikon Corp.

     543,300       9,820,617  

Panasonic Corp.

     1,504,900       21,611,104  

Persimmon PLC

     89,140       3,163,780  
   

 

 

  
      41,038,064  
   

 

 

  
Internet & Direct Marketing Retail–0.2%  

Ctrip.com International Ltd. (ADR)(a)

     87,846       4,095,381  
   

 

 

  
Leisure Products–0.7%  

Amer Sports Oyj(a)

     259,470       8,007,281  

Bandai Namco Holdings, Inc.

     87,800       2,841,533  
   

 

 

  
      10,848,814  
   

 

 

  
Media–0.4%  

CTS Eventim AG & Co. KGaA

     97,950       4,591,721  

Daiichikosho Co., Ltd.

     33,500       1,761,974  
   

 

 

  
      6,353,695  
   

 

 

  

 

Schedule of Investments—International Portfolio     7  

Table of Contents
     
Company   Shares     U.S. $ Value  
Multiline Retail–0.5%  

B&M European Value Retail SA

     903,130     $ 4,957,541  

Next PLC

     50,020       3,343,786  
   

 

 

  
      8,301,327  
   

 

 

  
Textiles, Apparel & Luxury Goods–2.6%  

Crystal International Group Ltd.(a)(b)

     2,333,000       2,367,237  

HUGO BOSS AG

     126,950       11,059,485  

LVMH Moet Hennessy Louis Vuitton SE

     15,013       4,626,603  

Moncler SpA

     140,250       5,337,661  

Pandora A/S

     132,320       14,316,509  

Samsonite International SA

     841,600       3,849,320  
   

 

 

  
      41,556,815  
   

 

 

  
      232,900,059  
   

 

 

  
   
 
Information Technology–14.2%  
Communications Equipment–0.7%  

Nokia Oyj

     2,209,190       12,199,400  
   

 

 

  
Electronic Equipment, Instruments & Components–1.7%  

Halma PLC

     313,885       5,195,818  

Horiba Ltd.

     100,900       7,856,066  

Ingenico Group SA

     67,491       5,478,048  

Keyence Corp.

     9,200       5,746,852  

Murata Manufacturing Co., Ltd.

     23,000       3,174,739  
   

 

 

  
      27,451,523  
   

 

 

  
Internet Software & Services–2.7%  

Alibaba Group Holding Ltd. (Sponsored ADR)(a)

     64,286       11,799,052  

carsales.com Ltd.

     194,644       2,034,204  

Kakaku.com, Inc.

     93,300       1,651,163  

Moneysupermarket.com Group PLC

     1,079,940       4,346,942  

Tencent Holdings Ltd.

     231,000       12,399,973  

Yahoo Japan Corp.

     2,282,800       10,685,546  
   

 

 

  
      42,916,880  
   

 

 

  
IT Services–1.5%  

Amadeus IT Group SA–Class A

     95,920       7,098,379  

Capgemini SE

     83,613       10,432,763  

Otsuka Corp.

     117,000       5,964,986  
   

 

 

  
      23,496,128  
   

 

 

  
Semiconductors & Semiconductor Equipment–4.5%  

ams AG

     100,500       10,553,526  

ASML Holding NV

     70,275       13,935,072  

Disco Corp.

     19,300       4,125,243  

Infineon Technologies AG

     267,090       7,182,911  

SCREEN Holdings Co., Ltd.

     113,200       10,225,234  

SUMCO Corp.

     326,800       8,535,220  

Taiwan Semiconductor Manufacturing Co., Ltd.

     2,221,000       18,812,311  
   

 

 

  
      73,369,517  
   

 

 

  
Software–2.2%  

Check Point Software Technologies Ltd.(a)

     37,280       3,703,395  

Constellation Software, Inc./Canada

     4,310       2,924,350  

Nice Ltd.(a)

     58,173     $ 5,435,461  

Nintendo Co., Ltd.

     23,900       10,618,127  

Oracle Corp. Japan

     86,000       7,137,478  

SAP SE

     19,541       2,051,448  

Temenos Group AG(a)

     26,390       3,164,406  
   

 

 

  
      35,034,665  
   

 

 

  
Technology Hardware, Storage & Peripherals–0.9%  

Samsung Electronics Co., Ltd.

     4,530       10,584,236  

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

     3,120       3,609,041  
   

 

 

  
      14,193,277  
   

 

 

  
      228,661,390  
   

 

 

  
   
 
Consumer Staples–11.7%  
Beverages–1.8%  

Coca-Cola Bottlers Japan Holdings, Inc.

     207,800       8,581,624  

Diageo PLC

     133,150       4,503,093  

Royal Unibrew A/S

     75,550       5,015,677  

Suntory Beverage & Food Ltd.

     73,700       3,587,753  

Treasury Wine Estates Ltd.

     488,484       6,382,161  
   

 

 

  
      28,070,308  
   

 

 

  
Food & Staples Retailing–0.5%  

Tsuruha Holdings, Inc.

     58,100       8,361,921  
   

 

 

  
Food Products–3.7%  

Calbee, Inc.

     122,500       4,162,531  

Glanbia PLC

     414,039       7,132,358  

Kerry Group PLC–Class A

     77,560       7,863,735  

Nestle SA (REG)

     127,520       10,079,371  

Orkla ASA

     1,173,740       12,649,383  

Salmar ASA

     200,630       8,261,057  

WH Group Ltd.(b)

     9,111,000       9,762,307  
   

 

 

  
      59,910,742  
   

 

 

  
Household Products–1.9%  

Henkel AG & Co. KGaA (Preference Shares)

     95,430       12,544,563  

Reckitt Benckiser Group PLC

     111,928       9,447,600  

Unicharm Corp.

     307,400       8,866,502  
   

 

 

  
      30,858,665  
   

 

 

  
Personal Products–1.0%  

Godrej Consumer Products Ltd.

     428,600       7,220,428  

Kose Corp.

     21,500       4,519,789  

Unilever PLC

     76,400       4,237,340  
   

 

 

  
      15,977,557  
   

 

 

  
Tobacco–2.8%  

British American Tobacco PLC

     509,727       29,465,719  

Japan Tobacco, Inc.

     460,700       13,160,813  

Scandinavian Tobacco Group A/S(b)

     138,890       2,441,453  
   

 

 

  
      45,067,985  
   

 

 

  
      188,247,178  
   

 

 

  
   

 

8   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
     
Company   Shares     U.S. $ Value  
Industrials–10.9%  
Aerospace & Defense–1.7%  

Airbus SE

     138,237     $ 16,001,997  

BAE Systems PLC

     1,437,050       11,757,506  
   

 

 

  
      27,759,503  
   

 

 

  
Airlines–2.2%  

Japan Airlines Co., Ltd.

     440,200       17,923,243  

Qantas Airways Ltd.

     3,771,189       17,013,906  
   

 

 

  
      34,937,149  
   

 

 

  
Building Products–1.3%  

Assa Abloy AB–Class B

     176,073       3,816,459  

Cie de Saint-Gobain

     147,690       7,798,770  

Kingspan Group PLC

     209,150       8,852,790  
   

 

 

  
      20,468,019  
   

 

 

  
Commercial Services & Supplies–0.6%  

China Everbright International Ltd.

     5,289,000       7,467,949  

G4S PLC

     476,710       1,659,145  
   

 

 

  
      9,127,094  
   

 

 

  
Electrical Equipment–1.4%  

Nidec Corp.

     36,600       5,633,056  

Philips Lighting NV(b)

     188,184       7,075,164  

Schneider Electric SE (Paris)

     115,480       10,169,325  
   

 

 

  
      22,877,545  
   

 

 

  
Industrial Conglomerates–0.7%  

Siemens AG (REG)

     88,230       11,257,908  
   

 

 

  
Machinery–1.2%  

Atlas Copco AB–Class B

     41,150       1,606,728  

FANUC Corp.

     19,800       5,095,591  

Glory Ltd.

     200,300       7,187,753  

Hoshizaki Corp.

     35,900       3,200,522  

Kone Oyj–Class B

     27,990       1,396,920  
   

 

 

  
      18,487,514  
   

 

 

  
Professional Services–1.7%  

Adecco Group AG (REG)

     56,163       4,000,491  

Intertek Group PLC

     59,360       3,885,596  

Recruit Holdings Co., Ltd.

     162,900       4,082,864  

RELX NV

     234,159       4,853,855  

RELX PLC

     248,300       5,100,537  

Wolters Kluwer NV

     113,620       6,042,861  
   

 

 

  
      27,966,204  
   

 

 

  
Road & Rail–0.1%  

Central Japan Railway Co.

     10,600       2,022,930  
   

 

 

  
      174,903,866  
   

 

 

  
   
 
Health Care–6.5%  
Biotechnology–0.7%  

Genmab A/S(a)

     22,411       4,828,337  

Grifols SA (ADR)

     336,380       7,131,256  
   

 

 

  
      11,959,593  
   

 

 

  
Health Care Equipment & Supplies–0.7%  

Cochlear Ltd.

     18,230     $ 2,560,355  

Essilor International Cie Generale d’Optique SA

     67,280       9,076,110  
   

 

 

  
      11,636,465  
   

 

 

  
Health Care Providers & Services–0.7%  

Apollo Hospitals Enterprise Ltd.

     694,260       11,316,560  
   

 

 

  
Life Sciences Tools & Services–0.8%  

Eurofins Scientific SE

     15,586       8,213,409  

Gerresheimer AG

     52,690       4,329,803  
   

 

 

  
      12,543,212  
   

 

 

  
Pharmaceuticals–3.6%  

Indivior PLC(a)

     1,665,830       9,522,446  

Novo Nordisk A/S–Class B

     45,090       2,217,790  

Ono Pharmaceutical Co., Ltd.

     465,400       14,807,526  

Roche Holding AG

     76,001       17,434,402  

Sanofi

     24,350       1,953,844  

Shionogi & Co., Ltd.

     36,500       1,900,683  

Teva Pharmaceutical Industries Ltd.

     4,710       80,367  

Teva Pharmaceutical Industries Ltd. (Sponsored ADR)

     441,480       7,544,893  

Vectura Group PLC(a)

     2,028,140       2,209,517  
   

 

 

  
      57,671,468  
   

 

 

  
      105,127,298  
   

 

 

  
   
 
Telecommunication Services–6.2%  
Diversified Telecommunication Services–5.4%  

BT Group PLC

     5,183,780       16,545,640  

Cellnex Telecom SA(b)

     124,740       3,334,787  

China Unicom Hong Kong Ltd.(a)

     11,546,000       14,770,806  

Com Hem Holding AB

     244,090       3,963,792  

Deutsche Telekom AG (REG)

     443,920       7,262,841  

HKT Trust & HKT Ltd.–Class SS

     4,288,000       5,395,287  

Nippon Telegraph & Telephone Corp.

     615,700       28,724,285  

Telekomunikasi Indonesia Persero Tbk PT

     11,629,000       3,057,903  

Telenor ASA

     191,100       4,345,828  
   

 

 

  
      87,401,169  
   

 

 

  
Wireless Telecommunication Services–0.8%  

Vodafone Group PLC

     4,310,640       11,794,045  
   

 

 

  
      99,195,214  
   

 

 

  
   
 
Materials–6.1%  
Chemicals–3.5%  

Air Water, Inc.

     348,800       6,817,838  

Chr Hansen Holding A/S

     64,530       5,584,884  

Covestro AG(b)

     15,780       1,553,810  

Croda International PLC

     103,720       6,663,113  

Incitec Pivot Ltd.

     2,410,150       6,559,287  

Johnson Matthey PLC

     236,310       10,081,275  

 

Schedule of Investments—International Portfolio     9  

Table of Contents
     
Company   Shares     U.S. $ Value  

Nippon Shokubai Co., Ltd.

     149,200     $ 10,315,862  

Umicore SA

     172,540       9,140,337  
   

 

 

  
      56,716,406  
   

 

 

  
Construction Materials–0.3%  

CRH PLC (London)

     157,453       5,322,499  
   

 

 

  
Containers & Packaging–0.2%  

Amcor Ltd./Australia

     310,150       3,396,247  
   

 

 

  
Metals & Mining–2.1%  

Boliden AB

     69,950       2,461,430  

First Quantum Minerals Ltd.

     450,130       6,320,372  

Gerdau SA (Preference Shares)

     1,652,500       7,758,333  

Norsk Hydro ASA

     1,432,360       8,496,312  

South32 Ltd.

     548,850       1,379,356  

Yamato Kogyo Co., Ltd.

     245,300       6,768,876  
   

 

 

  
      33,184,679  
   

 

 

  
      98,619,831  
   

 

 

  
   
 
Energy–4.9%  
Oil, Gas & Consumable Fuels–4.9%  

Caltex Australia Ltd.

     88,210       2,142,716  

Canadian Natural Resources Ltd. (Toronto)

     235,210       7,393,957  

JXTG Holdings, Inc.

     2,255,600       13,751,441  

PetroChina Co., Ltd.–Class H

     13,964,000       9,699,638  

Royal Dutch Shell PLC (Euronext Amsterdam)–Class A

     675,870       21,531,300  

Royal Dutch Shell PLC–Class A

     206,346       6,528,486  

Royal Dutch Shell PLC–Class B

     173,080       5,569,446  

Showa Shell Sekiyu KK

     177,600       2,417,659  

TOTAL SA

     60,343       3,458,838  

YPF SA (Sponsored ADR)

     321,863       6,958,678  
   

 

 

  
      79,452,159  
   

 

 

  
   
 
Utilities–1.5%  
Electric Utilities–0.4%  

EDP–Energias de Portugal SA

     1,794,175       6,817,157  
   

 

 

  
Multi-Utilities–0.4%  

Suez

     453,020       6,564,232  
   

 

 

  
Water Utilities–0.7%  

Beijing Enterprises Water Group Ltd.

     10,404,000     $ 5,853,730  

Cia de Saneamento Basico do Estado de Sao Paulo

     519,800       5,510,609  
   

 

 

  
      11,364,339  
   

 

 

  
      24,745,728  
   

 

 

  
   
 
Real Estate–0.4%  
Real Estate Management & Development–0.4%  

SM Prime Holdings, Inc.

     9,877,300       6,421,840  
   

 

 

  
Total Common Stocks
(cost $1,344,848,401)		       1,567,233,871  
   

 

 

  
   
   
Principal Amount (000)         
SHORT-TERM INVESTMENTS–2.2%          
Repurchase Agreements–2.2%    

State Street Bank & Trust Co.

   $ 36,304       36,304,016  

0.28%, dated 3/29/18 due 4/02/18 in the amount of $36,305,145 (collateralized by $36,005,000 U.S. Treasury Notes, 3.625%, due 2/15/20, value $37,033,843)
(cost $36,304,016)

    
Total Investments—99.4%
(cost $1,381,152,417)		       1,603,537,887 (c) 

Other assets less liabilities—0.6%

       9,056,394  
   

 

 

  
Net Assets—100.0%     $ 1,612,594,281  
   

 

 

  

 

 

FUTURES (see Note 3)

 

 

Description   Number of
Contracts		     Expiration
Month		   Notional
(000)		     Original
Value		     Value at
March 31,
2018		     Unrealized
Appreciation/
(Depreciation)		  
Purchased Contracts  
Mini MSCI EAFE Futures     119     June 2018     USD       6     $ 11,996,091     $ 11,903,570     $ (92,521 ) 

 

 

FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3)

 

 

Counterparty   Contracts to
Deliver
(000)		     In Exchange
For
(000)		     Settlement
Date		     Unrealized
Appreciation/
(Depreciation)		  
Bank of America, NA     KRW       30,834,216       USD       29,056       4/26/18     $ 16,299  
Bank of America, NA     USD       2,766       ILS       9,592       6/19/18       (18,740 ) 
Bank of America, NA     USD       3,911       TRY       15,345       6/19/18       (109,104 ) 

 

10   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
Counterparty   Contracts to
Deliver
(000)		     In Exchange
For
(000)		     Settlement
Date		     Unrealized
Appreciation/
(Depreciation)		  
Barclays Bank PLC     USD       12,830       RUB       732,785       4/17/18     $ (63,201 ) 
Barclays Bank PLC     CNY       63,745       USD       10,080       4/19/18       (78,289 ) 
Barclays Bank PLC     USD       2,569       KRW       2,757,181       4/26/18       27,626  
Barclays Bank PLC     USD       1,812       INR       118,756       5/17/18       4,082  
Barclays Bank PLC     CAD       48,133       USD       37,445       6/19/18       30,553  
Barclays Bank PLC     JPY       484,761       USD       4,584       6/19/18       5,394  
Barclays Bank PLC     NOK       211,644       USD       27,228       6/19/18       164,390  
Barclays Bank PLC     USD       8,543       EUR       6,894       6/19/18       (12,899 ) 
Barclays Bank PLC     USD       54,149       GBP       38,850       6/19/18       530,017  
BNP Paribas SA     USD       2,741       CNY       17,381       4/19/18       29,147  
BNP Paribas SA     TWD       140,491       USD       4,862       6/07/18       3,650  
BNP Paribas SA     USD       48,366       AUD       61,648       6/19/18       (1,009,031 ) 
BNP Paribas SA     USD       8,369       EUR       6,758       6/19/18       (7,390 ) 
Citibank, NA     CNY       13,646       USD       2,157       4/19/18       (17,101 ) 
Citibank, NA     TWD       353,445       USD       12,180       6/07/18       (42,907 ) 
Citibank, NA     CAD       2,700       USD       2,164       6/19/18       65,546  
Citibank, NA     EUR       5,287       USD       6,618       6/19/18       76,558  
Citibank, NA     GBP       13,458       USD       19,069       6/19/18       127,989  
Citibank, NA     JPY       1,109,211       USD       10,552       6/19/18       74,938  
Citibank, NA     USD       28,427       JPY       3,004,890       6/19/18       (43,320 ) 
Citibank, NA     USD       1,810       SEK       14,259       6/19/18       (92,851 ) 
Credit Suisse International     BRL       37,436       USD       11,534       4/03/18       194,965  
Credit Suisse International     USD       11,263       BRL       37,436       4/03/18       76,248  
Credit Suisse International     NOK       90,755       USD       11,670       6/19/18       64,272  
Credit Suisse International     USD       4,476       CAD       5,768       6/19/18       7,169  
Credit Suisse International     USD       49,158       CHF       46,271       6/19/18       (446,930 ) 
Credit Suisse International     USD       90,968       EUR       73,294       6/19/18       (278,331 ) 
Credit Suisse International     USD       3,356       JPY       356,321       6/19/18       10,128  
Deutsche Bank AG     ILS       50,664       USD       14,795       6/19/18       283,868  
Deutsche Bank AG     USD       5,412       EUR       4,369       6/19/18       (5,988 ) 
Goldman Sachs Bank USA     JPY       459,134       USD       4,332       6/19/18       (5,165 ) 
HSBC Bank USA     HKD       13,134       USD       1,684       6/19/18       6,029  
HSBC Bank USA     SEK       14,259       USD       1,820       6/19/18       102,190  
HSBC Bank USA     USD       4,544       HKD       35,565       6/19/18       (1,316 ) 
JPMorgan Chase Bank, NA     USD       8,237       CNY       52,140       4/19/18       71,849  
JPMorgan Chase Bank, NA     CHF       23,370       USD       24,823       6/19/18       221,062  
JPMorgan Chase Bank, NA     USD       1,787       NOK       13,791       6/19/18       (23,937 ) 
Morgan Stanley & Co., Inc.     CAD       4,173       USD       3,245       6/19/18       1,442  
Morgan Stanley & Co., Inc.     GBP       3,274       USD       4,664       6/19/18       55,928  
Morgan Stanley & Co., Inc.     HKD       385,481       USD       49,332       6/19/18       92,036  
Morgan Stanley & Co., Inc.     JPY       319,654       USD       3,045       6/19/18       25,613  
Morgan Stanley & Co., Inc.     USD       12,905       GBP       9,124       6/19/18       (63,918 ) 
Royal Bank of Scotland PLC     PEN       29,099       USD       8,987       4/19/18       (28,016 ) 
Royal Bank of Scotland PLC     USD       2,908       KRW       3,129,898       4/26/18       39,760  
Royal Bank of Scotland PLC     USD       4,549       AUD       5,901       6/19/18       (15,544 ) 
Royal Bank of Scotland PLC     USD       38,976       CHF       35,734       6/19/18       (1,357,653 ) 
Royal Bank of Scotland PLC     USD       5,283       EUR       4,217       6/19/18       (65,184 ) 
Standard Chartered Bank     BRL       37,436       USD       11,263       4/03/18       (76,248 ) 
Standard Chartered Bank     USD       11,355       BRL       37,436       4/03/18       (15,305 ) 
Standard Chartered Bank     CNY       473,496       USD       74,774       4/19/18       (680,625 ) 
Standard Chartered Bank     USD       4,363       CNY       27,710       4/19/18       52,899  
Standard Chartered Bank     BRL       37,436       USD       11,323       5/03/18       11,120  
Standard Chartered Bank     INR       3,606,539       USD       54,918       5/17/18       (242,541 ) 
Standard Chartered Bank     PHP       254,052       USD       4,808       5/30/18       (29,300 ) 
State Street Bank & Trust Co.     HKD       37,532       USD       4,814       6/19/18       19,633  
State Street Bank & Trust Co.     USD       3,725       EUR       2,987       6/19/18       (28,650 ) 
State Street Bank & Trust Co.     USD       5,680       GBP       3,982       6/19/18       (75,206 ) 
UBS AG     USD       5,740       JPY       608,610       6/19/18       8,552  
           

 

 

  
  $   (2,433,738 ) 
           

 

 

  

 

Schedule of Investments—International Portfolio     11  

Table of Contents

 

(a)   Non-income producing security.
(b)   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 March 31, 2018, the aggregate market value of these securities amounted to $42,501,071 or 2.6% of net assets.
(c)   On March 30, 2018, the Portfolio and U.S. stock exchanges were closed for business due to a U.S. holiday but the foreign markets remained open for trading. The Portfolio valued its foreign securities using the closing market prices from the respective foreign markets as of March 29, 2018 for financial reporting purposes.

Currency Abbreviations:

AUD—Australian Dollar

BRL—Brazilian Real

CAD—Canadian Dollar

CHF—Swiss Franc

CNY—Chinese Yuan Renminbi

EUR—Euro

GBP—Great British Pound

HKD—Hong Kong Dollar

ILS—Israeli Shekel

INR—Indian Rupee

JPY—Japanese Yen

KRW—South Korean Won

NOK—Norwegian Krone

PEN—Peruvian Sol

PHP—Philippine Peso

RUB—Russian Ruble

SEK—Swedish Krona

TRY—Turkish Lira

TWD—New Taiwan Dollar

USD—United States Dollar

Glossary:

ADR—American Depositary Receipt

EAFE—Europe, Australia, and Far East

GDR—Global Depositary Receipt

MSCI—Morgan Stanley Capital International

REG—Registered Shares

See notes to financial statements.

Sanford C. Bernstein Fund, Inc.

Schedule of Investments

Emerging Markets Portfolio

March 31, 2018 (Unaudited)

 

Company   Shares     U.S. $ Value  
COMMON STOCKS–97.9%  
Financials–30.2%  
Banks–20.1%  

Abu Dhabi Commercial Bank PJSC

     2,033,470     $ 3,661,474  

Agricultural Bank of China Ltd.–Class H

     48,342,000       27,760,054  

Banco Macro SA (ADR)

     76,446       8,253,875  

Bank Central Asia Tbk PT

     5,463,500       9,281,314  

Bank Mandiri Persero Tbk PT

     22,084,500       12,383,913  

Bank of China Ltd.–Class H

     28,764,000       15,712,595  

Bank Tabungan Negara Persero Tbk PT

     776,000       214,876  

BGEO Group PLC

     43,680       2,179,795  

China Construction Bank Corp.–Class H

     48,972,000       51,151,443  

China Merchants Bank Co., Ltd.–Class H

     3,212,500       13,334,662  

Commercial International Bank Egypt SAE

     61,990       313,185  

Credicorp Ltd.

     68,603       15,575,625  

Grupo Financiero Galicia SA (ADR)

     90,350       5,941,416  

Grupo Supervielle SA (Sponsored ADR)

     3,405       103,308  

Hana Financial Group, Inc.

     558,320       24,061,980  

HDFC Bank Ltd.

     809,774       23,949,913  

ICICI Bank Ltd.

     893,110       3,883,607  

IndusInd Bank Ltd.

     371,370       10,321,053  

Industrial & Commercial Bank of China Ltd.–Class H

     17,780,000       15,495,015  

Itau Unibanco Holding SA (Preference Shares)

     878,940       13,660,183  

KB Financial Group, Inc.

     452,357       26,235,447  

Sberbank of Russia PJSC (Sponsored ADR)

     986,344       18,395,316  

Shinhan Financial Group Co., Ltd.

     44,490       1,897,911  

Standard Bank Group Ltd.

     492,690       9,104,140  

TCS Group Holding PLC (GDR)(a)

     16,470       361,516  

Turkiye Is Bankasi AS–Class C

     2,208,354       4,010,970  
   

 

 

  
      317,244,586  
   

 

 

  
Capital Markets–0.3%  

China Everbright Ltd.

     2,314,000       4,887,985  

CRISIL Ltd.

     6,460       187,772  

Noah Holdings Ltd. (Sponsored ADR)(b)

     5,960       281,372  
   

 

 

  
      5,357,129  
   

 

 

  
Consumer Finance–0.4%  

Gentera SAB de CV

     1,527,310       1,112,298  

KRUK SA

     82,580       5,268,063  

Repco Home Finance Ltd.

     38,850       330,914  
   

 

 

  
      6,711,275  
   

 

 

  

 

12   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
     
Company   Shares     U.S. $ Value  
Diversified Financial Services–1.5%  

Chailease Holding Co., Ltd.

     3,208,000     $ 11,141,267  

Cielo SA

     607,060       3,804,411  

Haci Omer Sabanci Holding AS ADR

     3,438,657       9,159,694  
   

 

 

  
      24,105,372  
   

 

 

  
Insurance–4.9%  

AIA Group Ltd.

     3,115,400       26,632,544  

Discovery Ltd.

     8,140       117,433  

Fanhua, Inc. (Sponsored ADR)

     9,280       250,745  

HDFC Standard Life Insurance Co., Ltd.(a)

     573,950       4,023,587  

IRB Brasil Resseguros S/A

     444,700       5,638,475  

Max Financial Services Ltd.(b)

     613,628       4,273,631  

PICC Property & Casualty Co., Ltd.–Class H

     9,494,000       16,776,169  

Ping An Insurance Group Co. of China Ltd.–Class H

     1,288,000       13,280,141  

Prudential PLC

     218,550       5,461,275  
   

 

 

  
      76,454,000  
   

 

 

  
Thrifts & Mortgage Finance–3.0%  

GRUH Finance Ltd.

     12,040       106,243  

Housing Development Finance Corp., Ltd.

     1,014,792       28,512,726  

Indiabulls Housing Finance Ltd.

     938,735       17,987,717  

PNB Housing Finance Ltd.(a)

     7,390       146,960  
   

 

 

  
      46,753,646  
   

 

 

  
      476,626,008  
   

 

 

  
   
 
Information Technology–24.8%  
Electronic Equipment, Instruments & Components–4.7%  

Compeq Manufacturing Co., Ltd.

     4,327,000       4,506,322  

Elite Material Co., Ltd.

     3,299,000       10,947,729  

FIT Hon Teng Ltd.(a)

     10,286,000       4,779,207  

Hangzhou Hikvision Digital Technology Co., Ltd.–Class A

     2,287,772       15,231,866  

Hollysys Automation Technologies Ltd.

     3,920       96,902  

Largan Precision Co., Ltd.

     63,000       7,333,929  

LG Display Co., Ltd.

     78,146       1,903,306  

Sunny Optical Technology Group Co., Ltd.

     1,193,000       22,385,812  

Tongda Group Holdings Ltd.

     2,720,000       523,972  

Tripod Technology Corp.

     1,840,000       6,240,844  
   

 

 

  
      73,949,889  
   

 

 

  
Internet Software & Services–7.1%  

Alibaba Group Holding Ltd. (Sponsored ADR)(b)

     302,290       55,482,306  

NetEase, Inc. (ADR)

     64,733       18,150,486  

Sea Ltd. (ADR)(b)

     426,603       4,807,816  

Tencent Holdings Ltd.

     617,900       33,168,587  
   

 

 

  
      111,609,195  
   

 

 

  
IT Services–0.2%  

Hexaware Technologies Ltd.

     22,130     $ 129,570  

My EG Services Bhd

     3,534,900       2,608,582  

TravelSky Technology Ltd.–Class H

     73,000       213,225  
   

 

 

  
      2,951,377  
   

 

 

  
Semiconductors & Semiconductor Equipment–7.5%  

eMemory Technology, Inc.

     18,000       217,277  

Hua Hong Semiconductor Ltd.(a)

     2,254,000       4,514,083  

Koh Young Technology, Inc.

     2,530       239,051  

LandMark Optoelectronics Corp.

     194,000       2,554,411  

Nanya Technology Corp.

     2,958,000       9,477,705  

Parade Technologies Ltd.

     6,000       117,935  

Realtek Semiconductor Corp.

     3,788,000       16,487,059  

Silergy Corp.

     9,000       204,356  

Silicon Motion Technology Corp. (ADR)

     2,150       103,458  

SK Hynix, Inc.

     132,520       10,152,616  

Taiwan Semiconductor Manufacturing Co., Ltd.

     8,565,120       72,548,266  

Taiwan Semiconductor Manufacturing Co., Ltd. (Sponsored ADR)

     43,270       1,893,495  
   

 

 

  
      118,509,712  
   

 

 

  
Software–0.0%  

Globant SA(b)

     6,620       341,195  

NCSoft Corp.

     275       106,419  
   

 

 

  
      447,614  
   

 

 

  
Technology Hardware, Storage & Peripherals–5.3%  

Primax Electronics Ltd.

     2,304,000       5,164,031  

Samsung Electronics Co., Ltd.

     22,211       51,895,470  

Samsung Electronics Co., Ltd. (Preference Shares)

     13,312       25,598,085  
   

 

 

  
      82,657,586  
   

 

 

  
      390,125,373  
   

 

 

  
   
 
Consumer Discretionary–10.7%  
Auto Components–0.8%  

Cub Elecparts, Inc.

     13,000       183,420  

Hankook Tire Co., Ltd.

     226,990       11,234,831  

Hota Industrial Manufacturing Co., Ltd.

     31,000       133,520  

Minth Group Ltd.

     236,000       1,082,790  

Nexteer Automotive Group Ltd.

     44,000       67,258  
   

 

 

  
      12,701,819  
   

 

 

  
Diversified Consumer Services–1.4%  

Estacio Participacoes SA

     1,138,800       12,062,529  

Four Seasons Education Cayman, Inc. (ADR)

     430,571       2,854,686  

Fu Shou Yuan International Group Ltd.

     294,000       292,675  

 

Schedule of Investments—Emerging Markets Portfolio     13  

Table of Contents
     
Company   Shares     U.S. $ Value  

Kroton Educacional SA

     35,600     $ 146,651  

Tarena International, Inc. (ADR)

     574,812       6,449,390  
   

 

 

  
      21,805,931  
   

 

 

  
Hotels, Restaurants & Leisure–1.6%  

Alsea SAB de CV

     12,150       42,565  

CVC Brasil Operadora e Agencia de Viagens SA

     263,200       4,835,172  

Galaxy Entertainment Group Ltd.

     1,814,000       16,650,129  

Gourmet Master Co., Ltd.

     13,000       170,757  

Modetour Network, Inc.

     4,450       163,241  

OPAP SA

     13,630       156,218  

Premium Leisure Corp.

     141,129,000       2,921,170  
   

 

 

  
      24,939,252  
   

 

 

  
Household Durables–0.5%  

Basso Industry Corp.

     2,075,000       3,754,847  

Cuckoo Holdings Co., Ltd.

     600       48,579  

Hanssem Co., Ltd.

     670       94,694  

Skyworth Digital Holdings Ltd.

     9,047,314       4,097,553  
   

 

 

  
      7,995,673  
   

 

 

  
Internet & Direct Marketing Retail–1.1%  

Ctrip.com International Ltd. (ADR)(b)

     322,790       15,048,470  

MakeMyTrip Ltd.(b)

     64,150       2,226,005  
   

 

 

  
      17,274,475  
   

 

 

  
Media–3.3%  

IMAX China Holding, Inc.(a)(b)

     1,177,600       3,748,328  

Megacable Holdings SAB de CV

     1,131,130       5,197,723  

Naspers Ltd.–Class N

     150,370       36,797,474  

Smiles Fidelidade SA

     6,400       134,728  

Sun TV Network Ltd.

     402,817       5,295,836  

Surya Citra Media Tbk PT

     263,000       52,072  
   

 

 

  
      51,226,161  
   

 

 

  
Multiline Retail–0.0%  

Mitra Adiperkasa Tbk PT

     376,500       212,623  

Poya International Co., Ltd.

     4,000       50,229  

V-Mart Retail Ltd.

     1,900       55,201  
   

 

 

  
      318,053  
   

 

 

  
Specialty Retail–1.2%  

Ace Hardware Indonesia Tbk PT

     1,176,400       113,645  

Beauty Community PCL

     195,800       133,552  

Chow Tai Fook Jewellery Group Ltd.

     3,490,800       3,983,755  

Cuckoo Homesys Co., Ltd.(b)

     12,557       2,032,163  

Foschini Group Ltd. (The)

     645,800       12,181,409  

JUMBO SA

     14,710       263,170  

Mr Price Group Ltd.

     2,000       48,096  
   

 

 

  
      18,755,790  
   

 

 

  
Textiles, Apparel & Luxury Goods–0.8%  

Best Pacific International Holdings Ltd.(a)

     194,000       94,675  

CCC SA

     1,270       86,751  

Eclat Textile Co., Ltd.

     10,000       117,567  

Li Ning Co., Ltd.(b)

     9,973,000     $ 10,268,479  

Welspun India Ltd.

     2,846,603       2,530,492  
   

 

 

  
      13,097,964  
   

 

 

  
      168,115,118  
   

 

 

  
   
 
Energy–7.0%  
Energy Equipment & Services–0.1%  

TMK PJSC (GDR)(a)

     329,380       1,857,703  
   

 

 

  
Oil, Gas & Consumable Fuels–6.9%  

Canacol Energy Ltd.(b)

     12,880       42,594  

Cosan SA Industria e Comercio

     152,100       1,912,393  

Gran Tierra Energy, Inc.(b)

     832,930       2,314,503  

LUKOIL PJSC (Sponsored ADR)

     518,029       35,857,968  

Novatek PJSC (Sponsored GDR)(a)

     101,700       13,952,044  

PetroChina Co., Ltd.–Class H

     7,956,000       5,526,377  

Petroleo Brasileiro SA (Preference Shares)(b)

     2,503,800       16,237,216  

Tatneft PJSC (Sponsored ADR)

     191,717       12,313,983  

Transportadora de Gas del Sur SA (Sponsored ADR)(b)

     4,650       94,581  

YPF SA (Sponsored ADR)

     929,207       20,089,455  
   

 

 

  
      108,341,114  
   

 

 

  
      110,198,817  
   

 

 

  
   
 
Materials–6.8%  
Chemicals–0.8%  

Berger Paints India Ltd.

     25,550       101,201  

Kumho Petrochemical Co., Ltd.

     110,520       10,116,196  

Sinopec Shanghai Petrochemical Co., Ltd.–Class H

     3,094,000       1,890,582  

Supreme Industries Ltd.

     10,500       197,165  
   

 

 

  
      12,305,144  
   

 

 

  
Construction Materials–1.1%  

Anhui Conch Cement Co., Ltd.–Class H

     2,533,500       13,941,750  

Grupo Cementos de Chihuahua SAB de CV

     664,550       3,574,972  

Loma Negra Cia Industrial Argentina SA (Sponsored ADR)(b)

     7,020       149,667  
   

 

 

  
      17,666,389  
   

 

 

  
Metals & Mining–4.9%  

Aluminum Corp. of China Ltd.–Class H(b)

     16,004,000       9,038,884  

Gerdau SA (Preference Shares)

     2,747,100       12,897,378  

Jindal Steel & Power Ltd.(b)

     64,250       218,057  

JSW Steel Ltd. ADR

     1,811,640       8,056,571  

KGHM Polska Miedz SA

     373,696       9,518,289  

Polyus PJSC (GDR)(a)

     87,140       3,389,746  

POSCO

     72,248       23,061,602  

 

14   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
     
Company   Shares     U.S. $ Value  

Real Gold Mining Ltd.(b)(c)(d)(e)

     1,788,000     $ 0  

Vedanta Ltd.

     2,430,240       10,432,315  
   

 

 

  
      76,612,842  
   

 

 

  
      106,584,375  
   

 

 

  
   
 
Industrials–5.3%  
Airlines–1.6%  

Air Arabia PJSC ADR

     4,170,300       1,294,331  

Air China Ltd.–Class H

     6,004,000       7,753,756  

China Southern Airlines Co., Ltd.–Class H

     4,214,000       4,403,899  

InterGlobe Aviation Ltd.(a)

     8,570       170,070  

Turk Hava Yollari AO(b)

     2,221,690       10,987,025  
   

 

 

  
      24,609,081  
   

 

 

  
Building Products–0.0%  

Kajaria Ceramics Ltd.

     13,170       118,021  
   

 

 

  
Commercial Services & Supplies–0.0%  

JMT Network Services PCL

     106,400       111,912  

S-1 Corp.

     1,190       107,177  
   

 

 

  
      219,089  
   

 

 

  
Industrial Conglomerates–1.1%  

Bidvest Group Ltd. (The)

     451,330       8,564,893  

SM Investments Corp.

     203,255       3,597,010  

Turkiye Sise ve Cam Fabrikalari AS

     3,214,438       4,229,362  
   

 

 

  
      16,391,265  
   

 

 

  
Machinery–0.6%  

Airtac International Group

     21,000       378,170  

Grupo Rotoplas SAB de CV(b)

     36,600       56,410  

Sinotruk Hong Kong Ltd.

     3,157,500       3,770,613  

Weichai Power Co., Ltd.–Class H

     1,861,000       2,104,691  

Yangzijiang Shipbuilding Holdings Ltd.

     3,323,000       3,094,981  
   

 

 

  
      9,404,865  
   

 

 

  
Marine–0.1%  

COSCO SHIPPING Energy Transportation Co., Ltd.–Class H

     2,218,000       1,146,159  
   

 

 

  
Professional Services–0.7%  

51job, Inc. (ADR)(b)

     129,236       11,119,465  

Quess Corp. Ltd.(a)(b)

     7,490       117,940  

Sporton International, Inc.

     47,400       262,655  
   

 

 

  
      11,500,060  
   

 

 

  
Road & Rail–0.7%  

Globaltrans Investment PLC (Sponsored GDR)(a)

     941,443       11,165,514  

Localiza Rent a Car SA

     40,400       351,448  
   

 

 

  
      11,516,962  
   

 

 

  
Trading Companies & Distributors–0.5%  

Barloworld Ltd.

     563,360       7,933,070  
   

 

 

  
Transportation Infrastructure–0.0%  

Grupo Aeroportuario del Pacifico SAB de CV–Class B

     8,930     $ 88,234  

TAV Havalimanlari Holding AS

     36,200       218,075  
   

 

 

  
      306,309  
   

 

 

  
      83,144,881  
   

 

 

  
   
 
Consumer Staples–4.1%  
Beverages–0.9%  

Kweichow Moutai Co., Ltd.–Class A

     135,230       14,929,229  
   

 

 

  
Food & Staples Retailing–1.5%  

BGF retail Co., Ltd.

     1,320       188,854  

Clicks Group Ltd.

     17,310       267,425  

E-MART, Inc.

     40,500       10,341,318  

Lenta Ltd. (GDR)(a)(b)

     4       24  

Lenta Ltd. (GDR)(a)(b)

     1,125,324       6,695,678  

Massmart Holdings Ltd.

     14,720       199,614  

President Chain Store Corp.

     21,000       212,524  

Raia Drogasil SA

     9,000       203,910  

X5 Retail Group NV (GDR)(a)(b)

     142,125       4,766,355  
   

 

 

  
      22,875,702  
   

 

 

  
Food Products–0.9%  

Alicorp SAA

     16,520       57,609  

AVI Ltd.

     12,920       120,941  

Britannia Industries Ltd.

     1,500       114,810  

China Agri-Industries Holdings Ltd.

     7,097,000       3,137,366  

Kaveri Seed Co., Ltd.

     11,600       86,336  

LT Foods Ltd.

     135,410       179,940  

Ulker Biskuvi Sanayi AS

     24,190       134,911  

Vitasoy International Holdings Ltd.

     90,000       232,265  

WH Group Ltd.(a)

     9,724,500       10,419,663  

Zhou Hei Ya International Holdings Co., Ltd.(a)

     270,620       247,374  
   

 

 

  
      14,731,215  
   

 

 

  
Personal Products–0.0%  

Cosmax, Inc.

     1,405       182,404  
   

 

 

  
Tobacco–0.8%  

ITC Ltd.

     3,019,180       11,880,115  
   

 

 

  
      64,598,665  
   

 

 

  
   
 
Health Care–3.7%  
Biotechnology–0.9%  

3SBio, Inc.(a)(b)

     143,500       326,853  

Hugel, Inc.(b)

     16,540       9,330,220  

Medy-Tox, Inc.

     6,566       4,635,934  
   

 

 

  
      14,293,007  
   

 

 

  
Health Care Equipment & Supplies–0.2%  

Vieworks Co., Ltd.

     4,625       172,160  

Yestar Healthcare Holdings Co., Ltd.

     7,452,500       2,592,372  
   

 

 

  
      2,764,532  
   

 

 

  

 

Schedule of Investments—Emerging Markets Portfolio     15  

Table of Contents
     
Company   Shares     U.S. $ Value  
Health Care Providers & Services–0.9%  

Bangkok Dusit Medical Services PCL

     138,900     $ 104,532  

Bumrungrad Hospital PCL

     30,100       199,911  

MLP Saglik Hizmetleri AS(a)(b)

     806,000       3,881,581  

NMC Health PLC

     5,000       238,424  

Odontoprev SA

     42,300       191,291  

Qualicorp SA

     29,000       195,708  

Shanghai Pharmaceuticals Holding Co., Ltd.–Class H

     3,412,500       9,185,883  
   

 

 

  
      13,997,330  
   

 

 

  
Life Sciences Tools & Services–0.2%  

Wuxi Biologics Cayman, Inc.(a)(b)

     443,100       4,312,287  
   

 

 

  
Pharmaceuticals–1.5%  

Aspen Pharmacare Holdings Ltd.

     8,780       192,648  

Aurobindo Pharma Ltd.

     17,680       153,543  

China Medical System Holdings Ltd.

     5,403,000       12,377,636  

China Resources Pharmaceutical Group Ltd.(a)

     7,611,700       10,706,816  

Richter Gedeon Nyrt

     12,380       258,712  
   

 

 

  
      23,689,355  
   

 

 

  
      59,056,511  
   

 

 

  
   
 
Telecommunication Services–2.6%  
Diversified Telecommunication Services–1.7%  

China Unicom Hong Kong Ltd.(b)

     16,210,000       20,737,465  

Tower Bersama Infrastructure Tbk PT

     14,787,700       5,997,730  
   

 

 

  
      26,735,195  
   

 

 

  
Wireless Telecommunication Services–0.9%  

Safaricom PLC

     23,929,660       7,314,184  

Sarana Menara Nusantara Tbk PT

     5,816,900       1,512,584  

Turkcell Iletisim Hizmetleri AS

     1,633,551       6,259,729  
   

 

 

  
      15,086,497  
   

 

 

  
      41,821,692  
   

 

 

  
   
 
Real Estate–1.6%  
Real Estate Management & Development–1.6%  

Aldar Properties PJSC

     9,663,200       5,610,123  

Ayala Land, Inc.

     3,250,500       2,572,255  

China Resources Land Ltd.

     500,000       1,837,329  

CIFI Holdings Group Co., Ltd.

     12,956,000       11,445,862  

Parque Arauco SA

     34,560       103,668  

Times China Holdings Ltd.

     2,213,000       3,420,834  
   

 

 

  
      24,990,071  
   

 

 

  
   
 
Utilities–1.1%  
Electric Utilities–0.9%  

Centrais Eletricas Brasileiras SA(b)

     1,409,100       8,963,062  

Centrais Eletricas Brasileiras SA (Preference Shares)

     251,000       1,832,255  

Equatorial Energia SA

     182,800       3,958,927  
   

 

 

  
      14,754,244  
   

 

 

  
Water Utilities–0.2%  

Cia de Saneamento Basico do Estado de Sao Paulo

     234,700     $ 2,488,149  
   

 

 

  
      17,242,393  
   

 

 

  
Total Common Stocks
(cost $1,245,070,335)		       1,542,503,904  
   

 

 

  
   
 
EQUITY LINKED NOTES–0.9%  
Real Estate–0.5%  
Real Estate Management & Development–0.5%  

Vincom Retail JSC, Deutsche Bank AG, expiring 11/12/27(b)

     3,266,460       7,303,671  
   

 

 

  
   
 
Information Technology–0.3%  
Electronic Equipment, Instruments & Components–0.3%  

FPT Corp., Macquarie Bank Ltd., expiring 3/31/20(b)

     2,037,478       5,315,004  
   

 

 

  
   
 
Consumer Discretionary–0.1%  
Specialty Retail–0.1%  

Mobile World Investment Corp., Macquarie Bank Ltd., expiring 3/29/19(b)

     338,990       1,680,905  
   

 

 

  
Total Warrants
(cost $12,034,888)		       14,299,580  
   

 

 

  
   
   
Principal Amount (000)         
SHORT-TERM INVESTMENTS–0.6%          
Repurchase Agreements–0.6%    

State Street Bank & Trust Co.

   $ 9,345       9,345,396  

0.28%, dated 3/29/18 due 4/02/18 in the amount of $9,345,687 (collateralized by $9,270,000 U.S. Treasury Notes, 3.625%, due 2/15/20, value $9,534,890)
(cost $9,345,396)

    
Total Investments—99.4%
(cost $1,266,450,619)		       1,566,148,880 (f) 

Other assets less liabilities—0.6%

       9,824,925  
   

 

 

  
Net Assets—100.0%     $ 1,575,973,805  
   

 

 

  

 

16   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents

 

FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3)

 

 

Counterparty   Contracts to
Deliver
(000)		     In Exchange
For
(000)		     Settlement
Date		     Unrealized
Appreciation/
(Depreciation)		  
Bank of America, NA     BRL       15,929       USD       4,792       4/03/18     $ (32,443 ) 
Bank of America, NA     USD       4,900       BRL       15,929       4/03/18       (74,873 ) 
Bank of America, NA     RUB       372,312       USD       6,522       4/17/18       35,287  
Bank of America, NA     USD       7,180       RUB       408,475       4/17/18       (63,241 ) 
Bank of America, NA     KRW       12,338,456       USD       11,627       4/26/18       6,522  
Barclays Bank PLC     BRL       55,621       USD       16,840       4/03/18       (7,906 ) 
Barclays Bank PLC     USD       16,734       BRL       55,621       4/03/18       113,286  
Barclays Bank PLC     RUB       2,369,617       USD       41,417       4/17/18       131,719  
Barclays Bank PLC     USD       11,432       KRW       12,338,456       4/26/18       188,060  
Barclays Bank PLC     USD       16,792       BRL       55,621       5/03/18       14,461  
Barclays Bank PLC     USD       3,138       MXN       59,275       5/15/18       101,462  
Barclays Bank PLC     USD       11,278       ZAR       133,614       5/15/18       (56,390 ) 
Barclays Bank PLC     INR       152,884       USD       2,335       5/17/18       (3,116 ) 
Barclays Bank PLC     USD       12,305       MYR       48,369       7/12/18       204,270  
BNP Paribas SA     CLP       2,363,979       USD       3,924       4/19/18       9,415  
Citibank, NA     BRL       39,692       USD       11,942       4/03/18       (80,843 ) 
Citibank, NA     USD       12,190       BRL       39,692       4/03/18       (167,073 ) 
Citibank, NA     ARS       260,643       USD       12,659       4/19/18       (185,268 ) 
Citibank, NA     USD       12,702       ARS       260,643       4/19/18       142,085  
Citibank, NA     USD       5,598       COP       15,847,518       4/19/18       72,734  
Citibank, NA     HKD       25,001       USD       3,203       5/15/18       12,455  
Citibank, NA     TRY       15,883       USD       3,980       5/15/18       5,206  
Citibank, NA     USD       7,609       HKD       59,380       5/15/18       (32,013 ) 
Citibank, NA     USD       19,031       MXN       363,477       5/15/18       832,999  
Citibank, NA     USD       16,830       ZAR       206,807       5/15/18       539,158  
Citibank, NA     INR       318,283       USD       4,847       5/17/18       (21,294 ) 
Citibank, NA     USD       9,001       TWD       259,955       6/07/18       (10,772 ) 
Deutsche Bank AG     PEN       21,316       USD       6,549       4/19/18       (54,904 ) 
Deutsche Bank AG     USD       18,875       CLP       11,341,041       4/19/18       (93,733 ) 
Deutsche Bank AG     USD       2,964       IDR       39,674,063       4/23/18       (76,509 ) 
Goldman Sachs Bank USA     IDR       39,674,063       USD       2,881       4/23/18       (6,439 ) 
HSBC Bank USA     USD       2,425       MXN       45,922       5/15/18       84,576  
HSBC Bank USA     ZAR       48,622       USD       4,070       5/15/18       (13,169 ) 
JPMorgan Chase Bank, NA     USD       11,479       KRW       12,319,518       4/26/18       123,437  
Morgan Stanley & Co., Inc.     HKD       56,731       USD       7,272       5/15/18       32,789  
Royal Bank of Scotland PLC     USD       2,402       MXN       46,106       5/15/18       117,513  
Societe Generale     HKD       423,677       USD       54,303       5/15/18       242,018  
State Street Bank & Trust Co.     HKD       25,510       USD       3,259       5/15/18       3,967  
State Street Bank & Trust Co.     THB       302,820       USD       9,712       5/15/18       14,453  
State Street Bank & Trust Co.     TRY       24,862       USD       6,400       5/15/18       178,126  
State Street Bank & Trust Co.     USD       4,470       EUR       3,621       5/15/18       (1,803 ) 
State Street Bank & Trust Co.     USD       9,555       THB       302,820       5/15/18       142,329  
           

 

 

  
            $   2,366,538  
           

 

 

  

 

Schedule of Investments—Emerging Markets Portfolio     17  

Table of Contents

 

(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 March 31, 2018, the aggregate market value of these securities amounted to $89,678,004 or 5.7% of net assets.
(b)   Non-income producing security.
(c)   Fair valued by the Adviser.
(d)   Illiquid security.
(e)   Security in which significant unobservable inputs (Level 3) were used in determining fair value.
(f)   On March 30, 2018, the Portfolio and U.S. stock exchanges were closed for business due to a U.S. holiday but the foreign markets remained open for trading. The Portfolio valued its foreign securities using the closing market prices from the respective foreign markets as of March 29, 2018 for financial reporting purposes.

Currency Abbreviations:

ARS—Argentine Peso

BRL—Brazilian Real

CLP—Chilean Peso

COP—Colombian Peso

EUR—Euro

HKD—Hong Kong Dollar

IDR—Indonesian Rupiah

INR—Indian Rupee

KRW—South Korean Won

MXN—Mexican Peso

MYR—Malaysian Ringgit

PEN—Peruvian Sol

RUB—Russian Ruble

THB—Thailand Baht

TRY—Turkish Lira

TWD—New Taiwan Dollar

USD—United States Dollar

ZAR—South African Rand

Glossary:

ADR—American Depositary Receipt

GDR—Global Depositary Receipt

JSC—Joint Stock Company

PJSC—Public Joint Stock Company

See notes to financial statements.

 

18   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents

SCB–ST–1946–0318

Table of Contents

Sanford C. Bernstein Fund, Inc.

 

March 31, 2018

Schedule of Investments To the Semi-Annual
Report For the Taxable Bond Portfolios

 

 

 

 

 

 

 

 

 

 

Short Duration Plus

 

 

Intermediate Duration

Table of Contents

Sanford C. Bernstein Fund, Inc.

Schedule of Investments

Short Duration Plus Portfolio

March 31, 2018 (Unaudited)

 

     Principal Amount (000)     U.S. $ Value  
GOVERNMENTS–TREASURIES–31.7%  
United States–31.7%  

U.S. Treasury Notes
0.875%, 9/15/19

   U.S.$       3,150     $ 3,088,182  

1.125%, 9/30/21

       6,176       5,899,045  

1.375%, 7/31/19–2/15/20

       32,161       31,767,196  

1.375%, 1/31/21(a)

       12,439       12,093,040  

1.50%, 8/15/20

       4,333       4,250,402  

1.625%, 12/31/19

       13,866       13,716,013  
     

 

 

  
Total Governments–Treasuries
(cost $71,381,931)		       70,813,878  
     

 

 

  
     
 
CORPORATES–INVESTMENT GRADE–21.5%  
Financial Institutions–13.4%  
Banking–13.0%  

ABN AMRO Bank NV
2.50%, 10/30/18(b)

       1,249       1,247,551  

American Express Credit Corp.
2.125%, 3/18/19

       684       680,293  

Banco Santander SA
3.50%, 4/11/22

       200       199,146  

Bank of Montreal
1.35%, 8/28/18

       1,109       1,104,242  

Banque Federative du Credit Mutuel SA
2.75%, 10/15/20(b)

 

     235       232,044  

BB&T Corp.
2.25%, 2/01/19

       834       830,747  

BNP Paribas SA
2.375%, 5/21/20

       925       913,142  

Capital One NA/Mclean VA
1.85%, 9/13/19

       1,000       983,190  

Citigroup, Inc.
2.05%, 6/07/19

       717       710,468  

3.142%, 1/24/23

       650       642,369  

Cooperatieve Rabobank UA/NY
2.25%, 1/14/20

 

     250       246,818  

Danske Bank A/S
1.65%, 9/06/19(b)

       1,000       983,540  

Deutsche Bank AG
Series G
2.85%, 5/10/19

       717       714,512  

Goldman Sachs Group, Inc. (The)
2.905% (LIBOR 3 Month + 1.16%), 4/23/20(c)

 

     730       740,081  

Huntington National Bank (The) 2.20%, 11/06/18

 

     940       936,484  

2.375%, 3/10/20

       650       641,128  

ING Bank NV
2.50%, 10/01/19(b)

       1,000       993,526  
     
     Principal Amount (000)     U.S. $ Value  

ING Groep NV
3.15%, 3/29/22

   U.S.$       589     $ 581,278  

JPMorgan Chase & Co.
2.295%, 8/15/21

       474       460,297  

KeyBank NA/Cleveland OH
1.70%, 6/01/18

       1,270       1,268,197  

Manufacturers & Traders Trust Co.
2.30%, 1/30/19

 

     950       946,371  

Morgan Stanley
5.625%, 9/23/19

       740       767,920  

Nordea Bank AB
2.375%, 4/04/19(b)

       975       971,548  

PNC Bank NA
1.80%, 11/05/18

       940       935,714  

1.995% (LIBOR 3 Month + 0.25%), 1/22/21(c)

 

     875       873,355  

Royal Bank of Canada
Series G
1.80%, 7/30/18

       825       823,152  

Santander UK Group Holdings PLC
2.875%, 8/05/21

 

     800       784,624  

Sumitomo Mitsui Banking Corp.
1.966%, 1/11/19

       1,039       1,032,652  

Svenska Handelsbanken AB
1.50%, 9/06/19

       995       975,140  

US Bank NA/Cincinnati OH
1.40%, 4/26/19

       870       858,707  

2.24% (LIBOR 3 Month + 0.48%), 10/28/19(c)

 

     714       716,799  

Wells Fargo & Co.
2.125%, 4/22/19

       1,190       1,181,967  

3.069%, 1/24/23

       554       544,831  

Westpac Banking Corp.
1.60%, 8/19/19

       292       287,243  

1.65%, 5/13/19

       1,150       1,135,820  

2.65%, 1/25/21

       1,002       990,307  
     

 

 

  
    28,935,203  
     

 

 

  
Insurance–0.4%  

Pricoa Global Funding I
1.45%, 9/13/19(b)

       834       816,786  

Principal Life Global Funding II
1.50%, 4/18/19(b)

       197       194,656  
     

 

 

  
    1,011,442  
     

 

 

  
    29,946,645  
     

 

 

  
     
 
Industrial–7.3%  
Basic–0.3%  

Dow Chemical Co. (The)
8.55%, 5/15/19

       584       619,747  
     

 

 

  
Capital Goods–0.4%  

Caterpillar Financial Services Corp. 1.931%, 10/01/21

 

     272       262,213  

2.10%, 1/10/20

       729       720,675  
     

 

 

  
    982,888  
     

 

 

  

 

Schedule of Investments—Short Duration Plus Portfolio     1  

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  
Communications–Media–0.4%  

NBCUniversal Media LLC
5.15%, 4/30/20

   U.S.$       734     $ 765,937  
     

 

 

  
Communications–Telecommunications–0.3%  

AT&T, Inc.
2.85%, 2/14/23

       620       623,199  
     

 

 

  
Consumer Cyclical–Automotive–2.4%  

American Honda Finance Corp.
1.20%, 7/12/19

 

     988       970,156  

Daimler Finance North America LLC
1.50%, 7/05/19(b)

 

     1,125       1,105,909  

General Motors Financial Co., Inc.
3.10%, 1/15/19

 

     800       800,952  

3.15%, 1/15/20

       667       666,113  

Harley-Davidson Financial Services, Inc.
2.25%, 1/15/19(b)

 

     930       925,192  

Hyundai Capital Services, Inc.
1.625%, 8/30/19(b)

       830       812,339  
     

 

 

  
    5,280,661  
     

 

 

  
Consumer Cyclical–Retailers–0.1%  

Lowe’s Cos., Inc.
1.15%, 4/15/19

       228       224,744  
     

 

 

  
Consumer Non-Cyclical–1.2%  

Anheuser-Busch InBev Finance, Inc.
1.90%, 2/01/19

 

     688       686,273  

CVS Health Corp.
3.35%, 3/09/21

       369       371,033  

Kroger Co. (The)
6.15%, 1/15/20

       609       642,745  

Molson Coors Brewing Co.
2.25%, 3/15/20

       267       263,227  

Mylan NV
2.50%, 6/07/19

       709       703,874  
     

 

 

  
    2,667,152  
     

 

 

  
Energy–1.0%  

Schlumberger Holdings Corp.
2.35%, 12/21/18(b)

       1,234       1,230,718  

TransCanada PipeLines Ltd.
9.875%, 1/01/21

       290       340,460  

Williams Partners LP
4.125%, 11/15/20

       742       754,109  
     

 

 

  
    2,325,287  
     

 

 

  
Services–0.4%  

Visa, Inc.
2.20%, 12/14/20

       984       968,394  
     

 

 

  
Technology–0.8%  

Hewlett Packard Enterprise Co.
2.10%, 10/04/19(b)

       438       432,078  

Microsoft Corp.
1.10%, 8/08/19

       700       688,065  
     
     Principal Amount (000)     U.S. $ Value  

QUALCOMM, Inc.
1.40%, 5/18/18

   U.S.$       670     $ 669,022  
     

 

 

  
    1,789,165  
     

 

 

  
    16,247,174  
     

 

 

  
     
 
Utility–0.8%  
Electric–0.8%  

Dominion Energy, Inc.
Series B
1.60%, 8/15/19

       704       691,877  

Exelon Generation Co. LLC
2.95%, 1/15/20

       354       352,910  

Georgia Power Co.
1.95%, 12/01/18

       775       770,683  
     

 

 

  
    1,815,470  
     

 

 

  
Total Corporates–Investment Grade
(cost $48,497,369)		       48,009,289  
     

 

 

  
     
 
ASSET-BACKED SECURITIES–14.4%  
Autos–Fixed Rate–7.3%  

Ally Auto Receivables Trust
Series 2015-2, Class A3
1.49%, 11/15/19

       128       127,816  

Ally Master Owner Trust
Series 2015-3, Class A
1.63%, 5/15/20

       916       915,082  

Americredit Automobile Receivables Trust
Series 2016-4, Class A2A
1.34%, 4/08/20

       149       148,836  

AmeriCredit Automobile Receivables Trust
Series 2017-3, Class A2A
1.69%, 12/18/20

       266       265,121  

Avis Budget Rental Car Funding AESOP LLC
Series 2013-2A, Class A
2.97%, 2/20/20(b)

       1,533       1,534,841  

Bank of The West Auto Trust
Series 2015-1, Class A3
1.31%, 10/15/19(b)

       58       58,163  

CarMax Auto Owner Trust
Series 2015-4, Class A3
1.56%, 11/16/20

       847       842,519  

Chrysler Capital Auto Receivables Trust
Series 2015-BA, Class A3
1.91%, 3/16/20(b)

       111       110,825  

CPS Auto Receivables Trust
Series 2017-D, Class A
1.87%, 3/15/21(b)

       492       489,650  

CPS Auto Trust
Series 2017-A, Class A
1.68%, 8/17/20(b)

       218       217,791  

 

2   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  

Drive Auto Receivables Trust
Series 2017-AA, Class A3
1.77%, 1/15/20(b)

   U.S.$       28     $ 27,569  

DT Auto Owner Trust
Series 2017-3A, Class A
1.73%, 8/17/20(b)

       146       146,046  

Series 2018-1A, Class A
2.59%, 5/17/21(b)

       438       437,743  

Exeter Automobile Receivables Trust
Series 2016-3A, Class A
1.84%, 11/16/20(b)

       77       77,208  

Series 2017-2A, Class A
2.11%, 6/15/21(b)

       209       208,425  

Fifth Third Auto Trust
Series 2014-3, Class A4
1.47%, 5/17/21

       479       477,577  

Flagship Credit Auto Trust
Series 2016-3, Class A1
1.61%, 12/15/19(b)

       33       32,861  

Series 2016-4, Class A2
1.96%, 2/16/21(b)

       870       866,750  

Series 2017-3, Class A
1.88%, 10/15/21(b)

       310       307,415  

Series 2017-4, Class A
2.07%, 4/15/22(b)

       275       272,974  

Ford Credit Auto Owner Trust
Series 2014-2, Class A
2.31%, 4/15/26(b)

       1,062       1,056,055  

Series 2016-1, Class A
2.31%, 8/15/27(b)

       607       596,990  

Ford Credit Floorplan Master Owner Trust
Series 2016-1, Class A1
1.76%, 2/15/21

       489       485,058  

Series 2017-1, Class A1
2.07%, 5/15/22

       660       650,077  

Series 2017-2, Class A1
2.16%, 9/15/22

       558       550,055  

GMF Floorplan Owner Revolving Trust
Series 2015-1, Class A1
1.65%, 5/15/20(b)

       469       468,354  

Series 2016-1, Class A1
1.96%, 5/17/21(b)

       711       705,158  

Harley-Davidson Motorcycle Trust
Series 2015-1, Class A3
1.41%, 6/15/20

 

     148       147,379  

Hertz Vehicle Financing II LP
Series 2015-1A, Class A
2.73%, 3/25/21(b)

       546       541,765  

Series 2015-2A, Class A
2.02%, 9/25/19(b)

       470       468,203  

Series 2016-1A, Class A
2.32%, 3/25/20(b)

       566       562,979  
     
     Principal Amount (000)     U.S. $ Value  

Hertz Vehicle Financing LLC
Series 2013-1A, Class A2
1.83%, 8/25/19(b)

   U.S.$       653     $ 652,067  

Honda Auto Receivables Owner Trust
Series 2015-4, Class A3
1.23%, 9/23/19

       371       369,477  

Santander Drive Auto Receivables Trust
Series 2017-3, Class A2
1.85%, 6/15/20

       247       246,300  

Westlake Automobile Receivables Trust
Series 2016-2A, Class A2
1.57%, 6/17/19(b)

       20       20,293  

Series 2018-1A, Class A1
1.75%, 2/15/19(b)

       246       246,071  

Wheels SPV 2 LLC
Series 2016-1A, Class A3
1.87%, 5/20/25(b)

       841       830,782  
     

 

 

  
    16,162,275  
     

 

 

  
Credit Cards–Fixed Rate–3.3%  

Barclays Dryrock Issuance Trust
Series 2014-3, Class A
2.41%, 7/15/22

 

     1,050       1,045,956  

Series 2015-2, Class A
1.56%, 3/15/21

       534       533,568  

Series 2015-4, Class A
1.72%, 8/16/21

       523       520,956  

GE Capital Credit Card Master Note Trust
Series 2012-2, Class A
2.22%, 1/15/22

       995       992,450  

Synchrony Credit Card Master Note Trust
Series 2015-3, Class A 1.74%, 9/15/21

       650       647,782  

Series 2016-1, Class A
2.04%, 3/15/22

       684       680,840  

World Financial Network Credit Card Master Trust
Series 2016-B, Class A
1.44%, 6/15/22

       1,015       1,010,809  

Series 2017-B, Class A
1.98%, 6/15/23

       470       465,165  

Series 2017-C, Class A
2.31%, 8/15/24

       935       918,806  

Series 2018-A, Class A
3.07%, 12/16/24

       590       589,515  
     

 

 

  
    7,405,847  
     

 

 

  
Credit Cards–Floating Rate–1.8%  

Chase Issuance Trust
Series 2013-A6, Class A6
2.197% (LIBOR 1 Month + 0.42%), 7/15/20(c)

 

     1,991       1,992,959  

 

Schedule of Investments—Short Duration Plus Portfolio     3  

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  

Discover Card Execution Note Trust
Series 2014-A1, Class A1
2.207% (LIBOR 1 Month + 0.43%), 7/15/21(c)

   U.S.$       895     $ 897,121  

World Financial Network Credit Card Master Trust
Series 2015-A, Class A
2.257% (LIBOR 1 Month + 0.48%), 2/15/22(c)

       1,123       1,123,161  
     

 

 

  
    4,013,241  
     

 

 

  
Other ABS–Fixed Rate–1.6%  

CLUB Credit Trust
Series 2017-P1, Class A
2.42%, 9/15/23(b)(d)

       514       512,578  

CNH Equipment Trust
Series 2014-B, Class A4
1.61%, 5/17/21

       607       606,500  

Series 2015-A, Class A4
1.85%, 4/15/21

       546       542,614  

Marlette Funding Trust
Series 2016-1A, Class A
3.06%, 1/17/23(b)(d)

       39       39,193  

Series 2017-1A, Class A
2.827%, 3/15/24(b)(d)

       171       170,535  

Series 2017-2A, Class A
2.39%, 7/15/24(b)(d)

       236       235,626  

Series 2017-3A, Class A
2.36%, 12/15/24(b)(d)

       182       181,674  

Series 2017-3A, Class B
3.01%, 12/15/24(b)(d)

       166       164,536  

SoFi Consumer Loan Program LLC
Series 2016-2, Class A
3.09%, 10/27/25(b)(d)

 

     174       173,735  

Series 2016-3, Class A
10.60%, 12/26/25(b)(d)

       257       257,062  

Series 2017-2, Class A
3.28%, 2/25/26(b)(d)

       307       307,928  

Series 2017-5, Class A2
2.78%, 9/25/26(b)(d)

       430       423,508  
     

 

 

  
    3,615,489  
     

 

 

  
Autos–Floating Rate–0.4%  

Ford Credit Floorplan Master Owner Trust
Series 2015-2, Class A2
2.347% (LIBOR 1 Month + 0.57%), 1/15/22(c)

 

     836       840,898  
     

 

 

  
Total Asset-Backed Securities
(cost $32,164,861)		       32,037,750  
     

 

 

  
     
 
COMMERCIAL MORTGAGE-BACKED SECURITIES–8.3%  
Non-Agency Fixed Rate CMBS–6.7%  

CCUBS Commercial Mortgage Trust
Series 2017-C1, Class A4
3.544%, 11/15/50

 

     645       639,836  
     
     Principal Amount (000)     U.S. $ Value  

Citigroup Commercial Mortgage Trust
Series 2013-GC11, Class XA
1.519%, 4/10/46(e)

   U.S.$       10,002     $ 533,197  

Series 2015-GC29, Class A2
2.674%, 4/10/48

 

     848       845,469  

Commercial Mortgage Trust
Series 2013-CR6, Class A2
2.122%, 3/10/46

       84       83,841  

Series 2013-LC6, Class XA
1.418%, 1/10/46(e)

       3,541       193,875  

Series 2014-CR16, Class A2
3.042%, 4/10/47

       1,068       1,070,985  

Series 2014-CR19, Class A2
2.965%, 8/10/47

       1,300       1,303,753  

GS Mortgage Securities Corp. II
Series 2013-GC10, Class XA
1.549%, 2/10/46(e)

 

     9,157       530,713  

JP Morgan Chase Commercial Mortgage Securities Trust
Series 2010-C2, Class D
5.662%, 11/15/43(b)(d)

       546       557,061  

Series 2013-C13, Class A2
2.665%, 1/15/46

       1,135       1,134,374  

Series 2013-C16, Class A2
3.07%, 12/15/46

       672       671,886  

JPMBB Commercial Mortgage Securities Trust
Series 2013-C15, Class A2
2.977%, 11/15/45

       766       766,013  

Series 2014-C22, Class XA
0.913%, 9/15/47(e)

       11,438       503,390  

Series 2015-C28, Class A2
2.773%, 10/15/48

       1,042       1,038,430  

Series 2015-C29, Class A2
2.921%, 5/15/48

       500       499,679  

LSTAR Commercial Mortgage Trust
Series 2014-2, Class A2
2.767%, 1/20/41(b)

 

     41       40,688  

Series 2016-4, Class A2
2.579%, 3/10/49(b)

       587       568,958  

Morgan Stanley Bank of America Merrill Lynch Trust
Series 2014-C17, Class A2
3.119%, 8/15/47

       910       914,393  

Series 2015-C23, Class A2
2.982%, 7/15/50

       775       776,010  

Morgan Stanley Capital I Trust
Series 2005-IQ9, Class D
5.00%, 7/15/56(d)

       335       332,125  

Wells Fargo Commercial Mortgage Trust
Series 2015-NXS1, Class A2
2.632%, 5/15/48

 

     464       462,912  

 

4   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  

WF-RBS Commercial Mortgage Trust
Series 2011-C2, Class C
5.392%, 2/15/44(b)(d)

   U.S.$       516     $ 535,345  

Series 2012-C10, Class XA
1.58%, 12/15/45(b)(e)

       1,213       72,151  

Series 2012-C6, Class XA
2.089%, 4/15/45(b)(e)

       696       43,486  

Series 2014-C24, Class A2
2.863%, 11/15/47

       750       747,478  
     

 

 

  
    14,866,048  
     

 

 

  
Non-Agency Floating Rate CMBS–1.0%  

BX Trust
Series 2017-IMC, Class A
2.827% (LIBOR 1 Month + 1.05%), 10/15/32(b)(c)

       540       540,337  

Great Wolf Trust
Series 2017-WOLF, Class A
2.777% (LIBOR 1 Month + 0.85%), 9/15/34(b)(c)

       459       459,629  

JP Morgan Chase Commercial Mortgage Securities Trust
Series 2015-SGP, Class A
3.477% (LIBOR 1 Month + 1.70%), 7/15/36(b)(c)

       405       403,708  

Starwood Retail Property Trust
Series 2014-STAR, Class A
2.997% (LIBOR 1 Month + 1.22%), 11/15/27(b)(c)

       897       897,309  
     

 

 

  
    2,300,983  
     

 

 

  
Agency CMBS–0.6%  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates
Series K033, Class A1
2.871%, 2/25/23

 

     1,348       1,344,917  

Government National Mortgage Association
Series 2006-51, Class IO
0.938%, 8/16/46(e)

 

     429       2,471  
     

 

 

  
    1,347,388  
     

 

 

  
Total Commercial Mortgage-Backed Securities
(cost $18,849,824)		       18,514,419  
     

 

 

  
     
 
COLLATERALIZED MORTGAGE OBLIGATIONS–7.2%  
Risk Share Floating Rate–3.0%  

Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
Series 2015-DN1, Class M3
6.022% (LIBOR 1 Month + 4.15%),
1/25/25(c)

 

     444       478,791  
     
     Principal Amount (000)     U.S. $ Value  

Series 2015-DNA3, Class M2
4.722% (LIBOR 1 Month + 2.85%), 4/25/28(c)

   U.S.$       684     $ 709,396  

Series 2015-HQ2, Class M2
3.822% (LIBOR 1 Month + 1.95%), 5/25/25(c)

 

     725       744,464  

Series 2015-HQA1, Class M2
4.522% (LIBOR 1 Month + 2.65%), 3/25/28(c)

 

     475       484,619  

Series 2016-DNA3, Class M1
2.972% (LIBOR 1 Month + 1.10%), 12/25/28(c)

 

     51       51,171  

Series 2016-DNA4, Class M1
2.672% (LIBOR 1 Month + 0.80%), 3/25/29(c)

 

     139       139,044  

Series 2016-HQA1, Class M1
3.622% (LIBOR 1 Month + 1.75%), 9/25/28(c)

 

     18       17,838  

Series 2016-HQA2, Class M2
4.122% (LIBOR 1 Month + 2.25%), 11/25/28(c)

 

     542       553,315  

Series 2017-DNA1, Class M1
3.072% (LIBOR 1 Month + 1.20%), 7/25/29(c)

 

     298       300,698  

Federal National Mortgage Association Connecticut Avenue Securities
Series 2013-C01, Class M1
3.872% (LIBOR 1 Month + 2.00%), 10/25/23(c)

 

     60       60,006  

Series 2013-C01, Class M2
7.122% (LIBOR 1 Month + 5.25%), 10/25/23(c)

 

     265       308,415  

Series 2014-C01, Class M1
3.472% (LIBOR 1 Month + 1.60%), 1/25/24(c)

 

     286       287,865  

Series 2014-C02, Class 1M1
2.822% (LIBOR 1 Month + 0.95%), 5/25/24(c)

 

     253       253,957  

Series 2016-C02, Class 1M1
4.022% (LIBOR 1 Month + 2.15%), 9/25/28(c)

 

     222       223,167  

Series 2016-C03, Class 1M1
3.872% (LIBOR 1 Month + 2.00%), 10/25/28(c)

 

     601       609,652  

Series 2016-C03, Class 2M1
4.072% (LIBOR 1 Month + 2.20%), 10/25/28(c)

 

     146       146,878  

Series 2016-C04, Class 1M1
3.322% (LIBOR 1 Month + 1.45%), 1/25/29(c)

 

     169       170,094  

Series 2016-C05, Class 2M1
3.222% (LIBOR 1 Month + 1.35%), 1/25/29(c)

 

     120       120,952  

 

Schedule of Investments—Short Duration Plus Portfolio     5  

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  

Series 2016-C06, Class 1M1
3.172% (LIBOR 1 Month + 1.30%), 4/25/29(c)

   U.S.$       685     $ 690,786  

Series 2017-C01, Class 1M1
3.172% (LIBOR 1 Month + 1.30%), 7/25/29(c)

 

     296       298,319  

Wells Fargo Credit Risk Transfer Securities Trust
Series 2015-WF1, Class 2M1
4.722% (LIBOR 1 Month + 2.85%), 11/25/25(c)(f)

 

     57       57,077  
     

 

 

  
    6,706,504  
     

 

 

  
Agency Floating Rate–2.2%      

Federal Home Loan Mortgage Corp.
REMICs Series 4248, Class QF 2.277% (LIBOR 1 Month + 0.50%), 6/15/39(c)

 

     738       745,567  

Series 4286, Class VF 2.227% (LIBOR 1 Month + 0.45%), 12/15/43(c)

 

     729       735,282  

Federal National Mortgage Association REMICs
Series 2013-57, Class FN
2.222% (LIBOR 1 Month + 0.35%), 6/25/43(c)

 

     649       646,862  

Series 2014-49, Class AF
1.895% (LIBOR 1 Month + 0.32%), 8/25/44(c)

 

     1,080       1,078,687  

NCUA Guaranteed Notes Trust
Series 2010-R3, Class 1A
2.181% (LIBOR 1 Month + 0.56%), 12/08/20(c)

 

     1,811       1,819,563  
     

 

 

  
        5,025,961  
     

 

 

  
Agency Fixed Rate–1.7%      

Federal Home Loan Mortgage Corp. REMICs
Series 3948, Class DA
3.00%, 12/15/24

 

     768       771,629  

Series 4029, Class NE
2.50%, 3/15/41

       1,373       1,348,462  

Federal National Mortgage Association REMICs
Series 2010-9, Class EA
3.50%, 1/25/24

 

     172       171,826  

Series 2014-54, Class LA
3.00%, 2/25/44

       452       451,784  

Series 2015-72, Class PC
3.00%, 10/25/43

       1,071       1,071,704  
     

 

 

  
        3,815,405  
     

 

 

  
     
     Principal Amount (000)     U.S. $ Value  
Non-Agency Floating Rate–0.3%      

Mortgage Equity Conversion Asset Trust
Series 2007-FF2, Class A
2.51% (H15T 1 Year + 0.47%), 2/25/42(b)(c)

   U.S.$       707     $ 639,618  
     

 

 

  
Total Collateralized Mortgage Obligations
(cost $16,255,113)		       16,187,488  
     

 

 

  
     
 
INFLATION-LINKED SECURITIES–5.3%  
United States–5.3%      

U.S. Treasury Inflation Index
0.125%, 4/15/19–4/15/20 (TIPS)

 

     8,333       8,319,608  

1.125%, 1/15/21 (TIPS)

       3,511       3,590,454  
     

 

 

  
Total Inflation-Linked Securities
(cost $12,028,578)		       11,910,062  
     

 

 

  
     
 
MORTGAGE PASS-THROUGHS–1.4%  
Agency Fixed Rate 30-Year–1.1%    

Federal National Mortgage Association
Series 2010
5.00%, 2/01/40

 

     1,515       1,651,099  

Government National Mortgage Association
Series 2002
7.50%, 3/15/32

 

     73       84,887  

Series 2009
5.00%, 10/15/39

       622       679,504  
     

 

 

  
        2,415,490  
     

 

 

  
Agency Fixed Rate 15-Year–0.3%    

Federal Home Loan Mortgage Corp. Gold
Series 2011
5.00%, 7/01/25

 

     244       254,347  

6.50%, 3/01/26

       379       401,613  

Federal National Mortgage Association
Series 2006
6.00%, 12/01/21

 

     3       2,993  
     

 

 

  
        658,953  
     

 

 

  
Other Agency Fixed Rate Programs–0.0%  

Federal National Mortgage Association
Series 2007
3.009%, 1/01/37

       3       3,410  
     

 

 

  
Total Mortgage Pass-Throughs
(cost $3,088,767)		         3,077,853  
     

 

 

  

 

6   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  
EMERGING MARKETS–CORPORATE BONDS–0.2%  
Industrial–0.2%          
Energy–0.2%      

Petrobras Global Finance BV
5.75%, 2/01/29
(cost $360,215)

     U.S.$       366     $ 354,112  
     

 

 

  
     
 
SHORT-TERM INVESTMENTS–9.7%  
Governments–Treasuries–9.7%          
Japan–9.7%      

Japan Treasury Discount Bill
Series 729
Zero Coupon, 4/05/18
(cost $20,281,159)

     JPY       2,300,000       21,615,860  
     

 

 

  
Total Investments—99.7%
(cost $222,907,817)		       $ 222,520,711 (g) 

Other assets less liabilities—0.3%

 

     640,846  
     

 

 

  
Net Assets—100.0%       $ 223,161,557  
     

 

 

  

 

 

FUTURES (see Note 3)

 

Description   Number of
Contracts		     Expiration
Month		    

Notional
(000)

     Original
Value		     Value at
March 31,
2018		     Unrealized
Appreciation/
(Depreciation)		  
Purchased Contracts              
U.S. T-Note 2 Yr (CBT) Futures     317       June 2018       USD       63,400     $ 67,410,077     $ 67,397,172     $ (12,905 ) 
U.S. T-Note 5 Yr (CBT) Futures     43       June 2018       USD       4,300       4,901,867       4,921,820       19,953  
Sold Contracts              
U.S. Long Bond (CBT) Futures     1       June 2018       USD       100       142,702       146,625       (3,923 ) 
U.S. T-Note 10 Yr (CBT) Futures     26       June 2018       USD       2,600       3,124,432       3,149,656       (25,224 ) 
             

 

 

  
              $ (22,099 ) 
             

 

 

  

 

 

FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3)

 

Counterparty   Contracts to
Deliver
(000)		   In Exchange
For
(000)		     Settlement
Date		     Unrealized
Appreciation/
(Depreciation)		  
Citibank, NA     JPY     2,307,171     USD       21,745       4/16/18     $ 45,908  

 

 

CREDIT DEFAULT SWAPS (see Note 3)

 

Swap
Counterparty &
Referenced
Obligation		   Fixed
Rate
(Pay)
Receive		     Payment
Frequency		     Implied
Credit
Spread at
March 31,
2018		    

Notional
Amount
(000)

     Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  
Buy Contracts                

Citigroup Global Markets, Inc.

                
CDX-CMBX.NA.AAA
Series 9, 9/17/58*		     (0.50 )%      Monthly       0.47 %      USD       87     $ 36     $ 1,106     $ (1,070 ) 
Credit Suisse
International		                
CDX-CMBX.NA.AAA
Series 9, 9/17/58*		     (0.50 )      Monthly       0.47       USD       1,564       651       19,750       (19,099 ) 
Deutsche Bank AG                
CDX-CMBX.NA.AAA
Series 9, 9/17/58*		     (0.50 )      Monthly       0.47       USD       1,048       437       14,268       (13,831 ) 

 

Schedule of Investments—Short Duration Plus Portfolio     7  

Table of Contents
Swap
Counterparty &
Referenced
Obligation		   Fixed
Rate
(Pay)
Receive		     Payment
Frequency		     Implied
Credit
Spread at
March 31,
2018		    

Notional
Amount
(000)

     Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  
Sale Contracts                

Citigroup Global Markets, Inc.

                
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00 %      Monthly       7.20 %      USD       147     $ (21,579 )    $ (23,465 )    $ 1,886  
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       24       (3,524 )      (4,020 )      496  

Credit Suisse International

                
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       132       (19,378 )      (11,131 )      (8,247 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       168       (24,662 )      (14,467 )      (10,195 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       330       (48,444 )      (32,739 )      (15,705 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       209       (30,682 )      (12,943 )      (17,739 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       607       (89,107 )      (51,183 )      (37,924 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       504       (73,987 )      (33,902 )      (40,085 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       860       (126,248 )      (61,827 )      (64,421 ) 
Deutsche Bank AG
CDX-CMBX.NA.A
Series 6, 5/11/63*		     2.00       Monthly       3.17       USD       800       (35,013 )      (16,272 )      (18,741 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       499       (73,253 )      (42,678 )      (30,575 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       445       (65,326 )      (33,196 )      (32,130 ) 
Goldman Sachs International
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       186       (27,305 )      (32,066 )      4,761  
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       133       (19,524 )      (22,603 )      3,079  
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       160       (23,488 )      (25,574 )      2,086  
           

 

 

    

 

 

    

 

 

  
            $ (680,396 )    $ (382,942 )    $ (297,454 ) 
           

 

 

    

 

 

    

 

 

  

* Termination date

 

 

 

8   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report
(a)   Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.
(b)   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 March 31, 2018, the aggregate market value of these securities amounted to $28,107,530 or 12.6% of net assets.
(c)   Floating Rate Security. Stated interest/floor/ceiling rate was in effect at March 31, 2018.
(d)   Security in which significant unobservable inputs (Level 3) were used in determining fair value.
(e)   IO—Interest Only.
(f)   Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.03% of net assets as of March 31, 2018, are considered illiquid and restricted. Additional information regarding such securities follows:

 

144A/Restricted &
Illiquid Securities

   Acquisition
Date		     Cost     Market
Value		     Percentage of
Net Assets		  

Wells Fargo Credit Risk Transfer Securities Trust
Series 2015-WF1, Class 2M1
4.722%, 11/25/25

     9/28/15     $ 56,661     $ 57,077       0.03 % 

 

Table of Contents
(g)   On March 30, 2018, the Portfolio and U.S. stock exchanges were closed for business due to a U.S. holiday but the foreign markets remained open for trading. The Portfolio valued its foreign securities using the closing market prices from the respective foreign markets as of March 29, 2018 for financial reporting purposes.

Currency Abbreviations:

JPY—Japanese Yen

USD—United States Dollar

Glossary:

ABS—Asset-Backed Securities

BA—Banker’s Acceptance

CBT—Chicago Board of Trade

CDX-CMBX.NA—North American Commercial Mortgage-Backed Index

CMBS—Commercial Mortgage-Backed Securities

H15T—U.S. Treasury Yield Curve Rate T Note Constant Maturity

LIBOR—London Interbank Offered Rates

NCUA—National Credit Union Administration

REMICs—Real Estate Mortgage Investment Conduits

TIPS—Treasury Inflation Protected Security

See notes to financial statements.

Sanford C. Bernstein Fund, Inc.

Schedule of Investments

Intermediate Duration Portfolio

March 31, 2018 (Unaudited)

 

     Principal Amount (000)     U.S. $ Value  
MORTGAGE PASS-THROUGHS–21.9%  
Agency ARMs–0.0%    

Federal Home Loan Mortgage Corp.
Series 2006
3.909% (LIBOR 12 Month + 2.16%), 12/01/36(a)

   U.S.$       1     $ 692  

Series 2007
4.133% (LIBOR 12 Month + 2.15%), 3/01/37(a)

 

     1       1,362  
     

 

 

  
        2,054  
     

 

 

  
Agency Fixed Rate 15-Year–1.8%    

Federal National Mortgage Association
Series 2012
2.50%, 4/01/27

 

     38       38,123  

Series 2016
2.50%, 2/01/31–1/01/32

       53,245       52,261,661  

Series 2017
2.50%, 1/01/32–2/01/32

       7,385       7,245,641  
     

 

 

  
        59,545,425  
     

 

 

  
Agency Fixed Rate 30-Year–20.1%    

Federal Home Loan Mortgage Corp. Gold
Series 2003
5.00%, 8/01/33

 

     2       1,910  

Series 2007
5.50%, 7/01/35

       1,308       1,429,686  

Series 2016
4.00%, 2/01/46

       14,153       14,654,578  

Series 2017
4.00%, 7/01/44

       11,508       11,905,111  

Federal National Mortgage Association
Series 2001
6.50%, 8/01/31

 

     3       3,368  

Series 2002
6.50%, 9/01/32

       0 **      240  

Series 2003
5.50%, 4/01/33–11/01/33

 

     4,149       4,538,608  

Series 2004
5.50%, 4/01/34–11/01/34

 

     3,580       3,917,412  

6.50%, 8/01/34

       3       3,397  

Series 2005
5.50%, 2/01/35

       3,296       3,606,681  

Series 2006
5.50%, 4/01/36

       613       671,202  

 

Schedule of Investments—Intermediate Duration Portfolio     9  

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  

Series 2007
5.50%, 9/01/36

   U.S.$       1,446     $ 1,583,242  

Series 2008
6.00%, 3/01/37

       8       9,363  

Series 2010
4.00%, 12/01/40

       7,018       7,270,134  

Series 2013
4.00%, 10/01/43

       22,389       23,174,468  

Series 2015
3.00%, 5/01/45–8/01/45

       28,600       28,003,210  

Series 2017
3.50%, 9/01/47–1/01/48

       47,477       47,607,948  

Series 2018
3.50%, 2/01/48–4/01/48

       228,900       229,507,586  

4.00%, 4/01/48, TBA

       142,575       146,295,323  

4.50%, 4/01/48, TBA

       132,455       138,684,518  

Government National Mortgage Association
Series 1996
8.50%, 11/15/26

 

     0 **      263  

Series 2016
3.00%, 4/20/46–12/20/46

 

     14,496       14,310,184  
     

 

 

  
        677,178,432  
     

 

 

  
Other Agency Fixed Rate Programs–0.0%    

Federal National Mortgage Association
Series 2009
4.50%, 7/01/29–10/01/29

 

     902       949,350  
     

 

 

  
Total Mortgage Pass-Throughs
(cost $739,394,912)		         737,675,261  
     

 

 

  
     
 
CORPORATES–INVESTMENT GRADE–19.9%  
Financial Institutions–10.3%  
Banking–8.9%      

ABN AMRO Bank NV
4.75%, 7/28/25(b)

       1,171       1,200,099  

American Express Co.
2.65%, 12/02/22

 

     17       16,472  

American Express Credit Corp.
Series G
2.25%, 8/15/19

 

     7       6,952  

Banco Santander SA
3.50%, 4/11/22

       5,600       5,576,088  

5.179%, 11/19/25

       8,200       8,555,142  

Bank of America Corp.
2.881%, 4/24/23

 

     8,455       8,273,725  

3.824%, 1/20/28

       8,285       8,203,061  

5.00%, 5/13/21

       10       10,533  

Series G
3.593%, 7/21/28

 

     6,735       6,538,136  

Bank of Tokyo-Mitsubishi UFJ Ltd. (The)
2.30%, 3/05/20(b)

       1,400       1,378,538  
     
     Principal Amount (000)     U.S. $ Value  

Banque Federative du Credit Mutuel SA
2.75%, 10/15/20(b)

     U.S.$       3,625     $ 3,579,398  

Barclays PLC
3.65%, 3/16/25

       1,846       1,780,873  

BB&T Corp.
2.05%, 6/19/18

       12       11,989  

2.625%, 6/29/20

       3,100       3,074,053  

BNP Paribas SA
2.375%, 5/21/20

       2,500       2,467,950  

3.80%, 1/10/24(b)

       2,928       2,922,876  

Series E
2.25%, 1/11/27(b)

     EUR       3,037       3,827,084  

BPCE SA
2.65%, 2/03/21

     U.S.$       1,790       1,760,698  

5.70%, 10/22/23(b)

       1,991       2,133,735  

Capital One Financial Corp.
3.30%, 10/30/24

 

     8,359       8,060,584  

4.75%, 7/15/21

       7       7,303  

Citigroup, Inc.
3.668%, 7/24/28

       11,770       11,489,403  

3.875%, 3/26/25

       6,580       6,501,303  

4.50%, 1/14/22

       11       11,428  

Citizens Bank NA/Providence RI
2.25%, 3/02/20

 

     2,370       2,332,104  

Commonwealth Bank of Australia/New York NY
Series G
2.30%, 3/12/20

 

     2,330       2,297,893  

Compass Bank
2.875%, 6/29/22

       8,460       8,211,022  

5.50%, 4/01/20

       14,784       15,351,410  

Cooperatieve Rabobank UA
3.95%, 11/09/22

 

     1,581       1,595,197  

4.375%, 8/04/25

       6,380       6,441,822  

Cooperatieve Rabobank UA/NY
2.25%, 1/14/20

 

     3,345       3,302,418  

Credit Agricole SA/London
2.75%, 6/10/20(b)

       2,200       2,182,356  

3.375%, 1/10/22(b)

       576       572,031  

4.125%, 1/10/27(b)

       3,158       3,153,074  

Credit Suisse Group Funding Guernsey Ltd.
3.80%, 6/09/23

 

     7,155       7,172,887  

4.55%, 4/17/26

       5,635       5,762,633  

Goldman Sachs Group, Inc. (The)
2.35%, 11/15/21

 

     5,866       5,660,807  

3.75%, 5/22/25

       2,661       2,631,436  

3.85%, 7/08/24

       10,315       10,361,830  

5.25%, 7/27/21

       6       6,364  

5.75%, 1/24/22

       14       15,141  

Series D
6.00%, 6/15/20

       6,177       6,544,161  

HSBC Bank USA, NA
4.875%, 8/24/20

       3,370       3,489,332  

HSBC Holdings PLC
4.041%, 3/13/28

       15,320       15,269,597  

 

10   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  

JPMorgan Chase & Co.
3.22%, 3/01/25

     U.S.$       8,425     $ 8,205,276  

3.54%, 5/01/28

       15,320       14,973,615  

4.50%, 1/24/22

       20       20,807  

KeyBank NA/Cleveland OH
2.25%, 3/16/20

       2,100       2,071,461  

Lloyds Banking Group PLC
4.375%, 3/22/28

       2,183       2,204,699  

4.582%, 12/10/25

       1,667       1,667,967  

4.65%, 3/24/26

       1,181       1,189,409  

Manufacturers & Traders Trust Co.
2.625%, 1/25/21

 

     4,600       4,533,760  

Mitsubishi UFJ Financial Group, Inc.
3.85%, 3/01/26

 

     801       802,177  

Morgan Stanley
3.591%, 7/22/28

       14,155       13,703,031  

5.625%, 9/23/19

       3,033       3,147,435  

7.25%, 4/01/32

       15       19,850  

Series G
3.75%, 2/25/23

       8       8,084  

5.50%, 7/24/20–7/28/21

       3,964       4,164,255  

National Australia Bank Ltd./New York
Series G
2.625%, 7/23/20

 

     2,330       2,309,333  

Nationwide Building Society
4.00%, 9/14/26(b)

       8,635       8,310,065  

PNC Bank NA
2.60%, 7/21/20

       272       269,680  

PNC Financial Services Group, Inc. (The)
3.30%, 3/08/22

 

     13       13,072  

5.125%, 2/08/20

       5       5,190  

Santander Holdings USA, Inc.
4.40%, 7/13/27

 

     8,385       8,303,498  

Santander Issuances SAU
3.25%, 4/04/26(b)

     EUR       400       536,151  

Santander UK Group Holdings PLC
2.875%, 8/05/21

     U.S.$       6,919       6,786,017  

Santander UK PLC
5.00%, 11/07/23(b)

       5,085       5,272,484  

State Street Corp.
1.35%, 5/15/18

       12       11,984  

UBS AG/Stamford CT
7.625%, 8/17/22

       5,982       6,717,487  

UBS Group Funding Switzerland AG
4.125%, 9/24/25(b)

       4,794       4,825,113  

US Bancorp
Series J
5.30%, 4/15/27(c)

       3,485       3,559,021  
     
     Principal Amount (000)     U.S. $ Value  

Wells Fargo & Co.
3.069%, 1/24/23

     U.S.$       6,527     $ 6,418,978  
     

 

 

  
    299,790,837  
     

 

 

  
Finance–0.2%  

Synchrony Financial
3.95%, 12/01/27

       8,455       7,995,217  
     

 

 

  
Insurance–0.8%  

American International Group, Inc.
Series A-9
5.75%, 4/01/48

 

     3,880       3,931,798  

Guardian Life Insurance Co. of America (The)
4.85%, 1/24/77(b)

 

     6,601       6,724,439  

Hartford Financial Services Group, Inc. (The)
5.50%, 3/30/20

 

     1,034       1,083,539  

MetLife Capital Trust IV
7.875%, 12/15/37(b)

       5,200       6,583,824  

MetLife, Inc.
4.75%, 2/08/21

       1,570       1,636,379  

Nationwide Mutual Insurance Co.
9.375%, 8/15/39(b)

 

     2,058       3,317,599  

New York Life Global Funding
1.95%, 2/11/20(b)

 

     400       393,408  

Prudential Financial, Inc.
4.50%, 11/15/20

       15       15,545  

XLIT Ltd.
3.25%, 6/29/47

     EUR       1,433       1,774,202  

6.25%, 5/15/27

     U.S.$       5       5,753  
     

 

 

  
    25,466,486  
     

 

 

  
REITS–0.4%  

Host Hotels & Resorts LP
Series D
3.75%, 10/15/23

       202       199,506  

Trust F/1401
5.25%, 1/30/26(b)

       3,173       3,208,696  

Welltower, Inc.
4.00%, 6/01/25

       10,111       10,102,709  
     

 

 

  
    13,510,911  
     

 

 

  
    346,763,451  
     

 

 

  
     
 
Industrial–8.9%  
Basic–0.8%  

Anglo American Capital PLC
3.75%, 4/10/22(b)

 

     200       199,734  

Dow Chemical Co. (The)
3.00%, 11/15/22

       6       5,895  

7.375%, 11/01/29

       700       913,059  

Eastman Chemical Co.
3.80%, 3/15/25

       2,282       2,306,942  

Glencore Funding LLC
4.125%, 5/30/23(b)

       2,622       2,634,900  

 

Schedule of Investments—Intermediate Duration Portfolio     11  

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  

Minsur SA
6.25%, 2/07/24(b)

     U.S.$       3,473     $ 3,729,134  

Mosaic Co. (The)
5.625%, 11/15/43

       2,042       2,145,264  

Sociedad Quimica y Minera de Chile SA
3.625%, 4/03/23(b)

 

     4,581       4,563,821  

Vale Overseas Ltd.
6.875%, 11/21/36

       4,870       5,728,094  

Yamana Gold, Inc.
4.95%, 7/15/24

       3,776       3,894,869  
     

 

 

  
    26,121,712  
     

 

 

  
Capital Goods–0.2%  

Boeing Co. (The)
1.65%, 10/30/20

       15       14,614  

Caterpillar Financial Services Corp.
2.00%, 3/05/20

 

     13       12,804  

Embraer Netherlands Finance BV
5.40%, 2/01/27

 

     4,960       5,240,736  

Emerson Electric Co.
5.00%, 4/15/19

       10       10,228  

General Electric Co.
Series D
5.00%, 1/21/21(c)

       1,879       1,860,116  

John Deere Capital Corp.
1.60%, 7/13/18

       11       10,972  

Lockheed Martin Corp.
1.85%, 11/23/18

       8       7,956  

Republic Services, Inc.
3.80%, 5/15/18

       6       6,008  

United Technologies Corp.
1.95%, 11/01/21

       12       11,509  
     

 

 

  
    7,174,943  
     

 

 

  
Communications–Media–0.8%  

Charter Communications Operating LLC/Charter Communications Operating Capital
4.908%, 7/23/25

 

     2,455       2,503,928  

Comcast Corp.
5.70%, 7/01/19

       9       9,325  

Cox Communications, Inc.
2.95%, 6/30/23(b)

       2,401       2,316,437  

Time Warner Cable LLC 4.00%, 9/01/21

       18       18,107  

4.125%, 2/15/21

       9,385       9,491,144  

4.50%, 9/15/42

       2,370       2,077,779  

8.75%, 2/14/19

       10       10,477  

Time Warner, Inc.
3.60%, 7/15/25

       6,420       6,244,734  

4.875%, 3/15/20

       3,550       3,669,955  
     

 

 

  
    26,341,886  
     

 

 

  
     
     Principal Amount (000)     U.S. $ Value  
Communications–Telecommunications–1.3%  

AT&T, Inc.
3.40%, 5/15/25

     U.S.$       18,525     $ 17,859,953  

3.875%, 8/15/21

       7       7,130  

4.125%, 2/17/26

       6,376       6,415,595  

5.15%, 2/14/50

       3,710       3,743,390  

5.80%, 2/15/19

       50       51,278  

Crown Castle Towers LLC
4.883%, 8/15/20(b)

       2,897       2,999,467  

Rogers Communications, Inc.
4.00%, 6/06/22

     CAD       1,130       914,893  

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
4.738%, 3/20/25(b)

     U.S.$       6,740       6,767,095  

Verizon Communications, Inc.
5.50%, 3/16/47

       4,485       4,958,212  
     

 

 

  
    43,717,013  
     

 

 

  
Consumer Cyclical–Automotive–1.2%  

Ford Motor Credit Co. LLC
2.597%, 11/04/19

       4,755       4,716,579  

3.664%, 9/08/24

       6,294       6,069,808  

5.00%, 5/15/18

       11,532       11,562,906  

5.875%, 8/02/21

       4,933       5,262,376  

General Motors Co.
3.50%, 10/02/18

       3,880       3,897,344  

General Motors Financial Co., Inc.
3.10%, 1/15/19

 

     5,525       5,531,575  

3.25%, 5/15/18

       436       436,318  

4.00%, 1/15/25

       1,105       1,092,116  

4.30%, 7/13/25

       1,405       1,406,222  
     

 

 

  
    39,975,244  
     

 

 

  
Consumer Cyclical–Restaurants–0.0%  

McDonald’s Corp.
5.00%, 2/01/19

 

     25       25,480  
     

 

 

  
Consumer Cyclical–Retailers–0.0%  

Home Depot, Inc. (The)
2.00%, 6/15/19

       5       4,974  
     

 

 

  
Consumer Non-Cyclical–1.7%  

Bayer US Finance LLC
2.375%, 10/08/19(b)

       5,300       5,251,452  

Becton Dickinson and Co.
3.734%, 12/15/24

       1,826       1,794,611  

Biogen, Inc.
4.05%, 9/15/25

       7,188       7,355,049  

Bunge Ltd. Finance Corp.
8.50%, 6/15/19

       62       65,867  

Celgene Corp.
2.875%, 8/15/20

       7       6,968  

Coca-Cola Co. (The)
1.375%, 5/30/19

       5       4,937  

 

12   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  

CVS Health Corp.
2.25%, 8/12/19

     U.S.$       8     $ 7,923  

4.10%, 3/25/25

       4,035       4,068,329  

4.30%, 3/25/28

       4,035       4,056,870  

Danone SA
1.691%, 10/30/19(b)(d)

       3,300       3,241,194  

Laboratory Corp. of America Holdings
2.625%, 2/01/20

 

     8       7,938  

Medtronic, Inc.
3.50%, 3/15/25

       9,065       9,072,252  

Mylan NV
3.125%, 11/22/28(b)

     EUR       4,695       5,993,540  

Reynolds American, Inc.
6.875%, 5/01/20

     U.S.$       1,300       1,395,433  

Sigma Alimentos SA de CV
4.125%, 5/02/26(b)

       378       364,297  

Thermo Fisher Scientific, Inc.
2.40%, 2/01/19

 

     8       7,972  

Tyson Foods, Inc.
2.65%, 8/15/19

       1,788       1,779,024  

3.95%, 8/15/24

       5,908       5,953,492  

4.50%, 6/15/22

       7       7,259  

Zimmer Biomet Holdings, Inc.
2.70%, 4/01/20

 

     3,400       3,364,504  

Zoetis, Inc.
3.45%, 11/13/20

       2,422       2,440,722  
     

 

 

  
    56,239,633  
     

 

 

  
Energy–1.3%  

Cenovus Energy, Inc.
3.00%, 8/15/22

       350       337,215  

5.70%, 10/15/19

       1,637       1,693,149  

Ecopetrol SA
5.875%, 5/28/45

       2,685       2,650,632  

Encana Corp.
3.90%, 11/15/21

       3,815       3,865,167  

Energy Transfer LP
6.70%, 7/01/18

       3,915       3,950,822  

Energy Transfer Partners LP
4.65%, 6/01/21

 

     6       6,170  

Energy Transfer Partners LP/Regency Energy Finance Corp.
4.50%, 11/01/23

 

     1,196       1,209,826  

Enterprise Products Operating LLC
3.35%, 3/15/23

 

     11       10,973  

5.20%, 9/01/20

       2,133       2,231,971  

Hess Corp.
4.30%, 4/01/27

       5,930       5,803,157  

Kinder Morgan Energy Partners LP
3.45%, 2/15/23

 

     7       6,840  

Marathon Petroleum Corp.
5.125%, 3/01/21

       6       6,333  

National Oilwell Varco, Inc.
2.60%, 12/01/22

       14       13,452  
     
     Principal Amount (000)     U.S. $ Value  

Noble Energy, Inc.
3.90%, 11/15/24

   U.S.$       4,729     $ 4,761,583  

4.15%, 12/15/21

       2,244       2,295,612  

Plains All American Pipeline LP/PAA Finance Corp.
3.60%, 11/01/24

 

     6,155       5,854,513  

Sabine Pass Liquefaction LLC
5.00%, 3/15/27

 

     4,443       4,613,700  

Williams Partners LP
3.35%, 8/15/22

       7       6,872  

4.125%, 11/15/20

       4,549       4,623,240  
     

 

 

  
    43,941,227  
     

 

 

  
Other Industrial–0.0%  

Alfa SAB de CV
5.25%, 3/25/24(b)

       1,269       1,318,967  
     

 

 

  
Services–0.4%  

Expedia Group, Inc.
3.80%, 2/15/28

       5,946       5,525,737  

S&P Global, Inc.
4.40%, 2/15/26

       6,121       6,425,275  

Total System Services, Inc.
3.75%, 6/01/23

       1,035       1,033,965  
     

 

 

  
    12,984,977  
     

 

 

  
Technology–1.1%  

Arrow Electronics, Inc.
3.50%, 4/01/22

       8       7,927  

Broadcom Corp./Broadcom Cayman Finance Ltd.
3.625%, 1/15/24

 

     1,666       1,639,194  

3.875%, 1/15/27

       3,605       3,508,242  

Cisco Systems, Inc.
1.85%, 9/20/21

       12       11,569  

Dell International LLC/EMC Corp.
5.45%, 6/15/23(b)

 

     8,505       9,013,939  

6.02%, 6/15/26(b)

       1,415       1,523,049  

Hewlett Packard Enterprise Co.
2.10%, 10/04/19(b)

 

     5,868       5,788,665  

Intel Corp.
2.45%, 7/29/20

       5       4,970  

KLA-Tencor Corp.
4.65%, 11/01/24

       6,404       6,682,510  

Lam Research Corp.
2.80%, 6/15/21

       2,639       2,608,572  

Microsoft Corp.
1.55%, 8/08/21

       12       11,526  

Motorola Solutions, Inc.
7.50%, 5/15/25

       178       211,806  

Oracle Corp.
2.25%, 10/08/19

       12       11,959  

Seagate HDD Cayman
4.75%, 1/01/25

       3,629       3,535,372  

VMware, Inc.
2.95%, 8/21/22

       2,650       2,548,240  
     

 

 

  
    37,107,540  
     

 

 

  

 

Schedule of Investments—Intermediate Duration Portfolio     13  

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  
Transportation–Railroads–0.0%  

Burlington Northern Santa Fe LLC
3.05%, 9/01/22

     U.S.$       6     $ 5,985  
     

 

 

  
Transportation–Services–0.1%  

Adani Ports & Special Economic Zone Ltd.
3.95%, 1/19/22(b)

 

     4,975       4,962,563  
     

 

 

  
    299,922,144  
     

 

 

  
     
 
Utility–0.7%  
Electric–0.7%  

Berkshire Hathaway Energy Co.
6.125%, 4/01/36

 

     6,585       8,413,325  

Dominion Energy, Inc.
Series C
2.00%, 8/15/21

       2       1,913  

Duke Energy Carolinas LLC
3.90%, 6/15/21

 

     4       4,110  

Duke Energy Corp.
1.80%, 9/01/21

       6       5,711  

Exelon Generation Co. LLC
2.95%, 1/15/20

       4,261       4,247,876  

Israel Electric Corp., Ltd.
Series 6
5.00%, 11/12/24(b)

       7,000       7,288,750  

Southern Co. (The)
2.35%, 7/01/21

       6       5,822  

TECO Finance, Inc.
5.15%, 3/15/20

       3,625       3,754,123  
     

 

 

  
    23,721,630  
     

 

 

  
Total Corporates–Investment Grade
(cost $666,654,173)		       670,407,225  
     

 

 

  
     
 
GOVERNMENTS–TREASURIES–10.1%  
Singapore–0.5%  

Singapore Government Bond
2.75%, 3/01/46

     SGD       24,230       18,389,146  
     

 

 

  
    18,389,146  
     

 

 

  
United States–9.6%  

U.S. Treasury Bonds
2.25%, 8/15/46

     U.S.$       5,000       4,307,031  

2.50%, 5/15/46

       3,046       2,769,956  

2.75%, 11/15/47

       6,536       6,248,008  

2.875%, 11/15/46

       4,910       4,815,636  

3.00%, 5/15/45

       23,139       23,287,234  

3.375%, 5/15/44

       5,710       6,141,281  

3.75%, 11/15/43

       10,205       11,657,618  

4.50%, 2/15/36

       1,925       2,378,949  

4.75%, 2/15/37

       3,340       4,275,200  

5.375%, 2/15/31

       13,172       16,864,276  

6.25%, 5/15/30

       2,424       3,289,093  
     
     Principal Amount (000)     U.S. $ Value  

U.S. Treasury Notes
0.75%, 8/15/19

     U.S.$       299     $ 293,114  

1.125%, 1/31/19(e)

       53,228       52,795,523  

1.125%, 2/28/19

       49,987       49,549,118  

1.375%, 1/31/21–4/30/21

 

     115       111,618  

1.625%, 11/30/20–11/15/22

 

     13,756       13,210,626  

1.75%, 11/30/21(e)

       26,965       26,274,022  

1.875%, 1/31/22(e)

       20,770       20,299,430  

2.00%, 8/15/25

       30,335       28,908,307  

2.125%, 8/15/21–12/31/22

 

     14,965       14,682,608  

2.25%, 8/15/27

       8,377       8,032,758  

2.375%, 8/15/24(e)

       22,206       21,831,176  

2.50%, 8/15/23

       195       194,086  
     

 

 

  
    322,216,668  
     

 

 

  
Total Governments–Treasuries
(cost $343,384,130)		       340,605,814  
     

 

 

  
     
 
ASSET-BACKED SECURITIES–9.5%  
Autos–Fixed Rate–5.0%  

Ally Auto Receivables Trust
Series 2015-2, Class A3
1.49%, 11/15/19

 

     1,525       1,521,842  

AmeriCredit Automobile Receivables Trust
Series 2017-3, Class A2A
1.69%, 12/18/20

 

     3,446       3,433,088  

Avis Budget Rental Car Funding AESOP LLC
Series 2013-2A, Class A
2.97%, 2/20/20(b)

 

     16,846       16,866,235  

Series 2016-1A, Class A
2.99%, 6/20/22(b)

       3,918       3,904,307  

Bank of The West Auto Trust
Series 2015-1, Class A3
1.31%, 10/15/19(b)

 

     695       694,932  

California Republic Auto Receivables Trust
Series 2014-2, Class A4
1.57%, 12/16/19

 

     643       641,873  

CarMax Auto Owner Trust
Series 2015-4, Class A3
1.56%, 11/16/20

 

     3,378       3,359,048  

Chrysler Capital Auto Receivables Trust
Series 2015-BA, Class A3
1.91%, 3/16/20(b)

 

     884       883,843  

CPS Auto Receivables Trust
Series 2013-B, Class A
1.82%, 9/15/20(b)

 

     772       769,841  

Series 2016-C, Class E
8.39%, 9/15/23(b)

       4,440       4,763,402  

CPS Auto Trust
Series 2017-A, Class A
1.68%, 8/17/20(b)

       1,407       1,402,349  

 

14   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  

Drive Auto Receivables Trust
Series 2017-3, Class B
2.30%, 5/17/21

   U.S.$       4,270     $ 4,249,439  

DT Auto Owner Trust
Series 2017-3A, Class A
1.73%, 8/17/20(b)

 

     2,060       2,054,546  

Series 2018-1A, Class A
2.59%, 5/17/21(b)

       8,307       8,302,132  

Exeter Automobile Receivables Trust
Series 2016-1A, Class D
8.20%, 2/15/23(b)

 

     3,040       3,227,237  

Series 2016-3A, Class A
1.84%, 11/16/20(b)

       925       921,594  

Series 2017-2A, Class A
2.11%, 6/15/21(b)

       2,714       2,704,891  

Fifth Third Auto Trust
Series 2014-3, Class A4
1.47%, 5/17/21

 

     5,649       5,636,637  

First Investors Auto Owner Trust
Series 2016-2A, Class A1
1.53%, 11/16/20(b)

 

     920       917,635  

Flagship Credit Auto Trust
Series 2016-2, Class D
8.56%, 11/15/23(b)

       3,030       3,272,774  

Series 2016-4, Class A2
1.96%, 2/16/21(b)

       3,415       3,402,245  

Series 2016-4, Class D
3.89%, 11/15/22(b)

       3,395       3,408,854  

Series 2017-1, Class A
1.93%, 12/15/21(b)

       3,030       3,018,109  

Series 2017-3, Class A
1.88%, 10/15/21(b)

       4,316       4,285,511  

Series 2017-4, Class A
2.07%, 4/15/22(b)

       3,447       3,420,672  

Ford Credit Auto Owner Trust
Series 2014-2, Class A
2.31%, 4/15/26(b)

 

     14,327       14,246,803  

Series 2016-1, Class A
2.31%, 8/15/27(b)

       1,899       1,867,682  

Ford Credit Floorplan Master Owner Trust
Series 2015-2, Class A1
1.98%, 1/15/22

 

     9,202       9,087,270  

Series 2016-1, Class A1
1.76%, 2/15/21

       4,164       4,130,429  

Series 2017-1, Class A1
2.07%, 5/15/22

       5,045       4,969,149  

GMF Floorplan Owner Revolving Trust
Series 2015-1, Class A1
1.65%, 5/15/20(b)

 

     5,130       5,125,055  

Harley-Davidson Motorcycle Trust
Series 2015-1, Class A3
1.41%, 6/15/20

 

     1,752       1,746,984  
     Principal Amount (000)     U.S. $ Value  

Hertz Vehicle Financing II LP
Series 2015-1A, Class B
3.52%, 3/25/21(b)

   U.S.$       3,692     $ 3,690,090  

Series 2015-2A, Class A
2.02%, 9/25/19(b)

       4,800       4,781,650  

Series 2015-2A, Class C
3.95%, 9/25/19(b)

       3,400       3,392,624  

Series 2016-1A, Class A
2.32%, 3/25/20(b)

       6,609       6,573,721  

Hertz Vehicle Financing LLC
Series 2013-1A, Class A2
1.83%, 8/25/19(b)

 

     17,554       17,520,131  

Santander Drive Auto Receivables Trust
Series 2017-3, Class A2
1.85%, 6/15/20

 

     3,298       3,290,169  

Westlake Automobile Receivables Trust
Series 2016-2A, Class A2
1.57%, 6/17/19(b)

 

     242       241,468  

Series 2018-1A, Class A1
1.75%, 2/15/19(b)

       2,461       2,460,715  
     

 

 

  
    170,186,976  
     

 

 

  
Credit Cards–Fixed Rate–2.2%  

Barclays Dryrock Issuance Trust
Series 2014-3, Class A
2.41%, 7/15/22

 

     10,316       10,276,265  

Series 2015-2, Class A
1.56%, 3/15/21

       8,187       8,180,373  

Series 2015-4, Class A
1.72%, 8/16/21

       6,192       6,167,797  

Capital One Multi-Asset Execution Trust
Series 2015-A5, Class A5
1.60%, 5/17/21

 

     7,831       7,812,758  

GE Capital Credit Card Master Note Trust
Series 2012-2, Class A
2.22%, 1/15/22

 

     12,000       11,969,244  

Synchrony Credit Card Master Note Trust
Series 2015-3, Class A
1.74%, 9/15/21

 

     9,015       8,984,242  

World Financial Network Credit Card Master Trust
Series 2016-B, Class A
1.44%, 6/15/22

       6,744       6,716,157  

Series 2017-B, Class A
1.98%, 6/15/23

       6,400       6,334,156  

Series 2018-A, Class A
3.07%, 12/16/24

       8,300       8,293,181  
     

 

 

  
    74,734,173  
     

 

 

  

 

Schedule of Investments—Intermediate Duration Portfolio     15  

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  
Other ABS–Fixed Rate–1.8%  

CLUB Credit Trust
Series 2017-P2, Class A
2.61%, 1/15/24(b)(d)

   U.S.$       5,813     $ 5,797,333  

CNH Equipment Trust
Series 2014-B, Class A4
1.61%, 5/17/21

       3,389       3,385,723  

Series 2015-A, Class A4
1.85%, 4/15/21

       6,392       6,358,365  

Marlette Funding Trust
Series 2016-1A, Class A
3.06%, 1/17/23(b)(d)

 

     389       389,552  

Series 2017-1A, Class A
2.827%, 3/15/24(b)(d)

       1,746       1,745,952  

Series 2017-2A, Class A
2.39%, 7/15/24(b)(d)

       3,452       3,444,054  

Series 2017-3A, Class A
2.36%, 12/15/24(b)(d)

       2,429       2,420,239  

Series 2017-3A, Class B
3.01%, 12/15/24(b)(d)

       1,725       1,709,781  

Marlette Funding Trust
Series 2018-1A, Class A
2.61%, 3/15/28 (b)(d)

 

     5,065       5,057,852  

Prosper Marketplace Issuance Trust
Series 2017-2A, Class B
3.48%, 9/15/23(b)(d)

 

     1,500       1,495,540  

SBA Tower Trust
3.156%, 10/08/20(b)(d)

       7,996       7,861,427  

SoFi Consumer Loan Program LLC
Series 2016-3, Class A
3.05%, 12/26/25(b)(d)

       1,344       1,342,052  

Series 2017-1, Class A
3.28%, 1/26/26(b)(d)

       3,159       3,164,511  

Series 2017-2, Class A
3.28%, 2/25/26(b)(d)

       3,119       3,126,061  

Series 2017-5, Class A2
2.78%, 9/25/26(b)(d)

       5,740       5,653,337  

Series 2017-6, Class A2
2.82%, 11/25/26(b)(d)

       6,740       6,665,530  
     

 

 

  
    59,617,309  
     

 

 

  
Autos–Floating Rate–0.3%  

BMW Floorplan Master Owner Trust
Series 2015-1A, Class A
2.277% (LIBOR 1 Month + 0.50%), 7/15/20(a)(b)

 

     10,554       10,565,384  
     

 

 

  
Credit Cards–Floating Rate–0.2%  

World Financial Network Credit Card Master Trust
Series 2015-A, Class A
2.257% (LIBOR 1 Month + 0.48%), 2/15/22(a)

 

     6,720       6,720,965  
     

 

 

  
     
     Principal Amount (000)     U.S. $ Value  
Home Equity Loans–Floating Rate–0.0%  

Asset Backed Funding Certificates Trust
Series 2003-WF1, Class A2
2.997% (LIBOR 1 Month + 1.13%), 12/25/32(a)(d)

   U.S.$       733     $ 736,708  

Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates
Series 2004-1, Class 1A
2.172% (LIBOR 1 Month + 0.30%), 4/25/34(a)(d)

 

     6       5,531  
     

 

 

  
        742,239  
     

 

 

  

Total Asset-Backed Securities
(cost $323,053,055)

 

     322,567,046  
     

 

 

  
     
 
COMMERCIAL MORTGAGE-BACKED SECURITIES–8.6%  
Non-Agency Fixed Rate CMBS–6.9%  

BHMS Commercial Mortgage Trust
Series 2014-ATLS, Class AFX
3.601%, 7/05/33(b)

 

     9,720       9,595,098  

CCUBS Commercial Mortgage Trust
Series 2017-C1, Class A4
3.544%, 11/15/50

 

     8,525       8,456,752  

CFCRE Commercial Mortgage Trust
Series 2016-C4, Class A4
3.283%, 5/10/58

 

     3,655       3,568,972  

CGRBS Commercial Mortgage Trust
Series 2013-VN05, Class A
3.369%, 3/13/35(b)

 

     11,325       11,351,743  

Citigroup Commercial Mortgage Trust
Series 2015-GC27, Class A5
3.137%, 2/10/48

 

     7,490       7,364,540  

Series 2015-GC35, Class A4
3.818%, 11/10/48

 

     3,530       3,602,152  

Series 2016-C1, Class A4
3.209%, 5/10/49

 

     12,141       11,898,782  

Series 2016-GC36, Class A5
3.616%, 2/10/49

 

     3,982       4,004,992  

Series 2018-B2, Class A4
4.009%, 3/10/51

 

     5,890       6,098,386  

Commercial Mortgage Trust
Series 2012-CR3, Class E
4.756%, 10/15/45(b)(d)

 

     3,938       3,321,916  

Series 2013-SFS, Class A1
1.873%, 4/12/35(b)

 

     3,171       3,064,293  

Series 2015-CR24, Class A5
3.696%, 8/10/48

 

     3,925       3,985,495  

 

16   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  

Series 2015-PC1, Class A5
3.902%, 7/10/50

   U.S.$       7,135     $ 7,317,070  

CSAIL Commercial Mortgage Trust
Series 2015-C2, Class A4
3.504%, 6/15/57

 

     3,451       3,445,258  

Series 2015-C3, Class A4
3.718%, 8/15/48

 

     6,101       6,168,872  

Series 2015-C4, Class A4
3.808%, 11/15/48

 

     7,715       7,913,061  

GS Mortgage Securities Corp. II
Series 2013-KING, Class A
2.706%, 12/10/27(b)

 

     10,990       10,953,577  

GS Mortgage Securities Trust
Series 2013-G1, Class A1
2.059%, 4/10/31(b)

 

     530       508,941  

Series 2013-G1, Class A2
3.557%, 4/10/31(b)

 

     6,804       6,610,901  

JP Morgan Chase Commercial Mortgage Securities Trust
Series 2006-LDP9, Class AM
5.372%, 5/15/47(d)

 

     1,863       1,873,551  

Series 2011-C5, Class D
5.408%, 8/15/46(b)(d)

 

     1,285       1,260,653  

Series 2012-C6, Class E
5.137%, 5/15/45(b)(d)

 

     3,967       3,503,577  

Series 2014-C20, Class A5
3.805%, 7/15/47

 

     9,950       10,185,466  

JPMBB Commercial Mortgage Securities Trust
Series 2013-C14, Class D
4.57%, 8/15/46(b)(d)

 

     2,527       2,270,614  

Series 2015-C30, Class A5
3.822%, 7/15/48

 

     3,820       3,907,511  

Series 2015-C31, Class A3
3.801%, 8/15/48

 

     9,802       9,988,841  

Series 2015-C32, Class C
4.668%, 11/15/48(d)

 

     5,623       5,587,808  

LB-UBS Commercial Mortgage Trust
Series 2006-C6, Class AJ
5.452%, 9/15/39(d)

 

     2,332       1,847,420  

LSTAR Commercial Mortgage Trust
Series 2014-2, Class A2
2.767%, 1/20/41(b)

 

     467       465,356  

Series 2015-3, Class A2
2.729%, 4/20/48(b)

 

     5,298       5,248,772  

Series 2016-4, Class A2
2.579%, 3/10/49(b)

 

     6,295       6,102,296  

Morgan Stanley Capital I Trust
Series 2005-IQ9, Class D
5.00%, 7/15/56(d)

 

     3,478       3,448,148  

Series 2016-UB12, Class A4
3.596%, 12/15/49

 

     6,180       6,210,018  
     
     Principal Amount (000)     U.S. $ Value  

UBS Commercial Mortgage Trust
Series 2018-C8, Class A4
3.983%, 2/15/51

   U.S.$       6,400     $ 6,593,182  

UBS Commercial Mortgage Trust
Series 2018-C9, Class A4
4.117%, 3/15/51(d)

 

     10,270       10,629,495  

UBS-Barclays Commercial Mortgage Trust
Series 2012-C4, Class A5
2.85%, 12/10/45

 

     9,507       9,379,697  

Wells Fargo Commercial Mortgage Trust

 

    

Series 2015-SG1, Class C
4.47%, 9/15/48(d)

 

     5,778       5,613,959  

Series 2018-C43, Class A4 4.
012%, 3/15/51

 

     4,550       4,701,675  

WF-RBS Commercial Mortgage Trust

 

    

Series 2013-C11, Class XA
1.226%, 3/15/45(b)(f)

 

     73,439       3,429,229  

Series 2013-C14, Class A5
3.337%, 6/15/46

 

     5,684       5,700,935  

Series 2014-C20, Class A2
3.036%, 5/15/47

 

     6,029       6,041,638  
     

 

 

  
        233,220,642  
     

 

 

  
Non-Agency Floating Rate CMBS–1.7%  

BAMLL Commercial Mortgage Securities Trust
Series 2017-SCH, Class AF
2.777% (LIBOR 1 Month + 1.00%), 11/15/33(a)(b)(d)

 

     10,570       10,593,851  

BX Trust
Series 2017-IMC, Class A
2.827% (LIBOR 1 Month + 1.05%), 10/15/32(a)(b)

 

     8,330       8,335,196  

Credit Suisse Mortgage Trust
Series 2016-MFF, Class D
6.377% (LIBOR 1 Month + 4.60%), 11/15/33(a)(b)(d)

 

     2,270       2,286,824  

Great Wolf Trust
Series 2017-WOLF, Class A
2.777% (LIBOR 1 Month + 0.85%), 9/15/34(a)(b)

 

     5,685       5,692,797  

H/2 Asset Funding NRE
Series 2015-1A, Class AFL
3.271% (LIBOR 1 Month + 1.65%), 6/24/49(a)(d)(g)

 

     2,605       2,605,368  

JP Morgan Chase Commercial Mortgage Securities Trust
Series 2015-SGP, Class A
3.477% (LIBOR 1 Month + 1.70%), 7/15/36(a)(b)

 

     7,744       7,721,982  

 

Schedule of Investments—Intermediate Duration Portfolio     17  

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  

Morgan Stanley Capital I Trust

 

    

Series 2015-XLF2, Class AFSA
3.61% (LIBOR 1 Month + 1.87%), 8/15/26(a)(b)

   U.S.$       2,887     $ 2,886,585  

Series 2015-XLF2, Class SNMA 3.69% (LIBOR 1 Month + 1.95%), 11/15/26(a)(b)

 

     2,639       2,624,691  

RETL
Series 2018-RVP, Class A
2.877% (LIBOR 1 Month + 1.10%), 3/15/33(a)(b)

 

     2,904       2,917,629  

Starwood Retail Property Trust
Series 2014-STAR, Class A
2.997% (LIBOR 1 Month + 1.22%), 11/15/27(a)(b)

 

     10,300       10,298,407  
     

 

 

  
        55,963,330  
     

 

 

  
Total Commercial Mortgage-Backed Securities
(cost $295,206,187)		       289,183,972  
     

 

 

  
     
 
COLLATERALIZED MORTGAGE OBLIGATIONS–6.4%  
Risk Share Floating Rate–3.9%  

Bellemeade Re II Ltd.
Series 2016-1A, Class M2B
8.372% (LIBOR 1 Month + 6.50%), 4/25/26(a)(g)

 

     1,799       1,831,911  

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

 

    

Series 2013-DN2, Class M2
6.122% (LIBOR 1 Month + 4.25%), 11/25/23(a)

 

     10,649       11,847,783  

Series 2014-DN2, Class M3
5.472% (LIBOR 1 Month + 3.60%), 4/25/24(a)

 

     2,091       2,343,048  

Series 2014-DN3, Class M3
5.872% (LIBOR 1 Month + 4.00%), 8/25/24(a)

 

     8,591       9,374,353  

Series 2014-DN4, Class M3
6.422% (LIBOR 1 Month + 4.55%), 10/25/24(a)

 

     2,111       2,354,012  

Series 2014-HQ3, Class M3
6.622% (LIBOR 1 Month + 4.75%), 10/25/24(a)

 

     4,374       4,868,566  

Series 2015-DNA1, Class M3
5.172% (LIBOR 1 Month + 3.30%), 10/25/27(a)

 

     675       752,122  

Series 2015-DNA2, Class M2
4.472% (LIBOR 1 Month + 2.60%), 12/25/27(a)

 

     4,532       4,617,675  

Series 2015-HQA1, Class M2
4.522% (LIBOR 1 Month + 2.65%), 3/25/28(a)

 

     4,865       4,964,436  

Series 2018-HQA1, Class M2
4.154% (LIBOR 1 Month + 2.30%), 9/25/30(a)

 

     561       561,644  
     
     Principal Amount (000)     U.S. $ Value  

Federal National Mortgage Association Connecticut Avenue Securities

 

    

Series 2014-C03, Class 1M2
4.872% (LIBOR 1 Month + 3.00%), 7/25/24(a)

   U.S.$       2,558     $ 2,734,504  

Series 2014-C04, Class 2M2
6.872% (LIBOR 1 Month + 5.00%), 11/25/24(a)

 

     3,353       3,770,445  

Series 2015-C01, Class 1M2
6.172% (LIBOR 1 Month + 4.30%), 2/25/25(a)

 

     3,059       3,358,456  

Series 2015-C01, Class 2M2
6.422% (LIBOR 1 Month + 4.55%), 2/25/25(a)

 

     2,937       3,187,801  

Series 2015-C02, Class 2M2
5.872% (LIBOR 1 Month + 4.00%), 5/25/25(a)

 

     2,933       3,161,880  

Series 2015-C03, Class 1M2
6.872% (LIBOR 1 Month + 5.00%), 7/25/25(a)

 

     5,543       6,306,005  

Series 2015-C03, Class 2M2
6.872% (LIBOR 1 Month + 5.00%), 7/25/25(a)

 

     5,755       6,435,828  

Series 2015-C04, Class 1M2
7.572% (LIBOR 1 Month + 5.70%), 4/25/28(a)

 

     1,829       2,121,007  

Series 2015-C04, Class 2M2
7.422% (LIBOR 1 Month + 5.55%), 4/25/28(a)

 

     5,703       6,420,004  

Series 2016-C01, Class 1M2
8.622% (LIBOR 1 Month + 6.75%), 8/25/28(a)

 

     6,033       7,275,041  

Series 2016-C01, Class 2M2
8.822% (LIBOR 1 Month + 6.95%), 8/25/28(a)

 

     4,597       5,514,994  

Series 2016-C02, Class 1M2
7.872% (LIBOR 1 Month + 6.00%), 9/25/28(a)

 

     4,864       5,822,457  

Series 2016-C03, Class 2M2
7.772% (LIBOR 1 Month + 5.90%), 10/25/28(a)

 

     9,428       11,059,029  

Series 2016-C05, Class 2M2
6.322% (LIBOR 1 Month + 4.45%), 1/25/29(a)

 

     6,550       7,308,258  

Series 2018-C01, Class 1M2
4.122% (LIBOR 1 Month + 2.25%), 7/25/30(a)

 

     8,000       8,103,102  

JP Morgan Madison Avenue Securities Trust
Series 2014-CH1, Class M2
6.122% (LIBOR 1 Month + 4.25%), 11/25/24(a)(g)

 

     962       1,046,963  

 

18   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  

Wells Fargo Credit Risk Transfer Securities Trust

 

    

Series 2015-WF1, Class 1M2
7.122% (LIBOR 1 Month + 5.25%), 11/25/25(a)(g)

   U.S.$       3,975     $ 4,474,996  

Series 2015-WF1, Class 2M2 7.372% (LIBOR 1 Month + 5.50%), 11/25/25(a)(g)

 

     1,152       1,349,869  
     

 

 

  
        132,966,189  
     

 

 

  
Agency Floating Rate–1.3%    

Federal Home Loan Mortgage Corp. REMICs Series 4416, Class BS
4.323% (6.10% - LIBOR 1 Month), 12/15/44(a)(h)

 

     22,653       3,822,376  

Series 4585, Class DS
4.223% (6.00% - LIBOR 1 Month), 5/15/46(a)(h)

 

     11,147       1,979,847  

Series 4693, Class SL
4.373% (6.15% - LIBOR 1 Month), 6/15/47(a)(h)

 

     7,280       1,380,426  

Federal National Mortgage Association REMICs

 

    

Series 2011-131, Class ST
4.669% (6.54% - LIBOR 1 Month), 12/25/41(a)(h)

 

     11,532       2,181,734  

Series 2012-70, Class SA
4.679% (6.55% - LIBOR 1 Month), 7/25/42(a)(h)

 

     20,539       4,041,862  

Series 2014-17, Class SA
4.179% (6.05% - LIBOR 1 Month), 4/25/44(a)(h)

 

     19,907       3,400,477  

Series 2015-26, Class SH
4.579% (6.45% - LIBOR 1 Month), 5/25/45(a)(h)

 

     16,783       3,028,360  

Series 2016-106, Class ES
4.129% (6.00% - LIBOR 1 Month), 1/25/47(a)(h)

 

     9,908       1,730,677  

Series 2017-16, Class SG
4.179% (6.05% - LIBOR 1 Month), 3/25/47(a)(h)

 

     19,761       3,603,848  

Series 2017-62, Class AS
4.279% (6.15% - LIBOR 1 Month), 8/25/47(a)(h)

 

     12,522       2,271,049  

Series 2017-81, Class SA
4.329% (6.20% - LIBOR 1 Month), 10/25/47(a)(h)

 

     19,013       3,594,093  

Series 2017-97, Class SW
4.329% (6.20% - LIBOR 1 Month), 12/25/47(a)(h)

 

     15,046       2,840,877  

Government National Mortgage Association

 

    

Series 2017-122, Class SA
4.378% (6.20% - LIBOR 1 Month), 8/20/47(a)(h)

 

     14,517       2,829,516  
     
     Principal Amount (000)     U.S. $ Value  

Series 2017-134, Class MS
4.378% (6.20% - LIBOR 1 Month), 9/20/47(a)(h)

   U.S.$       14,033     $ 2,830,723  

Series 2017-43, Class ST
4.278% (6.10% - LIBOR 1 Month), 3/20/47(a)(h)

 

     19,587       3,195,383  
     

 

 

  
        42,731,248  
     

 

 

  
Non-Agency Fixed Rate–0.8%      

Alternative Loan Trust
Series 2005-20CB, Class 3A6
5.50%, 7/25/35

 

     668       644,524  

Series 2005-57CB, Class 4A3
5.50%, 12/25/35

 

     1,796       1,601,459  

Series 2005-65CB, Class 2A6
6.00%, 12/25/35

 

     2,039       1,941,385  

Series 2006-24CB, Class A16
5.75%, 6/25/36

 

     3,614       3,135,203  

Series 2006-28CB, Class A14
6.25%, 10/25/36

 

     2,277       1,904,949  

Series 2006-J1, Class 1A13
5.50%, 2/25/36

 

     1,150       1,049,794  

Chase Mortgage Finance Trust
Series 2007-S5, Class 1A17
6.00%, 7/25/37

 

     876       784,616  

Citigroup Mortgage Loan Trust, Inc.
Series 2005-2, Class 1A4
3.414%, 5/25/35

 

     1,766       1,781,888  

Countrywide Home Loan Mortgage Pass-Through Trust
Series 2006-10, Class 1A8
6.00%, 5/25/36

 

     2,024       1,732,829  

Series 2006-13, Class 1A19
6.25%, 9/25/36

 

     1,268       1,076,861  

Credit Suisse Mortgage Trust
Series 2010-6R, Class 3A2
5.875%, 1/26/38(b)

 

     3,818       3,110,433  

First Horizon Alternative Mortgage Securities Trust
Series 2006-FA3, Class A9
6.00%, 7/25/36

 

     2,791       2,344,894  

JP Morgan Mortgage Trust
Series 2007-S3, Class 1A8
6.00%, 8/25/37

 

     1,615       1,408,617  

RBSSP Resecuritization Trust
Series 2009-7, Class 10A3
6.00%, 8/26/37(b)

 

     5,205       4,571,444  

Wells Fargo Mortgage Backed Securities Trust
Series 2007-8, Class 2A5
5.75%, 7/25/37

 

     812       811,683  
     

 

 

  
        27,900,579  
     

 

 

  

 

Schedule of Investments—Intermediate Duration Portfolio     19  

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  
Non-Agency Floating Rate – 0.2%    

Deutsche Alt-A Securities Mortgage Loan Trust
Series 2006-AR4, Class A2
2.062% (LIBOR 1 Month + 0.19%), 12/25/36(a)

     U.S.$       6,328     $ 3,906,699  

HomeBanc Mortgage Trust
Series 2005-1, Class A1
2.122% (LIBOR 1 Month + 0.25%), 3/25/35(a)

 

     2,176       1,929,091  
     

 

 

  
        5,835,790  
     

 

 

  
Agency Fixed Rate–0.2%      

Federal National Mortgage Association Grantor Trust
Series 2004-T5, Class AB4
2.017%, 5/28/35(d)

 

     1,605       1,496,003  

Federal National Mortgage Association REMICs
Series 2015-30, Class EI
5.00%, 5/25/45(f)

 

     19,027       3,882,028  
     

 

 

  
        5,378,031  
     

 

 

  
Total Collateralized Mortgage Obligations
(cost $204,438,811)		       214,811,837  
     

 

 

  
     
 
INFLATION-LINKED SECURITIES–4.9%  
Japan–1.1%  

Japanese Government CPI Linked Bond
Series 22
0.10%, 3/10/27

     JPY       3,533,746       35,323,844  
     

 

 

  
United States–3.8%      

U.S. Treasury Inflation Index
0.125%, 4/15/19–4/15/20 (TIPS)

     U.S.$       78,969       78,859,672  

0.375%, 7/15/25 (TIPS)

       50,515       49,868,253  
     

 

 

  
        128,727,925  
     

 

 

  
Total Inflation-Linked Securities
(cost $163,369,724)		       164,051,769  
     

 

 

  
     
 
CORPORATES–NON-INVESTMENT GRADE–3.5%  
Industrial–2.1%  
Basic–0.2%  

NOVA Chemicals Corp.
5.25%, 8/01/23(b)

 

     3,570       3,590,456  

SPCM SA
4.875%, 9/15/25(b)

 

     3,120       3,031,954  
     

 

 

  
        6,622,410  
     

 

 

  
     
     Principal Amount (000)     U.S. $ Value  
Communications–Media – 0.3%      

Altice France SA/France
5.375%, 5/15/22(b)

     EUR       712     $ 892,507  

CCO Holdings LLC/CCO Holdings Capital Corp.
4.00%, 3/01/23(b)

     U.S.$       4,420       4,239,929  

CSC Holdings LLC
6.75%, 11/15/21

 

     1,340       1,397,714  

Ziggo Secured Finance BV
5.50%, 1/15/27(b)

 

     1,732       1,627,058  
     

 

 

  
        8,157,208  
     

 

 

  
Communications–Telecommunications–0.3%  

CenturyLink, Inc.
Series Y
7.50%, 4/01/24

       749       754,520  

Sprint Capital Corp.
6.90%, 5/01/19

       10,125       10,458,821  
     

 

 

  
        11,213,341  
     

 

 

  
Consumer Cyclical–Automotive–0.0%  

Adient Global Holdings Ltd.
4.875%, 8/15/26(b)

       964       910,768  
     

 

 

  
Consumer Cyclical–Other–0.4%  

International Game Technology PLC
6.25%, 2/15/22(b)

 

     3,615       3,786,532  

6.50%, 2/15/25(b)

       4,910       5,289,985  

KB Home
4.75%, 5/15/19

       3,146       3,175,729  
     

 

 

  
        12,252,246  
     

 

 

  
Consumer Non-Cyclical–0.1%  

Valeant Pharmaceuticals International, Inc.
6.125%, 4/15/25(b)

       3,920       3,368,535  
     

 

 

  
Energy–0.5%      

Antero Resources Corp.
5.125%, 12/01/22

       869       876,960  

Diamond Offshore Drilling, Inc.
4.875%, 11/01/43

 

     3,212       2,293,368  

Nabors Industries, Inc.
5.50%, 1/15/23

       6,604       6,441,541  

PDC Energy, Inc.
5.75%, 5/15/26(b)

       4,354       4,288,690  

SM Energy Co.
6.50%, 1/01/23

       359       357,496  

Sunoco LP/Sunoco Finance Corp.
4.875%, 1/15/23(b)

       4,048       3,913,566  
     

 

 

  
        18,171,621  
     

 

 

  
Technology–0.2%      

Western Digital Corp.
4.75%, 2/15/26

       5,367       5,361,096  
     

 

 

  

 

20   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  
Transportation–Services–0.1%    

Avis Budget Car Rental LLC/Avis Budget Finance, Inc.
5.25%, 3/15/25(b)

     U.S.$       2,909     $ 2,781,179  
     

 

 

  
        68,838,404  
     

 

 

  
     
   
Financial Institutions–1.3%          
Banking–1.2%      

Banco Bilbao Vizcaya Argentaria SA
6.125%, 11/16/27(c)

 

     2,200       2,137,960  

Bank of America Corp.
Series FF
5.875%, 3/15/28(c)

 

     5,018       5,051,119  

Barclays Bank PLC
6.86%, 6/15/32(b)(c)

       1,250       1,467,912  

CIT Group, Inc.
5.25%, 3/07/25

       3,376       3,451,926  

Citigroup, Inc.
5.95%, 1/30/23(c)

       2,569       2,639,442  

Credit Suisse Group AG
7.50%, 12/11/23(b)(c)

       1,557       1,689,345  

Intesa Sanpaolo SpA
5.017%, 6/26/24(b)

       5,868       5,795,999  

7.75%, 1/11/27(b)(c)

     EUR       1,031       1,549,270  

Series E
3.928%, 9/15/26(b)

       954       1,263,613  

Lloyds Banking Group PLC
7.50%, 6/27/24(c)

     U.S.$       3,938       4,268,792  

Royal Bank of Scotland Group PLC
2.001% (EURIBOR 3 Month + 2.33%), 6/30/18(a)(b)(c)

     EUR       300       366,828  

8.625%, 8/15/21(c)

     U.S.$       3,756       4,101,327  

Series U
4.622% (LIBOR 3 Month + 2.32%), 9/30/27(a)(c)

 

     2,900       2,933,437  

Standard Chartered PLC
3.277% (LIBOR 3 Month + 1.51%), 1/30/27(a)(b)(c)

 

     300       284,136  

7.50%, 4/02/22(b)(c)

       1,882       1,990,643  

7.75%, 4/02/23(b)(c)

       822       879,014  
     

 

 

  
        39,870,763  
     

 

 

  
Finance–0.1%      

Navient Corp.
6.625%, 7/26/21

       4,130       4,290,946  

7.25%, 1/25/22

       875       926,450  
     

 

 

  
        5,217,396  
     

 

 

  
        45,088,159  
     

 

 

  
     
     Principal Amount (000)     U.S. $ Value  
Utility–0.1%                        
Electric–0.1%      

AES Corp./VA
4.00%, 3/15/21

     U.S.$       3,334     $ 3,349,270  
     

 

 

  
Total Corporates–Non-Investment Grade
(cost $115,508,623)		       117,275,833  
     

 

 

  
     
       
AGENCIES–2.3%                        
Agency Debentures–2.3%      

Residual Funding Corp. Principal Strip
Zero Coupon, 7/15/20
(cost $74,765,328)

 

     81,666       77,066,571  
     

 

 

  
     
 
EMERGING MARKETS–CORPORATE BONDS–1.0%  
Industrial–0.9%                        
Capital Goods–0.1%      

Odebrecht Finance Ltd.
5.25%, 6/27/29(b)

       4,673       1,448,630  

7.125%, 6/26/42(b)

       1,770       575,250  
     

 

 

  
        2,023,880  
     

 

 

  
Communications–Telecommunications–0.1%  

MTN Mauritius Investment Ltd.
5.373%, 2/13/22(b)

 

     3,181       3,212,810  
     

 

 

  
Consumer Non-Cyclical–0.3%    

BRF GmbH
4.35%, 9/29/26(b)

       400       346,000  

BRF SA
3.95%, 5/22/23(b)

       200       182,930  

Marfrig Holdings Europe BV
8.00%, 6/08/23(b)

 

     3,590       3,598,975  

Minerva Luxembourg SA
6.50%, 9/20/26(b)

       1,148       1,096,340  

Teva Pharmaceutical Finance Netherlands III BV
3.15%, 10/01/26

 

     5,781       4,632,026  
     

 

 

  
        9,856,271  
     

 

 

  
Energy–0.3%      

Petrobras Global Finance BV
5.75%, 2/01/29

 

     5,050       4,885,976  

6.125%, 1/17/22

       226       240,860  

6.25%, 3/17/24

       3,825       4,037,287  

Ultrapar International SA
5.25%, 10/06/26(b)

       3,456       3,434,400  
     

 

 

  
        12,598,523  
     

 

 

  
Transportation–Services–0.1%    

Rumo Luxembourg Sarl
5.875%, 1/18/25(b)

       3,438       3,396,538  
     

 

 

  
        31,088,022  
     

 

 

  
     

 

Schedule of Investments—Intermediate Duration Portfolio     21  

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  
Utility–0.1%                        
Electric–0.1%      

Genneia SA
8.75%, 1/20/22(b)

     U.S.$       2,335     $ 2,509,284  

Terraform Global Operating LLC
6.125%, 3/01/26(b)

       1,352       1,361,883  
     

 

 

  
        3,871,167  
     

 

 

  
Total Emerging Markets–Corporate Bonds
(cost $39,251,414)		       34,959,189  
     

 

 

  
     
   
EMERGING MARKETS–TREASURIES–0.8%          
Argentina–0.1%      

Argentina POM Politica Monetaria
Series POM
27.25% (ARPP7DRR), 6/21/20(a)

     ARS       58,000       3,046,598  
     

 

 

  
Brazil–0.7%      

Brazil Notas do Tesouro Nacional
Series F
10.00%, 1/01/27

     BRL       82,490       25,676,409  
     

 

 

  
Total Emerging Markets–Treasuries
(cost $24,293,701)		       28,723,007  
     

 

 

  
     
 
LOCAL GOVERNMENTS–US MUNICIPAL BONDS–0.4%  
United States–0.4%      

State of California
Series 2010 7.625%, 3/01/40
(cost $8,650,430)

   U.S.$       8,520       12,974,512  
     

 

 

  
     
 
GOVERNMENTS–SOVEREIGN BONDS–0.1%  
Mexico–0.1%      

Mexico Government International Bond
3.60%, 1/30/25
(cost $5,119,973)

       5,218       5,150,166  
     

 

 

  
     
       
            Shares         
COMMON STOCKS–0.1%  
Financials–0.1%                        
Insurance–0.1%      

Mt. Logan Re Ltd. (Preference Shares)(d)(i)
(cost $2,813,000)

       2,813       2,831,250  
     

 

 

  
     
     Principal Amount (000)     U.S. $ Value  
EMERGING MARKETS–SOVEREIGNS–0.1%  
Egypt–0.1%      

Egypt Government International Bond
6.125%, 1/31/22(b)
(cost $2,046,000)

     U.S.$       2,046     $ 2,120,167  
     

 

 

  
     
   
QUASI-SOVEREIGNS–0.1%          
Quasi-Sovereign Bonds–0.1%  
Chile–0.1%      

Corp. Nacional del Cobre de Chile
3.625%, 8/01/27(b)
(cost $2,024,715)

       2,059       1,999,639  
     

 

 

  
     
 
SHORT-TERM INVESTMENTS–18.0%  
Governments–Treasuries–8.0%          
Japan–8.0%      

Japan Treasury Discount Bill
Series 729
Zero Coupon, 4/05/18

     JPY       17,767,300       166,980,640  

Series 743

      

Zero Coupon, 9/10/18

 

     10,888,700       102,402,522  
     

 

 

  
Total Governments–Treasuries
(cost $259,405,946)		       269,383,162  
     

 

 

  
Agency Discount Note–6.3%    

Federal Home Loan Bank Discount Notes
Zero Coupon, 4/25/18-8/24/18
(cost $214,423,275)

     U.S.$       215,050       214,423,275  
     

 

 

  
U.S. Treasury Bills–2.7%    

U.S. Treasury Bill
Zero Coupon, 7/05/18
(cost $92,839,620)

       93,223       92,839,620  
     

 

 

  
Commercial Paper–1.0%    

Bank of Tokyo-Mitsubishi UFJ/NY
Zero Coupon, 4/18/18
(cost $33,683,931)

       33,710       33,683,931  
     

 

 

  
Total Short-Term Investments
(cost $600,352,772)		       610,329,988  
     

 

 

  
Total Investments—107.7%
(cost $3,610,326,948)		       3,632,733,246 (j) 

Other assets less liabilities—(7.7)%

 

     (258,383,721 ) 
     

 

 

  
Net Assets—100.0%     $ 3,374,349,525  
     

 

 

  

 

22   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents

 

FUTURES (see Note 3)

 

Description   Number of
Contracts		     Expiration
Month		   Notional
(000)		     Original
Value		    

Value at
March 31,

2018

     Unrealized
Appreciation/
(Depreciation)		  
Purchased Contracts  
U.S. T-Note 5 Yr (CBT) Futures     4,583     June 2018     USD       458,300     $ 523,317,523     $ 524,574,479     $ 1,256,956  
U.S. T-Note 10 Yr (CBT) Futures     44     June 2018     USD       4,400       5,324,062       5,330,188       6,126  
U.S. Ultra Bond (CBT) Futures     1,613     June 2018     USD       161,300       251,114,365       258,836,094       7,721,729  
Sold Contracts  
Euro-BOBL Futures     1,443     June 2018     EUR       144,300       231,303,728       233,039,481       (1,735,753 ) 
Japan 10 Yr Bond (OSE) Futures     73     June 2018     JPY       7,300,000       103,454,941       103,436,963       17,978  
U.S. T-Note 2 Yr (CBT) Futures     161     June 2018     USD       32,200       34,222,363       34,230,110       (7,747 ) 
             

 

 

  
              $ 7,259,289  
             

 

 

  

 

 

FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3)

 

Counterparty   Contracts to
Deliver
(000)		     In Exchange
For
(000)		     Settlement
Date		     Unrealized
Appreciation/
(Depreciation)		  
Australia and New Zealand Banking Group Ltd.     NZD       11,296       USD       8,166       6/07/18     $ 4,146  
Barclays Bank PLC     BRL       12,147       USD       3,655       4/03/18       (24,740 ) 
Barclays Bank PLC     USD       3,678       BRL       12,147       4/03/18       1,727  
Barclays Bank PLC     USD       10,360       RUB       592,702       4/17/18       (32,946 ) 
Barclays Bank PLC     BRL       12,147       USD       3,667       5/03/18       (3,158 ) 
BNP Paribas SA     GBP       7,592       USD       10,806       4/13/18       150,253  
Citibank, NA     JPY       28,801,090       USD       271,454       4/16/18       573,081  
Citibank, NA     JPY       3,989,331       USD       37,676       4/26/18       135,284  
Citibank, NA     USD       9,079       JPY       984,334       4/26/18       183,826  
Citibank, NA     USD       10,150       KRW       10,853,249       4/26/18       71,994  
Citibank, NA     USD       14,034       TWD       405,333       6/07/18       (16,796 ) 
Credit Suisse International     AUD       17,247       CAD       17,130       6/07/18       63,907  
Goldman Sachs Bank USA     USD       13,402       MYR       52,565       7/12/18       192,930  
HSBC Bank USA     BRL       12,147       USD       3,739       4/03/18       59,339  
HSBC Bank USA     USD       3,655       BRL       12,147       4/03/18       24,740  
HSBC Bank USA     CAD       13,475       USD       10,859       4/12/18       398,301  
HSBC Bank USA     GBP       1,740       USD       2,400       4/13/18       (42,613 ) 
HSBC Bank USA     USD       6,938       MXN       130,549       4/20/18       224,159  
HSBC Bank USA     JPY       999,130       USD       9,182       4/26/18       (220,109 ) 
HSBC Bank USA     USD       8,250       AUD       10,484       6/07/18       (196,172 ) 
JPMorgan Chase Bank, NA     CAD       10,484       USD       8,122       4/12/18       (16,424 ) 
JPMorgan Chase Bank, NA     GBP       7,211       USD       10,270       4/13/18       149,524  
JPMorgan Chase Bank, NA     SGD       23,357       USD       17,702       5/17/18       (129,196 ) 
JPMorgan Chase Bank, NA     EUR       17,042       USD       21,155       5/30/18       102,018  
JPMorgan Chase Bank, NA     AUD       12,462       USD       9,643       6/07/18       70,022  
JPMorgan Chase Bank, NA     TWD       790,292       USD       27,221       6/07/18       (109,284 ) 
Morgan Stanley & Co., Inc.     GBP       10,731       USD       15,076       4/13/18       15,132  
Royal Bank of Scotland PLC     CAD       11,266       USD       8,785       4/12/18       38,770  
Royal Bank of Scotland PLC     MXN       128,427       USD       6,758       4/20/18       (287,638 ) 
Royal Bank of Scotland PLC     USD       3,067       JPY       336,240       4/26/18       97,225  
Standard Chartered Bank     USD       14,839       GBP       10,699       4/13/18       177,886  
Standard Chartered Bank     USD       6,537       INR       428,736       5/17/18       20,720  
State Street Bank & Trust Co.     USD       118       EUR       95       5/30/18       (253 ) 
           

 

 

  
  $ 1,675,655  
           

 

 

  

 

Schedule of Investments—Intermediate Duration Portfolio     23  

Table of Contents

 

CENTRALLY CLEARED INTEREST RATE SWAPS (see Note 3)

 

              Rate Type                          

Notional

Amount

(000)

     Termination
Date		   Payments
made by the
Fund		     Payments
received by the
Fund		    

Payment

Frequency

Paid/Received

     Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  
USD     38,770     4/03/20     3 Month LIBOR       2.562%       Quarterly/Semi-Annual     $ (13,290 )    $ —     $ (13,290 ) 
SEK     284,090     3/31/22     3 Month STIBOR       0.341%       Quarterly/ Annual       227,870           132       227,738  
NZD     58,020     3/31/22     3 Month BKBM       2.936%       Quarterly/Semi-Annual       1,120,192       —       1,120,192  
USD     56,670     9/22/26     1.558%       3 Month LIBOR       Semi-Annual/Quarterly       5,316,476       —       5,316,476  
USD     9,015     11/08/26     1.657%       3 Month LIBOR       Semi-Annual/Quarterly       729,505       —       729,505  
USD     15,700     3/28/28     2.920%       3 Month LIBOR       Semi-Annual/Quarterly       (154,470 )      —       (154,470 ) 
           

 

 

    

 

 

    

 

 

  
            $ 7,226,283     $ 132     $ 7,226,151  
           

 

 

    

 

 

    

 

 

  

 

 

CREDIT DEFAULT SWAPS (see Note 3)

 

Swap
Counterparty &
Referenced
Obligation		   Fixed
Rate
(Pay)
Receive		     Payment
Frequency		     Implied
Credit
Spread at
March 31,
2018		    

Notional
Amount
(000)

     Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  
Buy Contracts                
Citibank, NA                
Sprint Communications, Inc.,
7.00%, 8/15/20, 6/20/19*		     (5.00 )%      Quarterly       0.71 %      USD       4,718     $ (252,966 )    $ (70,533 )    $ (182,433 ) 
Sprint Communications, Inc.,
7.00%, 8/15/20, 6/20/19*		     (5.00 )      Quarterly       0.71       USD       5,407       (289,908 )      (83,815 )      (206,093 ) 

Citigroup Global Markets, Inc.

                
CDX-CMBX.NA.AAA
Series 9, 9/17/58*		     (0.50 )      Monthly       0.47       USD       208       87       2,645       (2,558 ) 

Credit Suisse International

                
CDX-CMBX.NA.AAA
Series 9, 9/17/58*		     (0.50 )      Monthly       0.47       USD       19,805       8,252       250,097       (241,845 ) 
CDX-CMBX.NA.AAA
Series 9, 9/17/58*		     (0.50 )      Monthly       0.47       USD       182       76       1,675       (1,599 ) 

Deutsche Bank AG

                
CDX-CMBX.NA.AAA
Series 9, 9/17/58*		     (0.50 )      Monthly       0.47       USD       2,519       1,049       34,295       (33,246 ) 
CDX-CMBX.NA.AAA
Series 9, 9/17/58*		     (0.50 )      Monthly       0.47       USD       24,563       10,235       262,375       (252,140 ) 
CDX-CMBX.NA.AAA
Series 9, 9/17/58*		     (0.50 )      Monthly       0.47       USD       7,369       3,071       78,040       (74,969 ) 

Goldman Sachs International

              
CDX-CMBX.NA.AAA
Series 9, 9/17/58*		     (0.50 )      Monthly       0.47       USD       2,757       1,149       37,229       (36,080 ) 
CDX-CMBX.NA.AAA
Series 9, 9/17/58*		     (0.50 )      Monthly       0.47       USD       1,604       668       15,352       (14,684 ) 

Morgan Stanley Capital Services LLC

            
CDX-CMBX.NA.AAA
Series 9, 9/17/58*		     (0.50 )      Monthly       0.47       USD       2,970       1,238       39,038       (37,800 ) 
CDX-CMBX.NA.AAA
Series 9, 9/17/58*		     (0.50 )      Monthly       0.47       USD       5,939       2,475       78,063       (75,588 ) 
Sale Contracts                

Citigroup Global Markets, Inc.

              
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       1,955       (286,994 )      (276,002 )      (10,992 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       1,870       (274,516 )      (257,879 )      (16,637 ) 

 

24   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
Swap
Counterparty &
Referenced
Obligation		   Fixed
Rate
(Pay)
Receive		     Payment
Frequency		     Implied
Credit
Spread at
March 31,
2018		    

Notional
Amount
(000)

     Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00 %      Monthly       7.20 %      USD       1,813     $ (266,148 )    $ (289,405 )    $ 23,257  
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       305       (44,774 )      (51,083 )      6,309  
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       2,038       (299,009 )      (315,816 )      16,807  

Credit Suisse International

                
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       5,023       (737,377 )      (337,879 )      (399,498 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       8,500       (1,247,800 )      (611,080 )      (636,720 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       1,375       (201,850 )      (115,943 )      (85,907 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       1,776       (260,717 )      (152,939 )      (107,778 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       3,438       (504,698 )      (341,076 )      (163,622 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       2,204       (323,364 )      (339,987 )      16,623  
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       2,160       (317,088 )      (133,762 )      (183,326 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       6,266       (919,849 )      (528,361 )      (391,488 ) 

Deutsche Bank AG

  
CDX-CMBX.NA.A
Series 6, 5/11/63*		     2.00       Monthly       3.17       USD       7,805       (341,599 )      (158,758 )      (182,841 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       1,496       (219,613 )      (196,016 )      (23,597 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       4,586       (673,225 )      (342,107 )      (331,118 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       4,853       (712,420 )      (415,066 )      (297,354 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       1,727       (253,524 )      (226,283 )      (27,241 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       3,315       (486,642 )      (394,279 )      (92,363 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       3,315       (486,642 )      (394,125 )      (92,517 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       2,455       (360,394 )      (275,008 )      (85,386 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       345       (50,646 )      (42,051 )      (8,595 ) 

Goldman Sachs International

  
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       640       (93,952 )      (78,605 )      (15,347 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       2,418       (354,963 )      (342,180 )      (12,783 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       5,342       (784,206 )      (639,582 )      (144,624 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       1,647       (241,780 )      (182,458 )      (59,322 ) 
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       1,687       (247,652 )      (286,707 )      39,055  

 

Schedule of Investments—Intermediate Duration Portfolio     25  

Table of Contents
Swap
Counterparty &
Referenced
Obligation		   Fixed
Rate
(Pay)
Receive		     Payment
Frequency		     Implied
Credit
Spread at
March 31,
2018		    

Notional
Amount
(000)

     Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00 %      Monthly       7.20 %      USD       2,355     $ (345,714 )    $ (405,993 )    $ 60,279  
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       148       (21,714 )      (23,373 )      1,659  
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       1,982       (290,958 )      (316,802 )      25,844  

Morgan Stanley Capital Services LLC

  
CDX-CMBX.NA.BBB-
Series 6, 5/11/63*		     3.00       Monthly       7.20       USD       1,997       (293,159 )      (146,427 )      (146,732 ) 
           

 

 

    

 

 

    

 

 

  
      $ (12,457,561 )    $ (7,972,571 )    $ (4,484,990 ) 
     

 

 

    

 

 

    

 

 

  

* Termination date

 

 

VARIANCE SWAPS (See Note 3)

 

Swap
Counterparty &
Referenced
Obligation

   Volatility
Strike
Price		     Payment
Frequency		   Notional
Amount
(000)		     Market
Value		     Upfront
Premiums
(Paid)
Received		     Unrealized
Appreciation/
(Depreciation)		  
Buy Contracts  

Deutsche Bank AG

  
AUD/JPY 03/03/20*     12.75 %    Maturity     AUD       217     $ (639 )    $ -0-     $ (639 ) 

Goldman Sachs Bank USA

  
AUD/JPY 03/10/20*     12.90     Maturity     AUD       98       (332 )      -0-       (332 ) 
AUD/JPY 03/11/20*     12.80     Maturity     AUD       118       (367 )      -0-       (367 ) 

Deutsche Bank AG

  
AUD/JPY 01/14/20*     11.12     Maturity     AUD       427       698       -0-       698  
         

 

 

    

 

 

    

 

 

  
          $ (640 )    $ -0-     $ (640 ) 
         

 

 

    

 

 

    

 

 

  

 

 

*   Termination date
**   Principal amount less than 500.
(a)   Floating Rate Security. Stated interest/floor/ceiling rate was in effect at March 31, 2018.
(b)   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 March 31, 2018, the aggregate market value of these securities amounted to $523,655,197 or 15.5% of net assets.
(c)   Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date.
(d)   Security in which significant unobservable inputs (Level 3) were used in determining fair value.
(e)   Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.
(f)   IO—Interest Only.
(g)   Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.33% of net assets as of March 31, 2018, are considered illiquid and restricted. Additional information regarding such securities follows:

 

 

144A/Restricted &
Illiquid Securities		   Acquisition
Date		     Cost     Market
Value		     Percentage of
Net Assets		  

Bellemeade Re II Ltd. Series 2016-1A, Class M2B
8.372%, 4/25/26

     4/29/16     $ 1,798,542     $ 1,831,911       0.05 % 

H/2 Asset Funding NRE Series 2015-1A, Class AFL
3.271%, 6/24/49

     6/19/15       2,605,368       2,605,368       0.08 % 

JP Morgan Madison Avenue Securities Trust Series 2014-CH1, Class M2
6.122%, 11/25/24

     11/06/15       951,596       1,046,963       0.03 % 

Wells Fargo Credit Risk Transfer Securities Trust Series 2015-WF1, Class 1M2
7.122%, 11/25/25

     9/28/15       3,975,085       4,474,996       0.13 % 

Wells Fargo Credit Risk Transfer Securities Trust Series 2015-WF1, Class 2M2
7.372%, 11/25/25

     9/28/15       1,146,750       1,349,869       0.04 % 

 

26   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
(h)   Inverse interest only security.
(i)   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     $ 2,813,000     $ 2,831,250       0.08 % 

 

(j)   On March 30, 2018, the Portfolio and U.S. stock exchanges were closed for business due to a U.S. holiday but the foreign markets remained open for trading. The Portfoliovalued its foreign securities using the closing market prices from the respective foreign markets as of March 29, 2018 for financial reporting purposes.

Currency Abbreviations:

ARS—Argentine Peso

AUD—Australian Dollar

BRL—Brazilian Real

CAD—Canadian Dollar

EUR—Euro

GBP—Great British Pound

INR—Indian Rupee

JPY—Japanese Yen

KRW—South Korean Won

MXN—Mexican Peso

MYR—Malaysian Ringgit

NZD—New Zealand Dollar

RUB—Russian Ruble

SEK—Swedish Krona

SGD—Singapore Dollar

TWD—New Taiwan Dollar

USD—United States Dollar

Glossary:

ABS—Asset-Backed Securities

ARMs—Adjustable Rate Mortgages

ARPP7DRR—Argentina Central Bank 7-Day Repo Reference Rate

BA—Banker’s Acceptance

BKBM—Bank Bill Benchmark (New Zealand)

BOBL—Bundesobligationen

CBT—Chicago Board of Trade

CDX-CMBX.NA—North American Commercial Mortgage-Backed Index

CMBS—Commercial Mortgage-Backed Securities

EURIBOR—Euro Interbank Offered Rate

LIBOR—London Interbank Offered Rates

OSE—Osaka Securities Exchange

REIT—Real Estate Investment Trust

REMICs—Real Estate Mortgage Investment Conduits

STIBOR—Stockholm Interbank Offered Rate

TBA—To Be Announced

TIPS—Treasury Inflation Protected Security

See notes to financial statements.

 

Schedule of Investments—Intermediate Duration Portfolio     27  

Table of Contents

SCB-TAX-1944-0318

Table of Contents

Sanford C. Bernstein Fund, Inc.

 

March 31, 2018

Schedule of Investments To the Semi-Annual Report
For the Municipal Bond Portfolios

 

 

 

 

 

 

 

 

 

 

Short Duration Diversified Municipal

 

 

Diversified Municipal

 

 

California Municipal

 

 

New York Municipal

Table of Contents

Sanford C. Bernstein Fund, Inc.

Schedule of Investments

Short Duration Diversified Municipal Portfolio

March 31, 2018 (Unaudited)

 

Principal Amount (000)     U.S. $ Value  
MUNICIPAL OBLIGATIONS–97.2%  
Long-Term Municipal Bonds–85.3%  
Arizona–5.4%    

City of Phoenix Civic Improvement Corp.
Series 2014B
5.00%, 7/01/18

   $ 2,155     $ 2,173,382  

Series 2016
5.00%, 7/01/20

     2,500       2,675,700  

Gilbert Water Resource Municipal Property Corp.
Series 2016
5.00%, 7/01/18

     1,745       1,759,833  

Town of Gilbert AZ
Series 2017
5.00%, 7/01/19

     4,575       4,764,039  
   

 

 

  
      11,372,954  
   

 

 

  
Colorado–0.2%    

Centerra Metropolitan District No 1
Series 2017
2.70%, 12/01/19(a)(b)

     492       495,636  
   

 

 

  
Connecticut–4.4%    

Connecticut State Health & Educational Facilities Authority
(Yale University)
Series 2017B-2
5.00%, 7/01/37

     3,000       3,217,020  

State of Connecticut
Series 2016A
5.00%, 3/15/19

     5,935       6,110,735  
   

 

 

  
      9,327,755  
   

 

 

  
Delaware–0.7%    

State of Delaware
Series 2014B
5.00%, 7/01/18
(Pre-refunded/ETM)(a)

     185       186,532  

5.00%, 7/01/18

     1,180       1,190,148  
   

 

 

  
      1,376,680  
   

 

 

  
District of Columbia–2.1%    

Washington Metropolitan Area Transit Authority
Series 2016A
5.00%, 7/01/18

     4,265       4,301,466  
   

 

 

  
Florida–3.0%    

Florida State Board of Education
(State of Florida)
Series 2015D
5.00%, 6/01/18

     3,015       3,032,246  

Florida’s Turnpike Enterprise
Series 2017A
5.00%, 7/01/20

     1,000       1,071,660  

 

   
Principal Amount (000)     U.S. $ Value  

Overoaks Community Development District
Series 2004B
5.125%, 5/01/09(a)(c)(d)(e)

   $ 55     $ 4,675  

Series 2010A-1
6.125%, 5/01/35(a)

     30       30,038  

Series 2010A-2
6.125%, 5/01/35(a)

     60       60,075  

Parkway Center Community Development District
Series 2004B
7.00%, 5/01/23(a)

     10       10,216  

Seacoast Utility Authority
Series 2016A
5.00%, 3/01/20

     1,880       1,997,237  
   

 

 

  
      6,206,147  
   

 

 

  
Georgia–3.1%  

Georgia State Road & Tollway Authority
Series 2017B
5.00%, 6/01/19

     2,000       2,075,280  

State of Georgia
Series 2009I
5.00%, 7/01/18

     4,445       4,483,227  
   

 

 

  
      6,558,507  
   

 

 

  
Illinois–3.8%  

Chicago Board of Education
Series 2017D
5.00%, 12/01/20

     1,000       1,043,190  

Madison County Community Unit School District No 7 Edwardsville
BAM Series 2017
4.00%, 12/01/18–12/01/20

     4,925       5,070,609  

State of Illinois
Series 2017D
5.00%, 11/01/21

     1,690       1,773,351  
   

 

 

  
      7,887,150  
   

 

 

  
Iowa–0.9%  

City of Des Moines IA
Series 2018A
5.00%, 6/01/21

     1,675       1,836,788  
   

 

 

  
Kentucky–1.3%  

Kentucky Asset Liability Commission
(Commonwealth of Kentucky Fed Hwy Grant)
Series 2015A
5.00%, 9/01/23

     1,000       1,136,620  

Kentucky Turnpike Authority
Series 2015B
5.00%, 7/01/18

     1,500       1,512,570  
   

 

 

  
      2,649,190  
   

 

 

  
Louisiana–1.3%  

Louisiana Public Facilities Authority
(Tulane University)
Series 2016A
5.00%, 12/15/19

     2,515       2,646,912  
   

 

 

  

 

Schedule of Investments—Short Duration Diversified Municipal Portfolio     1  

Table of Contents
   
Principal Amount (000)     U.S. $ Value  
Maryland–0.5%  

State of Maryland
Series 2014A
5.00%, 3/01/19

   $ 1,075     $ 1,108,411  
   

 

 

  
Massachusetts–1.7%  

Commonwealth of Massachusetts (Commonwealth of Massachusetts Transportation Fund Revenue)
Series 2012
5.00%, 6/01/18

     3,535       3,555,220  
   

 

 

  
Michigan–4.3%  

City of Detroit MI Sewage Disposal System Revenue
(Great Lakes Water Authority Sewage Disposal System)
Series 2012A
5.00%, 7/01/20

     2,020       2,149,543  

AGM Series 2006D
1.735% (LIBOR 3 Month + 0.60%), 7/01/32(f)

     1,530       1,420,069  

Michigan Finance Authority
(City of Detroit MI)
Series 2016C
5.00%, 4/01/20

     2,690       2,824,339  

Michigan Finance Authority
(Detroit City School District)
Series 2015A
5.00%, 5/01/18

     2,560       2,566,733  
   

 

 

  
      8,960,684  
   

 

 

  
Minnesota–1.0%  

Minnesota Public Facilities Authority (Minnesota Public Facilities Authority SRF)
Series 2016A
5.00%, 3/01/19

     2,130       2,196,009  
   

 

 

  
Missouri–1.1%  

Missouri State Environmental Improvement & Energy Resources Authority
Series 2010B
5.00%, 7/01/23
(Pre-refunded/ETM)(a)

     2,205       2,394,299  
   

 

 

  
Nebraska–2.2%  

City of Lincoln NE Electric System Revenue
Series 2016
5.00%, 9/01/18

     1,400       1,419,866  

Lancaster County School District 001
Series 2016
5.00%, 1/15/20

     2,955       3,126,567  
   

 

 

  
      4,546,433  
   

 

 

  
Nevada–0.6%  

Las Vegas Valley Water District
Series 2015A
4.00%, 6/01/18

     1,305       1,310,285  
   

 

 

  

 

   
Principal Amount (000)     U.S. $ Value  
New Jersey–4.6%  

County of Monmouth NJ
Series 2017
5.00%, 7/15/20

   $ 3,325     $ 3,570,418  

New Jersey Economic Development Authority
Series 2011G
5.00%, 9/01/20 (Pre-refunded/ETM)

     1,720       1,846,317  

New Jersey Economic Development Authority
(New Jersey Economic Development Authority State Lease)
Series 2011G
5.00%, 9/01/20

     190       200,724  

Series 2015X
5.00%, 6/15/19

     3,000       3,098,130  

New Jersey Transportation Trust Fund Authority
(New Jersey Transportation Fed Hwy Grant)
Series 2016
5.00%, 6/15/19

     1,000       1,032,710  
   

 

 

  
      9,748,299  
   

 

 

  
New York–2.6%  

New York State Dormitory Authority (State of New York Pers Income Tax)
Series 2017A
5.00%, 2/15/20

     2,960       3,137,541  

New York Transportation Development Corp.
(American Airlines, Inc.)
Series 2016
5.00%, 8/01/18–8/01/19

     2,335       2,380,118  
   

 

 

  
      5,517,659  
   

 

 

  
North Carolina–2.6%  

City of Charlotte NC Water & Sewer System Revenue
Series 2015
5.00%, 7/01/18

     3,465       3,494,626  

State of North Carolina
Series 2017B
5.00%, 5/01/20

     1,915       2,043,860  
   

 

 

  
      5,538,486  
   

 

 

  
Ohio–1.3%  

Ohio Air Quality Development Authority (FirstEnergy Generation LLC)
5.625%, 6/01/18

     210       184,750  

State of Ohio Major New State Infrastrucure Project
Series 20082008-1
5.50%, 6/15/20 (Pre-refunded/ETM)

     2,500       2,519,975  
   

 

 

  
      2,704,725  
   

 

 

  
Oklahoma–0.8%  

Oklahoma County Finance Authority
5.00%, 10/01/21(a)

     1,500       1,636,815  
   

 

 

  

 

2   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
   
Principal Amount (000)     U.S. $ Value  
Oregon–7.6%  

City of Portland OR Sewer System Revenue
Series 2016B
5.00%, 6/15/19

   $ 5,540     $ 5,764,869  

State of Oregon Department of Transportation
(State of Oregon Department of Transportation Street & Highway)
Series 2017B
5.00%, 11/15/19

     6,500       6,850,155  

Series 2017C
5.00%, 11/15/19

     3,165       3,335,498  
   

 

 

  
      15,950,522  
   

 

 

  
Pennsylvania–6.7%  

Commonwealth Financing Authority State Lease
5.00%, 6/01/21

     535       576,409  

Pennsylvania Economic Development Financing Authority
(Commonwealth of Pennsylvania Unemployment)
Series 2012A
5.00%, 7/01/18–7/01/19

     6,090       6,243,640  

Pennsylvania Infrastructure Investment Authority
Series 2018A
5.00%, 1/15/21

     4,390       4,772,062  

Philadelphia Authority for Industrial Development
(LLPCS Foundation)
Series 2005A
4.60%, 7/01/15(a)(c)(d)(e)

     65       650  

Philadelphia Gas Works Co.
Series 2015
4.00%, 8/01/18

     2,485       2,504,433  
   

 

 

  
      14,097,194  
   

 

 

  
Texas–8.1%  

Cypress-Fairbanks Independent School District
Series 2016
5.00%, 2/15/20

     4,000       4,241,440  

Fort Worth Independent School District
Series 2016
5.00%, 2/15/20

     5,385       5,710,039  

Texas Transportation Commission State Highway Fund
Series 2015
4.00%, 10/01/18

     2,500       2,530,425  

5.00%, 10/01/23

     2,150       2,457,557  

University of Houston System
Series 2017A
5.00%, 2/15/20

     2,065       2,187,682  
   

 

 

  
      17,127,143  
   

 

 

  

 

   
Principal Amount (000)     U.S. $ Value  
Virginia–1.2%  

Virginia Public School Authority
(Virginia Public School Authority State Lease)
Series 2016A
5.00%, 8/01/19

   $ 2,440     $ 2,547,506  
   

 

 

  
Washington–10.2%  

City of Seattle WA Water System Revenue
Series 2015
5.00%, 5/01/21

     2,890       3,162,007  

Energy Northwest
(Bonneville Power Administration)
Series 2010A
5.00%, 7/01/18

     3,875       3,907,860  

Series 2011A
5.00%, 7/01/18

     1,335       1,346,321  

King County School District No 45 Bellevue
Series 2015
5.00%, 12/01/18

     1,225       1,252,746  

King County School District No 415 Kent
Series 2017
5.00%, 12/01/20

     4,530       4,893,849  

State of Washington
Series 2017D
5.00%, 2/01/20

     1,380       1,461,834  

University of Washington
Series 2018
5.00%, 4/01/21

     5,055       5,521,425  
   

 

 

  
      21,546,042  
   

 

 

  
West Virginia–1.0%    

State of West Virginia
Series 2015A
5.00%, 6/01/18

     2,180       2,192,252  
   

 

 

  
Wisconsin–1.0%    

State of Wisconsin
Series 2011A
5.00%, 5/01/18

     2,175       2,180,981  
   

 

 

  
Total Long-Term Municipal Bonds
(cost $180,635,059)		       179,518,150  
   

 

 

  
   
     
Short-Term Municipal Notes–11.9%                
Georgia–0.6%    

Georgia State Road & Tollway Authority
Series 2017B
5.00%, 6/01/18

     1,360       1,367,725  
   

 

 

  
Idaho–4.4%    

State of Idaho
Series 2017
4.00%, 6/29/18

     9,300       9,354,033  
   

 

 

  
Massachusetts–0.8%    

Commonwealth of Massachusetts
Series 2017A
2.00%, 4/23/18

     1,670       1,670,501  
   

 

 

  

 

Schedule of Investments—Short Duration Diversified Municipal Portfolio     3  

Table of Contents
   
Principal Amount (000)     U.S. $ Value  
Minnesota–2.3%    

State of Minnesota
Series 2017E
4.00%, 10/01/18

   $ 4,825     $ 4,883,961  
   

 

 

  
Pennsylvania–0.2%    

Delaware County Industrial Development Authority
1.55%, 9/01/45(g)

     325       325,000  
   

 

 

  
Texas–1.8%    

State of Texas
Series 2017
4.00%, 8/30/18

     3,695       3,732,209  
   

 

 

  
Virginia–1.8%    

Virginia Commonwealth Transportation Board
(Virginia Commonwealth Transportation Board State Lease)
Series 2017

    

5.00%, 5/15/18

     2,000       2,008,160  

Series 2017B
5.00%, 5/15/18

     1,810       1,817,385  
   

 

 

  
      3,825,545  
   

 

 

  
Total Short-Term Municipal Notes
(cost $25,200,926)		       25,158,974  
   

 

 

  
Total Municipal Obligations
(cost $205,835,985)		       204,677,124  
   

 

 

  
   
 
SHORT-TERM INVESTMENTS–0.3%  
Time Deposit–0.3%  

State Street Time Deposit
0.28%, 4/02/18
(cost $549,324)

     549       549,324  
   

 

 

  
Total Investments—97.5%
(cost $206,385,309)		       205,226,448  

Other assets less liabilities—2.5%

 

     5,223,124  
   

 

 

  
Net Assets—100.0%     $ 210,449,572  
   

 

 

  

 

(a)   Security in which significant unobservable inputs (Level 3) were used in determining fair value.
(b)   Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security is considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2018, the market value of this security amounted to $495,636 or 0.2% of net assets.
(c)   Illiquid security.
(d)   Non-income producing security.
(e)   Defaulted matured security.
(f)   Floating Rate Security. Stated interest/floor/ceiling rate was in effect at March 31, 2018.
(g)   Variable Rate Demand Notes are instruments whose interest rates change on a specific date (such as coupon date or interest payment date) or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). This instrument is payable on demand and is secured by letters of credit or other credit support agreements from major banks.

As of March 31, 2018, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 3.2% and 0.0%, respectively.

Glossary:

AGM—Assured Guaranty Municipal

BAM—Build American Mutual

ETM—Escrowed to Maturity

SRF—State Revolving Fund

See notes to financial statements.

 

4   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents

Sanford C. Bernstein Fund, Inc.

Schedule of Investments

Diversified Municipal Portfolio

March 31, 2018 (Unaudited)

 

Principal Amount (000)     U.S. $ Value  
MUNICIPAL OBLIGATIONS–99.7%  
Long-Term Municipal Bonds–94.2%  
Alabama–0.6%    

Alabama Federal Aid Highway Finance Authority
Series 2012
5.00%, 9/01/24
(Pre-refunded/ETM)

   $ 18,230     $ 20,494,895  

Series 2015
5.00%, 9/01/25

     1,390       1,608,008  

Alabama Public School & College Authority
Series 2014B
5.00%, 1/01/22

     3,200       3,547,008  

Birmingham Airport Authority
(Birmingham-Shuttlesworth Intl Airport)
AGM Series 2010
6.00%, 7/01/21

     5,510       6,008,986  

Water Works Board of the City of Birmingham (The)
Series 2010A
5.00%, 1/01/21–1/01/22

     13,295       14,380,588  
   

 

 

  
      46,039,485  
   

 

 

  
Alaska–0.8%    

Municipality of Anchorage AK
Series 2015B
5.00%, 9/01/21–9/01/24

     12,935       14,540,137  

Series 2015C
5.00%, 9/01/22–9/01/24

     7,370       8,372,713  

Series 2015D
5.00%, 9/01/21

     3,565       3,919,611  

State of Alaska
Series 2016A
5.00%, 8/01/22–8/01/27

     26,905       31,042,120  
   

 

 

  
      57,874,581  
   

 

 

  
Arizona–2.0%    

Arizona Board of Regents COP
(University of Arizona COP)
Series 2012C
5.00%, 6/01/25

     2,365       2,617,937  

Arizona Department of Transportation State Highway Fund Revenue
Series 2011A
5.00%, 7/01/24–7/01/25

     17,210       18,819,346  

 

   
Principal Amount (000)     U.S. $ Value  

Arizona Health Facilities Authority
(HonorHealth)
Series 2014A
5.00%, 12/01/23–12/01/24

   $ 2,770     $ 3,157,846  

Arizona Transportation Board
(Arizona Transportation Board Excise Tax)
Series 2016
5.00%, 7/01/20

     3,095       3,318,180  

City of Glendale AZ
(City of Glendale AZ Excise Tax)
Series 2015A
5.00%, 7/01/23–7/01/26

     33,315       38,278,953  

City of Phoenix Civic Improvement Corp.
Series 2010A
5.00%, 7/01/21
(Pre-refunded/ETM)

     4,085       4,375,852  

Series 2017A
5.00%, 7/01/29

     3,945       4,608,904  

City of Phoenix Civic Improvement Corp.
(Phoenix Sky Harbor International Airport)
Series 2010A
5.00%, 7/01/20

     3,140       3,362,124  

Series 2010C
5.00%, 7/01/23–7/01/25

     19,665       20,997,059  

County of Maricopa AZ COP
Series 2015
5.00%, 7/01/18

     3,290       3,317,735  

Salt River Project Agricultural Improvement & Power District
Series 2017A
5.00%, 1/01/29–1/01/31

     22,310       26,896,908  

Salt Verde Financial Corp.
(Citigroup, Inc.)
Series 2007
5.25%, 12/01/21

     1,430       1,577,261  

Tempe Industrial Development Authority
(Mirabella at ASU, Inc.)
Series 2017B
4.00%, 10/01/23(a)

     9,215       9,245,409  
   

 

 

  
      140,573,514  
   

 

 

  
California–6.9%    

California Econ Recovery
Series 2009A
5.00%, 7/01/19
(Pre-refunded/ETM)

     16,765       17,481,201  

5.00%, 7/01/20
(Pre-refunded/ETM)

     5,675       5,917,436  

5.25%, 7/01/21
(Pre-refunded/ETM)

     2,735       2,860,208  

 

Schedule of Investments—Diversified Municipal Portfolio     5  

Table of Contents
   
Principal Amount (000)     U.S. $ Value  

California State Public Works Board
(California State Public Works Board Lease)
Series 2014B
5.00%, 10/01/28

   $ 1,225     $ 1,403,580  

Series 2016
5.00%, 4/01/28–11/01/28

     21,990       25,955,547  

City of Los Angeles Department of Airports
(Los Angeles Intl Airport)
Series 2010D
5.00%, 5/15/22–5/15/23

     24,415       26,069,133  

Fresno Unified School District
NATL Series 2002A
6.00%, 2/01/20

     3,255       3,505,147  

Sacramento City Financing Authority
(Sacramento City Financing Authority Lease)
Series 1993B
5.40%, 11/01/20

     545       574,005  

San Francisco City & County Airport Comm-San Francisco International Airport
(San Francisco Intl Airport)
Series 2009E
5.25%, 5/01/22–5/01/23

     10,380       10,782,136  

Series 2011C
5.00%, 5/01/22

     5,880       6,413,139  

NATL Series 2006-32F
5.25%, 5/01/18

     3,700       3,711,100  

State of California
Series 2008
5.00%, 4/01/18

     5,000       5,000,000  

Series 2009
5.25%, 10/01/20

     5,085       5,368,082  

Series 2013
5.00%, 11/01/24–11/01/25

     43,465       49,953,989  

Series 2014
5.00%, 5/01/25–5/01/29

     130,465       149,861,753  

Series 2015
5.00%, 8/01/22

     15,765       17,750,917  

State of California Department of Water Resources Power Supply Revenue
Series 2010L
5.00%, 5/01/18–5/01/19

     155,220       159,996,397  
   

 

 

  
      492,603,770  
   

 

 

  
Colorado–1.0%    

Centerra Metropolitan District No 1
Series 2017
5.00%, 12/01/29(a)

     12,180       13,170,599  

City & County of Broomfield CO COP
Series 2010
5.00%, 12/01/18
(Pre-refunded/ETM)

     5,215       5,333,485  

5.00%, 12/01/20
(Pre-refunded/ETM)

     3,820       4,142,370  

 

   
Principal Amount (000)     U.S. $ Value  

City & County of Denver CO Airport System Revenue
Series 2016A
5.00%, 11/15/23

   $ 4,085     $ 4,681,492  

City & County of Denver CO Airport System Revenue
(Denver Intl Airport)
Series 2010A
5.00%, 11/15/21–11/15/22

     14,155       15,260,086  

Series 2011A
5.50%, 11/15/19

     2,290       2,425,110  

Series 2012A
5.00%, 11/15/22

     1,025       1,144,587  

City & County of Denver Co. Airport System Revenue
(Denver Intl Airport)
Series 2010A
5.00%, 11/15/23

     5,530       5,956,639  

Series 2012A
5.00%, 11/15/24

     5,605       6,240,719  

PV Water & Sanitation Metropolitan District
Series 2006
Zero Coupon, 12/15/17(b)(c)(d)

     13,168       2,765,280  

Regional Transportation District
(Denver Transit Partners LLC)
Series 2010
5.00%, 1/15/21

     2,800       2,991,688  

5.25%, 1/15/24–7/15/24

     7,745       8,244,064  

Stapleton Development Corp.
(Denver Urban Renewal Authority)
Series 2015B
5.00%, 12/01/19

     1,185       1,248,552  
   

 

 

  
      73,604,671  
   

 

 

  
Connecticut–3.2%    

City of Bridgeport CT
Series 2017A
5.00%, 11/01/23–11/01/28

     2,420       2,662,129  

Series 2017B
5.00%, 8/15/25–8/15/27

     12,950       14,420,045  

Series 2017C
5.00%, 8/15/24–8/15/28

     8,950       9,930,133  

Connecticut State Health & Educational Facilities Authority (Yale University)
Series 2017B-2
5.00%, 7/01/37

     22,840       24,492,246  

State of Connecticut
Series 2013A
5.00%, 10/15/21

     3,370       3,657,966  

Series 2014A
5.00%, 3/01/28

     6,360       6,950,462  

Series 2015B
5.00%, 6/15/32

     7,345       8,050,267  

Series 2015F
5.00%, 11/15/27

     1,570       1,754,004  

 

6   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
   
Principal Amount (000)     U.S. $ Value  

Series 2016A
5.00%, 3/15/20–3/15/29

   $ 68,735     $ 74,777,463  

Series 2016B
5.00%, 5/15/21

     17,090       18,405,588  

Series 2016E
5.00%, 10/15/24–10/15/25

     20,025       22,429,024  

Series 2016G
5.00%, 11/01/19

     4,845       5,067,240  

Series 2017A
5.00%, 4/15/22

     8,450       9,221,738  

Series 2017B
5.00%, 4/15/28

     2,515       2,861,517  

State of Connecticut Clean Water Fund–State Revolving Fund
Series 2017A
5.00%, 5/01/29–5/01/31

     12,000       14,206,110  

State of Connecticut Special Tax Revenue
Series 2012
5.00%, 1/01/22–1/01/24

     8,575       9,409,858  
   

 

 

  
      228,295,790  
   

 

 

  
Delaware–0.1%    

Delaware River & Bay Authority
Series 2014C
5.00%, 1/01/26–1/01/27

     5,470       6,141,177  
   

 

 

  
District of Columbia–1.3%    

District of Columbia
Series 2013A
5.00%, 6/01/25–6/01/27

     59,115       66,965,542  

District of Columbia
(District of Columbia Pers Income Tax)
Series 2012C
5.00%, 12/01/26

     5,545       6,234,299  

Metropolitan Washington Airports Authority
Series 2008A
5.50%, 10/01/18

     6,910       7,035,624  

Series 2010F-1
5.00%, 10/01/20

     11,905       12,863,591  
   

 

 

  
      93,099,056  
   

 

 

  
Florida–6.5%    

Brevard County School District COP
Series 2013A
5.00%, 7/01/21–7/01/22

     15,275       16,929,062  

Citizens Property Insurance Corp.
Series 2011A
5.00%, 6/01/20

     6,640       7,076,580  

Series 2011A-1

5.00%, 6/01/19

     15,975       16,566,874  

Series 2012A
5.00%, 6/01/22

     27,105       30,140,489  

Series 2012A-1
5.00%, 6/01/20–6/01/21

     20,875       22,399,273  

Series 2015A
5.00%, 6/01/22

     1,795       1,974,805  

 

   
Principal Amount (000)     U.S. $ Value  

City of Tampa FL Water & Wastewater System Revenue
Series 2011
5.00%, 10/01/26

   $ 3,895     $ 4,288,862  

Collier County School Board COP
Series 2015
5.00%, 2/15/19

     8,560       8,802,590  

County of Broward FL Airport System Revenue
(Fort Lauderdale Hollywood Intl Airport)
Series 2012Q
5.00%, 10/01/23

     5,000       5,575,600  

County of Lee FL Airport Revenue (Southwest Florida Intl Airport)
Series 2011A
5.50%, 10/01/23–10/01/24

     13,095       14,459,049  

5.625%, 10/01/25

     2,550       2,812,624  

County of Miami-Dade FL
Series 2015A
5.00%, 11/01/20–11/01/21

     7,205       7,880,101  

Series 2015B
5.00%, 7/01/22

     3,715       4,151,773  

County of Miami-Dade FL Aviation Revenue
Series 2015A
5.00%, 10/01/22–10/01/24

     4,975       5,606,266  

Durbin Crossing Community Development District
Series 2006-1
5.25%, 11/01/15(b)(c)(d)

     985       93,575  

Duval County School Board COP
Series 2015B
5.00%, 7/01/26

     4,280       4,935,782  

Florida Department of Environmental Protection
Series 2011B
5.00%, 7/01/20

     7,645       8,187,566  

Series 2012A
5.00%, 7/01/22

     10,225       11,436,049  

Florida Department of Management Services
(Florida Department of Management Services State Lease)
Series 2017A
5.00%, 9/01/18

     11,835       12,004,951  

Florida Municipal Power Agency
Series 2015B
5.00%, 10/01/24–10/01/28

     3,765       4,362,602  

Florida State Board of Education
(State of Florida)
Series 2014A
5.00%, 6/01/22

     3,545       3,972,031  

Series 2014B
5.00%, 6/01/18

     1,135       1,141,492  

Series 2017F
5.00%, 6/01/21

     2,775       3,042,121  

 

Schedule of Investments—Diversified Municipal Portfolio     7  

Table of Contents
   
Principal Amount (000)     U.S. $ Value  

Florida’s Turnpike Enterprise
Series 2016B
5.00%, 7/01/21–7/01/22

   $ 11,640     $ 12,856,236  

Greater Orlando Aviation Authority
Series 2017A
5.00%, 10/01/29–10/01/31

     13,335       15,400,368  

Hillsborough County School Board
(Hillsborough County School Board Sales Tax)
AGM Series 2015
5.00%, 10/01/23

     2,650       3,012,917  

Hillsborough County School Board COP
Series 2015
5.00%, 7/01/26

     1,480       1,709,933  

Hollywood Community Redevelopment Agency
Series 2015
5.00%, 3/01/20–3/01/23

     7,245       7,811,793  

JEA Water & Sewer System Revenue
Series 2014A
5.00%, 10/01/25
(Pre-refunded/ETM)

     1,565       1,803,193  

5.00%, 10/01/25

     1,495       1,734,350  

Series 2017A
5.00%, 10/01/26–10/01/27

     43,620       51,914,183  

Manatee County School District COP
Series 2016A
5.00%, 7/01/28–7/01/29

     14,010       15,623,429  

Martin County Industrial Development Authority
(Indiantown Cogeneration LP)
Series 2013
4.20%, 12/15/25(a)

     11,765       11,995,006  

North Broward Hospital District
Series 2017B
5.00%, 1/01/28–1/01/30

     8,410       9,350,770  

Orange County School Board COP
Series 2014A
5.00%, 8/01/28
(Pre-refunded/ETM)

     25,075       29,232,686  

5.00%, 8/01/29
(Pre-refunded/ETM)

     21,280       24,808,437  

Overoaks Community Development District
Series 2004B
5.125%, 5/01/09(b)(c)(d)

     510       43,350  

Series 2010A-1
6.125%, 5/01/35

     210       210,265  

Series 2010A-2
6.125%, 5/01/35

     475       475,599  

Parkway Center Community Development District
Series 2004B
7.00%, 5/01/23

     240       245,194  

 

   
Principal Amount (000)     U.S. $ Value  

Reedy Creek Improvement District
Series 2013A
5.00%, 6/01/21

   $ 1,820     $ 1,993,428  

Sarasota County School Board COP
Series 2010B
5.00%, 7/01/18

     2,350       2,370,280  

South Broward Hospital District
Series 2015
5.00%, 5/01/27

     3,350       3,804,025  

South Miami Health Facilities Authority
(Baptist Health South Florida Obligated Group)
Series 2017
5.00%, 8/15/31

     5,000       5,771,400  

St Lucie County School Board
(St Lucie County School Board Sales Tax)
AGM Series 2015
5.00%, 10/01/22

     3,150       3,504,060  

State of Florida
Series 2012B
5.00%, 7/01/18

     8,460       8,532,756  

State of Florida Lottery Revenue
Series 2016B
5.00%, 7/01/18

     3,130       3,157,012  

Series 2017A
5.00%, 7/01/25–7/01/26

     33,605       39,881,667  

Tampa Bay Water
Series 2011A
5.00%, 10/01/23

     2,050       2,254,385  

Tampa Sports Authority
(Tampa Sports Authority Sales Tax)
Series 2015
5.00%, 1/01/21

     3,490       3,779,844  

Tohopekaliga Water Authority
Series 2016
5.00%, 10/01/24–10/01/25

     4,750       5,548,985  
   

 

 

  
      466,665,668  
   

 

 

  
Georgia–1.6%  

City of Atlanta Department of Aviation (Hartsfield Jackson Atlanta Intl Airport)
Series 2010B
5.00%, 1/01/20–1/01/22

     22,650       23,894,982  

Series 2010C
5.00%, 1/01/19

     5,000       5,123,300  

5.25%, 1/01/20

     6,500       6,886,685  

5.50%, 1/01/21

     7,500       8,231,100  

5.75%, 1/01/22–1/01/23

     20,000       22,158,060  

5.875%, 1/01/24

     2,925       3,243,503  

Series 2014A
5.00%, 1/01/28

     12,250       13,906,935  

City of Atlanta GA
Series 2015
5.00%, 12/01/18

     2,550       2,607,757  

 

8   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
   
Principal Amount (000)     U.S. $ Value  

Forsyth County School District
Series 2013
5.00%, 2/01/21

   $ 1,625     $ 1,769,105  

Glynn County School District
Series 2016
5.00%, 8/01/18

     1,195       1,208,587  

Gwinnett County School District
Series 2016
3.00%, 2/01/19

     12,430       12,580,652  

Main Street Natural Gas, Inc.
(Royal Bank of Canada)
Series 2018A
4.00%, 4/01/48

     10,910       11,613,695  
   

 

 

  
      113,224,361  
   

 

 

  
Hawaii–0.9%    

City & County Honolulu HI Wastewater System Revenue
Series 2009A
5.00%, 7/01/21
(Pre-refunded/ETM)

     3,690       3,840,626  

5.00%, 7/01/22
(Pre-refunded/ETM)

     3,210       3,343,054  

Series 2010A
5.00%, 7/01/24

     16,500       17,603,190  

State of Hawaii
Series 2015E
5.00%, 10/01/22–10/01/23

     28,840       32,739,743  

Series 2016F
5.00%, 10/01/20–10/01/25

     9,755       11,081,289  
   

 

 

  
      68,607,902  
   

 

 

  
Idaho–0.1%    

Idaho Housing & Finance Association
(State of Idaho Fed Hwy Grant)
Series 2015A
5.00%, 7/15/21–7/15/23

     6,915       7,675,809  
   

 

 

  
Illinois–4.8%    

Chicago Board of Education
Series 2017F
5.00%, 12/01/23

     7,000       7,449,610  

Chicago O’Hare International Airport
Series 2016C
5.00%, 1/01/27

     3,020       3,479,584  

Chicago Transit Authority
Series 2017
5.00%, 6/01/22

     7,460       8,195,009  

County of Du Page IL
Series 1993
5.60%, 1/01/21

     3,690       3,929,813  

Illinois Finance Authority
(Adventist Health System/Sunbelt Obligated Group)
NATL Series 1997B
4.663%, 1/01/19(e) CPIYOYX + 2.10%

     3,145       3,190,162  

 

   
Principal Amount (000)     U.S. $ Value  

Illinois Finance Authority
(OSF Healthcare System Obligated Group)
Series 2015A
5.00%, 11/15/20–11/15/28

   $ 4,745     $ 5,230,491  

Illinois Municipal Electric Agency
Series 2015A
5.00%, 2/01/27–2/01/29

     42,820       48,855,237  

Illinois State Toll Highway Authority
Series 2014A
5.00%, 12/01/20–12/01/22

     33,375       36,637,866  

Series 2014D
5.00%, 1/01/23

     1,165       1,306,687  

Metropolitan Pier & Exposition Authority
Series 2012B
5.00%, 12/15/20–12/15/28

     24,425       25,595,977  

5.00%, 6/15/23
(Pre-refunded/ETM)

     565       630,280  

Metropolitan Water Reclamation District of Greater Chicago
Series 2015D
5.00%, 12/01/20

     8,320       8,974,701  

Railsplitter Tobacco Settlement Authority
Series 2017
5.00%, 6/01/22

     9,240       10,158,733  

Regional Transportation Authority
(Regional Transportation Authority Sales Tax)
NATL Series 1994C
7.75%, 6/01/20

     560       598,119  

State of Illinois
Series 2010
5.00%, 1/01/19

     10,000       10,169,500  

Series 2012
5.00%, 8/01/21–8/01/25

     22,260       23,115,357  

Series 2013
5.00%, 7/01/19–7/01/20

     12,290       12,653,131  

5.50%, 7/01/24

     5,405       5,803,294  

Series 2013A
5.00%, 4/01/23

     4,390       4,584,916  

Series 2014
5.00%, 5/01/22–5/01/27

     45,185       47,060,802  

Series 2016

5.00%, 2/01/22–2/01/24

     24,835       25,887,415  

Series 2017A
5.00%, 12/01/24

     8,590       8,970,022  

Series 2017D
5.00%, 11/01/24

     32,725       34,176,681  

State of Illinois
(State of Illinois Ded Tax)
AMBAC Series 1991
6.25%, 12/15/20

     1,245       1,295,634  

 

Schedule of Investments—Diversified Municipal Portfolio     9  

Table of Contents
   
Principal Amount (000)     U.S. $ Value  

State of Illinois
(State of Illinois Sales Tax)
Series 2016A
4.00%, 6/15/19

   $ 5,090     $ 5,213,636  

Series 2016C
5.00%, 6/15/22

     2,525       2,781,464  

Town of Cortland IL
(Town of Cortland IL Spl Tax)
Series 2006
5.50%, 3/01/17(b)(c)(d)

     5,078       997,827  
   

 

 

  
      346,941,948  
   

 

 

  
Iowa–0.1%    

Iowa Finance Authority
(Iowa Finance Authority SRF)
Series 2015
5.00%, 8/01/18

     5,610       5,674,571  
   

 

 

  
Kansas–0.3%    

City of Junction City KS
Series 2016A
5.00%, 9/01/20–9/01/23

     14,160       15,610,089  

City of Wichita KS Water & Sewer Utility Revenue
Series 2016B
5.00%, 10/01/18–10/01/19

     5,255       5,405,416  
   

 

 

  
      21,015,505  
   

 

 

  
Kentucky–2.0%    

Kentucky Economic Development Finance Authority
(Baptist Healthcare System Obligated Group)
Series 2017B
5.00%, 8/15/29

     1,000       1,121,420  

Kentucky Economic Development Finance Authority
(Owensboro Health, Inc. Obligated Group)
Series 2017A
5.00%, 6/01/28–6/01/30

     8,620       9,576,978  

Kentucky Public Energy Authority
(Morgan Stanley)
Series 2018A
4.00%, 4/01/48

     87,215       92,854,322  

Kentucky Turnpike Authority
Series 2012A
5.00%, 7/01/26
(Pre-refunded/ETM)

     8,490       9,513,894  

Series 2016A
5.00%, 7/01/21–7/01/27

     19,425       22,197,989  

Louisville & Jefferson County Metropolitan Sewer District
Series 2017A
5.00%, 5/15/19

     5,730       5,938,801  
   

 

 

  
      141,203,404  
   

 

 

  

 

   
Principal Amount (000)     U.S. $ Value  
Louisiana–0.5%    

Consolidated Government of the City of Baton Rouge & Parish of East Baton Rouge
(City of Baton Rouge/Parish of East Baton Rouge LA Sales Tax)
Series 2015
5.00%, 8/01/27–8/01/28

   $ 8,985     $ 10,313,634  

Louisiana Local Government Environmental
Facilities & Community Development Auth
Series 2010
5.00%, 10/01/21
(Pre-refunded/ETM)

     6,415       6,918,449  

5.00%, 10/01/25
(Pre-refunded/ETM)

     2,000       2,156,960  

Series 2010A
5.00%, 10/01/23
(Pre-refunded/ETM)

     7,720       8,325,866  

Orange Grove Community Development District
Series 2006
5.30%, 11/01/21(b)(d)(f)

     1,695       288,150  

St Tammany Parish Finance Authority
(Christwood)
Series 2015
5.25%, 11/15/29

     1,200       1,309,704  

State of Louisiana Gasoline & Fuels Tax Revenue
Series 2015B
5.00%, 5/01/25

     3,250       3,785,470  
   

 

 

  
      33,098,233  
   

 

 

  
Maine–0.0%  

Maine Municipal Bond Bank
Series 2014A
5.00%, 9/01/25

     1,000       1,140,230  
   

 

 

  
Maryland–1.0%  

City of Baltimore MD
Series 2017B
5.00%, 10/15/24–10/15/27

     26,185       31,072,123  

City of Baltimore MD
(Baltimore Hotel Corp.)
Series 2017
5.00%, 9/01/25–9/01/26

     2,000       2,297,970  

County of Anne Arundel MD
Series 2013
5.00%, 4/01/20

     4,415       4,701,313  

State of Maryland
Series 2014B
5.00%, 8/01/20

     17,930       19,265,785  

Series 2016E
5.00%, 6/01/19

     10,240       10,638,746  

University System of Maryland
Series 2017A
5.00%, 4/01/21

     1,125       1,229,827  
   

 

 

  
      69,205,764  
   

 

 

  

 

10   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
   
Principal Amount (000)     U.S. $ Value  
Massachusetts–2.4%  

Commonwealth of Massachusetts
Series 2013A
5.00%, 4/01/18

   $ 2,060     $ 2,060,000  

Series 2013B
5.00%, 8/01/20

     26,465       28,430,555  

Series 2014C
5.00%, 8/01/20

     1,045       1,122,612  

Series 2016B
5.00%, 7/01/23

     3,865       4,412,554  

Series 2017C
5.00%, 10/01/22–10/01/26

     30,895       35,934,074  

AGM Series 2006C
2.951%, 11/01/19(e) CPIYOYX + 0.88%

     1,815       1,831,571  

NATL Series 2000F
2.611%, 12/01/30(g)

     6,700       6,680,436  

NATL Series 2000E
2.551%, 12/01/30(g)

     7,750       7,727,370  

Commonwealth of Massachusetts
(Commonwealth of Massachusetts Fuel Tax)
Series 2013
5.00%, 6/15/20

     1,040       1,112,145  

Series 2014
5.00%, 6/15/20

     7,170       7,667,383  

Massachusetts Development Finance Agency
(Partners Healthcare System, Inc.)
Series 2017S
5.00%, 7/01/25–7/01/31

     49,110       57,721,828  

Massachusetts Health & Educational Facilities Authority
(President & Fellows of Harvard College)
Series 1991N
6.25%, 4/01/20

     2,820       3,072,898  

Massachusetts School Building Authority
(Massachusetts School Building Authority Sales Tax)
Series 2012A
5.00%, 8/15/22–8/15/23

     10,680       12,000,860  
   

 

 

  
      169,774,286  
   

 

 

  
Michigan–3.2%  

City of Detroit MI Sewage Disposal System Revenue
(Great Lakes Water Authority Sewage Disposal System)
Series 2012A
5.00%, 7/01/19–7/01/20

     20,980       21,942,790  

Great Lakes Water Authority
(Great Lakes Water Authority Water Supply System)
Series 2016C
5.00%, 7/01/24–7/01/25

     12,505       14,314,261  

 

   
Principal Amount (000)     U.S. $ Value  

Lake Orion Community School District
Series 2016
5.00%, 5/01/24

   $ 2,915     $ 3,339,424  

Michigan Finance Authority
(City of Detroit MI Income Tax)
Series 2015F
3.40%, 10/01/20

     500       508,510  

3.60%, 10/01/21

     500       512,725  

3.80%, 10/01/22

     500       515,000  

3.875%, 10/01/23

     2,000       2,057,360  

4.00%, 10/01/24

     3,000       3,148,710  

4.50%, 10/01/29

     12,065       12,774,784  

Michigan Finance Authority
(Great Lakes Water Authority Sewage Disposal System)
AGM Series 2014C
5.00%, 7/01/25–7/01/27

     39,940       45,110,683  

Michigan Finance Authority
(Great Lakes Water Authority Water Supply System)
AGM Series 2014D2
5.00%, 7/01/24–7/01/27

     54,330       61,448,750  

Michigan Finance Authority
(Public Lighting Authority)
Series 2014B
5.00%, 7/01/27

     4,990       5,485,607  

Michigan Finance Authority
(Trinity Health Credit Group)
Series 2015
5.00%, 12/01/23–12/01/25

     13,075       15,043,271  

5.50%, 12/01/26–12/01/27

     7,220       8,588,813  

South Lyon Community Schools
Series 2016
5.00%, 5/01/22

     3,060       3,402,475  

State of Michigan Trunk Line Revenue
Series 2009
5.00%, 11/01/19–11/01/23

     11,510       12,092,789  

University of Michigan
Series 2017A
5.00%, 4/01/20

     1,670       1,779,318  

Walled Lake Consolidated School District
Series 2015
5.00%, 5/01/20

     4,635       4,929,230  

Wayne State University
Series 2009A
5.00%, 11/15/21
(Pre-refunded/ETM)

     1,190       1,251,166  

5.00%, 11/15/21–11/15/23

     6,125       6,412,476  

5.00%, 11/15/22
(Pre-refunded/ETM)

     4,380       4,605,132  

5.00%, 11/15/23
(Pre-refunded/ETM)

     2,405       2,528,617  
   

 

 

  
    231,791,891  
   

 

 

  

 

Schedule of Investments—Diversified Municipal Portfolio     11  

Table of Contents
   
Principal Amount (000)     U.S. $ Value  
Minnesota–0.4%  

City of Minneapolis MN
Series 2017
4.00%, 12/01/19

   $ 7,710     $ 8,004,213  

State of Minnesota
Series 2015B
5.00%, 8/01/22

     3,745       4,210,129  

Series 2016B
5.00%, 8/01/19

     10,000       10,439,300  

Stillwater Independent School District No. 834
Series 2015A
5.00%, 2/01/24

     4,190       4,811,000  
   

 

 

  
    27,464,642  
   

 

 

  
Missouri–0.2%  

Cape Girardeau County Industrial Development Authority
(SoutheastHEALTH Obligated Group)
Series 2017A
5.00%, 3/01/25–3/01/28

     2,820       3,140,463  

City of Springfield MO Public Utility Revenue
Series 2012
5.00%, 12/01/18–12/01/19

     7,290       7,494,598  

Missouri Joint Municipal Electric Utility Commission
Series 2014
5.00%, 1/01/25

     2,630       3,018,056  
   

 

 

  
    13,653,117  
   

 

 

  
Montana–0.2%  

Montana Facility Finance Authority
(Benefis Health System Obligated Group)
Series 2016
5.00%, 2/15/25–2/15/28

     15,015       17,398,819  
   

 

 

  
Nevada–3.6%  

City of Las Vegas NV
Series 2015C
5.00%, 9/01/20–9/01/26

     18,625       20,809,582  

Clark County School District
Series 2008A

    

5.00%, 6/15/21
(Pre-refunded/ETM)

     5,000       5,035,000  

Series 2015A
5.00%, 6/15/18

     70,485       70,959,364  

Series 2015B
5.00%, 6/15/22

     17,785       19,741,528  

Series 2016D
5.00%, 6/15/24

     26,915       30,590,782  

County of Clark Department of Aviation
(Las Vegas-McCarran International Airport)
AGM Series 2009C
5.00%, 7/01/24

     9,175       9,543,743  

 

   
Principal Amount (000)     U.S. $ Value  

County of Clark NV
Series 2015A
5.00%, 7/01/18

   $ 8,955     $ 9,031,565  

Series 2016A
5.00%, 11/01/24

     7,080       8,221,863  

Series 2016B
5.00%, 11/01/18–11/01/23

     26,280       28,763,908  

Series 2017
5.00%, 6/01/24

     6,500       7,502,625  

County of Clark NV
(County of Clark NV Fuel Tax)
Series 2011
5.00%, 7/01/19

     8,390       8,734,577  

Las Vegas Valley Water District
Series 2015B
4.00%, 12/01/18

     4,240       4,308,561  

Series 2016B
5.00%, 6/01/28

     4,590       5,413,676  

State of Nevada
Series 2014A
5.00%, 4/01/21

     15,245       16,628,331  

Series 2015D
5.00%, 4/01/23

     10,205       11,544,304  
   

 

 

  
    256,829,409  
   

 

 

  
New Jersey–5.8%  

New Jersey Economic Development Authority
Series 2011EE
5.00%, 9/01/20
(Pre-refunded/ETM)

     4,640       4,992,176  

5.50%, 9/01/21
(Pre-refunded/ETM)

     990       1,088,970  

Series 2011G
5.00%, 9/01/20
(Pre-refunded/ETM)

     2,605       2,796,311  

Series 2013NN
5.00%, 3/01/20
(Pre-refunded/ETM)

     1,530       1,623,330  

New Jersey Economic Development Authority
(College Avenue Redevelopment Associates LLC)
Series 2013
5.00%, 6/15/25–6/15/26

     4,500       5,087,145  

New Jersey Economic Development Authority
(New Jersey Economic Development Authority State Lease)
Series 2011EE
5.00%, 9/01/20

     1,720       1,817,077  

5.50%, 9/01/21

     370       397,410  

Series 2011G
5.00%, 9/01/20

     290       306,368  

Series 2013
5.00%, 3/01/20

     13,965       14,596,218  

 

12   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
   
Principal Amount (000)     U.S. $ Value  

Series 2014P
5.00%, 6/15/20

   $ 1,425     $ 1,499,499  

Series 2014U
5.00%, 6/15/20–6/15/21

     14,200       15,078,824  

Series 2015X
5.00%, 6/15/19

     10,585       10,931,235  

Series 2017B
5.00%, 11/01/20–11/01/21

     33,960       36,336,634  

Series 2018A
5.00%, 6/15/32–6/15/33

     11,055       11,956,443  

Series 2018C
5.00%, 6/15/32–6/15/33

     4,995       5,406,233  

AMBAC Series 2005K
5.25%, 12/15/20

     2,340       2,505,649  

New Jersey Economic Development Authority
(NYNJ Link Borrower LLC)
Series 2013
5.00%, 1/01/22

     1,075       1,172,470  

5.50%, 1/01/26–1/01/27

     2,000       2,276,560  

New Jersey Economic Development Authority
(Port Newark Container Terminal LLC)
Series 2017
5.00%, 10/01/21–10/01/25

     9,515       10,495,190  

New Jersey Environmental Infrastructure Trust
Series 2015
5.00%, 9/01/20–9/01/22

     23,625       26,005,948  

New Jersey Health Care Facilities Financing Authority
(New Jersey Health Care Facilities Financing Authority State Lease)
Series 2017
5.00%, 10/01/24–10/01/26

     11,055       12,107,013  

New Jersey Health Care Facilities Financing Authority
(Trinitas Regional Medical Center Obligated Group)
Series 2017A
5.00%, 7/01/20–7/01/21

     3,750       4,018,747  

New Jersey Transit Corp.
Series 2014A
5.00%, 9/15/19–9/15/21

     44,100       46,446,871  

New Jersey Transportation Trust Fund Authority
(New Jersey Transportation Trust Fund Authority State Lease)
Series 2006A
5.25%, 12/15/20

     3,730       3,985,990  

5.50%, 12/15/21

     6,155       6,730,431  

Series 2011B
5.00%, 6/15/20

     1,310       1,378,487  

Series 2013A
5.00%, 6/15/20

     3,960       4,167,029  

 

   
Principal Amount (000)     U.S. $ Value  

New Jersey Turnpike Authority
Series 2012B
5.00%, 1/01/26–1/01/27

   $ 12,700     $ 14,087,032  

Series 2014A
5.00%, 1/01/27–1/01/29

     75,940       86,160,143  

Series 2014C
5.00%, 1/01/24

     14,720       16,778,739  

Series 2017B

5.00%, 1/01/29–1/01/31

     39,985       47,102,940  

AGM Series 2005D-3
5.25%, 1/01/26

     14,770       17,421,363  
   

 

 

  
    416,754,475  
   

 

 

  
New York–12.7%  

City of New York NY
Series 2009C
5.00%, 8/01/20–8/01/22

     15,190       15,841,013  

Series 2010B
5.00%, 8/01/19

     12,225       12,757,154  

Series 2013B
5.00%, 8/01/19

     34,575       36,080,050  

Series 2013I
5.00%, 8/01/19

     7,260       7,576,028  

Series 2013J
5.00%, 8/01/19–8/01/20

     16,575       17,342,673  

Series 2014A
5.00%, 8/01/27

     1,130       1,295,771  

Series 2015A
5.00%, 8/01/22–8/01/23

     12,040       13,520,116  

Series 2015B
5.00%, 8/01/23

     6,370       7,251,544  

County of Nassau NY
Series 2017C
5.00%, 10/01/26

     8,840       10,352,170  

Metropolitan Transportation Authority
Series 2012D
5.00%, 11/15/28

     6,890       7,655,548  

Series 2012E
5.00%, 11/15/24
(Pre-refunded/ETM)

     6,055       6,857,832  

Series 2012F
5.00%, 11/15/22–11/15/26

     55,610       62,051,184  

Series 2012H
5.00%, 11/15/26
(Pre-refunded/ETM)

     3,335       3,777,188  

5.00%, 11/15/26

     2,730       3,053,587  

Series 2013B
5.00%, 11/15/26
(Pre-refunded/ETM)

     9,505       10,963,447  

Series 2014A
5.00%, 11/15/26
(Pre-refunded/ETM)

     4,205       4,850,215  

5.00%, 11/15/27
(Pre-refunded/ETM)

     4,040       4,659,898  

Series 2014C
5.00%, 11/15/27
(Pre-refunded/ETM)

     5,000       5,864,300  

 

Schedule of Investments—Diversified Municipal Portfolio     13  

Table of Contents
   
Principal Amount (000)     U.S. $ Value  

Series 2017C
5.00%, 11/15/30–11/15/31

   $ 79,840     $ 93,741,987  

AGC Series 2003B
5.25%, 11/15/20

     8,415       9,144,581  

Metropolitan Transportation Authority
(Metropolitan Transportation Authority Ded Tax)
Series 2012A
5.00%, 11/15/27

     4,505       5,053,664  

New York City Transitional Finance Authority Future Tax Secured Revenue
Series 2011A
5.00%, 11/01/22–11/01/25

     34,430       38,090,336  

Series 2011C
5.00%, 11/01/19–11/01/25

     23,420       25,591,808  

Series 2012A
5.00%, 8/01/25

     12,345       13,774,921  

Series 2012B
5.00%, 11/01/23–11/01/26

     55,535       62,365,410  

Series 2012E
5.00%, 11/01/21

     8,545       9,456,922  

Series 2015C
5.00%, 11/01/18

     2,090       2,131,654  

Series 2017
5.00%, 11/01/26

     5,570       6,629,525  

Series 2017B
5.00%, 8/01/30–8/01/31

     18,535       21,866,665  

New York State Dormitory Authority
Series 2009G
5.00%, 3/15/19
(Pre-refunded/ETM)

     2,900       2,993,699  

5.00%, 3/15/20
(Pre-refunded/ETM)

     8,465       8,738,504  

5.00%, 3/15/21
(Pre-refunded/ETM)

     2,500       2,580,775  

New York State Dormitory Authority
(New York State Dormitory Authority Lease)
Series 2009A
5.00%, 7/01/19–7/01/24

     25,150       26,183,899  

New York State Dormitory Authority
(New York University)
NATL Series 1998A
6.00%, 7/01/18

     2,865       2,896,458  

New York State Dormitory Authority
(State of New York Pers Income Tax)
Series 2011E
5.00%, 8/15/21

     3,880       4,275,721  

Series 2012A
5.00%, 12/15/22

     20,745       23,453,260  

Series 2012B
5.00%, 3/15/22

     21,800       24,280,622  

Series 2013A
5.00%, 2/15/20

     4,635       4,913,007  

 

   
Principal Amount (000)     U.S. $ Value  

Series 2014C
5.00%, 3/15/27

   $ 2,015     $ 2,302,641  

Series 2017A
5.00%, 2/15/21

     70,310       76,526,107  

Series 2017B
5.00%, 2/15/29

     17,975       21,343,155  

New York State Energy Research & Development Authority
(Consolidated Edison Co. of
New York, Inc.)
AMBAC Series 2001A
2.215%, 5/01/34(g)

     6,800       6,527,728  

AMBAC Series 2001B
2.451%, 10/01/36(g)

     11,000       10,559,230  

2.589%, 10/01/36(g)

     11,425       10,967,200  

XLCA Series 2004A
2.187%, 1/01/39(g)

     10,000       9,599,400  

New York State Thruway Authority
(New York State Thruway Authority Ded Tax)
Series 2012A
5.00%, 4/01/23

     17,940       20,032,880  

New York State Thruway Authority
(New York State Thruway Authority Gen Toll Road)
Series 2013A
5.00%, 5/01/19

     3,055       3,163,178  

New York State Thruway Authority
(New York State Thruway Authority Service Contract)
Series 2009
5.00%, 4/01/18

     10,000       10,000,000  

New York State Urban Development Corp.
(State of New York Pers Income Tax)
Series 2013C
5.00%, 3/15/25–3/15/26

     63,625       71,750,681  

Series 2013D
5.00%, 3/15/23

     32,000       36,244,480  

Series 2016A
5.00%, 3/15/24

     4,010       4,616,031  

New York Transportation Development Corp.
(American Airlines, Inc.)
Series 2016
5.00%, 8/01/19

     4,100       4,236,161  

Port Authority of New York &
New Jersey
Series 2013-178
5.00%, 12/01/28

     3,335       3,722,060  
   

 

 

  
      911,504,068  
   

 

 

  
North Carolina–0.2%  

North Carolina Eastern Municipal Power Agency
Series 1988A
6.00%, 1/01/26
(Pre-refunded/ETM)

     1,720       1,971,653  

 

14   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
   
Principal Amount (000)     U.S. $ Value  

Series 2012B
5.00%, 1/01/21
(Pre-refunded/ETM)

   $ 13,270     $ 14,409,230  
   

 

 

  
      16,380,883  
   

 

 

  
North Dakota–0.1%  

County of Ward ND
(Trinity Health Obligated Group)
Series 2017C
5.00%, 6/01/28–6/01/30

     5,000       5,600,170  
   

 

 

  
Ohio–3.5%  

City of Columbus OH
Series 2013-1
5.00%, 7/01/20

     4,580       4,907,149  

County of Allen OH Hospital Facilities Revenue
(Mercy Health/OH)
Series 2017A
5.00%, 8/01/26–8/01/28

     20,420       23,937,051  

County of Cuyahoga OH
(County of Cuyahoga OH Lease)
Series 2010F
5.00%, 12/01/19–12/01/24

     93,725       101,051,529  

County of Cuyahoga OH
(MetroHealth System (The))
Series 2017
5.00%, 2/15/26–2/15/27

     5,455       6,048,755  

County of Franklin OH
(Nationwide Children’s Hospital, Inc.)
Series 2017A
5.00%, 11/01/29–11/01/31

     3,100       3,665,656  

Hamilton County Convention Facilities Authority
(Hamilton County Convention Facilities Authority Lease)
Series 2014
5.00%, 12/01/22–12/01/23

     3,440       3,832,535  

Ohio Air Quality Development Authority
(FirstEnergy Nuclear Generation LLC)
Series 2009A
4.375%, 6/01/33

     2,330       2,037,748  

Ohio Water Development Authority Water Pollution Control Loan Fund
(FirstEnergy Corp.)
Series 2016B
4.375%, 6/01/33

     6,325       5,531,655  

State of Ohio
Series 2011A
5.00%, 8/01/20–8/01/21

     57,430       62,226,052  

State of Ohio Major New State Infrastrucure Project
Series 20181
4.00%, 12/15/19(h)

     19,880       20,603,831  

5.00%, 12/15/20(h)

     8,675       9,379,063  

 

   
Principal Amount (000)     U.S. $ Value  

University of Cincinnati
Series 2010F
5.00%, 6/01/20–6/01/21

   $ 6,795     $ 7,270,573  

University of Toledo
Series 2010
5.00%, 6/01/21

     2,610       2,774,169  
   

 

 

  
      253,265,766  
   

 

 

  
Oklahoma–0.2%  

Comanche County Memorial Hospital
Series 2015
5.00%, 7/01/20–7/01/28

     9,270       9,769,175  

McGee Creek Authority
NATL Series 1992
6.00%, 1/01/23

     2,280       2,483,969  
   

 

 

  
      12,253,144  
   

 

 

  
Oregon–0.5%  

City of Portland OR Sewer System Revenue
Series 2013A
5.00%, 8/01/22

     8,685       9,755,947  

Hospital Facilities Authority of Multnomah County Oregon
(Mirabella at South Waterfront)
Series 2014A
5.00%, 10/01/24

     1,000       1,099,260  

Port of Portland OR
(Portland Intl Airport)
Series 2010-20C
5.00%, 7/01/23

     1,405       1,495,426  

State of Oregon Department of Administrative Services
Series 2009D
5.00%, 11/01/21
(Pre-refunded/ETM)

     4,025       4,226,974  

5.00%, 11/01/22
(Pre-refunded/ETM)

     3,120       3,276,562  

5.00%, 11/01/23
(Pre-refunded/ETM)

     1,115       1,170,951  

State of Oregon Department of Administrative Services COP
Series 2009D
5.00%, 11/01/21–11/01/23

     10,275       10,788,472  

Tri-County Metropolitan Transportation District of Oregon
Series 2018A
5.00%, 10/01/28

     2,335       2,755,580  
   

 

 

  
      34,569,172  
   

 

 

  
Pennsylvania–7.2%    

Allegheny County Sanitary Authority
Series 2015
5.00%, 12/01/23

     3,500       3,982,895  

 

Schedule of Investments—Diversified Municipal Portfolio     15  

Table of Contents
   
Principal Amount (000)     U.S. $ Value  

Beaver County Industrial Development Authority
(FirstEnergy Nuclear Generation LLC)
Series 2016A
4.375%, 1/01/35

   $ 2,120     $ 1,854,025  

City of Philadelphia PA
Series 2013A
5.00%, 7/15/19–7/15/21

     4,495       4,816,180  

AGM Series 2017A
5.00%, 8/01/27–8/01/32

     46,290       53,470,620  

City of Philadelphia PA Airport Revenue
(Philadelphia Intl Airport)
Series 2010A
5.00%, 6/15/21

     6,225       6,624,832  

Series 2010D
5.00%, 6/15/19–6/15/20

     18,065       18,940,470  

Series 2011A
5.00%, 6/15/19

     4,025       4,176,139  

City of Philadelphia PA Water & Wastewater Revenue
Series 2016
5.00%, 10/01/24–10/01/26

     17,425       20,289,218  

Commonwealth of Pennsylvania
Series 2016
5.00%, 9/15/24

     9,575       10,888,690  

Series 2017
5.00%, 1/01/25–1/01/27

     135,480       154,555,616  

Hospitals & Higher Education Facilities Authority of Philadelphia (The)
(Temple University Health System Obligated Group)
Series 2017
5.00%, 7/01/25

     6,000       6,648,120  

Montgomery County Higher Education & Health Authority
(Philadelphia Presbytery Homes Obligated Group)
Series 2017
5.00%, 12/01/27–12/01/32

     5,000       5,586,912  

Pennsylvania Economic Development Financing Authority
(Commonwealth of Pennsylvania Unemployment)
Series 2012A
5.00%, 7/01/18–7/01/19

     27,985       28,958,744  

Pennsylvania Economic Development Financing Authority
(PA Bridges Finco LP)
Series 2015
5.00%, 6/30/26–12/31/28

     51,190       57,443,375  

Pennsylvania Turnpike Commission
Series 2009B
5.00%, 6/01/18–6/01/19

     23,775       24,213,945  

 

   
Principal Amount (000)     U.S. $ Value  

5.00%, 6/01/20
(Pre-refunded/ETM)

   $ 5,425     $ 5,632,398  

Series 2017B
5.00%, 6/01/28–6/01/30

     13,255       15,033,342  

Philadelphia Parking Authority (The)
(Philadelphia Airport Parking)
Series 2009
5.00%, 9/01/18–9/01/20

     24,730       26,069,053  

5.125%, 9/01/22

     9,080       9,693,536  

Southeastern Pennsylvania Transportation Authority
Series 2010
5.00%, 3/01/23
(Pre-refunded/ETM)

     3,870       4,098,562  

5.00%, 3/01/23–3/01/24

     2,830       2,995,719  

5.00%, 3/01/24
(Pre-refunded/ETM)

     5,545       5,872,488  

State Public School Building Authority
(School District of Philadelphia (The))
Series 2016D
5.00%, 9/01/24

     8,360       9,395,804  

Series 2016F
5.00%, 9/01/23–9/01/24

     29,155       32,715,054  
   

 

 

  
      513,955,737  
   

 

 

  
Puerto Rico–0.1%    

Puerto Rico Sales Tax Financing Corp.
Series 2009A
5.375%, 8/01/20
(Pre-refunded/ETM)

     10,315       10,810,326  
   

 

 

  
Rhode Island–0.5%    

Rhode Island Commerce Corp.
Series 2016B
5.00%, 6/15/27

     10,565       12,392,217  

Rhode Island Depositors Economic Protection Corp.
Series 1993A
6.375%, 8/01/22
(Pre-refunded/ETM)

     5,780       6,802,135  

AGM Series 1993A
5.50%, 8/01/20
(Pre-refunded/ETM)

     1,500       1,610,430  

Tobacco Settlement Financing
Corp./RI
Series 2015A
5.00%, 6/01/21–6/01/23

     14,635       16,262,858  
   

 

 

  
      37,067,640  
   

 

 

  
South Carolina–0.1%    

Kershaw County School District/SC
Series 2015
5.00%, 12/01/21

     1,185       1,293,641  

 

16   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
   
Principal Amount (000)     U.S. $ Value  

SCAGO Educational Facilities Corp. for Pickens School District
(SCAGO Educational Facilities Corp. for Pickens School District Lease)
Series 2015
5.00%, 12/01/22–12/01/27

   $ 7,000     $ 7,965,350  
   

 

 

  
      9,258,991  
   

 

 

  
South Dakota–0.1%  

South Dakota Health & Educational Facilities Authority
(Regional Health System Obligated Group/SD)
Series 2017
5.00%, 9/01/29–9/01/30

     7,025       8,112,717  
   

 

 

  
Tennessee–0.9%  

Tennessee Energy Acquisition Corp.
Series 2017A
4.00%, 5/01/48

     57,130       61,050,832  

Tennessee Energy Acquisition Corp.
(Goldman Sachs Group, Inc. (The))
Series 2006A
5.25%, 9/01/21

     2,115       2,323,645  
   

 

 

  
      63,374,477  
   

 

 

  
Texas–7.6%  

Austin Independent School District
Series 2014B
5.00%, 8/01/20–8/01/21

     6,700       7,241,000  

Bell County Health Facility Development Corp.
Series 1989
6.50%, 7/01/19
(Pre-refunded/ETM)

     535       553,324  

Brownsville Independent School District
Series 2013A
5.00%, 2/15/19

     4,000       4,116,880  

Central Texas Turnpike System
Series 2015A
5.00%, 8/15/42

     19,480       20,577,698  

Series 2015C
5.00%, 8/15/23–8/15/25

     4,860       5,479,000  

City of Dallas TX
Series 2014
5.00%, 2/15/21

     7,500       8,101,875  

Series 2015
5.00%, 2/15/21

     3,240       3,500,010  

City of Garland TX
Series 2010
5.00%, 2/15/24

     3,800       4,019,260  

City of Houston TX
Series 2017A
5.00%, 3/01/25

     16,370       18,963,663  

 

   
Principal Amount (000)     U.S. $ Value  

City of Houston TX
(City of Houston TX Hotel Occupancy Tax)
Series 2015
5.00%, 9/01/23–9/01/25

   $ 3,800     $ 4,291,096  

City of Houston TX Airport System Revenue
Series 2009A
5.00%, 7/01/21

     2,090       2,106,845  

AGM Series 2000P
3.161%, 7/01/30(g)

     1,200       1,156,704  

City of Houston TX Airport System Revenue
(United Airlines, Inc.)
5.00%, 7/15/28

     9,135       10,275,779  

Series 2015B
5.00%, 7/15/20

     6,400       6,762,944  

City of Houston TX Combined Utility System Revenue
Series 2014C
5.00%, 5/15/23–5/15/28

     24,850       28,239,081  

City of San Antonio TX
Series 2014
5.00%, 2/01/21

     3,905       4,246,805  

City of San Antonio TX Electric & Gas Systems Revenue
Series 2009D
5.00%, 2/01/20

     47,315       48,663,477  

City of Waco TX
Series 2015
5.00%, 2/01/21

     5,505       5,975,733  

County of Harris TX
Series 2010A
5.00%, 10/01/23–10/01/25

     17,725       19,096,167  

Dallas Independent School District
Series 2011
5.00%, 2/15/22

     5,165       5,609,552  

Dallas/Fort Worth International Airport
Series 2012F
5.00%, 11/01/21–11/01/25

     17,905       19,151,618  

Series 2014A
5.25%, 11/01/28

     11,550       13,027,129  

Harris County Hospital District
Series 2016
5.00%, 2/15/20–2/15/27

     7,155       7,884,841  

Houston Independent School District
Series 2016A
5.00%, 2/15/23

     5,070       5,719,163  

Irving Hospital Authority
(Baylor Medical Center at Irving)
Series 2017A
5.00%, 10/15/26–10/15/31

     3,220       3,583,273  

Mission Economic Development Corp.
(Natgasoline LLC)
Series 2016B
5.75%, 10/01/31(a)

     8,580       8,924,659  

 

Schedule of Investments—Diversified Municipal Portfolio     17  

Table of Contents
   
Principal Amount (000)     U.S. $ Value  

New Hope Cultural Education Facilities Finance Corp.
(CHF-Collegiate Housing Corpus Christi I LLC)
Series 2017A
5.00%, 4/01/28

   $ 1,130     $ 1,266,301  

New Hope Cultural Education Facilities Finance Corp.
(Children’s Health System of Texas Obligated Group)
Series 2017A
5.00%, 8/15/25–8/15/28

     7,250       8,484,055  

North Texas Tollway Authority
Series 2011D
5.00%, 9/01/24
(Pre-refunded/ETM)

     5,000       5,504,300  

5.25%, 9/01/25
(Pre-refunded/ETM)

     18,130       20,107,439  

5.25%, 9/01/26
(Pre-refunded/ETM)

     17,810       19,752,537  

Series 2014A
5.00%, 1/01/21–1/01/24

     16,745       18,564,382  

Series 2015B
5.00%, 1/01/23–1/01/28

     12,275       13,974,654  

Plano Independent School District
Series 2017
5.00%, 2/15/20

     4,855       5,166,545  

San Antonio Water System
Series 2011A
5.00%, 5/15/23–5/15/26

     21,200       22,633,735  

Series 2013E
5.00%, 5/15/25

     3,000       3,390,360  

Spring Branch Independent School District
Series 2015A
5.00%, 2/01/23–2/01/24

     6,715       7,648,542  

Series 2015B
5.00%, 2/01/23–2/01/24

     10,435       11,882,906  

Spring Independent School District
Series 2011
5.00%, 8/15/20–8/15/21

     8,365       8,991,169  

State of Texas
Series 2011
5.00%, 10/01/22–10/01/25

     33,370       36,717,909  

5.00%, 10/01/23
(Pre-refunded/ETM)

     5,500       6,046,425  

5.00%, 10/01/24
(Pre-refunded/ETM)

     5,440       5,980,464  

5.00%, 10/01/25
(Pre-refunded/ETM)

     3,025       3,325,534  

Series 2014A
5.00%, 10/01/23

     13,680       15,682,615  

Series 2015A
5.00%, 10/01/23

     10,615       12,168,930  

Texas A&M University
Series 2009D
5.00%, 5/15/18

     2,000       2,008,140  

 

   
Principal Amount (000)     U.S. $ Value  

Texas Transportation Commission State Highway Fund
Series 2015
5.00%, 10/01/23

   $ 16,920     $ 19,340,406  

University of Houston System
Series 2017A
5.00%, 2/15/19–2/15/21

     19,955       21,224,511  

University of Texas System (The)
Series 2016D
5.00%, 8/15/25

     5,580       6,574,747  
   

 

 

  
    543,704,182  
   

 

 

  
Utah–0.2%  

Alpine School District/UT
Series 2017
5.00%, 3/15/20

     6,985       7,416,883  

Davis School District
Series 2017
5.00%, 6/01/22

     1,000       1,120,460  

Utah Transit Authority
(Utah Transit Authority Sales Tax)
Series 2015A
5.00%, 6/15/26–6/15/28

     5,455       6,249,304  
   

 

 

  
    14,786,647  
   

 

 

  
Virginia–2.2%  

Virginia College Building Authority
Series 2017E
5.00%, 2/01/27

     36,590       43,858,969  

Virginia College Building Authority
(Virginia College Building Authority State Lease)
Series 2015A
5.00%, 2/01/23

     4,345       4,907,721  

Series 2015B
5.00%, 9/01/20–9/01/22

     35,675       39,219,609  

Series 2017E
5.00%, 2/01/26

     28,280       33,475,884  

Virginia Commonwealth Transportation Board
(Virginia Commonwealth Transportation Board State Lease)
Series 2017
5.00%, 5/15/19–5/15/21

     17,285       18,394,843  

Series 2017B
5.00%, 5/15/19

     6,860       7,117,799  

Virginia Public School Authority
(Virginia Public School Authority State Lease)
Series 2017V
5.00%, 4/15/19

     9,855       10,199,038  
   

 

 

  
    157,173,863  
   

 

 

  
Washington–8.0%  

Chelan County Public Utility District No. 1
Series 2011A
5.00%, 7/01/20

     3,110       3,317,935  

 

18   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
   
Principal Amount (000)     U.S. $ Value  

Series 2011B
5.00%, 7/01/21

   $ 5,000     $ 5,444,100  

5.25%, 7/01/22

     3,670       4,024,559  

City of Seattle WA Drainage & Wastewater Revenue
Series 2016
5.00%, 4/01/20

     3,910       4,163,564  

City of Seattle WA Municipal Light & Power Revenue
Series 2016C
5.00%, 10/01/21

     11,130       12,295,200  

City of Seattle WA Water System Revenue
Series 2017
5.00%, 8/01/20–8/01/22

     9,440       10,345,924  

County of Cowlitz WA
(County of Cowlitz WA Spl Swr)
NATL Series 2002
5.50%, 11/01/19

     985       1,017,791  

County of King WA
Series 2015
5.00%, 7/01/23

     2,485       2,837,050  

County of King WA Sewer Revenue
Series 2011B
5.00%, 1/01/23
(Pre-refunded/ETM)

     1,160       1,254,714  

5.00%, 1/01/23

     3,255       3,518,037  

Energy Northwest
(Bonneville Power Administration)
Series 2012A
5.00%, 7/01/18–7/01/21

     96,445       99,675,186  

Series 2016A
5.00%, 7/01/25–7/01/27

     50,640       59,769,106  

Series 2017A
5.00%, 7/01/28–7/01/29

     29,545       35,323,138  

Franklin County School District No. 1 Pasco
Series 2015
5.00%, 12/01/23

     4,750       5,437,848  

Grant County Public Utility District No. 2
Series 2011I
5.00%, 1/01/20
(Pre-refunded/ETM)

     1,780       1,881,442  

5.00%, 1/01/21
(Pre-refunded/ETM)

     6,570       7,134,034  

5.00%, 1/01/23
(Pre-refunded/ETM)

     5,375       5,836,444  

King County School District No. 45 Bellevue
Series 2014
5.00%, 12/01/18

     2,415       2,469,700  

King County School District No. 49 Tahoma
Series 2015
5.00%, 12/01/22

     2,710       3,064,875  

 

   
Principal Amount (000)     U.S. $ Value  

Pierce County School District No 320 Sumner
Series 2017
5.00%, 12/01/21

   $ 3,305     $ 3,659,428  

Port of Seattle WA
Series 2010B
5.00%, 6/01/22

     1,995       2,123,099  

Series 2015C
5.00%, 4/01/21–4/01/23

     3,570       3,933,175  

Snohomish County School District No. 2 Everett
Series 2014
5.00%, 12/01/21

     3,600       3,986,064  

State of Washington
Series 2012
5.00%, 7/01/22–7/01/23

     27,935       31,232,124  

Series 2012R
5.00%, 7/01/23–7/01/24

     22,715       25,360,249  

Series 20152
5.00%, 7/01/20–7/01/23

     51,080       56,206,438  

Series 2015A-1
5.00%, 8/01/22–8/01/23

     27,765       31,433,413  

Series 2015B
5.00%, 2/01/22

     4,480       4,971,008  

Series 2017R
5.00%, 8/01/22

     7,700       8,632,547  

State of Washington
(State of Washington Fed Hwy Grant)
Series 2012F-1
5.00%, 9/01/21–9/01/23

     36,690       40,529,311  

Series 2013C
5.00%, 9/01/19

     6,060       6,333,245  

State of Washington COP
Series 2015
5.00%, 7/01/18

     3,565       3,595,409  

Series 2015C
5.00%, 7/01/21–7/01/23

     26,825       30,074,429  

Washington Health Care Facilities Authority
(MultiCare Health System)
Series 2015B
5.00%, 8/15/28–8/15/30

     31,550       36,177,037  

Washington Health Care Facilities Authority
(Virginia Mason Medical Center Obligated Group)

    

Series 2017
5.00%, 8/15/25–8/15/30

     15,880       18,093,653  
   

 

 

  
    575,151,276  
   

 

 

  
West Virginia–0.3%  

West Virginia Economic Development Authority
Series 2017
5.00%, 6/15/19–6/15/22

     16,360       17,666,662  

 

Schedule of Investments—Diversified Municipal Portfolio     19  

Table of Contents
   
Principal Amount (000)     U.S. $ Value  

West Virginia Hospital Finance Authority
(West Virginia University Health System Obligated Group)
AGM Series 2004C
2.34%, 2/15/34(g)

   $ 3,200     $ 2,996,448  
   

 

 

  
    20,663,110  
   

 

 

  
Wisconsin–0.3%  

State of Wisconsin Environmental Improvement Fund Revenue
Series 2017A
5.00%, 6/01/19

     15,550       16,149,919  

Wisconsin Public Finance Authority
(Celanese US Holdings LLC)
Series 2016A
5.00%, 1/01/24

     1,000       1,105,880  

Wisconsin Public Finance Authority
(Mary’s Woods at Marylhurst, Inc.)
Series 2017B-3
3.00%, 11/15/22(a)

     1,200       1,202,316  

WPPI Energy
Series 2014A
5.00%, 7/01/29

     1,000       1,131,930  
   

 

 

  
    19,590,045  
   

 

 

  
Total Long-Term Municipal Bonds
(cost $6,702,480,557)		       6,753,574,292  
   

 

 

  
   
 
Short-Term Municipal Notes–5.5%  
Arizona–0.4%  

Industrial Development Authority of the City of Phoenix (The)
(Mayo Clinic Arizona)
Series 2014B
1.68%, 11/15/52(i)

     26,700       26,700,000  
   

 

 

  
California–0.9%  

California Public Finance Authority
(Sharp Healthcare Obligated Group)
Series 2017C
1.50%, 8/01/52(i)

     16,600       16,600,000  

California Statewide Communities Development Authority
(Irvine Apartment Communities LP)
Series 2008W
1.63%, 8/01/34(i)

     19,000       19,000,000  

Irvine Ranch Water District
Series 2009B
1.47%, 10/01/41(i)

     10,805       10,805,000  

Southern California Public Power Authority
Series 2017
1.45%, 7/01/36(i)

     20,225       20,225,000  
   

 

 

  
      66,630,000  
   

 

 

  

 

   
Principal Amount (000)     U.S. $ Value  
Connecticut–0.7%  

Connecticut State Health & Educational Facilities Authority
(Yale University)
Series 2001V-1
1.40%, 7/01/36(i)

   $ 37,370     $ 37,370,000  

Series 2001V-2
1.45%, 7/01/36(i)

     12,415       12,415,000  
   

 

 

  
      49,785,000  
   

 

 

  
Kentucky–0.2%  

Louisville Regional Airport Authority
(United Parcel Service, Inc.)
Series 1999B
1.80%, 1/01/29(i)

     15,000       15,000,000  
   

 

 

  
Massachusetts–0.4%  

Massachusetts Development Finance Agency
(Boston University)
Series 2013U
1.38%, 10/01/42(i)

     9,110       9,110,000  

Massachusetts Health & Educational Facilities Authority
(Baystate Medical Obligated Group)
Series 2017G
1.70%, 7/01/26(i)

     20,000       20,000,000  
   

 

 

  
      29,110,000  
   

 

 

  
Mississippi–0.2%  

Mississippi Business Finance Corp.
(Chevron USA, Inc.)
Series 2010H
1.70%, 11/01/35(i)

     14,000       14,000,000  
   

 

 

  
Missouri–0.3%  

St Joseph Industrial Development Authority
(Heartland Regional Medical Center/MO)
Series 2009A
1.69%, 11/15/43(i)

     20,585       20,585,000  
   

 

 

  
New Jersey–0.3%  

New Jersey Health Care Facilities Financing Authority
(Virtua Health Obligated Group)
Series 2009B
1.53%, 7/01/43(i)

     23,450       23,450,000  
   

 

 

  
New York–0.3%  

City of New York NY
Series 2012G
1.77%, 4/01/42(i)

     10,000       10,000,000  

Series 2013I
1.70%, 4/01/36(i)

     6,000       6,000,000  

New York City Municipal Water Finance Authority
Series 2015F
1.38%, 6/15/35(i)

     10,050       10,050,000  
   

 

 

  
      26,050,000  
   

 

 

  

 

20   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
   
Principal Amount (000)     U.S. $ Value  
Oregon–0.2%  

Oregon Health & Science University
Series 2015B
1.38%, 7/01/42(i)

   $ 13,120     $ 13,120,000  
   

 

 

  
Texas–1.2%  

Lower Neches Valley Authority Industrial Development Corp.
(Exxon Capital Ventures, Inc.)
Series 2004B
1.73%, 12/01/39(i)

     22,780       22,780,000  

Lower Neches Valley Authority Industrial Development Corp.
(Exxon Mobil Corp.)
Series 2001B
1.73%, 11/01/29(i)

     39,000       39,000,000  

Tarrant County Cultural Education Facilities Finance Corp.
(Methodist Hospitals of Dallas Obligated Group)
Series 2008A
1.70%, 10/01/41(i)

     26,530       26,530,000  
   

 

 

  
      88,310,000  
   

 

 

  
Virginia–0.4%  

Virginia Commonwealth Transportation Board
(Virginia Commonwealth Transportation Board State Lease)
Series 2017
5.00%, 5/15/18

     4,110       4,126,769  

Series 2017B
5.00%, 5/15/18

     10,520       10,562,922  

 

   
Principal Amount (000)     U.S. $ Value  

Virginia Public School Authority
(Virginia Public School Authority State Lease)
Series 2017V
5.00%, 4/15/18

   $ 12,235     $ 12,249,192  
   

 

 

  
      26,938,883  
   

 

 

  
Total Short-Term Municipal Notes
(cost $399,694,559)		       399,678,883  
   

 

 

  
Total Municipal Obligations
(cost $7,102,175,116)		       7,153,253,175  
   

 

 

  
   
 
GOVERNMENTS-TREASURIES–0.1%  
United States–0.1%  

U.S. Treasury Notes
2.125%, 11/30/23(j)
(cost $3,948,665)

     4,000       3,896,250  
   

 

 

  
   
 
SHORT-TERM INVESTMENTS–0.0%  
Time Deposit–0.0%  

State Street Time Deposit
0.28%, 4/02/18
(cost $734,763)

     735       734,763  
   

 

 

  
Total Investments—99.8%
(cost $7,106,858,544)		       7,157,884,188  

Other assets less liabilities—0.2%

 

     11,486,951  
   

 

 

  
Net Assets—100.0%     $ 7,169,371,139  
   

 

 

  

 

CREDIT DEFAULT SWAPS (see Note 3)

 

Swap

Counterparty &
Referenced
Obligation

   Fixed
Rate
(Pay)
Receive		     Payment
Frequency		     Implied
Credit
Spread at
March 31,
2018		    

Notional

Amount

(000)

    

Market

Value

    

Upfront
Premiums

Paid

(Received)

     Unrealized
Appreciation/
(Depreciation)		  
Sale Contracts              
Credit Suisse International        
CDX-
CMBX.NA.A
Series 6,
5/11/63*		     2.00 %      Monthly       3.17 %    USD      9,322     $ (407,993 )    $ (560,542 )    $ 152,549  
CDX-
CMBX.NA.A
Series 6,
5/11/63*		     2.00       Monthly       3.17     USD 4,325       (189,291 )      (177,128 )      (12,163 ) 
Deutsche Bank AG          
CDX-
CMBX.NA.A
Series 6,
5/11/63*		     2.00       Monthly       3.17     USD 9,971       (436,398 )      (602,220 )      165,822  
Goldman Sachs International        
CDX-
CMBX.NA.A
Series 6,
5/11/63*		     2.00       Monthly       3.17     USD 3,729       (163,205 )      (216,291 )      53,086  

 

Schedule of Investments—Diversified Municipal Portfolio     21  

Table of Contents

Swap

Counterparty &
Referenced
Obligation

   Fixed
Rate
(Pay)
Receive		     Payment
Frequency		     Implied
Credit
Spread at
March 31,
2018		    

Notional

Amount

(000)

    

Market

Value

    

Upfront
Premiums

Paid

(Received)

     Unrealized
Appreciation/
(Depreciation)		  
CDX-
CMBX.NA.A
Series 6,
5/11/63*		     2.00 %      Monthly       3.17 %    USD      3,729     $ (163,206 )    $ (202,358 )    $ 39,152  
CDX-
CMBX.NA.A
Series 6,
5/11/63*		     2.00       Monthly       3.17     USD 5,222       (228,840 )      (208,138 )      (20,702 ) 
Morgan Stanley Capital Services LLC      
CDX-
CMBX.NA.A
Series 6,
5/11/63*		     2.00       Monthly       3.17     USD 1,452       (63,549 )      (59,757 )      (3,792 ) 
         

 

 

    

 

 

    

 

 

  
          $ (1,652,482 )    $ (2,026,434 )    $ 373,952  
         

 

 

    

 

 

    

 

 

  

* 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 March 31, 2018, the aggregate market value of these securities amounted to $44,537,989 or 0.6% of net assets.
(b)   Non-income producing security.
(c)   Defaulted matured security.
(d)   Illiquid security.
(e)   Floating Rate Security. Stated interest/floor/ceiling rate was in effect at March 31, 2018.
(f)   Defaulted.
(g)   An auction rate security whose interest rate resets at each auction date. Auctions are typically held every week or month. The rate shown is as of March 31, 2018 and the aggregate market value of these securities amounted to $56,214,516 or 0.78% of net assets.
(h)   When-Issued or delayed delivery security.
(i)   Variable Rate Demand Notes are instruments whose interest rates change on a specific date (such as coupon date or interest payment date) or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). This instrument is payable on demand and is secured by letters of credit or other credit support agreements from major banks.
(j)   Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.

As of March 31, 2018, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 4.1% and 0.0%, respectively.

Glossary:

AGC—Assured Guaranty Corporation

AGM—Assured Guaranty Municipal

AMBAC—Ambac Assurance Corporation

CDX-CMBX.NA—North American Commercial Mortgage-Backed Index

COP—Certificate of Participation

CPIYOYX—Consumer Price Index Year Over Year Change

ETM—Escrowed to Maturity

NATL—National Interstate Corporation

OSF—Order of St. Francis

SRF—State Revolving Fund

XLCA—XL Capital Assurance Inc.

See notes to financial statements.

 

22   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents

Sanford C. Bernstein Fund, Inc.

Schedule of Investments

California Municipal Portfolio

March 31, 2018 (Unaudited)

 

Principal Amount (000)     U.S. $ Value  
MUNICIPAL OBLIGATIONS–100.9%                
Long-Term Municipal Bonds–99.3%                
California–86.2%    

Abag Finance Authority for Nonprofit Corps.
(Odd Fellows Home of California)
Series 2012A
5.00%, 4/01/20–4/01/22

   $ 2,000     $ 2,176,020  

Anaheim Public Financing Authority
(City of Anaheim CA Lease)
Series 2014A
5.00%, 5/01/21–5/01/24

     4,050       4,534,293  

Bay Area Toll Authority
Series 2009F-1
5.00%, 4/01/22
(Pre-refunded/ETM)

     14,975       15,493,434  

Series 2012
5.00%, 4/01/24–4/01/25

     13,845       15,503,055  

Bay Area Water Supply & Conservation Agency
Series 2013A
5.00%, 10/01/25

     4,710       5,376,041  

Brea Redevelopment Agency
Series 2017A
5.00%, 8/01/31

     1,605       1,891,605  

California Econ Recovery
Series 2009A
5.00%, 7/01/18
(Pre-refunded/ETM)

     12,420       12,529,047  

5.00%, 7/01/20
(Pre-refunded/ETM)

     22,500       23,461,200  

California Educational Facilities Authority
(Claremont Mckenna College)
Series 2015A
5.00%, 1/01/27

     1,300       1,550,705  

California Educational Facilities Authority
(University of the Pacific)
Series 2015
5.00%, 11/01/28

     1,545       1,762,011  

California Health Facilities Financing Authority
(Cedars-Sinai Medical Center)
Series 2015
5.00%, 11/15/27–11/15/29

     19,500       23,151,610  

California Health Facilities Financing Authority
(Children’s Hospital Los Angeles)
Series 2017A
5.00%, 8/15/32

     1,215       1,399,243  

 

   
Principal Amount (000)     U.S. $ Value  

California Health Facilities Financing Authority
(Kaiser Foundation Hospitals)
Series 2017P
5.00%, 11/01/32

   $ 7,370     $ 8,394,798  

California Health Facilities Financing Authority
(Sutter Health Obligated Group)
Series 2018A
5.00%, 11/15/23–11/15/29(a)

     11,365       13,407,570  

California Infrastructure & Economic Development Bank
Series 2016
4.00%, 10/01/18

     2,460       2,492,251  

California Infrastructure & Economic Development Bank
(Broad Collection (The))
Series 2011A
5.00%, 6/01/21

     20,650       22,758,365  

California Infrastructure & Economic Development Bank
(California Infrastructure & Economic Development Bank SRF)
5.00%, 10/01/22–10/01/32

     15,680       18,849,124  

Series 2017
5.00%, 10/01/24

     5,000       5,909,300  

California Infrastructure & Economic Development Bank
(Segerstrom Center for the Arts)
Series 2016
5.00%, 7/01/26

     2,370       2,795,344  

Series 2016B
5.00%, 7/01/23

     12,760       14,445,724  

California Municipal Finance Authority
(Rocketship Education Obligated Group)
Series 2015A
4.25%, 3/01/28(b)(c)

     1,900       1,925,175  

California Pollution Control Financing Authority
(Poseidon Resources Channelside LP)
Series 2012
5.00%, 7/01/27(c)

     4,000       4,358,080  

California School Finance Authority
(Rocketship Education Obligated Group)
Series 2016A
5.00%, 6/01/31(b)(c)

     1,000       1,048,350  

California State Public Works Board
Series 2009E
5.00%, 4/01/21
(Pre-refunded/ETM)

     5,890       6,090,967  

5.00%, 4/01/22
(Pre-refunded/ETM)

     4,935       5,103,382  

 

Schedule of Investments—California Municipal Portfolio     23  

Table of Contents
   
Principal Amount (000)     U.S. $ Value  

Series 2011G
5.00%, 12/01/23
(Pre-refunded/ETM)

   $ 1,545     $ 1,721,115  

California State Public Works Board
(California State Public Works Board Lease)
Series 2014A
5.00%, 9/01/30

     11,220       12,750,857  

Series 2014B
5.00%, 10/01/29

     4,445       5,072,990  

Series 2017H
5.00%, 4/01/30–4/01/32

     5,270       6,180,286  

AMBAC Series 1993A
5.00%, 12/01/19

     1,380       1,430,591  

California State University
Series 2010A
5.00%, 11/01/24

     1,490       1,588,996  

Series 2011A
5.25%, 11/01/26

     5,500       6,148,450  

Series 2012A
5.00%, 11/01/26

     10,930       12,342,047  

Series 2014A
5.00%, 11/01/28

     16,650       19,412,568  

California Statewide Communities Development Authority
(CHF-Irvine LLC)
Series 2017A
5.00%, 5/15/29

     1,210       1,401,737  

Central Coast Water Authority
Series 2016
5.00%, 10/01/18

     1,040       1,057,971  

City & County of San Francisco CA
Series 2018B
5.00%, 6/15/19(a)

     3,370       3,510,495  

City & County of San Francisco CA COP
Series 2015R
5.00%, 9/01/21–9/01/24

     7,405       8,356,009  

City of Hayward CA COP
Series 2015
5.00%, 11/01/20–11/01/23

     9,255       10,333,264  

City of Long Beach CA Harbor Revenue
Series 2010A
5.00%, 5/15/22–5/15/25

     16,895       18,063,312  

Series 2010B
5.00%, 5/15/21

     6,500       6,955,195  

Series 2015A
4.00%, 5/15/18

     2,145       2,151,285  

City of Los Angeles CA Wastewater System Revenue
Series 2012C
5.00%, 6/01/23

     2,765       3,106,312  

Series 2017A
5.00%, 6/01/30

     4,800       5,759,520  

 

   
Principal Amount (000)     U.S. $ Value  

City of Los Angeles Department of Airports
Series 2017A
5.00%, 5/15/28–5/15/29

   $ 4,015     $ 4,665,665  

City of Los Angeles Department of Airports
(Los Angeles Intl Airport)
Series 2009A
5.25%, 5/15/23–5/15/24

     15,955       16,593,040  

Series 2010A
5.00%, 5/15/23–5/15/25

     25,915       27,656,782  

Series 2010D
5.00%, 5/15/23

     5,000       5,337,200  

City of Riverside CA Sewer Revenue
Series 2015A
5.00%, 8/01/27–8/01/30

     5,320       6,195,818  

City of Roseville CA
Series 2017A
5.00%, 9/01/28–9/01/30(b)

     2,305       2,640,106  

City of Roseville CA
(HP Campus Oaks Community Facilities District No 1)
Series 2016
5.00%, 9/01/31(b)

     1,170       1,250,239  

City of San Francisco CA Public Utilities Commission Wastewater Revenue
Series 2013B
5.00%, 10/01/25

     4,000       4,520,720  

City of San Francisco CA Public Utilities Commission Water Revenue
Series 2009A
5.00%, 11/01/28
(Pre-refunded/ETM)

     2,000       2,106,780  

Series 2011A
5.00%, 11/01/25
(Pre-refunded/ETM)

     11,320       12,590,330  

Series 2017E
5.00%, 11/01/26

     2,130       2,593,850  

City of San Jose CA Airport Revenue
Series 2014A
5.00%, 3/01/25

     3,600       4,066,308  

Contra Costa Transportation Authority
(Contra Costa Transportation Authority Sales Tax)
Series 2015A
5.00%, 3/01/22

     3,000       3,365,760  

Series 2017A
5.00%, 3/01/30

     1,250       1,496,013  

Cotati-Rohnert Park Unified School District
AGM Series 2015B
5.00%, 8/01/21

     3,000       3,309,690  

 

24   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
   
Principal Amount (000)     U.S. $ Value  

County of San Diego CA
(Sanford Burnham Prebys Medical Discovery Institute)
Series 2015A
5.00%, 11/01/21

   $ 1,725     $ 1,900,916  

Desert Sands Unified School District
Series 2015
5.00%, 8/01/21

     1,680       1,859,743  

Dublin Unified School District
Series 2016A
5.00%, 8/01/18

     2,845       2,878,116  

East Bay Municipal Utility District Water System Revenue
Series 2017B
5.00%, 6/01/28

     5,195       6,328,341  

Fontana Redevelopment Agency Successor Agency
Series 2017A
5.00%, 10/01/29–10/01/31

     8,750       10,467,747  

Fremont Community Facilities District No. 1
Series 2015
5.00%, 9/01/27(b)

     1,000       1,129,860  

Golden State Tobacco Securitization Corp.
Series 2017A
4.00%, 6/01/18

     5,720       5,743,052  

5.00%, 6/01/19–6/01/20

     11,585       12,082,449  

Hayward Area Recreation and Park District
Series 2017A
5.00%, 8/01/19

     3,330       3,482,148  

Lake Elsinore Public Financing Authority
Series 2015
5.00%, 9/01/21–9/01/23(b)

     1,675       1,848,598  

Long Beach Bond Finance Authority
(Aquarium of the Pacific)
Series 2012
5.00%, 11/01/23

     4,025       4,441,306  

Long Beach Unified School District
Series 2009A
5.00%, 8/01/18

     9,845       9,959,596  

Series 2010A
5.00%, 8/01/25

     1,000       1,074,740  

Los Angeles Community College District/CA
Series 2015A
5.00%, 8/01/25

     5,000       5,854,850  

Los Angeles County Metropolitan Transportation Authority
(Los Angeles County Metropolitan Transportation Authority Sales Tax)
Series 2010A
5.00%, 7/01/21

     2,000       2,148,820  

Series 2017A
5.00%, 7/01/25

     5,750       6,860,727  

 

   
Principal Amount (000)     U.S. $ Value  

Los Angeles Department of Water
Series 2012C
5.00%, 7/01/23

   $ 1,540     $ 1,734,410  

Series 2018A
5.00%, 7/01/31

     1,345       1,614,820  

Los Angeles Department of Water & Power PWR
Series 2013A
5.00%, 7/01/21

     1,505       1,661,595  

Series 2014B
5.00%, 7/01/27

     2,190       2,516,573  

Series 2014C
5.00%, 7/01/26

     11,725       13,645,203  

Los Angeles Unified School District/CA
Series 2014C
5.00%, 7/01/27

     10,365       12,055,842  

Series 2016A
5.00%, 7/01/24–7/01/27

     35,000       41,300,929  

Series 2018B
5.00%, 7/01/29

     9,020       10,950,460  

Mammoth Unified School District/CA
NATL Series 1998
Zero Coupon, 8/01/21–8/01/22

     2,100       1,926,879  

Metropolitan Water District of Southern California
Series 1993
5.75%, 8/10/18

     2,600       2,639,182  

Series 1993A
5.75%, 7/01/21
(Pre-refunded/ETM)

     710       799,893  

5.75%, 7/01/21

     1,775       1,891,422  

Series 2012C
5.00%, 7/01/19

     4,085       4,263,106  

Natomas Unified School District
BAM Series 2014
5.00%, 8/01/22–8/01/23

     4,950       5,609,750  

Northern California Power Agency
Series 2012A
5.00%, 7/01/25–7/01/27

     3,980       4,452,667  

Oakland Unified School District/Alameda County
Series 2015A
5.00%, 8/01/23

     1,575       1,814,337  

Series 2016
5.00%, 8/01/27

     2,405       2,886,433  

Orange County Sanitation District COP
Series 2009A
5.00%, 2/01/19

     4,690       4,825,635  

5.00%, 2/01/20
(Pre-refunded/ETM)

     1,890       1,944,810  

Palm Desert Redevelopment Agency Successor Agency
BAM Series 2017A
5.00%, 10/01/24

     1,000       1,164,640  

 

Schedule of Investments—California Municipal Portfolio     25  

Table of Contents
   
Principal Amount (000)     U.S. $ Value  

Palomar Health
Series 2016
4.00%, 11/01/19

   $ 625     $ 638,625  

Peralta Community College District
Series 2014A
5.00%, 8/01/28

     1,820       2,101,991  

Pittsburg Successor Agency Redevelopment Agency
AGM Series 2016A
5.00%, 9/01/27

     2,785       3,234,471  

Port of Los Angeles
Series 2011B
5.00%, 8/01/23

     2,500       2,754,675  

Series 2014A
5.00%, 8/01/26–8/01/27

     2,565       2,928,581  

Port of Oakland
Series 2012P
5.00%, 5/01/22–5/01/25

     16,945       18,726,237  

Series 2017E
5.00%, 11/01/19

     3,910       4,113,750  

Series 2017F
5.00%, 11/01/18

     5,000       5,099,650  

Riverside County Public Financing Authority
(Riverside County Public Financing Authority Lease)
Series 2015
5.00%, 11/01/28

     3,395       3,924,280  

Riverside County Transportation Commission
(Riverside County Transportation Commission Sales Tax)
Series 2017B
5.00%, 6/01/31–6/01/33

     33,100       39,383,192  

Romoland School District
Series 2015
5.00%, 9/01/23(b)

     955       1,074,595  

Sacramento City Financing Authority
(Sacramento City Financing Authority Lease)
Series 1993B
5.40%, 11/01/20

     1,080       1,137,478  

Sacramento City Unified School District/CA
Series 2011
5.00%, 7/01/24

     4,945       5,438,115  

Sacramento County Sanitation Districts Financing Authority
AMBAC Series 2001
5.50%, 12/01/21

     1,175       1,328,338  

Sacramento Municipal Utility District
Series 2012Y
5.00%, 8/15/25

     4,555       5,137,812  

Sacramento Regional Transit District
Series 2012
5.00%, 3/01/24
(Pre-refunded/ETM)(b)

     370       397,628  

5.00%, 3/01/24

     630       675,184  

 

   
Principal Amount (000)     U.S. $ Value  

San Diego County Water Authority COP
AGM Series 2008A
5.00%, 5/01/19

   $ 1,460     $ 1,463,825  

5.00%, 5/01/24
(Pre-refunded/ETM)

     4,860       4,873,657  

San Diego County Water Authority Financing Corp.
Series 2015
5.00%, 5/01/21

     1,000       1,100,120  

Series 2016S
5.00%, 5/01/21

     10,665       11,689,480  

AGM Series 2008A
5.00%, 5/01/19
(Pre-refunded/ETM)

     1,335       1,338,751  

San Diego Public Facilities Financing Authority Sewer Revenue
Series 2009B
5.00%, 5/15/18

     20,615       20,703,644  

5.00%, 5/15/21
(Pre-refunded/ETM)

     14,905       15,480,333  

Series 2015
5.00%, 5/15/22

     4,785       5,397,958  

San Diego Public Facilities Financing Authority Water Revenue
Series 2016B
5.00%, 8/01/18

     1,000       1,012,010  

San Francisco City & County Airport Comm-San Francisco International Airport
Series 2011S
5.00%, 5/01/25
(Pre-refunded/ETM)(b)

     855       937,773  

5.00%, 5/01/25

     2,145       2,346,887  

San Francisco City & County Airport Comm-San Francisco International Airport
(San Francisco Intl Airport)
Series 2011
5.25%, 5/01/18

     4,655       4,668,779  

Series 2011C
5.00%, 5/01/21

     3,900       4,240,197  

Series 2016S
5.00%, 5/01/26

     3,810       4,527,232  

San Francisco City & County Redevelopment Agency Successor Agency
(Mission Bay South Public Imp)
Series 2013A
5.00%, 8/01/19–8/01/24(b)

     3,855       4,242,918  

San Francisco City & County Redevelopment Agency Successor Agency
(Successor Agency to the Redev of San Francisco–Mission Bay South)
Series 2016B
5.00%, 8/01/26

     1,070       1,269,951  

 

26   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
   
Principal Amount (000)     U.S. $ Value  

San Joaquin Delta Community College District
Series 2015A
5.00%, 8/01/20–8/01/22

   $ 3,685     $ 4,039,448  

Saugus/Hart School Facilities Financing Authority
(Saugus Union School District Community Facilities District No 06-01)
Series 2016
5.00%, 9/01/29–9/01/30(b)

     2,365       2,665,609  

Simi Valley Unified School District
Series 2017
5.00%, 8/01/18–8/01/19

     2,375       2,449,171  

South Placer Wastewater Authority/CA
Series 2011C
5.00%, 11/01/19–11/01/20

     5,520       5,866,684  

Southern California Public Power Authority
(Los Angeles Department of Water & Power PWR)
Series 2010
5.00%, 7/01/22–7/01/25

     12,235       12,991,506  

Series 2014A
5.00%, 7/01/30

     1,000       1,152,410  

Southwestern Community College District
Series 2015
5.00%, 8/01/20–8/01/25

     14,850       17,184,960  

State of California
Series 2013
5.00%, 10/01/20–9/01/28

     29,390       32,265,667  

Series 2014
5.00%, 12/01/22–5/01/29

     23,385       26,726,864  

Series 2015
5.00%, 3/01/21

     17,455       19,063,129  

Series 2015B
5.00%, 9/01/24

     3,330       3,886,809  

Series 2017
5.00%, 11/01/22–8/01/27

     13,545       15,812,581  

State of California Department of Water Resources
Series 2011A
5.00%, 12/01/20
(Pre-refunded/ETM)(b)

     50       54,288  

5.00%, 12/01/20

     1,745       1,897,496  

Series 2014A
4.00%, 12/01/18

     2,715       2,762,160  

5.00%, 12/01/27
(Pre-refunded/ETM)

     5,690       6,649,562  

Series 2016A
5.00%, 12/01/18

     1,140       1,167,269  

State of California Department of Water Resources Power Supply Revenue
Series 2008K
5.00%, 5/01/18

     18,145       18,196,713  

 

   
Principal Amount (000)     U.S. $ Value  

Series 2010L
5.00%, 5/01/20

   $ 13,940     $ 14,913,570  

Series 2011N
5.00%, 5/01/20

     4,210       4,504,026  

Stockton Unified School District
Series 2016
5.00%, 8/01/28

     7,770       9,070,853  

Sweetwater Union High School District
BAM Series 2014
5.00%, 8/01/28–8/01/29

     7,980       9,009,104  

University of California
Series 2009O
5.25%, 5/15/39
(Pre-refunded/ETM)

     2,785       2,898,600  

Series 2009Q
5.25%, 5/15/22

     155       155,671  

Series 2010U
5.00%, 5/15/24

     4,215       4,503,812  

Series 2012G
5.00%, 5/15/25
(Pre-refunded/ETM)(b)

     4,625       5,188,094  

5.00%, 5/15/25

     5,375       6,038,490  

Series 2013A
5.00%, 5/15/48

     4,685       5,375,054  

Series 2014A
5.00%, 5/15/28

     1,000       1,156,920  

Series 2015A
5.00%, 5/15/20–5/15/24

     4,780       5,355,832  

Series 2015I
5.00%, 5/15/21

     2,900       3,192,030  

Series 2017A
5.00%, 5/15/27–5/15/31

     35,375       43,056,965  

Series 2017M
5.00%, 5/15/30–5/15/32

     7,010       8,415,324  

Vacaville Unified School District
BAM Series 2015C
5.00%, 8/01/20–8/01/22

     2,390       2,626,600  

Vista Unified School District
Series 2015
5.00%, 8/01/20

     2,100       2,263,464  
   

 

 

  
      1,125,842,442  
   

 

 

  
Alabama–0.7%  

Black Belt Energy Gas District
(Goldman Sachs Group, Inc. (The))
Series 2018A
4.00%, 12/01/48

     8,000       8,579,200  
   

 

 

  
Arizona–0.1%  

Tempe Industrial Development Authority
(Mirabella at ASU, Inc.)
Series 2017B
4.00%, 10/01/23(b)(c)

     1,700       1,705,610  
   

 

 

  

 

Schedule of Investments—California Municipal Portfolio     27  

Table of Contents
   
Principal Amount (000)     U.S. $ Value  
Colorado–0.5%  

City & County of Denver CO
(United Airlines, Inc.)
Series 2017
5.00%, 10/01/32

   $ 3,000     $ 3,243,390  

City & County of Denver CO Airport System Revenue
(Denver Intl Airport)
Series 2011A
5.75%, 11/15/20

     1,700       1,863,523  

Denver Urban Renewal Authority
(Stapleton Development Corp.)
Series 2013A
5.00%, 12/01/20

     1,625       1,753,310  
   

 

 

  
      6,860,223  
   

 

 

  
Connecticut–1.2%  

State of Connecticut
Series 2018B
5.00%, 4/15/26–4/15/28(a)

     13,755       15,515,379  
   

 

 

  
Florida–0.3%  

County of Miami-Dade FL Aviation Revenue
Series 2009A
5.75%, 10/01/21

     1,055       1,116,496  

Miami-Dade County Expressway Authority
Series 2013A
5.00%, 7/01/21

     1,280       1,400,435  

New River Community Development District
Series 2006B
5.00%, 5/01/13(b)(d)(e)(f)(g)

     405       0  

Sarasota County Health Facilities Authority
(Village On the Isle)

    

Series 2017B
2.70%, 1/01/22

     1,100       1,097,250  
   

 

 

  
      3,614,181  
   

 

 

  
Illinois–4.1%  

Chicago Board of Education
Series 2017F
5.00%, 12/01/24

     6,000       6,369,120  

Metropolitan Pier & Exposition Authority
Series 2012B
5.00%, 12/15/28

     2,185       2,260,033  

Series 2017B
5.00%, 12/15/26

     3,250       3,543,995  

State of Illinois
Series 2006A
5.00%, 6/01/21

     1,000       1,043,860  

Series 2012
5.00%, 8/01/18–8/01/21

     9,950       10,218,898  

Series 2013
5.00%, 7/01/20–7/01/22

     3,870       4,017,925  

 

   
Principal Amount (000)     U.S. $ Value  

Series 2014
5.00%, 2/01/21

   $ 3,365     $ 3,497,783  

Series 2016
5.00%, 1/01/21–11/01/24

     4,935       5,132,972  

Series 2017D
5.00%, 11/01/23–11/01/24

     13,000       13,587,067  

Village of Bolingbrook IL
(Village of Bolingbrook IL Sales Tax)
Series 2005
6.00%, 1/01/26(b)

     4,450       4,331,541  
   

 

 

  
      54,003,194  
   

 

 

  
Massachusetts–0.7%  

Commonwealth of Massachusetts NATL Series 2000E
2.551%, 12/01/30(h)

     6,075       6,057,261  

NATL Series 2000G
2.476%, 12/01/30(h)

     2,200       2,193,576  

Massachusetts Development Finance Agency
(UMass Memorial Health Care Obligated Group)
Series 2016
5.00%, 7/01/27

     1,055       1,206,403  
   

 

 

  
      9,457,240  
   

 

 

  
New Jersey–2.9%  

New Jersey Economic Development Authority
(New Jersey Economic Development Authority State Lease)
Series 2017D
5.00%, 6/15/29

     2,000       2,179,900  

New Jersey Transportation Trust Fund Authority
(New Jersey Transportation Fed Hwy Grant)
Series 2016
5.00%, 6/15/27–6/15/29

     8,070       8,907,383  

New Jersey Transportation Trust Fund Authority
(New Jersey Transportation Trust Fund Authority State Lease)

    

Series 2012A
5.00%, 6/15/21

     2,870       3,065,504  

Series 2013A
5.00%, 12/15/19–6/15/20

     23,060       24,204,184  
   

 

 

  
    38,356,971  
   

 

 

  
New York–0.4%    

New York State Energy Research & Development Authority
(Consolidated Edison Co. of New York, Inc.)
AMBAC Series 2001B
2.589%, 10/01/36(h)

     5,550       5,327,611  
   

 

 

  

 

28   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
   
Principal Amount (000)     U.S. $ Value  
Ohio–0.2%    

Ohio Air Quality Development Authority
(FirstEnergy Generation LLC)
Series 2009D
4.25%, 8/01/29

   $ 920     $ 804,770  

Ohio Air Quality Development Authority
(FirstEnergy Nuclear Generation LLC)
Series 2009A
4.375%, 6/01/33

     100       87,457  

Ohio Water Development Authority Water
Pollution Control Loan Fund
(FirstEnergy Corp.)
Series 2016B
4.375%, 6/01/33

     1,125       983,891  
   

 

 

  
    1,876,118  
   

 

 

  
Pennsylvania–0.2%    

Hospitals & Higher Education Facilities Authority
of Philadelphia (The)
(Temple University Health System Obligated Group)
Series 2017
5.00%, 7/01/22–7/01/24

     2,815       3,079,016  
   

 

 

  
Texas–1.2%    

City of Houston TX Airport System Revenue
Series 2011A
5.00%, 7/01/19

     10,290       10,686,680  

Mission Economic Development Corp.
(Natgasoline LLC)
Series 2016A
5.75%, 10/01/31(c)

     1,140       1,185,794  

Series 2016B
5.75%, 10/01/31(c)

     1,935       2,012,729  

North Texas Tollway Authority
Series 2015A
5.00%, 1/01/23

     1,915       2,143,325  
   

 

 

  
    16,028,528  
   

 

 

  

 

   
Principal Amount (000)     U.S. $ Value  
West Virginia–0.1%    

West Virginia Hospital Finance Authority
(West Virginia University Health System Obligated Group)
AGM Series 2004C
2.34%, 2/15/34(h)

   $ 1,000     $ 936,390  
   

 

 

  
Wisconsin–0.5%    

Wisconsin Public Finance Authority
(Celanese US Holdings LLC)
Series 2016A
5.00%, 1/01/24

     5,335       5,899,870  
   

 

 

  
Total Long-Term Municipal Bonds
(cost $1,280,976,262)		       1,297,081,973  
   

 

 

  
   
     
Short-Term Municipal Notes–1.6%                
California–1.6%    

County of Los Angeles CA
Series 2017
5.00%, 6/29/18

     19,080       19,241,798  

County of Riverside CA
Series 2017
2.00%, 6/29/18

     1,250       1,251,600  
   

 

 

  
Total Short-Term Municipal Notes
(cost $20,519,624)		       20,493,398  
   

 

 

  
Total Municipal Obligations
(cost $1,301,495,886)		       1,317,575,371  
   

 

 

  
   
     
SHORT-TERM INVESTMENTS–0.1%                
Time Deposit–0.1%    

State Street Time Deposit
0.28%, 4/02/18
(cost $902,750)

     903       902,750  
   

 

 

  
Total Investments—101.0%
(cost $1,302,398,636)		       1,318,478,121  

Other assets less liabilities—(1.0)%

       (13,012,748 ) 
   

 

 

  
Net Assets—100.0%     $ 1,305,465,373  
   

 

 

  

 

 

CREDIT DEFAULT SWAPS (see Note 3)

 

Swap
Counterparty &
Referenced
Obligation		   Fixed
Rate
(Pay)
Receive		     Payment
Frequency		   Implied
Credit
Spread at
March 31,
2018		     Notional
Amount
(000)		     Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  
Sale Contracts          
Credit Suisse International        
CDX-
CMBX.NA.A
Series 6,
5/11/63*		     2.00 %    Monthly     3.17 %    USD     1,677     $ (73,397 )    $ (100,840 )    $ 27,443  

 

Schedule of Investments—California Municipal Portfolio     29  

Table of Contents
Swap
Counterparty &
Referenced
Obligation		   Fixed
Rate
(Pay)
Receive		     Payment
Frequency		     Implied
Credit
Spread at
March 31,
2018		            Notional
Amount
(000)		     Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  
CDX-
CMBX.NA.A
Series 6,
5/11/63*		     2.00 %      Monthly       3.17 %      USD       779     $ (34,094 )    $ (31,903 )    $ (2,191 ) 
CDX-
CMBX.NA.A
Series 6,
5/11/63*		     2.00       Monthly       3.17       USD       1,588       (69,413 )      (89,875 )      20,462  

Deutsche Bank AG

                
CDX-
CMBX.NA.A
Series 6,
5/11/63*		     2.00       Monthly       3.17       USD       1,793       (78,474 )      (108,292 )      29,818  

Goldman Sachs International

        
CDX-
CMBX.NA.A
Series 6,
5/11/63*		     2.00       Monthly       3.17       USD       669       (29,280 )      (38,804 )      9,524  
CDX-
CMBX.NA.A
Series 6,
5/11/63*		     2.00       Monthly       3.17       USD       671       (29,367 )      (36,412 )      7,045  
CDX-
CMBX.NA.A
Series 6,
5/11/63*		     2.00       Monthly       3.17       USD       939       (41,149 )      (37,427 )      (3,722 ) 

Morgan Stanley Capital Services LLC

        
CDX-
CMBX.NA.A
Series 6,
5/11/63*		     2.00       Monthly       3.17       USD       262       (11,467 )      (10,783 )      (684 ) 
           

 

 

    

 

 

    

 

 

  
            $ (366,641 )    $ (454,336 )    $ 87,695  
           

 

 

    

 

 

    

 

 

  

* Termination date

 

 

(a)   When-Issued or delayed delivery security.
(b)   Security in which significant unobservable inputs (Level 3) were used in determining fair value.
(c)   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 March 31, 2018, the aggregate market value of these securities amounted to $12,235,738 or 0.9% of net assets.
(d)   Defaulted matured security.
(e)   Non-income producing security.
(f)   Illiquid security.
(g)   Fair valued by the Adviser.
(h)   An auction rate security whose interest rate resets at each auction date. Auctions are typically held every week or month. The rate shown is as of March 31, 2018 and the aggregate market value of these securities amounted to $14,514,838 or 1.11% of net assets.

As of March 31, 2018, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 3.9% and 0.5%, respectively.

Glossary:

AGM—Assured Guaranty Municipal

AMBAC—Ambac Assurance Corporation

BAM—Build American Mutual

CDX-CMBX.NA—North American Commercial Mortgage-Backed Index

COP—Certificate of Participation

ETM—Escrowed to Maturity

NATL—National Interstate Corporation

SRF—State Revolving Fund

See notes to financial statements.

 

30   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents

Sanford C. Bernstein Fund, Inc.

Schedule of Investment

New York Municipal Portfolio

March 31, 2018 (Unaudited)

 

Principal Amount (000)     U.S. $ Value  
MUNICIPAL OBLIGATIONS–100.5%  
Long-Term Municipal Bonds–98.9%  
New York–83.6%  

Albany County Airport Authority
AGM Series 2010A
5.00%, 12/15/21–12/15/22

   $ 6,135     $ 6,523,981  

Battery Park City Authority
Series 2013A
5.00%, 11/01/22

     4,325       4,904,031  

Buffalo & Erie County Industrial Land Development Corp.
(Catholic Health System Obligated Group)
Series 2015
5.00%, 7/01/22–7/01/23

     2,000       2,235,540  

Build NYC Resource Corp.
(Metropolitan College of New York)
Series 2014
5.00%, 11/01/23–11/01/25

     3,335       3,582,401  

5.25%, 11/01/29

     1,900       2,033,836  

City of New York NY
Series 1993E-3
5.00%, 8/01/23

     6,855       7,525,350  

Series 2011A
5.00%, 8/01/26

     14,275       15,632,267  

Series 2011D-1
5.00%, 10/01/24

     2,860       3,147,173  

Series 2012I
5.00%, 8/01/22

     2,320       2,597,890  

Series 2013B
5.00%, 8/01/20

     10,000       10,728,400  

Series 2013E
5.00%, 8/01/20

     1,730       1,856,013  

Series 2013I
5.00%, 8/01/20

     18,775       20,142,571  

Series 2016-1
5.00%, 8/01/20

     8,480       9,097,683  

Series 2016E
5.00%, 8/01/20

     9,360       10,041,782  

Series 2017-1
5.00%, 8/01/29–8/01/31

     5,925       6,993,426  

Series 2017C
5.00%, 8/01/20–8/01/26

     31,840       36,517,816  

Series 2018E
5.00%, 8/01/24

     6,335       7,320,536  

County of Monroe NY
Series 2015
5.00%, 6/01/21–6/01/22

     10,660       11,667,452  

 

   
Principal Amount (000)     U.S. $ Value  

BAM Series 2015
5.00%, 6/01/21–6/01/22

   $ 5,860     $ 6,427,531  

County of Nassau NY
Series 2011A
5.00%, 4/01/21–4/01/22

     5,915       6,416,178  

Series 2013A
5.00%, 4/01/18–4/01/20

     8,660       8,918,803  

Series 2014A
5.00%, 4/01/25

     10,190       11,612,218  

Series 2017C
5.00%, 10/01/26–10/01/27

     22,095       25,986,644  

Dutchess County Local Development Corp.
(Health QuestSystems Obligated Group)
Series 2016B
5.00%, 7/01/32

     4,890       5,568,781  

Erie County Fiscal Stability Authority
Series 2011C
5.00%, 12/01/23
(Pre-refunded/ETM)

     5,925       6,584,808  

Erie County Industrial Development Agency (The)
(Buffalo City School District)
Series 2011B
5.00%, 5/01/22

     5,800       6,334,934  

Housing Development Corp./NY
Series 2013A
5.00%, 7/01/25

     2,000       2,255,800  

Hudson Yards Infrastructure Corp.
Series 2017A
5.00%, 2/15/31–2/15/32

     22,650       26,470,520  

Jefferson County Industrial Development Agency
(ReEnergy Black River LLC)
Series 2014
4.75%, 1/01/20(a)

     890       877,807  

5.25%, 1/01/24(a)

     1,250       1,188,575  

Metropolitan Transportation Authority
Series 2010D
5.25%, 11/15/24
(Pre-refunded/ETM)

     10,755       11,724,993  

Series 2010G
5.00%, 11/15/21
(Pre-refunded/ETM)

     9,305       10,084,945  

5.25%, 11/15/22
(Pre-refunded/ETM)

     5,000       5,450,950  

5.25%, 11/15/23
(Pre-refunded/ETM)

     20,075       21,885,564  

5.25%, 11/15/26
(Pre-refunded/ETM)

     8,805       9,599,123  

Series 2011
5.00%, 11/15/24
(Pre-refunded/ETM)

     925       1,027,490  

 

Schedule of Investments—New York Municipal Portfolio     31  

Table of Contents
   
Principal Amount (000)     U.S. $ Value  

Series 2011C
5.00%, 11/15/24

   $ 1,965     $ 2,168,928  

Series 2011D
5.00%, 11/15/22
(Pre-refunded/ETM)

     5,000       5,554,000  

5.00%, 11/15/23
(Pre-refunded/ETM)

     4,275       4,748,670  

5.00%, 11/15/25
(Pre-refunded/ETM)

     2,500       2,777,000  

Series 2012F
5.00%, 11/15/22

     3,470       3,900,731  

Series 2016C
5.00%, 11/15/34

     4,480       4,724,966  

Series 2016D
5.00%, 11/15/27

     1,160       1,358,024  

Series 2017A
5.00%, 11/15/31

     2,025       2,379,416  

Series 2017B
5.00%, 11/15/26–11/15/27

     7,460       8,813,920  

Series 2017C
5.00%, 11/15/25–11/15/31

     77,145       90,460,767  

Metropolitan Transportation Authority
(Metropolitan Transportation Authority Ded Tax)
Series 2012A
5.00%, 11/15/24

     14,130       15,910,380  

Nassau County Local Economic Assistance Corp.
(Catholic Health Services of Long Island Obligated Group)
Series 2014
5.00%, 7/01/24

     4,550       5,139,088  

New York City Municipal Water Finance Authority
Series 2008AA
5.00%, 6/15/19
(Pre-refunded/ETM)

     11,675       11,756,958  

5.00%, 6/15/21
(Pre-refunded/ETM)

     3,095       3,116,727  

5.00%, 6/15/21

     3,810       3,836,670  

5.00%, 6/15/22
(Pre-refunded/ETM)

     2,905       2,925,393  

Series 2010FF
5.00%, 6/15/25

     24,730       26,489,787  

Series 2011HH
5.00%, 6/15/26

     9,055       9,907,438  

Series 2014D
5.00%, 6/15/22–6/15/29

     14,350       16,181,928  

Series 2015F
5.00%, 6/15/27–6/15/28

     7,830       9,130,577  

Series 2015G
5.00%, 6/15/28

     11,465       13,293,324  

New York City Transitional Finance Authority Building Aid Revenue
Series 2018S
5.00%, 7/15/31–7/15/32

     4,905       5,822,865  

New York City Transitional Finance Authority Building Aid Revenue
(New York City Transitional Finance Authority Building Aid Revenue State Lease)
Series 2011S-1A
5.00%, 7/15/25

   $ 4,420     $ 4,848,077  

Series 2012S
5.00%, 7/15/25

     7,390       8,237,559  

New York City Transitional Finance Authority Future Tax Secured Revenue
Series 2011A
5.00%, 11/01/20

     1,160       1,254,296  

Series 2011A-1
5.00%, 11/01/23

     15,315       16,943,903  

Series 2011B
5.00%, 2/01/20–2/01/24

     15,135       16,330,074  

Series 2011C
5.00%, 11/01/20

     9,480       10,250,629  

Series 2012B
5.00%, 11/01/22–11/01/24

     13,105       14,758,439  

Series 2012D
5.00%, 11/01/20–11/01/23

     29,575       32,704,169  

Series 2012E
5.00%, 2/01/21–2/01/26

     11,600       12,699,034  

Series 2014A
5.00%, 8/01/27–8/01/29

     6,655       7,639,674  

Series 2014C
5.00%, 11/01/26

     6,345       7,323,082  

Series 2014D-1
5.00%, 2/01/28–2/01/29

     9,535       10,854,476  

Series 2015C
5.00%, 11/01/18–11/01/26

     24,005       27,521,700  

Series 2016B
5.00%, 8/01/31

     2,150       2,502,579  

Series 2017
5.00%, 11/01/26

     4,175       4,969,169  

Series 2017A
5.00%, 8/01/21

     1,740       1,914,870  

Series 2017B
5.00%, 8/01/32

     5,890       6,920,632  

New York City Trust for Cultural Resources
(Lincoln Center for the Performing Arts, Inc.)
Series 2016A
5.00%, 12/01/26

     7,175       8,539,254  

New York City Trust for Cultural Resources
(Whitney Museum of American Art)
Series 2011
5.00%, 7/01/21

     4,745       5,145,715  

New York Local Government Assistance Corp.
(New York Local Government Assistance Corp. Sales Tax)
Series 2008A
5.00%, 4/01/20

     12,120       12,143,755  

 

32   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
   
Principal Amount (000)     U.S. $ Value  

New York State Dormitory Authority
Series 2009D
5.00%, 6/15/20
(Pre-refunded/ETM)

   $ 2,230     $ 2,320,114  

Series 2011A
5.00%, 7/01/24
(Pre-refunded/ETM)

     3,125       3,434,531  

Series 2012D
5.00%, 2/15/22
(Pre-refunded/ETM)

     1,290       1,425,166  

5.00%, 2/15/23
(Pre-refunded/ETM)

     865       955,635  

5.00%, 2/15/24
(Pre-refunded/ETM)

     815       900,396  

5.00%, 2/15/25
(Pre-refunded/ETM)

     880       972,206  

New York State Dormitory Authority
(Icahn School of Medicine at Mount Sinai)
Series 2010A
5.00%, 7/01/19

     4,390       4,562,000  

Series 2015A
5.00%, 7/01/22–7/01/26

     6,415       7,233,260  

New York State Dormitory Authority
(Mount Sinai Hospitals Group, Inc.)
Series 2010A
5.00%, 7/01/18

     1,360       1,371,220  

New York State Dormitory Authority
(New York State Dormitory Authority Lease)
Series 2009A
5.00%, 7/01/22

     6,050       6,298,473  

New York State Dormitory Authority
(New York State Sales Tax)
Series 2015-2
5.00%, 3/15/19–3/15/22

     43,385       47,255,987  

Series 2015A
5.00%, 3/15/19–3/15/23

     34,200       36,231,770  

Series 2017A
5.00%, 3/15/23–3/15/29

     7,695       9,064,475  

New York State Dormitory Authority
(New York University)
Series 2015A
5.00%, 7/01/23

     2,040       2,331,190  

NATL Series 1998A
6.00%, 7/01/18

     1,000       1,010,980  

New York State Dormitory Authority
(Orange Regional Medical Center Obligated Group)
Series 2017
5.00%, 12/01/23–12/01/26(b)

     4,600       5,125,124  

New York State Dormitory Authority
(St John’s University/NY)
Series 2015A
5.00%, 7/01/24

     1,130       1,293,748  

 

   
Principal Amount (000)     U.S. $ Value  

New York State Dormitory Authority
(State of New York Pers Income Tax)
Series 2012A
5.00%, 12/15/20–12/15/21

   $ 8,920     $ 9,826,490  

Series 2012B
5.00%, 3/15/22

     3,905       4,349,350  

Series 2012D
5.00%, 2/15/22–2/15/25

     18,285       20,254,327  

Series 2014A
5.00%, 2/15/28–2/15/29

     13,825       15,701,467  

Series 2014C
5.00%, 3/15/28–3/15/29

     14,485       16,509,959  

Series 2015B
5.00%, 2/15/23

     1,160       1,311,960  

Series 2015E
5.00%, 3/15/21–3/15/23

     5,380       6,051,583  

Series 2016D
5.00%, 2/15/21

     5,970       6,497,808  

AMBAC Series 2005B
5.50%, 3/15/23

     5,000       5,779,950  

New York State Dormitory Authority
(State University of New York Dormitory Fees)
Series 2015A
5.00%, 7/01/19

     2,720       2,830,677  

New York State Dormitory Authority
(Wyckoff Heights Medical Center State Lease)
Series 2015
5.00%, 2/15/21

     3,870       4,208,741  

New York State Energy Research & Development Authority
(Consolidated Edison Co. of New York, Inc.)
AMBAC Series 2001A
2.173%, 5/01/34(c)

     1,900       1,823,924  

2.215%, 5/01/34(c)

     2,425       2,327,903  

2.423%, 5/01/34(c)

     2,300       2,207,908  

XLCA Series 2004B
2.27%, 10/01/35(c)

     3,000       2,880,120  

New York State Energy Research & Development Authority
(Rochester Gas & Electric Corp.)
NATL Series 1997A
2.534%, 8/01/32(c)

     2,000       1,870,080  

New York State Environmental Facilities Corp.
(New York City Municipal Water Finance Authority)
Series 2009A
5.25%, 6/15/24

     7,300       7,615,287  

New York State Environmental Facilities Corp.
(State of New York SRF)
Series 2015D
5.00%, 3/15/22–9/15/22

     9,320       10,509,332  

 

Schedule of Investments—New York Municipal Portfolio     33  

Table of Contents
   
Principal Amount (000)     U.S. $ Value  

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

    

Series 2012A
5.00%, 4/01/21–4/01/25

   $ 26,175     $ 28,995,604  

AMBAC Series 2005B
5.50%, 4/01/20

     9,215       9,906,401  

New York State Thruway Authority
(New York State Thruway Authority Gen Toll Road)
Series 2012I
5.00%, 1/01/25

     5,155       5,678,748  

Series 2013A
5.00%, 5/01/19

     27,610       28,587,670  

Series 2014
5.00%, 1/01/26–1/01/28

     4,345       5,007,652  

Series 2014J
5.00%, 1/01/26–1/01/27

     33,900       38,362,419  

Series 2018L
5.00%, 1/01/20

     3,780       3,992,738  

New York State Thruway Authority
(State of New York Pers Income Tax)
Series 2010A
5.00%, 3/15/25

     5,425       5,847,336  

Series 2011A
5.00%, 3/15/19

     2,060       2,126,950  

New York State Urban Development Corp.
(New York State Urban Development Corp. Lease)
Series 2008B
5.00%, 1/01/19

     3,525       3,555,245  

New York State Urban Development Corp.
(State of New York Pers Income Tax)
Series 2010A
5.00%, 3/15/19

     10,000       10,325,000  

Series 2013C
5.00%, 3/15/20

     9,945       10,565,866  

Series 2016A
5.00%, 3/15/21–3/15/28

     26,935       30,555,055  

Series 2017C
5.00%, 3/15/26

     9,095       10,739,376  

New York Transportation Development Corp.
(American Airlines, Inc.)
5.00%, 8/01/21

     1,415       1,523,941  

Series 2016
5.00%, 8/01/19–8/01/31

     25,655       27,096,123  

New York Transportation Development Corp.
(Terminal One Group Association LP)
Series 2015
5.00%, 1/01/21

     3,690       3,965,643  

 

   
Principal Amount (000)     U.S. $ Value  

Niagara Falls City School District
Series 2016
5.00%, 6/15/22–6/15/25

   $ 11,580     $ 13,058,888  

Port Authority of New York &
New Jersey
Series 2011
5.00%, 9/15/24

     2,000       2,151,960  

Series 2011O
5.00%, 10/15/21

     5,215       5,727,374  

Series 2013-178
5.00%, 12/01/23

     10,480       11,842,924  

Series 2014
5.00%, 9/01/23–9/01/27

     12,470       14,127,827  

Series 2014-1
5.00%, 10/15/23

     3,455       3,896,825  

Series 2014-186
5.00%, 10/15/21–10/15/22

     12,575       13,894,944  

Series 2015E
5.00%, 10/15/22–10/15/26

     16,390       18,625,761  

Series 2017
3.00%, 10/15/18

     1,000       1,007,510  

5.00%, 10/15/28

     6,925       8,079,328  

Series 20182
5.00%, 9/15/27

     9,310       10,957,870  

Sales Tax Asset Receivable Corp.
Series 2014A
5.00%, 10/15/19–10/15/26

     20,810       23,385,494  

Town of Oyster Bay NY
5.00%, 2/15/22–2/15/23(d)

     11,660       12,669,436  

Series 2016C
4.00%, 6/01/18

     4,175       4,187,984  

Triborough Bridge & Tunnel Authority
Series 2008A
5.00%, 11/15/19
(Pre-refunded/ETM)

     2,150       2,158,815  

Series 2011A
5.00%, 1/01/27
(Pre-refunded/ETM)

     7,000       7,780,500  

Series 2012B
5.00%, 11/15/21–11/15/23

     25,760       28,972,588  

Series 2013A
5.00%, 11/15/28

     5,000       5,622,300  

Series 2013B
5.00%, 11/15/20–11/15/22

     10,970       12,241,423  

Series 2016A
5.00%, 11/15/24

     8,120       9,507,221  

Troy Capital Resource Corp.
(Rensselaer Polytechnic Institute)
Series 2010B
5.00%, 9/01/18–9/01/21

     3,370       3,468,221  

TSASC, Inc./NY
Series 2017A
5.00%, 6/01/20–6/01/23

     3,000       3,283,960  

Utility Debt Securitization Authority
Series 2013T
5.00%, 6/15/26–12/15/29

     34,825       39,730,444  
   

 

 

  
      1,532,416,960  
   

 

 

  

 

34   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
   
Principal Amount (000)     U.S. $ Value  
Alabama–1.0%    

Alabama Public School & College Authority
Series 2009B
5.00%, 5/01/18

   $ 11,145     $ 11,175,314  

Black Belt Energy Gas District
(Goldman Sachs Group, Inc. (The))
Series 2018A
4.00%, 12/01/48

     5,935       6,364,694  
   

 

 

  
      17,540,008  
   

 

 

  
Arizona–0.1%    

Tempe Industrial Development Authority
(Mirabella at ASU, Inc.)
Series 2017B
4.00%, 10/01/23(b)

     2,400       2,407,920  
   

 

 

  
California–0.4%    

California Econ Recovery
Series 2009A
5.25%, 7/01/21
(Pre-refunded/ETM)

     5,000       5,228,900  

Golden State Tobacco Securitization Corp.
(Golden State Tobacco Securitization Corp. Lease)
Series 2013A
5.00%, 6/01/19

     1,225       1,272,701  

San Francisco City & County Airport Comm-San
Francisco International Airport
(San Francisco Intl Airport)
Series 2009E
5.00%, 5/01/21

     1,280       1,325,888  
   

 

 

  
      7,827,489  
   

 

 

  
Colorado–0.2%    

City & County of Denver CO
(United Airlines, Inc.)
Series 2017
5.00%, 10/01/32

     2,425       2,621,740  
   

 

 

  
Connecticut–0.9%    

State of Connecticut
Series 2018B
5.00%, 4/15/25(d)

     14,565       16,316,296  
   

 

 

  
District of Columbia–0.3%    

Metropolitan Washington Airports Authority
Series 2010B
5.00%, 10/01/19–10/01/21

     5,795       6,099,749  
   

 

 

  
Florida–1.1%    

County of Miami-Dade FL Aviation Revenue
Series 2009A
5.75%, 10/01/20

     1,680       1,778,700  

 

   
Principal Amount (000)     U.S. $ Value  

Durbin Crossing Community Development District
Series 2006-1
5.25%, 11/01/15(e)(f)(g)

   $ 2,060     $ 195,700  

Overoaks Community Development District
Series 2004B
5.125%, 5/01/09(e)(f)(g)

     185       15,725  

Series 2010A-1
6.125%, 5/01/35

     70       70,088  

Series 2010A-2
6.125%, 5/01/35

     175       175,221  

Parkway Center Community Development District
Series 2004B
7.00%, 5/01/23

     110       112,380  

State of Florida Lottery Revenue
Series 2010C
5.00%, 7/01/18

     16,355       16,496,144  

Volusia County School Board COP
Series 2014B
5.00%, 8/01/26

     1,000       1,154,940  
   

 

 

  
      19,998,898  
   

 

 

  
Guam–0.6%  

Guam Department of Education COP
Series 2010A
6.00%, 12/01/20

     1,185       1,206,804  

Guam Government Waterworks Authority
Series 2017
5.00%, 7/01/28–7/01/31

     4,250       4,688,038  

Guam Power Authority
Series 2017A
5.00%, 10/01/25-10/01/27

     3,945       4,344,684  
   

 

 

  
    10,239,526  
   

 

 

  
Illinois–3.0%    

Chicago Board of Education
Series 2017C
5.00%, 12/01/23

     8,160       8,684,117  

Metropolitan Pier & Exposition Authority
Series 2012B
5.00%, 12/15/28

     5,090       5,264,791  

Series 2017B
5.00%, 12/15/28

     2,000       2,189,680  

State of Illinois
Series 2012
5.00%, 3/01/21–8/01/25

     13,135       13,646,719  

Series 2013
5.50%, 7/01/25

     7,435       7,921,249  

Series 2014
5.00%, 5/01/24

     2,540       2,649,296  

Series 2016
5.00%, 2/01/24

     4,200       4,380,684  

 

Schedule of Investments—New York Municipal Portfolio     35  

Table of Contents
   
Principal Amount (000)     U.S. $ Value  

Series 2017A
5.00%, 12/01/24

   $ 2,060     $ 2,151,134  

Series 2017D
5.00%, 11/01/23

     7,505       7,846,102  

Town of Cortland IL
(Town of Cortland IL Spl Tax)
Series 2006
5.50%, 3/01/17(e)(f)(g)

     1,307       256,826  
   

 

 

  
    54,990,598  
   

 

 

  
Indiana–0.6%    

Indiana Bond Bank
(JPMorgan Chase & Co.)
Series 2007A
5.25%, 10/15/18–10/15/21

     10,780       11,474,527  
   

 

 

  
Louisiana–0.0%    

Juban Parc Community Development District
Series 2006
5.15%, 10/01/14(e)(f)(g)

     1,155       323,400  
   

 

 

  
Massachusetts–0.6%    

Commonwealth of Massachusetts
NATL Series 2000D
2.551%, 12/01/30(c)

     275       274,197  

NATL Series 2000E
2.551%, 12/01/30(c)

  

 

2,300

 

  

 

2,293,284

 

NATL Series 2000F
2.611%, 12/01/30(c)

     8,475       8,450,253  
   

 

 

  
    11,017,734  
   

 

 

  
Michigan–0.2%  

City of Detroit MI Sewage Disposal System Revenue
(Great Lakes Water Authority Sewage Disposal System)
Series 2012A
5.00%, 7/01/22

     3,055       3,354,176  
   

 

 

  
Nevada–0.4%  

County of Clark Department of Aviation
(Las Vegas-McCarran International Airport)
AGM Series 2009C
5.00%, 7/01/23

     7,400       7,699,256  
   

 

 

  
New Jersey–2.7%  

New Jersey Economic Development Authority
(New Jersey Economic Development Authority
State Lease)

    

Series 2011G
5.00%, 9/01/21

     3,295       3,493,392  

Series 2013
5.00%, 3/01/21–3/01/28

     3,945       4,182,672  

 

   
Principal Amount (000)     U.S. $ Value  

Series 2015X
5.00%, 6/15/19–6/15/21

   $ 23,895     $ 25,399,861  

Series 2017D
5.00%, 6/15/30

     2,000       2,171,820  

New Jersey Transportation Trust Fund Authority
Series 2012A
5.00%, 6/15/22

     1,000       1,076,280  

New Jersey Transportation Trust Fund Authority
(New Jersey Transportation Fed Hwy Grant)
Series 2016
5.00%, 6/15/27

     5,000       5,552,950  

New Jersey Transportation Trust Fund Authority
(New Jersey Transportation Trust Fund Authority State Lease)
Series 2011A
5.00%, 6/15/21

     2,195       2,344,524  

AMBAC Series 2005B
5.25%, 12/15/23

     4,700       5,281,484  
   

 

 

  
    49,502,983  
   

 

 

  
Ohio–0.1%  

Ohio Air Quality Development Authority
(FirstEnergy Generation LLC)
Series 2009D
4.25%, 8/01/29

     1,305       1,141,549  

Ohio Water Development Authority Water Pollution Control Loan Fund
(FirstEnergy Corp.)
Series 2016B
4.375%, 6/01/33

     1,650       1,443,040  
   

 

 

  
    2,584,589  
   

 

 

  
Pennsylvania – 1.0%    

Hospitals & Higher Education Facilities Authority
of Philadelphia (The)
(Temple University Health System Obligated Group)
Series 2017
5.00%, 7/01/23–7/01/24

     3,775       4,139,654  

Philadelphia Parking Authority (The)
(Philadelphia Airport Parking)
Series 2009
5.00%, 9/01/21

     11,405       12,170,162  

5.25%, 9/01/23

     2,435       2,607,228  
   

 

 

  
    18,917,044  
   

 

 

  
Tennessee–1.0%    

Tennessee Energy Acquisition Corp.
(Goldman Sachs Group, Inc. (The))
Series 2006A
5.25%, 9/01/21

     17,375       19,089,044  
   

 

 

  

 

36   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents
   
Principal Amount (000)     U.S. $ Value  
Texas–0.4%    

City of Houston TX Airport System Revenue
(United Airlines, Inc.)

    

5.00%, 7/15/28

   $ 1,750     $ 1,968,540  

Mission Economic Development Corp.
(Natgasoline LLC)

    

Series 2016B

    

5.75%, 10/01/31(b)

     4,300       4,472,731  
   

 

 

  
    6,441,271  
   

 

 

  
Washington–0.7%    

Port of Seattle WA

    

Series 2010C

    

5.00%, 2/01/21

     11,085       11,975,458  
   

 

 

  

Total Long-Term Municipal Bonds
(cost $1,792,246,821)

       1,812,838,666  
   

 

 

  
   
 
Short-Term Municipal Notes–1.6%  
New York–1.3%    

City of New York NY

    

Series 2013I

    

1.70%, 4/01/36(h)

     10,000       10,000,000  

Metropolitan Transportation Authority

    

Series 2017A

    

1.70%, 11/01/31(h)

     4,000       4,000,000  

State of New York

    

Series 2018A

    

5.00%, 2/15/19

     5,560       5,728,801  

 

   
Principal Amount (000)     U.S. $ Value  

Town of Oyster Bay NY

    

Series 2017C

    

2.50%, 6/01/18

   $ 3,500     $ 3,502,345  

Triborough Bridge & Tunnel Authority

    

Series 2018B

    

1.66%, 1/01/32(h)

     1,300       1,300,000  
   

 

 

  
    24,531,146  
   

 

 

  
Texas–0.3%    

State of Texas
Series 2017
4.00%, 8/30/18

     5,000       5,050,350  
   

 

 

  
Total Short-Term Municipal Notes
(cost $29,600,663)		       29,581,496  
   

 

 

  
Total Municipal Obligations
(cost $1,821,847,484)		       1,842,420,162  
   

 

 

  
   
     
SHORT-TERM INVESTMENTS–0.1%                
Time Deposit–0.1%    

State Street Time Deposit
0.28%, 4/02/18
(cost $1,936,404)

     1,936       1,936,404  
   

 

 

  
Total Investments—100.6%
(cost $1,823,783,888)		       1,844,356,566  

Other assets less liabilities—(0.6)%

       (11,011,793 ) 
   

 

 

  
Net Assets—100.0%     $ 1,833,344,773  
   

 

 

  

 

 

CREDIT DEFAULT SWAPS (see Note 3)

 

Swap
Counterparty &
Referenced
Obligation		  

Fixed

Rate

(Pay)

Receive

    

Payment

Frequency

  

Implied

Credit

Spread at

March 31,

2018

    

Notional

Amount

(000)

    

Market

Value

     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  
Sale Contracts  

Credit Suisse International

        
CDX-
CMBX.NA.A
Series 6,
5/11/63*		     2.00 %    Monthly     3.17 %    USD     2,388     $ (104,515 )    $ (143,593 )    $  39,078  
CDX-
CMBX.NA.A
Series 6,
5/11/63*		     2.00     Monthly     3.17     USD 1,108       (48,494 )      (45,378 )      (3,116 ) 
CDX-
CMBX.NA.A
Series 6,
5/11/63*		     2.00     Monthly     3.17     USD 2,253       (98,481 )      (127,512 )      29,031  

Deutsche Bank AG

        
CDX-
CMBX.NA.A
Series 6,
5/11/63*		     2.00     Monthly     3.17     USD 2,554       (111,780 )      (154,254 )      42,474  

 

Schedule of Investments—New York Municipal Portfolio     37  

Table of Contents
Swap
Counterparty &
Referenced
Obligation		  

Fixed

Rate

(Pay)

Receive

    

Payment

Frequency

  

Implied

Credit

Spread at

March 31,

2018

    

Notional

Amount

(000)

    

Market

Value

     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

Goldman Sachs International

        
CDX-
CMBX.NA.A
Series 6,
5/11/63*		     2.00 %    Monthly     3.17 %    USD 955     $ (41,797 )    $ (55,392 )    $ 13,595  
CDX-
CMBX.NA.A
Series 6,
5/11/63*		     2.00     Monthly     3.17     USD 955       (41,797 )      (51,824 )      10,027  
CDX-
CMBX.NA.A
Series 6,
5/11/63*		     2.00     Monthly     3.17     USD  1,338       (58,634 )      (53,330 )      (5,304 ) 

Morgan Stanley Capital Services LLC

        
CDX-
CMBX.NA.A
Series 6,
5/11/63*		     2.00     Monthly     3.17     USD 372       (16,281 )      (15,310 )      (971 ) 
         

 

 

    

 

 

    

 

 

  
  $ (521,779 )    $ (646,593 )    $  124,814  
         

 

 

    

 

 

    

 

 

  

* Termination date

 

 

(a)   Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.11% of net assets as of March 31, 2018, are considered illiquid and restricted. Additional information regarding such securities follows:

 

144A/Restricted &
Illiquid Securities		   Acquisition
Date		     Cost    

Market

Value

     Percentage of
Net Assets		  

Jefferson County Industrial Development Agency
(ReEnergy Black River LLC)
Series 2014
5.25%, 1/01/24

     11/13/14     $ 1,250,000     $ 1,188,575       0.06 % 

Jefferson County Industrial Development Agency
(ReEnergy Black River LLC)
Series 2014
4.75%, 1/01/20

     11/13/14       890,000       877,807       0.05 % 

 

(b)   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 March 31, 2018, the aggregate market value of these securities amounted to $12,005,775 or 0.7% of net assets.
(c)   An auction rate security whose interest rate resets at each auction date. Auctions are typically held every week or month. The rate shown is as of March 31, 2018 and the aggregate market value of these securities amounted to $22,127,669 or 1.21% of net assets.
(d)   When-Issued or delayed delivery security.
(e)   Defaulted matured security.
(f)   Non-income producing security.
(g)   Illiquid security.
(h)   Variable Rate Demand Notes are instruments whose interest rates change on a specific date (such as coupon date or interest payment date) or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). This instrument is payable on demand and is secured by letters of credit or other credit support agreements from major banks.

As of March 31, 2018, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 3.5% and 0.0%, respectively.

Glossary:

AGM—Assured Guaranty Municipal

AMBAC—Ambac Assurance Corporation

BAM—Build American Mutual

CDX-CMBX.NA—North American Commercial Mortgage- Backed Index

COP—Certificate of Participation

ETM—Escrowed to Maturity

NATL—National Interstate Corporation

SRF—State Revolving Fund

XLCA—XL Capital Assurance Inc.

See notes to financial statements.

 

38   Sanford C. Bernstein Fund, Inc.—2018 Semi-Annual Report

Table of Contents

SCB-MU-1945-0318

Table of Contents

MAR    03.31.18

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SEMI-ANNUAL REPORT

AB BLENDED STYLE FUNDS

 

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AB INTERNATIONAL PORTFOLIO

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AB TAX-MANAGED INTERNATIONAL PORTFOLIO

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AB EMERGING MARKETS PORTFOLIO

 

 

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Investment Products Offered  

•  Are Not FDIC Insured • May Lose Value • Are Not Bank Guaranteed

Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.

This shareholder report must be preceded or accompanied by the Fund’s prospectus for individuals who are not current shareholders of the Fund.

You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com, or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.

The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-Q may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC 0330. AB publishes full portfolio holdings for the International and Tax-Managed International Portfolios monthly at www.abfunds.com.

AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.

The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.

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FROM THE ADVISER    LOGO

Dear Shareholder,

We are pleased to provide this report for AB Blended Style Funds: International, Tax-Managed International and Emerging Markets Portfolios (each a “Portfolio,” and collectively, the “Portfolios”). Please review the discussion of Portfolio performance, the market conditions during the reporting period and the Portfolios’ investment strategies.

As always, AB strives to keep clients ahead of what’s next by:

 

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Transforming uncommon insights into uncommon knowledge with a global research scope

 

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Navigating markets with seasoned investment experience and sophisticated solutions

 

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Providing thoughtful investment insights and actionable ideas

Whether you’re an individual investor or a multi-billion-dollar institution, we put knowledge and experience to work for you.

AB’s global research organization connects and collaborates across platforms and teams to deliver impactful insights and innovative products. Better insights lead to better opportunities—anywhere in the world.

For additional information about AB’s range of products and shareholder resources, please log on to www.abfunds.com.

Thank you for your investment in the AB Mutual Funds.

Sincerely,

 

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Robert M. Keith

Senior Vice President of the Adviser

 

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SEMI-ANNUAL REPORT

 

May 18, 2018

This report provides management’s discussion of fund performance for AB Blended Style Funds: International, Tax-Managed International and Emerging Markets Portfolios for the semi-annual reporting period ended March 31, 2018.

Class Z shares of the Portfolios are currently offered exclusively to registered investment companies (or their series) managed by the Adviser.

The investment objective of the International and Tax-Managed International Portfolios is to provide long-term capital growth. The investment objective of the Emerging Markets Portfolio is to provide long-term capital growth through investments in equity securities of companies in emerging-market countries.

NAV RETURNS AS OF MARCH 31, 2018 (unaudited)

 

     6 Months      12 Months  
AB INTERNATIONAL PORTFOLIO      
Class A Shares      3.40%        17.20%  
Class B Shares1      3.03%        16.39%  
Class C Shares      3.03%        16.33%  
Class Z Shares2      3.55%        17.50%  
MSCI EAFE Index (net)      2.63%        14.80%  

 

     6 Months      12 Months  
AB TAX-MANAGED INTERNATIONAL PORTFOLIO      
Class A Shares      3.45%        17.15%  
Class B Shares1      3.04%        16.32%  
Class C Shares      3.02%        16.21%  
Class Z Shares2      3.54%        17.37%  
MSCI EAFE Index (net)      2.63%        14.80%  

 

     6 Months      12 Months  
AB EMERGING MARKETS PORTFOLIO      
Class Z Shares2      8.42%        23.01%  
MSCI EM Index (net)      8.96%        24.93%  

 

1 Effective January 31, 2009, Class B shares are no longer available for purchase to new investors. Please see Note 1 for additional information.

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2 Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Portfolio.

Please keep in mind that high, double-digit returns are highly unusual and cannot be sustained. Investors should also be aware that these returns were primarily achieved during favorable market conditions.

INVESTMENT RESULTS

The preceding tables show the Portfolios’ performance compared to their benchmarks, the Morgan Stanley Capital International Europe, Australasia and the Far East (“MSCI EAFE”) Index (net) for International and Tax-Managed International Portfolios and the MSCI Emerging Markets (“EM”) Index (net) for Emerging Markets Portfolio, for the six- and 12-month periods ended March 31, 2018.

All share classes of the International and Tax-Managed International Portfolios outperformed the benchmark for both periods, before sales charges. For the six-month period, stock selection in the financials and technology sectors were the leading contributors relative to the benchmark, while selection within the utilities sector detracted. Country selection had no material impact on returns in the six-month period. For the 12-month period, strong stock selection in the financials, technology and consumer discretionary sectors drove performance, as did an overweight to technology stocks. During the period, the Portfolios’ overweights to emerging markets—especially China and Korea—contributed to performance. These gains were somewhat offset by negative stock selection within utilities and health care.

The Emerging Markets Portfolio underperformed the benchmark for both periods, before sales charges. Exposures to currencies in volatile political environments detracted for both periods. An underweight to South Africa detracted, as the South African rand gained substantially on positive election outcomes. An overweight to the Argentine peso also detracted, as it declined amid continued economic weakness. These losses more than offset positive sector selection from underweights in telecommunications and industrials, as well as an overweight in the technology sector.

The International and Tax-Managed International Portfolios utilized derivatives in the form of Treasury futures and currency forwards for hedging purposes, which had an immaterial impact on absolute returns for both periods.

The Emerging Markets Portfolio utilized derivatives in the form of Treasury futures for investment purposes, which added to absolute returns for the 12-month period. Currency forwards for hedging and investment purposes added to returns for both periods.

MARKET REVIEW AND INVESTMENT STRATEGY

Equity markets appreciated for both periods ended March 31, 2018. Markets were led by a rally in technology shares, strong economic growth

 

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and relatively benign inflation. Emerging markets outperformed their developed-market peers after several disappointing years. In the latter part of the reporting period, equity market volatility normalized from historically low levels at the end of 2017. Concerns about rising interest rates, escalating trade tensions and geopolitical concerns between Russia and the UK caused volatility to rise and unwind strong gains from January.

Style volatility has been elevated over the past few years, with the six- and 12-month periods strongly favoring growth companies in both international and emerging-market equities. The Portfolios employ a strategy that selects stocks from many disciplines in an effort to produce consistent premiums regardless of the style environment. The value approach seeks to buy future cash earnings for the lowest price, while the growth approach seeks to own companies that are well positioned to benefit from long-term secular trends.

INVESTMENT POLICIES

INTERNATIONAL AND TAX-MANAGED INTERNATIONAL PORTFOLIOS

The Portfolios invest primarily in equity securities of issuers in countries that make up the MSCI EAFE Index, and Canada. The Adviser diversifies the Portfolios among many foreign countries, but not necessarily in the same proportion that the countries are represented in the MSCI EAFE Index. Under normal circumstances, the Adviser invests in companies in at least three countries (and normally substantially more) other than the United States. The Portfolios also invest in less developed or emerging equity markets. The Adviser invests the Portfolios’ assets using multiple disciplines as well as capitalization ranges, although the Adviser expects to invest primarily in large- and mid-sized capitalization companies. The Adviser relies on both fundamental and quantitative research to manage both risk and return for the Portfolios. The Portfolios may own stocks selected using the Adviser’s bottom-up fundamental research in value, growth, stability and other disciplines. Within each investment discipline, the Adviser draws on the capabilities of separate investment teams. The research analyses that support buy and sell decisions for the Portfolios are fundamental and bottom-up, based largely on specific company and industry findings and taking into account broad economic forecasts. The International Portfolio is managed without regard to tax considerations; the Tax-Managed International Portfolio seeks to minimize the impact of taxes on shareholders’ returns.

The Portfolios invest primarily in common stocks, but may also invest in preferred stocks, warrants and convertible securities of foreign

 

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issuers, including sponsored or unsponsored American Depositary Receipts (“ADRs”) and Global Depositary Receipts (“GDRs”). The Portfolios may use derivatives, such as options, futures contracts, forward contracts and swaps. The Portfolios may enter into foreign currency transactions for hedging and non-hedging purposes on a spot (i.e., cash) basis or through the use of derivatives transactions, such as forward currency exchange contracts, currency futures and options thereon, and options on currencies. An appropriate hedge of currency exposure resulting from the Portfolios’ securities positions may not be available or cost effective, or the Adviser may determine not to hedge the positions, possibly even under market conditions where doing so could benefit the Portfolios. The Portfolios generally invest in foreign-currency futures contracts or foreign-currency forward contracts with terms of up to one year. The Portfolios also purchase foreign currency for immediate settlement in order to purchase foreign securities. In addition, the Portfolios may invest a portion of their uncommitted cash balances in futures contracts on securities or baskets of securities to expose that portion of the Portfolios to the equity markets. The Portfolios may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, including on individual securities and stock indices, futures contracts (including futures contracts on individual securities and stock indices) or shares of exchange-traded funds (“ETFs”). These transactions may be used, for example, in an effort to earn extra income, to adjust exposure to individual securities or markets, or to protect all or a portion of the Portfolios from a decline in value, sometimes within certain ranges.

EMERGING MARKETS PORTFOLIO

The Portfolio invests, under normal circumstances, at least 80% of its net assets in securities of companies in emerging markets. Issuers of these securities may be large-, mid- or small-capitalization companies.

The Adviser invests the Portfolio’s assets using multiple disciplines. The Portfolio may own stocks selected using the Adviser’s bottom-up research in value, growth, core and other investment style disciplines. The Adviser may allocate assets to companies in different targeted ranges of market capitalization. Within each investment discipline, the Adviser draws on the capabilities of separate investment teams. The Adviser relies on both fundamental and quantitative research to manage risk and return for the Portfolio.

The Portfolio may invest in companies of any size. The Portfolio invests primarily in common stocks, but may also invest in preferred stocks, warrants and convertible securities of foreign issuers, including sponsored or unsponsored ADRs and GDRs.

 

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Under most conditions, the Portfolio intends to have its assets invested among multiple emerging-market countries, although the Portfolio may also invest in more developed-market countries. In allocating the Portfolio’s assets among emerging-market countries, the Adviser considers such factors as the geographical distribution of the Portfolio, the sizes of the stock markets represented and the various key economic characteristics of the countries. However, the Portfolio may not necessarily be diversified on a geographical basis. The Adviser also considers the transaction costs and volatility of each individual market.

The Portfolio may enter into foreign currency transactions for hedging and non-hedging purposes on a spot (i.e., cash) basis or through the use of derivatives transactions, such as forward currency exchange contracts, currency futures and options thereon, and options on currencies. An appropriate hedge of currency exposure resulting from the Portfolio’s securities positions may not be available or cost effective, or the Adviser may determine not to hedge the positions, possibly even under market conditions where doing so could benefit the Portfolio. The Portfolio generally invests in foreign-currency futures contracts or foreign-currency forward contracts with terms of up to one year. The Portfolio also purchases foreign currency for immediate settlement in order to purchase foreign securities. In addition, the Portfolio may invest a portion of its uncommitted cash balances in futures contracts on securities or baskets of securities to expose that portion of the Portfolio to the equity markets. The Portfolio may use derivatives, such as options, futures contracts, forward contracts and swaps. The Portfolio may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, including on individual securities and stock indices, futures contracts (including futures contracts on individual securities and stock indices) or shares of ETFs. These transactions may be used, for example, in an effort to earn extra income, to adjust exposure to individual securities or markets, or to protect all or a portion of the Portfolio from a decline in value, sometimes within certain ranges.

The Portfolio may also make investments in developed foreign securities that comprise the MSCI EAFE Index.

 

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DISCLOSURES AND RISKS

 

Benchmark Disclosure

The MSCI EAFE Index and the MSCI EM Index are unmanaged and do not reflect fees and expenses associated with the active management of a mutual fund portfolio. The MSCI EAFE Index (net, free float-adjusted, market capitalization weighted) represents the equity market performance of developed markets, excluding the US and Canada. The MSCI EM Index (net, free float-adjusted, market capitalization weighted) represents the equity market performance of emerging markets. MSCI makes no express or implied warranties or representations, and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices, any securities or financial products. This report is not approved, reviewed or produced by MSCI. Net returns include the reinvestment of dividends after deduction of non-US withholding tax. An investor cannot invest directly in an index, and its results are not indicative of the performance of any specific investment, including the Portfolios.

A Word About Risk

Foreign (Non-US) Securities Risk: Investments in foreign securities entail significant risks in addition to those customarily associated with investing in US securities. These risks include risks related to adverse market, economic, political and regulatory factors and social instability, all of which could disrupt the financial markets in which the Portfolios invest and adversely affect the value of the Portfolios’ assets.

Country Concentration Risk: The Portfolios may not always be diversified among countries or regions and the effect on the share price of the Portfolios of specific risks such as political, regulatory and currency may be magnified due to concentration of the Portfolios’ investments in a particular country or region.

Emerging-Markets Securities Risk: The risks of investing in foreign (non-US) securities are heightened with respect to issuers in emerging-market countries because the markets are less developed and less liquid and there may be a greater amount of economic, political and social uncertainty, and these risks are even more pronounced in “frontier” markets, which are investable markets with lower total market capitalization and liquidity than the more developed emerging markets. In addition, the value of the Portfolios’ investments may decline because of factors such as unfavorable or unsuccessful government actions and reduction of government or central bank support.

Foreign Currency Risk: This is the risk that changes in foreign (non-US) currency exchange rates may negatively affect the value of the Portfolios’ investments or reduce the returns of the Portfolios. For example, the value of the Portfolios’ investments in foreign securities and foreign currency

 

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DISCLOSURES AND RISKS (continued)

 

positions may decrease if the US dollar is strong (i.e., gaining value relative to other currencies) and other currencies are weak (i.e., losing value relative to the US dollar).

Actions by a Few Major Investors: In certain countries, volatility may be heightened by actions of a few major investors. For example, substantial increases or decreases in cash flows of mutual funds investing in these markets could significantly affect local stock prices and, therefore, share prices of the Portfolios.

Liquidity Risk: Liquidity risk exists when particular investments are difficult to purchase or sell, possibly preventing the Portfolios from selling out of these illiquid securities at an advantageous price. Illiquid securities may also be difficult to value. Derivatives and securities involving substantial market and credit risk tend to involve greater liquidity risk.

Redemption Risk: The Portfolios may experience heavy redemptions that could cause the Portfolios to liquidate their assets at inopportune times or at a loss or depressed value, which could cause the value of your investment to decline. Redemption risk is heightened during periods of overall market turmoil.

Market Risk: The Portfolios are subject to market risk, which is the risk that stock prices in general may decline over short or extended periods. Stock prices may decline in response to adverse changes in the economy or the economic outlook; deterioration in investor sentiment; interest rate, currency and commodity price fluctuations; adverse geopolitical, social or environmental developments; issuer- and sector-specific considerations; and other factors. In the past decade, financial markets in the United States, Europe and elsewhere have experienced increased volatility, decreased liquidity and heightened uncertainty. These market conditions may recur from time to time and have an adverse impact on various securities markets. The US government and the Federal Reserve, as well as certain foreign governments and central banks, have taken steps to support financial markets. Other governments have tried to support markets by buying stocks and through other market interventions. Government intervention may not work as intended, particularly if the efforts are perceived by investors as being unlikely to achieve the desired results. The Federal Reserve has reduced its market support activities and has begun raising interest rates. Further Federal Reserve or other US or non-US governmental or central bank actions, including interest rate increases or decreases, could negatively affect financial markets generally, increase market volatility and reduce the value and liquidity of securities in which the Portfolios invest.

 

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DISCLOSURES AND RISKS (continued)

 

Current political uncertainty surrounding the European Union (“EU”) and its membership may increase market volatility. The United Kingdom has voted to withdraw from the EU, and one or more other countries may withdraw from the EU and/or abandon the euro, the common currency of the EU. The financial instability of some countries in the EU, together with the risk of that financial instability impacting other more stable countries, may increase the risk of investing in companies in Europe and worldwide. In addition, policy and legislative changes in the United States and in other countries are affecting many aspects of financial regulation, and may in some instances contribute to decreased liquidity and increased volatility in the financial markets. The impact of these changes, and the practical implications for market participants, may not be fully known for some time.

Economies and financial markets throughout the world are becoming increasingly interconnected. Economic, financial or political events, trading and tariff arrangements, terrorism, natural disasters and other circumstances in one country or region could have profound impacts on global economies or markets. As a result, whether or not the Portfolios invest in securities of issuers located in or with significant exposure to countries experiencing economic and financial difficulties, the value and liquidity of the Portfolios’ investments may be negatively affected.

Capitalization Risk: Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small- or mid-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.

Allocation Risk: The allocation of investments among investment disciplines may have a significant effect on the Portfolios’ performance when the investment disciplines in which the Portfolios have greater exposure perform worse than the investment disciplines with less exposure.

Derivatives Risk: The Portfolios may use derivatives as direct investments to earn income, enhance return and broaden portfolio diversification, which entail greater risk than if used solely for hedging purposes. In addition to other risks such as the credit risk of the counterparty, derivatives involve the risk that changes in the value of the derivative may not correlate with relevant assets, rates or indices. Derivatives may be illiquid and difficult to price or unwind, and small changes may produce disproportionate losses for the Portfolios. Certain derivatives have the potential for unlimited loss, regardless of the size of the initial investment. Assets required to be set aside or posted to cover or secure derivatives positions may themselves go down in value, and these collateral and other requirements may limit investment flexibility. Some derivatives involve leverage, which can make the Portfolios more volatile and can compound

 

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DISCLOSURES AND RISKS (continued)

 

other risks. Use of derivatives may have different tax consequences for the Portfolios than an investment in the underlying security, and such differences may affect the amount, timing and character of income distributed to shareholders. The US government and foreign governments are in the process of adopting and implementing regulations governing derivatives markets, including mandatory clearing of certain derivatives, margin, reporting and registration requirements. The ultimate impact of the regulations remains unclear. Additional regulation may make derivatives more costly, limit their availability or utility, otherwise adversely affect their performance, or disrupt markets.

Sector Risk: The Portfolios may have more risk because of concentrated investments in a particular market sector, such as the technology or financial services sector. Market or economic factors affecting that sector could have a major effect on the value of the Portfolios’ investments.

Management Risk: The Portfolios are subject to management risk because they are actively managed investment portfolios. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolios, but these techniques, analyses and decisions may not work as intended or may not produce the desired results. In some cases, derivatives and other investment techniques may be unavailable or the Adviser may determine not to use them, possibly even under market conditions where their use could benefit the Portfolios. In addition, the Adviser may change the Portfolios’ investment strategies or policies from time to time. Those changes may not lead to the results intended by the Adviser and could have an adverse effect on the value or performance of the Portfolios.

These risks are fully discussed in the Portfolios’ prospectus. As with all investments, you may lose money by investing in the Portfolios.

An Important Note About Historical Performance

The investment return and principal value of an investment in the Portfolios will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by visiting www.abfunds.com.

All fees and expenses related to the operation of the Portfolios have been deducted. Net asset value (“NAV”) returns do not reflect sales charges; if sales charges were reflected, the Portfolios’ quoted performance would be lower. SEC returns reflect the applicable sales

 

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DISCLOSURES AND RISKS (continued)

 

charges for each share class: a 4.25% maximum front-end sales charge for Class A shares; the applicable contingent deferred sales charge for Class B shares (4% year 1, 3% year 2, 2% year 3, 1% year 4) and a 1% 1-year contingent deferred sales charge for Class C shares. Returns for the different share classes will vary due to different expenses associated with each class. Performance assumes reinvestment of distributions and does not account for taxes.

 

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HISTORICAL PERFORMANCE

INTERNATIONAL PORTFOLIO

 

AVERAGE ANNUAL RETURNS AS OF MARCH 31, 2018 (unaudited)

 

    NAV Returns    

SEC Returns

(reflects applicable
sales charges)

  
CLASS A SHARES    
1 Year     17.20%       12.21%  
5 Years     6.69%       5.77%  
10 Years     -0.23%       -0.66%  
CLASS B SHARES    
1 Year     16.39%       12.39%  
5 Years     5.88%       5.88%  
10 Years1     -0.87%       -0.87%  
CLASS C SHARES    
1 Year     16.33%       15.33%  
5 Years     5.90%       5.90%  
10 Years     -0.96%       -0.96%  
CLASS Z SHARES2    
1 Year     17.50%       17.50%  
Since Inception3     15.40%       15.40%  

The Portfolio’s current prospectus fee table shows the Portfolio’s total annual operating expense ratios as 1.23%, 2.11%, 1.98% and 0.83% for Class A, Class B, Class C and Class Z shares, respectively. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights sections since they are based on different time periods.

 

1 Assumes conversion of Class B shares into Class A shares after eight years.

 

2 This share class is offered at NAV to eligible investors and the SEC returns are the same as the NAV returns. Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Portfolio.

 

3 Inception date: 1/15/2016.

 

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HISTORICAL PERFORMANCE (continued)

INTERNATIONAL PORTFOLIO

 

SEC AVERAGE ANNUAL RETURNS

AS OF THE MOST RECENT CALENDAR QUARTER-END

MARCH 31, 2018 (unaudited)

 

    SEC Returns
(reflects applicable
sales charges)		  
CLASS A SHARES  
1 Year     12.21%  
5 Years     5.77%  
10 Years     -0.66%  
CLASS B SHARES  
1 Year     12.39%  
5 Years     5.88%  
10 Years1     -0.87%  
CLASS C SHARES  
1 Year     15.33%  
5 Years     5.90%  
10 Years     -0.96%  
CLASS Z SHARES2  
1 Year     17.50%  
Since Inception3     15.40%  

 

1 Assumes conversion of Class B shares into Class A shares after eight years.

 

2 Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Portfolio.

 

3 Inception date: 1/15/2016.

 

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HISTORICAL PERFORMANCE

TAX-MANAGED INTERNATIONAL PORTFOLIO

 

AVERAGE ANNUAL RETURNS AS OF MARCH 31, 2018 (unaudited)

 

     NAV Returns      SEC Returns
(reflects applicable
sales charges)		  
CLASS A SHARES      
1 Year      17.15%        12.17%  
5 Years      6.77%        5.85%  
10 Years      -0.27%        -0.70%  
CLASS B SHARES      
1 Year      16.32%        12.32%  
5 Years      6.00%        6.00%  
10 Years1      -0.87%        -0.87%  
CLASS C SHARES      
1 Year      16.21%        15.21%  
5 Years      6.00%        6.00%  
10 Years      -1.00%        -1.00%  
CLASS Z SHARES2      
1 Year      17.37%        17.37%  
Since Inception3      15.25%        15.25%  

The Portfolio’s current prospectus fee table shows the Portfolio’s total annual operating expense ratios as 1.13%, 2.17%, 1.87% and 0.77% for Class A, Class B, Class C and Class Z shares, respectively. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.

 

1 Assumes conversion of Class B shares into Class A shares after eight years.

 

2 This share class is offered at NAV to eligible investors and the SEC returns are the same as the NAV returns. Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Portfolio.

 

3 Inception date: 1/15/2016.

 

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HISTORICAL PERFORMANCE (continued)

TAX-MANAGED INTERNATIONAL PORTFOLIO

 

SEC AVERAGE ANNUAL RETURNS

AS OF THE MOST RECENT CALENDAR QUARTER-END

MARCH 31, 2018 (unaudited)

 

    SEC Returns
(reflects applicable
sales charges)		  
CLASS A SHARES  
1 Year     12.17%  
5 Years     5.85%  
10 Years     -0.70%  
CLASS B SHARES  
1 Year     12.32%  
5 Years     6.00%  
10 Years1     -0.87%  
CLASS C SHARES  
1 Year     15.21%  
5 Years     6.00%  
10 Years     -1.00%  
CLASS Z SHARES2  
1 Year     17.37%  
Since Inception3     15.25%  

 

1 Assumes conversion of Class B shares into Class A shares after eight years.

 

2 Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Portfolio.

 

3 Inception date: 1/15/2016.

 

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HISTORICAL PERFORMANCE (continued)

TAX-MANAGED INTERNATIONAL PORTFOLIO

 

RETURNS AFTER TAXES ON DISTRIBUTIONS

AS OF THE MOST RECENT CALENDAR QUARTER-END

MARCH 31, 2018 (unaudited)

 

    Returns  
CLASS A SHARES  
1 Year     12.01%  
5 Years     5.58%  
10 Years     -0.82%  
CLASS B SHARES  
1 Year     12.41%  
5 Years     6.01%  
10 Years1     -0.83%  
CLASS C SHARES  
1 Year     15.40%  
5 Years     5.96%  
10 Years     -0.93%  
CLASS Z SHARES2  
1 Year     17.11%  
Since Inception3     14.98%  

RETURNS AFTER TAXES ON DISTRIBUTIONS AND SALE OF FUND SHARES

AS OF THE MOST RECENT CALENDAR QUARTER-END

MARCH 31, 2018 (unaudited)

 

    Returns  
CLASS A SHARES  
1 Year     7.34%  
5 Years     4.67%  
10 Years     -0.36%  
CLASS B SHARES  
1 Year     7.22%  
5 Years     4.83%  
10 Years1     -0.48%  
CLASS C SHARES  
1 Year     8.79%  
5 Years     4.82%  
10 Years     -0.57%  
CLASS Z SHARES2  
1 Year     10.36%  
Since Inception3     11.98%  

(footnotes continued on next page)

 

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HISTORICAL PERFORMANCE (continued)

TAX-MANAGED INTERNATIONAL PORTFOLIO

 

 

1 Assumes conversion of Class B shares into Class A shares after eight years.

 

2 Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Portfolio.

 

3 Inception date: 1/15/2016.

 

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HISTORICAL PERFORMANCE

EMERGING MARKETS PORTFOLIO

 

AVERAGE ANNUAL RETURNS

AS OF MARCH 31, 2018 (unaudited)

 

    NAV Returns    

SEC Returns

(reflects applicable
sales charges)

  
CLASS Z SHARES1    
1 Year     23.01%       23.01%  
Since Inception2     27.90%       27.90%  

SEC AVERAGE ANNUAL RETURNS

AS OF THE MOST RECENT CALENDAR QUARTER-END

MARCH 31, 2018 (unaudited)

 

    SEC Returns
(reflects applicable
sales charges)		  
CLASS Z SHARES1  
1 Year     23.01%  
Since Inception2     27.90%  

The Portfolio’s current prospectus fee table shows the Portfolio’s total annual operating expense ratio as 1.05% for Class Z shares. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratio shown above may differ from the expense ratio in the Financial Highlights section since they are based on different time periods.

 

1 This share class is offered at NAV to eligible investors and the SEC returns are the same as the NAV returns. Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Portfolio.

 

2 Inception date: 1/15/2016.

 

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EXPENSE EXAMPLE

(unaudited)

 

As a shareholder of a Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on a Portfolio’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

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EXPENSE EXAMPLE (continued)

(unaudited)

 

International Portfolio

 

     Beginning
Account Value
October 1, 2017		      Ending
Account Value
March 31, 2018		      Expenses
Paid During
Period*		      Annualized
Expense
Ratio*		  
Class A         

Actual

    $ 1,000      $ 1,034.00      $ 5.53        1.09 % 

Hypothetical**

    $ 1,000      $ 1,019.50      $ 5.49        1.09 % 
Class B         

Actual

    $ 1,000      $ 1,030.30      $ 9.21        1.82 % 

Hypothetical**

    $ 1,000      $ 1,015.86      $ 9.15        1.82 % 
Class C         

Actual

    $ 1,000      $ 1,030.30      $ 9.31        1.84 % 

Hypothetical**

    $ 1,000      $ 1,015.76      $ 9.25        1.84 % 
Class Z         

Actual

    $ 1,000      $ 1,035.50      $ 4.36        0.86 % 

Hypothetical**

    $     1,000      $     1,020.64      $     4.33        0.86 % 

Tax-Managed International Portfolio

 

     Beginning
Account Value
October 1, 2017		      Ending
Account Value
March 31, 2018		      Expenses
Paid During
Period*		      Annualized
Expense
Ratio*		  
Class A         

Actual

    $ 1,000      $ 1,034.50      $ 5.28        1.04 % 

Hypothetical**

    $ 1,000      $ 1,019.75      $ 5.24        1.04 % 
Class B         

Actual

    $ 1,000      $ 1,030.40      $ 9.01        1.78 % 

Hypothetical**

    $ 1,000      $ 1,016.06      $ 8.95        1.78 % 
Class C         

Actual

    $ 1,000      $ 1,030.20      $ 9.06        1.79 % 

Hypothetical**

    $ 1,000      $ 1,016.01      $ 9.00        1.79 % 
Class Z         

Actual

    $ 1,000      $ 1,035.40      $ 4.11        0.81 % 

Hypothetical**

    $     1,000      $     1,020.89      $     4.08        0.81 % 

Emerging Markets Portfolio

 

     Beginning
Account Value
October 1, 2017		      Ending
Account Value
March 31, 2018		      Expenses
Paid During
Period*		      Annualized
Expense
Ratio*		  
Class Z         

Actual

    $ 1,000      $ 1,084.20      $ 5.72        1.10 % 

Hypothetical**

    $     1,000      $     1,019.45      $     5.54        1.10 % 

 

* Expenses are equal to the classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

 

** Assumes 5% annual return before expenses.

 

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PORTFOLIO SUMMARY

INTERNATIONAL PORTFOLIO

March 31, 2018 (unaudited)

 

PORTFOLIO STATISTICS

Net Assets ($mil): $1,612.6

 

 

 

LOGO

 

 

 

LOGO

 

1 All data are as of March 31, 2018. The Portfolio’s country and sector breakdowns are expressed as a percentage of the Portfolio’s long-term investments and may vary over time. The Portfolio may also invest in other financial instruments, including derivative instruments, which provide investment exposure to a variety of asset classes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 1.8% or less in the following countries: Argentina, Austria, Belgium, Brazil, Finland, Indonesia, Ireland, Israel, Italy, Peru, Philippines, Portugal, Singapore, South Korea, Spain and Taiwan.

Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.

 

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PORTFOLIO SUMMARY

TAX-MANAGED INTERNATIONAL PORTFOLIO

March 31, 2018 (unaudited)

 

PORTFOLIO STATISTICS

Net Assets ($mil): $3,765.6

 

 

 

LOGO

 

 

 

LOGO

 

1 All data are as of March 31, 2018. The Portfolio’s country and sector breakdowns are expressed as a percentage of the Portfolio’s long-term investments and may vary over time. The Portfolio may also invest in other financial instruments, including derivative instruments, which provide investment exposure to a variety of asset classes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 1.8% or less in the following countries: Argentina, Austria, Belgium, Brazil, Finland, Indonesia, Israel, Italy, Peru, Philippines, Portugal, Singapore, South Korea, Spain, Sweden, Taiwan and United States.

Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.

 

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PORTFOLIO SUMMARY

EMERGING MARKETS PORTFOLIO

March 31, 2018 (unaudited)

 

PORTFOLIO STATISTICS

Net Assets ($mil): $1,576.0

 

 

 

LOGO

 

 

 

LOGO

 

1 All data are as of March 31, 2018. The Portfolio’s country and sector breakdowns are expressed as a percentage of the Portfolio’s long-term investments and may vary over time. “Other” country weightings represent 0.7% or less in the following countries: Canada, Chile, Egypt, Georgia, Greece, Hungary, Kenya, Malaysia, Mexico, Philippines, Singapore, Thailand, United States and United Kingdom.

Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus.

 

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PORTFOLIO OF INVESTMENTS

INTERNATIONAL PORTFOLIO

March 31, 2018 (unaudited)

 

Company        
    
Shares		     U.S. $ Value  

 

  

COMMON STOCKS – 97.2%

     

Financials – 20.4%

     

Banks – 10.9%

     

Bank Hapoalim BM

      255,404     $ 1,756,392  

Barclays PLC

      3,149,120       9,202,061  

BNP Paribas SA

      181,270       13,443,107  

BOC Hong Kong Holdings Ltd.

      2,994,500       14,690,353  

Credicorp Ltd.

      46,890       10,645,906  

Danske Bank A/S

      72,718       2,724,618  

DBS Group Holdings Ltd.

      255,200       5,390,422  

DNB ASA

      759,220       14,954,524  

Erste Group Bank AG

      313,670       15,769,221  

Hang Seng Bank Ltd.

      143,100       3,324,870  

HDFC Bank Ltd.

      611,930       18,098,470  

KB Financial Group, Inc.

      92,720       5,377,502  

KBC Group NV

      40,600       3,535,401  

Mitsubishi UFJ Financial Group, Inc.

      2,917,600       19,389,249  

National Australia Bank Ltd.

      166,920       3,685,014  

Oversea-Chinese Banking Corp., Ltd.

      300,500       2,960,225  

Royal Bank of Canada

      63,110       4,875,001  

Seven Bank Ltd.

      511,700       1,641,553  

Sumitomo Mitsui Financial Group, Inc.

      86,800       3,682,427  

Svenska Handelsbanken AB – Class A

      611,600       7,655,292  

Swedbank AB – Class A

      391,220       8,790,849  

Toronto-Dominion Bank (The)

      67,870       3,851,419  
    

 

 

  
       175,443,876  
    

 

 

  

Capital Markets – 3.2%

     

Azimut Holding SpA

      223,246       4,798,766  

Credit Suisse Group AG (REG)(a)

      871,953       14,644,467  

Euronext NV(b)

      60,320       4,421,390  

IG Group Holdings PLC

      401,730       4,499,240  

Partners Group Holding AG

      26,165       19,470,019  

Thomson Reuters Corp.

      75,190       2,905,818  
    

 

 

  
       50,739,700  
    

 

 

  

Consumer Finance – 1.0%

     

Bharat Financial Inclusion Ltd.(a)

      529,880       8,953,184  

Hitachi Capital Corp.

      294,700       7,459,311  
    

 

 

  
       16,412,495  
    

 

 

  

Diversified Financial Services – 0.2%

     

ORIX Corp.

      193,400       3,465,915  
    

 

 

  

Insurance – 4.5%

     

Admiral Group PLC

      56,040       1,450,450  

AIA Group Ltd.

      1,813,400       15,502,169  

Allianz SE (REG)

      85,630       19,357,272  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERNATIONAL PORTFOLIO

 

Company        
    
Shares		     U.S. $ Value  

 

  

Direct Line Insurance Group PLC

      442,928     $ 2,371,662  

NN Group NV

      89,112       3,959,240  

PICC Property & Casualty Co., Ltd. – Class H

      4,038,000       7,135,261  

Prudential PLC

      572,524       14,306,615  

Swiss Re AG

      59,630       6,086,235  

Tryg A/S

      114,280       2,662,627  
    

 

 

  
       72,831,531  
    

 

 

  

Thrifts & Mortgage Finance – 0.6%

     

Housing Development Finance Corp., Ltd.

      358,250       10,065,791  
    

 

 

  
       328,959,308  
    

 

 

  

Consumer Discretionary – 14.4%

     

Auto Components – 4.0%

     

Aptiv PLC

      120,270       10,219,342  

Continental AG

      14,469       3,996,500  

Delphi Technologies PLC

      94,419       4,499,065  

Faurecia SA

      110,520       8,942,838  

Hankook Tire Co., Ltd.

      142,860       7,070,831  

Magna International, Inc. (New York) – Class A

      209,670       11,814,905  

NGK Spark Plug Co., Ltd.

      443,800       10,693,818  

Valeo SA

      108,286       7,163,129  
    

 

 

  
       64,400,428  
    

 

 

  

Automobiles – 2.4%

     

Honda Motor Co., Ltd.

      352,700       12,209,269  

Peugeot SA

      553,540       13,328,895  

Subaru Corp.

      388,700       12,867,042  
    

 

 

  
       38,405,206  
    

 

 

  

Distributors – 0.2%

     

PALTAC Corp.

      67,400       3,673,011  
    

 

 

  

Hotels, Restaurants & Leisure – 0.9%

     

Aristocrat Leisure Ltd.

      346,290       6,465,414  

Compass Group PLC

      129,720       2,648,747  

Merlin Entertainments PLC(b)

      697,931       3,393,736  

Playtech PLC

      167,180       1,719,421  
    

 

 

  
       14,227,318  
    

 

 

  

Household Durables – 2.5%

     

Auto Trader Group PLC(b)

      924,060       4,542,146  

Fujitsu General Ltd.

      106,100       1,900,417  

Nikon Corp.

      543,300       9,820,617  

Panasonic Corp.

      1,504,900       21,611,104  

Persimmon PLC

      89,140       3,163,780  
    

 

 

  
       41,038,064  
    

 

 

  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERNATIONAL PORTFOLIO

 

Company       
    
Shares		     U.S. $ Value  

 

  

Internet & Direct Marketing Retail – 0.2%

    

Ctrip.com International Ltd. (ADR)(a)

     87,846     $ 4,095,381  
   

 

 

  

Leisure Products – 0.7%

    

Amer Sports Oyj(a)

     259,470       8,007,281  

Bandai Namco Holdings, Inc.

     87,800       2,841,533  
   

 

 

  
      10,848,814  
   

 

 

  

Media – 0.4%

    

CTS Eventim AG & Co. KGaA

     97,950       4,591,721  

Daiichikosho Co., Ltd.

     33,500       1,761,974  
   

 

 

  
      6,353,695  
   

 

 

  

Multiline Retail – 0.5%

    

B&M European Value Retail SA

     903,130       4,957,541  

Next PLC

     50,020       3,343,786  
   

 

 

  
      8,301,327  
   

 

 

  

Textiles, Apparel & Luxury Goods – 2.6%

    

Crystal International Group Ltd.(a)(b)

     2,333,000       2,367,237  

HUGO BOSS AG

     126,950       11,059,485  

LVMH Moet Hennessy Louis Vuitton SE

     15,013       4,626,603  

Moncler SpA

     140,250       5,337,661  

Pandora A/S

     132,320       14,316,509  

Samsonite International SA

     841,600       3,849,320  
   

 

 

  
      41,556,815  
   

 

 

  
      232,900,059  
   

 

 

  

Information Technology – 14.2%

    

Communications Equipment – 0.7%

    

Nokia Oyj

     2,209,190       12,199,400  
   

 

 

  

Electronic Equipment, Instruments & Components – 1.7%

    

Halma PLC

     313,885       5,195,818  

Horiba Ltd.

     100,900       7,856,066  

Ingenico Group SA

     67,491       5,478,048  

Keyence Corp.

     9,200       5,746,852  

Murata Manufacturing Co., Ltd.

     23,000       3,174,739  
   

 

 

  
      27,451,523  
   

 

 

  

Internet Software & Services – 2.7%

    

Alibaba Group Holding Ltd. (Sponsored ADR)(a)

     64,286       11,799,052  

carsales.com Ltd.

     194,644       2,034,204  

Kakaku.com, Inc.

     93,300       1,651,163  

Moneysupermarket.com Group PLC

     1,079,940       4,346,942  

Tencent Holdings Ltd.

     231,000       12,399,973  

Yahoo Japan Corp.

     2,282,800       10,685,546  
   

 

 

  
      42,916,880  
   

 

 

  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERNATIONAL PORTFOLIO

 

Company        
    
Shares		     U.S. $ Value  

 

  

IT Services – 1.5%

     

Amadeus IT Group SA – Class A

      95,920     $ 7,098,379  

Capgemini SE

      83,613       10,432,763  

Otsuka Corp.

      117,000       5,964,986  
    

 

 

  
       23,496,128  
    

 

 

  

Semiconductors & Semiconductor Equipment – 4.5%

     

ams AG

      100,500       10,553,526  

ASML Holding NV

      70,275       13,935,072  

Disco Corp.

      19,300       4,125,243  

Infineon Technologies AG

      267,090       7,182,911  

SCREEN Holdings Co., Ltd.

      113,200       10,225,234  

SUMCO Corp.

      326,800       8,535,220  

Taiwan Semiconductor Manufacturing Co., Ltd.

      2,221,000       18,812,311  
    

 

 

  
       73,369,517  
    

 

 

  

Software – 2.2%

     

Check Point Software Technologies Ltd.(a)

      37,280       3,703,395  

Constellation Software, Inc./Canada

      4,310       2,924,350  

Nice Ltd.(a)

      58,173       5,435,461  

Nintendo Co., Ltd.

      23,900       10,618,127  

Oracle Corp. Japan

      86,000       7,137,478  

SAP SE

      19,541       2,051,448  

Temenos Group AG(a)

      26,390       3,164,406  
    

 

 

  
       35,034,665  
    

 

 

  

Technology Hardware, Storage & Peripherals – 0.9%

     

Samsung Electronics Co., Ltd.

      4,530       10,584,236  

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

      3,120       3,609,041  
    

 

 

  
       14,193,277  
    

 

 

  
       228,661,390  
    

 

 

  

Consumer Staples – 11.7%

     

Beverages – 1.8%

     

Coca-Cola Bottlers Japan Holdings, Inc.

      207,800       8,581,624  

Diageo PLC

      133,150       4,503,093  

Royal Unibrew A/S

      75,550       5,015,677  

Suntory Beverage & Food Ltd.

      73,700       3,587,753  

Treasury Wine Estates Ltd.

      488,484       6,382,161  
    

 

 

  
       28,070,308  
    

 

 

  

Food & Staples Retailing – 0.5%

     

Tsuruha Holdings, Inc.

      58,100       8,361,921  
    

 

 

  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERNATIONAL PORTFOLIO

 

Company        
    
Shares		     U.S. $ Value  

 

  

Food Products – 3.7%

     

Calbee, Inc.

      122,500     $ 4,162,531  

Glanbia PLC

      414,039       7,132,358  

Kerry Group PLC – Class A

      77,560       7,863,735  

Nestle SA (REG)

      127,520       10,079,371  

Orkla ASA

      1,173,740       12,649,383  

Salmar ASA

      200,630       8,261,057  

WH Group Ltd.(b)

      9,111,000       9,762,307  
    

 

 

  
       59,910,742  
    

 

 

  

Household Products – 1.9%

     

Henkel AG & Co. KGaA (Preference Shares)

      95,430       12,544,563  

Reckitt Benckiser Group PLC

      111,928       9,447,600  

Unicharm Corp.

      307,400       8,866,502  
    

 

 

  
       30,858,665  
    

 

 

  

Personal Products – 1.0%

     

Godrej Consumer Products Ltd.

      428,600       7,220,428  

Kose Corp.

      21,500       4,519,789  

Unilever PLC

      76,400       4,237,340  
    

 

 

  
       15,977,557  
    

 

 

  

Tobacco – 2.8%

     

British American Tobacco PLC

      509,727       29,465,719  

Japan Tobacco, Inc.

      460,700       13,160,813  

Scandinavian Tobacco Group A/S(b)

      138,890       2,441,453  
    

 

 

  
       45,067,985  
    

 

 

  
       188,247,178  
    

 

 

  

Industrials – 10.9%

     

Aerospace & Defense – 1.7%

     

Airbus SE

      138,237       16,001,997  

BAE Systems PLC

      1,437,050       11,757,506  
    

 

 

  
       27,759,503  
    

 

 

  

Airlines – 2.2%

     

Japan Airlines Co., Ltd.

      440,200       17,923,243  

Qantas Airways Ltd.

      3,771,189       17,013,906  
    

 

 

  
       34,937,149  
    

 

 

  

Building Products – 1.3%

     

Assa Abloy AB – Class B

      176,073       3,816,459  

Cie de Saint-Gobain

      147,690       7,798,770  

Kingspan Group PLC

      209,150       8,852,790  
    

 

 

  
       20,468,019  
    

 

 

  

Commercial Services & Supplies – 0.6%

     

China Everbright International Ltd.

      5,289,000       7,467,949  

G4S PLC

      476,710       1,659,145  
    

 

 

  
       9,127,094  
    

 

 

  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERNATIONAL PORTFOLIO

 

Company        
    
Shares		     U.S. $ Value  

 

  

Electrical Equipment – 1.4%

     

Nidec Corp.

      36,600     $ 5,633,056  

Philips Lighting NV(b)

      188,184       7,075,164  

Schneider Electric SE (Paris)

      115,480       10,169,325  
    

 

 

  
       22,877,545  
    

 

 

  

Industrial Conglomerates – 0.7%

     

Siemens AG (REG)

      88,230       11,257,908  
    

 

 

  

Machinery – 1.2%

     

Atlas Copco AB – Class B

      41,150       1,606,728  

FANUC Corp.

      19,800       5,095,591  

Glory Ltd.

      200,300       7,187,753  

Hoshizaki Corp.

      35,900       3,200,522  

Kone Oyj – Class B

      27,990       1,396,920  
    

 

 

  
       18,487,514  
    

 

 

  

Professional Services – 1.7%

     

Adecco Group AG (REG)

      56,163       4,000,491  

Intertek Group PLC

      59,360       3,885,596  

Recruit Holdings Co., Ltd.

      162,900       4,082,864  

RELX NV

      234,159       4,853,855  

RELX PLC

      248,300       5,100,537  

Wolters Kluwer NV

      113,620       6,042,861  
    

 

 

  
       27,966,204  
    

 

 

  

Road & Rail – 0.1%

     

Central Japan Railway Co.

      10,600       2,022,930  
    

 

 

  
       174,903,866  
    

 

 

  

Health Care – 6.5%

     

Biotechnology – 0.7%

     

Genmab A/S(a)

      22,411       4,828,337  

Grifols SA (ADR)

      336,380       7,131,256  
    

 

 

  
       11,959,593  
    

 

 

  

Health Care Equipment &
Supplies – 0.7%

     

Cochlear Ltd.

      18,230       2,560,355  

Essilor International Cie Generale d’Optique SA

      67,280       9,076,110  
    

 

 

  
       11,636,465  
    

 

 

  

Health Care Providers & Services – 0.7%

     

Apollo Hospitals Enterprise Ltd.

      694,260       11,316,560  
    

 

 

  

Life Sciences Tools & Services – 0.8%

     

Eurofins Scientific SE

      15,586       8,213,409  

Gerresheimer AG

      52,690       4,329,803  
    

 

 

  
       12,543,212  
    

 

 

  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERNATIONAL PORTFOLIO

 

Company        
    
Shares		     U.S. $ Value  

 

  

Pharmaceuticals – 3.6%

     

Indivior PLC(a)

      1,665,830     $ 9,522,446  

Novo Nordisk A/S – Class B

      45,090       2,217,790  

Ono Pharmaceutical Co., Ltd.

      465,400       14,807,526  

Roche Holding AG

      76,001       17,434,402  

Sanofi

      24,350       1,953,844  

Shionogi & Co., Ltd.

      36,500       1,900,683  

Teva Pharmaceutical Industries Ltd.

      4,710       80,367  

Teva Pharmaceutical Industries Ltd. (Sponsored ADR)

      441,480       7,544,893  

Vectura Group PLC(a)

      2,028,140       2,209,517  
    

 

 

  
       57,671,468  
    

 

 

  
       105,127,298  
    

 

 

  

Telecommunication Services – 6.2%

     

Diversified Telecommunication Services – 5.4%

     

BT Group PLC

      5,183,780       16,545,640  

Cellnex Telecom SA(b)

      124,740       3,334,787  

China Unicom Hong Kong Ltd.(a)

      11,546,000       14,770,806  

Com Hem Holding AB

      244,090       3,963,792  

Deutsche Telekom AG (REG)

      443,920       7,262,841  

HKT Trust & HKT Ltd. – Class SS

      4,288,000       5,395,287  

Nippon Telegraph & Telephone Corp.

      615,700       28,724,285  

Telekomunikasi Indonesia Persero Tbk PT

      11,629,000       3,057,903  

Telenor ASA

      191,100       4,345,828  
    

 

 

  
       87,401,169  
    

 

 

  

Wireless Telecommunication
Services – 0.8%

     

Vodafone Group PLC

      4,310,640       11,794,045  
    

 

 

  
       99,195,214  
    

 

 

  

Materials – 6.1%

     

Chemicals – 3.5%

     

Air Water, Inc.

      348,800       6,817,838  

Chr Hansen Holding A/S

      64,530       5,584,884  

Covestro AG(b)

      15,780       1,553,810  

Croda International PLC

      103,720       6,663,113  

Incitec Pivot Ltd.

      2,410,150       6,559,287  

Johnson Matthey PLC

      236,310       10,081,275  

Nippon Shokubai Co., Ltd.

      149,200       10,315,862  

Umicore SA

      172,540       9,140,337  
    

 

 

  
       56,716,406  
    

 

 

  

Construction Materials – 0.3%

     

CRH PLC (London)

      157,453       5,322,499  
    

 

 

  

 

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Table of Contents

 

PORTFOLIO OF INVESTMENTS (continued)

INTERNATIONAL PORTFOLIO

 

Company        
    
Shares		     U.S. $ Value  

 

  

Containers & Packaging – 0.2%

     

Amcor Ltd./Australia

      310,150     $ 3,396,247  
    

 

 

  

Metals & Mining – 2.1%

     

Boliden AB

      69,950       2,461,430  

First Quantum Minerals Ltd.

      450,130       6,320,372  

Gerdau SA (Preference Shares)

      1,652,500       7,758,333  

Norsk Hydro ASA

      1,432,360       8,496,312  

South32 Ltd.

      548,850       1,379,356  

Yamato Kogyo Co., Ltd.

      245,300       6,768,876  
    

 

 

  
       33,184,679  
    

 

 

  
       98,619,831  
    

 

 

  

Energy – 4.9%

     

Oil, Gas & Consumable Fuels – 4.9%

     

Caltex Australia Ltd.

      88,210       2,142,716  

Canadian Natural Resources Ltd. (Toronto)

      235,210       7,393,957  

JXTG Holdings, Inc.

      2,255,600       13,751,441  

PetroChina Co., Ltd. – Class H

      13,964,000       9,699,638  

Royal Dutch Shell PLC (Euronext Amsterdam) – Class A

      675,870       21,531,300  

Royal Dutch Shell PLC – Class A

      206,346       6,528,486  

Royal Dutch Shell PLC – Class B

      173,080       5,569,446  

Showa Shell Sekiyu KK

      177,600       2,417,659  

TOTAL SA

      60,343       3,458,838  

YPF SA (Sponsored ADR)

      321,863       6,958,678  
    

 

 

  
       79,452,159  
    

 

 

  

Utilities – 1.5%

     

Electric Utilities – 0.4%

     

EDP – Energias de Portugal SA

      1,794,175       6,817,157  
    

 

 

  

Multi-Utilities – 0.4%

     

Suez

      453,020       6,564,232  
    

 

 

  

Water Utilities – 0.7%

     

Beijing Enterprises Water Group Ltd.

      10,404,000       5,853,730  

Cia de Saneamento Basico do Estado de Sao Paulo

      519,800       5,510,609  
    

 

 

  
       11,364,339  
    

 

 

  
       24,745,728  
    

 

 

  

Real Estate – 0.4%

     

Real Estate Management & Development – 0.4%

     

SM Prime Holdings, Inc.

      9,877,300       6,421,840  
    

 

 

  

Total Common Stocks
(cost $1,344,848,401)

        1,567,233,871  
    

 

 

  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERNATIONAL PORTFOLIO

 

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

SHORT-TERM INVESTMENTS – 2.2%

     

Repurchase Agreements – 2.2%

     

State Street Bank & Trust Co.
0.28%, dated 3/29/18 due 4/02/18 in the amount of $36,305,145 (collateralized by $36,005,000 U.S. Treasury Notes, 3.625%, due 2/15/20, value $37,033,843)
(cost $36,304,016)

    $     36,304     $ 36,304,016  
    

 

 

  

Total Investments – 99.4%
(cost $1,381,152,417)

        1,603,537,887 (c) 

Other assets less liabilities – 0.6%

        9,056,394  
    

 

 

  

Net Assets – 100.0%

      $ 1,612,594,281  
    

 

 

  

FUTURES (see Note 3)

 

Description   Number of
Contracts		     Expiration
Month		     Notional
(000)		     Original
Value		     Value at
March 31,
2018		     Unrealized
Appreciation/
(Depreciation)		  

Purchased Contracts

 

Mini MSCI EAFE Futures

     119       June 2018       USD       6     $   11,996,091     $   11,903,570     $   (92,521 ) 

FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3)

 

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

Bank of America, NA

   KRW     30,834,216     USD     29,056       4/26/18     $ 16,299  

Bank of America, NA

   USD     2,766     ILS     9,592       6/19/18       (18,740 ) 

Bank of America, NA

   USD     3,911     TRY     15,345       6/19/18       (109,104 ) 

Barclays Bank PLC

   USD     12,830     RUB     732,785       4/17/18       (63,201 ) 

Barclays Bank PLC

   CNY     63,745     USD     10,080       4/19/18       (78,289 ) 

Barclays Bank PLC

   USD     2,569     KRW     2,757,181       4/26/18       27,626  

Barclays Bank PLC

   USD     1,812     INR     118,756       5/17/18       4,082  

Barclays Bank PLC

   CAD     48,133     USD     37,445       6/19/18       30,553  

Barclays Bank PLC

   JPY     484,761     USD     4,584       6/19/18       5,394  

Barclays Bank PLC

   NOK     211,644     USD     27,228       6/19/18       164,390  

Barclays Bank PLC

   USD     8,543     EUR     6,894       6/19/18       (12,899 ) 

Barclays Bank PLC

   USD     54,149     GBP     38,850       6/19/18       530,017  

BNP Paribas SA

   USD     2,741     CNY     17,381       4/19/18       29,147  

BNP Paribas SA

   TWD     140,491     USD     4,862       6/07/18       3,650  

BNP Paribas SA

   USD     48,366     AUD     61,648       6/19/18           (1,009,031 ) 

BNP Paribas SA

   USD     8,369     EUR     6,758       6/19/18       (7,390 ) 

Citibank, NA

   CNY     13,646     USD     2,157       4/19/18       (17,101 ) 

Citibank, NA

   TWD     353,445     USD     12,180       6/07/18       (42,907 ) 

Citibank, NA

   CAD     2,700     USD     2,164       6/19/18       65,546  

Citibank, NA

   EUR     5,287     USD     6,618       6/19/18       76,558  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERNATIONAL PORTFOLIO

 

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

Citibank, NA

   GBP     13,458       USD       19,069       6/19/18     $ 127,989  

Citibank, NA

   JPY     1,109,211       USD       10,552       6/19/18       74,938  

Citibank, NA

   USD     28,427       JPY       3,004,890       6/19/18       (43,320 ) 

Citibank, NA

   USD     1,810       SEK       14,259       6/19/18       (92,851 ) 

Credit Suisse International

   BRL     37,436       USD       11,534       4/03/18       194,965  

Credit Suisse International

   USD     11,263       BRL       37,436       4/03/18       76,248  

Credit Suisse International

   NOK     90,755       USD       11,670       6/19/18       64,272  

Credit Suisse International

   USD     4,476       CAD       5,768       6/19/18       7,169  

Credit Suisse International

   USD     49,158       CHF       46,271       6/19/18       (446,930 ) 

Credit Suisse International

   USD     90,968       EUR       73,294       6/19/18       (278,331 ) 

Credit Suisse International

   USD     3,356       JPY       356,321       6/19/18       10,128  

Deutsche Bank AG

   ILS     50,664       USD       14,795       6/19/18       283,868  

Deutsche Bank AG

   USD     5,412       EUR       4,369       6/19/18       (5,988 ) 

Goldman Sachs Bank USA

   JPY     459,134       USD       4,332       6/19/18       (5,165 ) 

HSBC Bank USA

   HKD     13,134       USD       1,684       6/19/18       6,029  

HSBC Bank USA

   SEK     14,259       USD       1,820       6/19/18       102,190  

HSBC Bank USA

   USD     4,544       HKD       35,565       6/19/18       (1,316 ) 

JPMorgan Chase Bank, NA

   USD     8,237       CNY       52,140       4/19/18       71,849  

JPMorgan Chase Bank, NA

   CHF     23,370       USD       24,823       6/19/18       221,062  

JPMorgan Chase Bank, NA

   USD     1,787       NOK       13,791       6/19/18       (23,937 ) 

Morgan Stanley & Co., Inc.

   CAD     4,173       USD       3,245       6/19/18       1,442  

Morgan Stanley & Co., Inc.

   GBP     3,274       USD       4,664       6/19/18       55,928  

Morgan Stanley & Co., Inc.

   HKD     385,481       USD       49,332       6/19/18       92,036  

Morgan Stanley & Co., Inc.

   JPY     319,654       USD       3,045       6/19/18       25,613  

Morgan Stanley & Co., Inc.

   USD     12,905       GBP       9,124       6/19/18       (63,918 ) 

Royal Bank of Scotland PLC

   PEN     29,099       USD       8,987       4/19/18       (28,016 ) 

Royal Bank of Scotland PLC

   USD     2,908       KRW       3,129,898       4/26/18       39,760  

Royal Bank of Scotland PLC

   USD     4,549       AUD       5,901       6/19/18       (15,544 ) 

Royal Bank of Scotland PLC

   USD     38,976       CHF       35,734       6/19/18           (1,357,653 ) 

Royal Bank of Scotland PLC

   USD     5,283       EUR       4,217       6/19/18       (65,184 ) 

Standard Chartered Bank

   BRL     37,436       USD       11,263       4/03/18       (76,248 ) 

Standard Chartered Bank

   USD     11,355       BRL       37,436       4/03/18       (15,305 ) 

Standard Chartered Bank

   CNY     473,496       USD       74,774       4/19/18       (680,625 ) 

Standard Chartered Bank

   USD     4,363       CNY       27,710       4/19/18       52,899  

Standard Chartered Bank

   BRL     37,436       USD       11,323       5/03/18       11,120  

Standard Chartered Bank

   INR     3,606,539       USD       54,918       5/17/18       (242,541 ) 

Standard Chartered Bank

   PHP     254,052       USD       4,808       5/30/18       (29,300 ) 

State Street Bank & Trust Co.

   HKD     37,532       USD       4,814       6/19/18       19,633  

State Street Bank & Trust Co.

   USD     3,725       EUR       2,987       6/19/18       (28,650 ) 

State Street Bank & Trust Co.

   USD     5,680       GBP       3,982       6/19/18       (75,206 ) 

UBS AG

   USD     5,740       JPY       608,610       6/19/18       8,552  
           

 

 

  
            $ (2,433,738 ) 
           

 

 

  

 

(a) Non-income producing security.

 

(b) 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 March 31, 2018, the aggregate market value of these securities amounted to $42,501,071 or 2.6% of net assets.

 

(c) On March 30, 2018, the Portfolio and U.S. stock exchanges were closed for business due to a U.S. holiday but the foreign markets remained open for trading. The Portfolio valued its foreign securities using the closing market prices from the respective foreign markets as of March 29, 2018 for financial reporting purposes.

 

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Table of Contents

 

PORTFOLIO OF INVESTMENTS (continued)

INTERNATIONAL PORTFOLIO

 

Currency Abbreviations:

AUD – Australian Dollar

BRL – Brazilian Real

CAD – Canadian Dollar

CHF – Swiss Franc

CNY – Chinese Yuan Renminbi

EUR – Euro

GBP – Great British Pound

HKD – Hong Kong Dollar

ILS – Israeli Shekel

INR – Indian Rupee

JPY – Japanese Yen

KRW – South Korean Won

NOK – Norwegian Krone

PEN – Peruvian Sol

PHP – Philippine Peso

RUB – Russian Ruble

SEK – Swedish Krona

TRY – Turkish Lira

TWD – New Taiwan Dollar

USD – United States Dollar

Glossary:

ADR – American Depositary Receipt

EAFE – Europe, Australia, and Far East

GDR – Global Depositary Receipt

MSCI – Morgan Stanley Capital International

REG – Registered Shares

See notes to financial statements.

 

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PORTFOLIO OF INVESTMENTS

TAX-MANAGED INTERNATIONAL PORTFOLIO

March 31, 2018 (unaudited)

 

Company        
    
Shares		     U.S. $ Value  

 

  

COMMON STOCKS – 96.9%

     

Financials – 20.4%

     

Banks – 10.9%

     

Bank Hapoalim BM

      638,087     $ 4,388,071  

Barclays PLC

      7,551,120       22,065,169  

BNP Paribas SA

      422,250       31,314,350  

BOC Hong Kong Holdings Ltd.

      6,959,500       34,141,763  

Credicorp Ltd.

      108,080       24,538,483  

Danske Bank A/S

      166,748       6,247,760  

DBS Group Holdings Ltd.

      583,100       12,316,439  

DNB ASA

      1,762,250       34,711,429  

Erste Group Bank AG

      733,948       36,897,975  

Hang Seng Bank Ltd.

      342,300       7,953,200  

HDFC Bank Ltd.

      1,418,855       41,964,121  

KB Financial Group, Inc.

      213,440       12,378,926  

KBC Group NV

      93,430       8,135,776  

Mitsubishi UFJ Financial Group, Inc.

      6,831,100       45,396,867  

National Australia Bank Ltd.

      389,720       8,603,664  

Oversea-Chinese Banking Corp., Ltd.

      672,000       6,619,871  

Royal Bank of Canada

      150,190       11,601,590  

Seven Bank Ltd.

      1,178,200       3,779,710  

Sumitomo Mitsui Financial Group, Inc.

      198,700       8,429,704  

Svenska Handelsbanken AB – Class A

      1,405,750       17,595,532  

Swedbank AB – Class A

      910,580       20,461,048  

Toronto-Dominion Bank (The)

      160,050       9,082,358  
    

 

 

  
       408,623,806  
    

 

 

  

Capital Markets – 3.2%

     

Azimut Holding SpA

      517,938       11,133,294  

Credit Suisse Group AG (REG)

      2,095,504       35,194,029  

Euronext NV(a)

      144,630       10,601,222  

IG Group Holdings PLC

      959,330       10,744,171  

Partners Group Holding AG

      60,942       45,348,439  

Thomson Reuters Corp.

      171,880       6,642,531  
    

 

 

  
       119,663,686  
    

 

 

  

Consumer Finance – 1.0%

     

Bharat Financial Inclusion Ltd.(b)

      1,235,680       20,878,824  

Hitachi Capital Corp.

      697,100       17,644,675  
    

 

 

  
       38,523,499  
    

 

 

  

Diversified Financial Services – 0.2%

     

ORIX Corp.

      445,400       7,981,998  
    

 

 

  

Insurance – 4.5%

     

Admiral Group PLC

      127,880       3,309,842  

AIA Group Ltd.

      4,211,800       36,005,313  

Allianz SE (REG)

      202,660       45,812,738  

 

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PORTFOLIO OF INVESTMENTS (continued)

TAX-MANAGED INTERNATIONAL PORTFOLIO

 

Company        
    
Shares		     U.S. $ Value  

 

  

Direct Line Insurance Group PLC

      1,015,454     $ 5,437,257  

NN Group NV

      211,979       9,418,212  

PICC Property & Casualty Co., Ltd. – Class H

      9,674,000       17,094,234  

Prudential PLC

      1,330,057       33,236,360  

Swiss Re AG

      140,280       14,317,912  

Tryg A/S

      261,480       6,092,261  
    

 

 

  
       170,724,129  
    

 

 

  

Thrifts & Mortgage Finance – 0.6%

     

Housing Development Finance Corp., Ltd.

      824,820       23,175,061  
    

 

 

  
       768,692,179  
    

 

 

  

Consumer Discretionary – 14.4%

     

Auto Components – 4.0%

     

Aptiv PLC

      280,760       23,856,177  

Continental AG

      33,422       9,231,531  

Delphi Technologies PLC

      219,281       10,448,740  

Faurecia SA

      263,261       21,302,032  

Hankook Tire Co., Ltd.

      320,920       15,883,880  

Magna International, Inc. (New York) – Class A

      493,200       27,791,820  

NGK Spark Plug Co., Ltd.

      1,045,000       25,180,352  

Valeo SA

      248,897       16,464,558  
    

 

 

  
       150,159,090  
    

 

 

  

Automobiles – 2.4%

     

Honda Motor Co., Ltd.

      820,300       28,395,983  

Peugeot SA

      1,277,430       30,759,710  

Subaru Corp.

      914,200       30,262,542  
    

 

 

  
       89,418,235  
    

 

 

  

Distributors – 0.2%

     

PALTAC Corp.

      161,500       8,801,058  
    

 

 

  

Hotels, Restaurants & Leisure – 0.9%

     

Aristocrat Leisure Ltd.

      811,130       15,144,217  

Compass Group PLC

      293,360       5,990,106  

Merlin Entertainments PLC(a)

      1,606,400       7,811,227  

Playtech PLC

      392,370       4,035,466  
    

 

 

  
       32,981,016  
    

 

 

  

Household Durables – 2.5%

     

Auto Trader Group PLC(a)

      2,216,940       10,897,198  

Fujitsu General Ltd.

      245,100       4,390,125  

Nikon Corp.

      1,286,900       23,261,829  

Panasonic Corp.

      3,484,100       50,033,388  

Persimmon PLC

      198,290       7,037,761  
    

 

 

  
       95,620,301  
    

 

 

  

 

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Table of Contents

 

PORTFOLIO OF INVESTMENTS (continued)

TAX-MANAGED INTERNATIONAL PORTFOLIO

 

Company        
    
Shares		     U.S. $ Value  

 

  

Internet & Direct Marketing Retail – 0.2%

     

Ctrip.com International Ltd. (ADR)(b)

      203,218     $ 9,474,023  
    

 

 

  

Leisure Products – 0.7%

     

Amer Sports Oyj(b)

      604,390       18,651,562  

Bandai Namco Holdings, Inc.

      196,800       6,369,176  
    

 

 

  
       25,020,738  
    

 

 

  

Media – 0.4%

     

CTS Eventim AG & Co. KGaA

      229,980       10,781,052  

Daiichikosho Co., Ltd.

      84,100       4,423,344  
    

 

 

  
       15,204,396  
    

 

 

  

Multiline Retail – 0.5%

     

B&M European Value Retail SA

      2,092,647       11,487,142  

Next PLC

      117,320       7,842,724  
    

 

 

  
       19,329,866  
    

 

 

  

Textiles, Apparel & Luxury Goods – 2.6%

     

Crystal International Group Ltd.(a)(b)

      4,822,500       4,893,270  

HUGO BOSS AG

      295,834       25,772,128  

LVMH Moet Hennessy Louis Vuitton SE

      34,899       10,754,935  

Moncler SpA

      322,530       12,274,909  

Pandora A/S

      309,290       33,463,974  

Samsonite International SA

      1,977,800       9,046,084  
    

 

 

  
       96,205,300  
    

 

 

  
       542,214,023  
    

 

 

  

Information Technology – 14.1%

     

Communications Equipment – 0.7%

     

Nokia Oyj

      5,164,900       28,521,168  
    

 

 

  

Electronic Equipment, Instruments & Components – 1.7%

     

Halma PLC

      721,462       11,942,544  

Horiba Ltd.

      231,000       17,985,641  

Ingenico Group SA

      161,560       13,113,354  

Keyence Corp.

      21,400       13,367,677  

Murata Manufacturing Co., Ltd.

      53,100       7,329,507  
    

 

 

  
       63,738,723  
    

 

 

  

Internet Software & Services – 2.7%

     

Alibaba Group Holding Ltd. (Sponsored ADR)(b)

      148,730       27,297,904  

carsales.com Ltd.

      537,210       5,614,325  

Kakaku.com, Inc.

      237,800       4,208,431  

Moneysupermarket.com Group PLC

      2,391,850       9,627,603  

Tencent Holdings Ltd.

      541,000       29,040,630  

Yahoo Japan Corp.

      5,291,600       24,769,421  
    

 

 

  
       100,558,314  
    

 

 

  

 

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Table of Contents

 

PORTFOLIO OF INVESTMENTS (continued)

TAX-MANAGED INTERNATIONAL PORTFOLIO

 

Company        
    
Shares		     U.S. $ Value  

 

  

IT Services – 1.4%

     

Amadeus IT Group SA – Class A

      221,720     $ 16,407,971  

Capgemini SE

      197,389       24,629,096  

Otsuka Corp.

      267,400       13,632,798  
    

 

 

  
       54,669,865  
    

 

 

  

Semiconductors & Semiconductor Equipment – 4.5%

     

ams AG

      234,620       24,637,495  

ASML Holding NV

      162,673       32,256,989  

Disco Corp.

      43,600       9,319,203  

Infineon Technologies AG

      619,230       16,653,090  

SCREEN Holdings Co., Ltd.

      263,800       23,828,770  

SUMCO Corp.

      763,900       19,951,208  

Taiwan Semiconductor Manufacturing Co., Ltd.

      5,157,000       43,680,813  
    

 

 

  
       170,327,568  
    

 

 

  

Software – 2.2%

     

Check Point Software Technologies Ltd.(b)

      85,310       8,474,695  

Constellation Software, Inc./Canada

      9,742       6,609,981  

Nice Ltd.(b)

      136,869       12,788,511  

Nintendo Co., Ltd.

      55,900       24,834,866  

Oracle Corp. Japan

      203,500       16,889,265  

SAP SE

      48,561       5,098,019  

Temenos Group AG(b)

      64,200       7,698,175  
    

 

 

  
       82,393,512  
    

 

 

  

Technology Hardware, Storage & Peripherals – 0.9%

     

Samsung Electronics Co., Ltd.

      14,040       32,804,124  
    

 

 

  
       533,013,274  
    

 

 

  

Consumer Staples – 11.6%

     

Beverages – 1.7%

     

Coca-Cola Bottlers Japan Holdings, Inc.

      463,300       19,133,139  

Diageo PLC

      313,170       10,591,316  

Royal Unibrew A/S

      174,320       11,572,902  

Suntory Beverage & Food Ltd.

      166,900       8,124,777  

Treasury Wine Estates Ltd.

      1,144,524       14,953,481  
    

 

 

  
       64,375,615  
    

 

 

  

Food & Staples Retailing – 0.5%

     

Tsuruha Holdings, Inc.

      133,500       19,213,709  
    

 

 

  

Food Products – 3.7%

     

Calbee, Inc.

      283,400       9,629,888  

Glanbia PLC

      952,322       16,404,980  

Kerry Group PLC – Class A

      178,270       18,074,627  

 

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Table of Contents

 

PORTFOLIO OF INVESTMENTS (continued)

TAX-MANAGED INTERNATIONAL PORTFOLIO

 

Company        
    
Shares		     U.S. $ Value  

 

  

Nestle SA (REG)

      296,330     $ 23,422,364  

Orkla ASA

      2,744,070       29,572,813  

Salmar ASA

      455,620       18,760,418  

WH Group Ltd.(a)

      20,986,000       22,486,200  
    

 

 

  
       138,351,290  
    

 

 

  

Household Products – 1.9%

     

Henkel AG & Co. KGaA (Preference Shares)

      224,580       29,521,724  

Reckitt Benckiser Group PLC

      259,880       21,935,908  

Unicharm Corp.

      706,600       20,380,839  
    

 

 

  
       71,838,471  
    

 

 

  

Personal Products – 1.0%

     

Godrej Consumer Products Ltd.

      982,450       16,550,885  

Kose Corp.

      51,000       10,721,361  

Unilever PLC

      178,290       9,888,420  
    

 

 

  
       37,160,666  
    

 

 

  

Tobacco – 2.8%

     

British American Tobacco PLC

      1,194,414       69,045,327  

Japan Tobacco, Inc.

      1,061,700       30,329,576  

Scandinavian Tobacco Group A/S(a)

      322,850       5,675,160  
    

 

 

  
       105,050,063  
    

 

 

  
       435,989,814  
    

 

 

  

Industrials – 10.8%

     

Aerospace & Defense – 1.7%

     

Airbus SE

      323,113       37,402,817  

BAE Systems PLC

      3,394,821       27,775,392  
    

 

 

  
       65,178,209  
    

 

 

  

Airlines – 2.2%

     

Japan Airlines Co., Ltd.

      1,026,600       41,799,185  

Qantas Airways Ltd.

      8,791,864       39,664,930  
    

 

 

  
       81,464,115  
    

 

 

  

Building Products – 1.3%

     

Assa Abloy AB – Class B

      408,478       8,853,938  

Cie de Saint-Gobain

      341,060       18,009,673  

Kingspan Group PLC

      480,780       20,350,201  
    

 

 

  
       47,213,812  
    

 

 

  

Commercial Services & Supplies – 0.6%

     

China Everbright International Ltd.

      12,157,000       17,165,410  

G4S PLC

      1,097,360       3,819,261  
    

 

 

  
       20,984,671  
    

 

 

  

Electrical Equipment – 1.4%

     

Nidec Corp.

      85,600       13,174,577  

Philips Lighting NV(a)

      440,515       16,562,067  

Schneider Electric SE (Paris)

      266,050       23,428,723  
    

 

 

  
       53,165,367  
    

 

 

  

 

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Table of Contents

 

PORTFOLIO OF INVESTMENTS (continued)

TAX-MANAGED INTERNATIONAL PORTFOLIO

 

Company        
    
Shares		     U.S. $ Value  

 

  

Industrial Conglomerates – 0.7%

     

Siemens AG (REG)

      204,610     $ 26,107,679  
    

 

 

  

Machinery – 1.1%

     

Atlas Copco AB – Class B

      92,470       3,610,550  

FANUC Corp.

      46,400       11,941,182  

Glory Ltd.

      466,400       16,736,736  

Hoshizaki Corp.

      83,100       7,408,451  

Kone Oyj – Class B

      61,380       3,063,342  
    

 

 

  
       42,760,261  
    

 

 

  

Professional Services – 1.7%

     

Adecco Group AG (REG)

      129,498       9,224,142  

Intertek Group PLC

      138,190       9,045,663  

Recruit Holdings Co., Ltd.

      376,400       9,433,947  

RELX NV

      553,666       11,476,880  

RELX PLC

      569,960       11,708,023  

Wolters Kluwer NV

      264,370       14,060,476  
    

 

 

  
       64,949,131  
    

 

 

  

Road & Rail – 0.1%

     

Central Japan Railway Co.

      24,500       4,675,641  
    

 

 

  

Transportation Infrastructure – 0.0%

     

Aena SME SA(a)

      4,190       844,886  
    

 

 

  
       407,343,772  
    

 

 

  

Health Care – 6.5%

     

Biotechnology – 0.7%

     

Genmab A/S(b)

      52,310       11,269,925  

Grifols SA (ADR)

      797,890       16,915,268  
    

 

 

  
       28,185,193  
    

 

 

  

Health Care Equipment & Supplies – 0.7%

     

Cochlear Ltd.

      44,180       6,204,963  

Essilor International Cie Generale d’Optique SA

      155,980       21,041,791  
    

 

 

  
       27,246,754  
    

 

 

  

Health Care Providers & Services – 0.7%

     

Apollo Hospitals Enterprise Ltd.

      1,609,580       26,236,436  
    

 

 

  

Life Sciences Tools & Services – 0.8%

     

Eurofins Scientific SE

      36,234       19,094,357  

Gerresheimer AG

      119,490       9,819,096  
    

 

 

  
       28,913,453  
    

 

 

  

 

40    |    AB BLENDED STYLE FUNDS   abfunds.com

Table of Contents

 

PORTFOLIO OF INVESTMENTS (continued)

TAX-MANAGED INTERNATIONAL PORTFOLIO

 

Company        
    
Shares		     U.S. $ Value  

 

  

Pharmaceuticals – 3.6%

     

Indivior PLC(b)

      3,840,260     $ 21,952,221  

Novo Nordisk A/S – Class B

      104,510       5,140,414  

Ono Pharmaceutical Co., Ltd.

      1,100,000       34,998,451  

Roche Holding AG

      174,789       40,096,074  

Sanofi

      55,780       4,475,788  

Shionogi & Co., Ltd.

      91,800       4,780,348  

Teva Pharmaceutical Industries Ltd.

      11,102       189,433  

Teva Pharmaceutical Industries Ltd. (Sponsored ADR)

      1,027,090       17,552,968  

Vectura Group PLC(b)

      4,592,260       5,002,946  
    

 

 

  
       134,188,643  
    

 

 

  
       244,770,479  
    

 

 

  

Telecommunication Services – 6.2%

     

Diversified Telecommunication
Services – 5.5%

     

BT Group PLC

      12,060,080       38,493,482  

Cellnex Telecom SA(a)

      287,480       7,685,463  

China Unicom Hong Kong Ltd.(b)

      26,894,000       34,405,514  

Com Hem Holding AB

      578,290       9,390,885  

Deutsche Telekom AG (REG)

      1,024,360       16,759,245  

HKT Trust & HKT Ltd. – Class SS

      10,161,000       12,784,867  

Nippon Telegraph & Telephone Corp.

      1,477,900       68,948,548  

Telekomunikasi Indonesia Persero Tbk PT

      27,005,000       7,101,098  

Telenor ASA

      454,550       10,336,975  
    

 

 

  
       205,906,077  
    

 

 

  

Wireless Telecommunication
Services – 0.7%

     

Vodafone Group PLC

      9,953,283       27,232,491  
    

 

 

  
       233,138,568  
    

 

 

  

Materials – 6.1%

     

Chemicals – 3.5%

     

Air Water, Inc.

      785,000       15,344,045  

Chr Hansen Holding A/S

      147,140       12,734,539  

Covestro AG(a)

      36,000       3,544,813  

Croda International PLC

      245,260       15,755,833  

Incitec Pivot Ltd.

      5,639,740       15,348,703  

Johnson Matthey PLC

      545,690       23,279,806  

Nippon Shokubai Co., Ltd.

      344,500       23,819,132  

Umicore SA

      396,840       21,022,669  
    

 

 

  
       130,849,540  
    

 

 

  

Construction Materials – 0.3%

     

CRH PLC (London)

      363,280       12,280,219  
    

 

 

  

 

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Table of Contents

 

PORTFOLIO OF INVESTMENTS (continued)

TAX-MANAGED INTERNATIONAL PORTFOLIO

 

Company        
    
Shares		     U.S. $ Value  

 

  

Containers & Packaging – 0.2%

     

Amcor Ltd./Australia

      715,150     $ 7,831,134  
    

 

 

  

Metals & Mining – 2.1%

     

Boliden AB

      160,980       5,664,632  

First Quantum Minerals Ltd.

      1,123,240       15,771,655  

Gerdau SA (Preference Shares)

      3,804,000       17,859,425  

Norsk Hydro ASA

      3,318,660       19,685,253  

South32 Ltd.

      1,389,650       3,492,433  

Yamato Kogyo Co., Ltd.

      575,100       15,869,468  
    

 

 

  
       78,342,866  
    

 

 

  
       229,303,759  
    

 

 

  

Energy – 4.9%

     

Oil, Gas & Consumable Fuels – 4.9%

     

Caltex Australia Ltd.

      202,350       4,915,299  

Canadian Natural Resources Ltd. (Toronto)

      532,610       16,742,892  

JXTG Holdings, Inc.

      5,259,500       32,064,951  

PetroChina Co., Ltd. – Class H

      32,384,000       22,494,492  

Royal Dutch Shell PLC (Euronext Amsterdam) – Class A

      1,628,420       51,876,840  

Royal Dutch Shell PLC – Class A

      431,800       13,661,521  

Royal Dutch Shell PLC – Class B

      402,015       12,936,219  

Showa Shell Sekiyu KK

      432,000       5,880,792  

TOTAL SA

      139,699       8,007,494  

YPF SA (Sponsored ADR)

      718,784       15,540,110  
    

 

 

  
       184,120,610  
    

 

 

  

Utilities – 1.5%

     

Electric Utilities – 0.4%

     

EDP – Energias de Portugal SA

      4,214,812       16,014,622  
    

 

 

  

Multi-Utilities – 0.4%

     

Suez

      1,044,590       15,136,044  
    

 

 

  

Water Utilities – 0.7%

     

Beijing Enterprises Water Group Ltd.

      24,116,000       13,568,681  

Cia de Saneamento Basico do Estado de Sao Paulo

      1,186,000       12,573,264  
    

 

 

  
       26,141,945  
    

 

 

  
       57,292,611  
    

 

 

  

Real Estate – 0.4%

     

Real Estate Management &
Development – 0.4%

     

SM Prime Holdings, Inc.

      22,814,000       14,832,784  
    

 

 

  

Total Common Stocks
(cost $3,193,195,448)

        3,650,711,873  
    

 

 

  

 

42    |    AB BLENDED STYLE FUNDS   abfunds.com

Table of Contents

 

PORTFOLIO OF INVESTMENTS (continued)

TAX-MANAGED INTERNATIONAL PORTFOLIO

 

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

SHORT-TERM INVESTMENTS – 2.1%

     

Repurchase Agreements – 2.1%

     

State Street Bank & Trust Co.
0.28%, dated 3/29/18 due 4/02/18 in the amount of $78,999,387 (collateralized by $78,345,000 U.S. Treasury Bond and U.S. Treasury Notes, 1.375% to 3.625%, due 2/15/20 to 11/30/20, value $80,579,281)
(cost $78,996,930)

    $     78,997     $ 78,996,930  
    

 

 

  

Total Investments – 99.0%
(cost $3,272,192,378)

        3,729,708,803 (c) 

Other assets less liabilities – 1.0%

        35,885,588  
    

 

 

  

Net Assets – 100.0%

      $ 3,765,594,391  
    

 

 

  

FUTURES (see Note 3)

 

Description   Number of
Contracts		     Expiration
Month		     Notional
(000)		     Original
Value		     Value at
March 31,
2018		     Unrealized
Appreciation/
(Depreciation)		  

Purchased Contracts

 

Mini MSCI EAFE Futures

     438       June 2018       USD       22     $   44,153,681     $   43,813,140     $   (340,541 ) 

FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3)

 

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

Bank of America, NA

    CAD      4,892      USD      3,936        4/17/18      $ 137,276  

Bank of America, NA

    USD      51,326      EUR      43,112        4/17/18        1,770,162  

Bank of America, NA

    USD      69,763      GBP      51,461        4/17/18            2,476,173  

Bank of America, NA

    KRW      69,071,786      USD      65,089        4/26/18        36,512  

Barclays Bank PLC

    ILS      95,664      USD      28,000        4/17/18        703,090  

Barclays Bank PLC

    JPY      2,137,746      USD      20,135        4/17/18        28,271  

Barclays Bank PLC

    USD      11,269      EUR      9,418        4/17/18        330,335  

Barclays Bank PLC

    USD      20,050      EUR      16,253        4/17/18        (32,668 ) 

Barclays Bank PLC

    USD      12,160      JPY      1,338,295        4/17/18        427,391  

Barclays Bank PLC

    USD      5,850      NZD      8,147        4/17/18        37,344  

Barclays Bank PLC

    USD      29,341      RUB      1,675,605        4/17/18        (146,754 ) 

Barclays Bank PLC

    CNY      151,863      USD      24,014        4/19/18        (186,512 ) 

Barclays Bank PLC

    USD      7,143      CNY      45,129        4/19/18        48,649  

Barclays Bank PLC

    USD      5,899      KRW      6,331,209        4/26/18        63,436  

Barclays Bank PLC

    INR      8,327,843      USD      126,694        5/17/18        (676,767 ) 

Barclays Bank PLC

    USD      4,206      INR      275,592        5/17/18        9,472  

BNP Paribas SA

    AUD      20,738      USD      16,724        4/17/18        796,746  

BNP Paribas SA

    CHF      12,316      USD      13,171        4/17/18        274,908  

 

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PORTFOLIO OF INVESTMENTS (continued)

TAX-MANAGED INTERNATIONAL PORTFOLIO

 

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

BNP Paribas SA

    USD     7,704      AUD     9,788       4/17/18     $ (186,793 ) 

BNP Paribas SA

    USD     22,589      GBP     16,839       4/17/18       1,048,992  

BNP Paribas SA

    TWD     383,234      USD     13,263       6/07/18       9,956  

Citibank, NA

    CAD     9,605      USD     7,577       4/17/18       120,011  

Citibank, NA

    EUR     19,214      USD     23,824       4/17/18       160,835  

Citibank, NA

    GBP     29,840      USD     42,180       4/17/18       291,015  

Citibank, NA

    HKD     43,198      USD     5,531       4/17/18       24,041  

Citibank, NA

    JPY     2,476,544      USD     23,452       4/17/18       158,610  

Citibank, NA

    JPY     1,766,216      USD     16,229       4/17/18       (383,495 ) 

Citibank, NA

    NOK     278,178      USD     34,655       4/17/18       (846,723 ) 

Citibank, NA

    USD     43,036      EUR     35,100       4/17/18       191,927  

Citibank, NA

    USD     105,967      EUR     85,105       4/17/18           (1,153,574 ) 

Citibank, NA

    USD     30,804      GBP     21,698       4/17/18       (344,689 ) 

Citibank, NA

    USD     32,668      JPY     3,624,735       4/17/18       1,425,433  

Citibank, NA

    USD     74,697      JPY     7,927,773       4/17/18       (130,283 ) 

Citibank, NA

    USD     4,489      SEK     35,521       4/17/18       (230,901 ) 

Citibank, NA

    CNY     38,828      USD     6,139       4/19/18       (48,658 ) 

Citibank, NA

    TWD     811,777      USD     27,974       6/07/18       (98,547 ) 

Citibank, NA

    USD     8,175      CHF     7,659       7/17/18       (91,549 ) 

Credit Suisse International

    BRL     88,068      USD     27,134       4/03/18       458,654  

Credit Suisse International

    USD     26,496      BRL     88,068       4/03/18       179,373  

Credit Suisse International

    CHF     5,634      USD     5,998       4/17/18       98,466  

Credit Suisse International

    GBP     4,821      USD     6,654       4/17/18       (113,465 ) 

Credit Suisse International

    NOK     209,817      USD     26,922       4/17/18       145,025  

Credit Suisse International

    NOK     55,572      USD     6,864       4/17/18       (227,810 ) 

Credit Suisse International

    NZD     8,147      USD     5,982       4/17/18       94,564  

Credit Suisse International

    USD     14,137      AUD     18,754       4/17/18       266,464  

Credit Suisse International

    USD     14,293      JPY     1,523,995       4/17/18       41,771  

Credit Suisse International

    USD     28,938      NOK     225,027       4/17/18       (219,617 ) 

Credit Suisse International

    USD     18,600      PLN     66,377       4/17/18       793,253  

Credit Suisse International

    USD     10,492      EUR     8,419       7/17/18       (51,514 ) 

Deutsche Bank AG

    CAD     109,965      USD     88,232       4/17/18       2,853,097  

Deutsche Bank AG

    USD     126,815      CHF     123,117       4/17/18       2,103,172  

Deutsche Bank AG

    USD     13,974      EUR     11,541       4/17/18       240,014  

Deutsche Bank AG

    USD     15,328      EUR     12,345       7/17/18       (18,625 ) 

Goldman Sachs Bank USA

    JPY     1,805,177      USD     16,961       4/17/18       (17,887 ) 

HSBC Bank USA

    SEK     95,059      USD     12,078       4/17/18       682,993  

HSBC Bank USA

    USD     129,716      AUD     165,305       4/17/18       (2,755,209 ) 

JPMorgan Chase Bank, NA

    AUD     41,745      USD     33,085       4/17/18       1,023,223  

JPMorgan Chase Bank, NA

    CHF     58,376      USD     61,688       4/17/18       561,320  

JPMorgan Chase Bank, NA

    EUR     6,785      USD     8,466       4/17/18       110,069  

JPMorgan Chase Bank, NA

    HKD     929,061      USD     119,058       4/17/18       620,669  

JPMorgan Chase Bank, NA

    NOK     377,788      USD     45,639       4/17/18       (2,574,720 ) 

JPMorgan Chase Bank, NA

    PLN     66,377      USD     19,604       4/17/18       211,324  

JPMorgan Chase Bank, NA

    USD     13,438      CNY     85,114       4/19/18       125,325  

Morgan Stanley & Co., Inc.

    GBP     7,918      USD     11,252       4/17/18       136,856  

Morgan Stanley & Co., Inc.

    ILS     15,688      USD     4,461       4/17/18       (15,735 ) 

Morgan Stanley & Co., Inc.

    JPY     868,160      USD     8,237       4/17/18       71,593  

Morgan Stanley & Co., Inc.

    JPY     2,127,088      USD     19,179       4/17/18       (828,200 ) 

Morgan Stanley & Co., Inc.

    USD     21,643      GBP     15,340       4/17/18       (108,985 ) 

 

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PORTFOLIO OF INVESTMENTS (continued)

TAX-MANAGED INTERNATIONAL PORTFOLIO

 

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

Morgan Stanley & Co., Inc.

    USD     5,904        HKD       46,084       4/17/18     $ (29,258 ) 

Royal Bank of Scotland PLC

    EUR     70,010        USD       87,586       4/17/18       1,363,192  

Royal Bank of Scotland PLC

    JPY     2,210,897        USD       20,341       4/17/18       (454,518 ) 

Royal Bank of Scotland PLC

    USD     5,894        CAD       7,390       4/17/18       (156,316 ) 

Royal Bank of Scotland PLC

    USD     89,644        CHF       82,613       4/17/18       (3,137,609 ) 

Royal Bank of Scotland PLC

    USD     91,090        EUR       75,527       4/17/18       1,927,042  

Royal Bank of Scotland PLC

    USD     13,393        GBP       9,976       4/17/18       610,735  

Royal Bank of Scotland PLC

    CNY     48,680        USD       7,684       4/19/18       (73,759 ) 

Royal Bank of Scotland PLC

    PEN     66,598        USD       20,568       4/19/18       (64,119 ) 

Royal Bank of Scotland PLC

    USD     5,272        KRW       5,674,671       4/26/18       72,087  

Royal Bank of Scotland PLC

    USD     15,529        AUD       20,141       7/17/18       (53,749 ) 

Standard Chartered Bank

    BRL     88,068        USD       26,496       4/03/18       (179,373 ) 

Standard Chartered Bank

    USD     26,712        BRL       88,068       4/03/18       (36,004 ) 

Standard Chartered Bank

    USD     11,179        EUR       9,209       4/17/18       162,342  

Standard Chartered Bank

    USD     10,139        JPY       1,141,171       4/17/18       595,011  

Standard Chartered Bank

    CNY     993,239        USD       156,874       4/19/18       (1,404,883 ) 

Standard Chartered Bank

    USD     10,451        CNY       66,376       4/19/18       126,561  

Standard Chartered Bank

    BRL     88,068        USD       26,637       5/03/18       26,159  

Standard Chartered Bank

    PHP     592,213        USD       11,209       5/30/18       (68,300 ) 

State Street Bank & Trust Co.

    HKD     62,833        USD       8,046       4/17/18       36,434  

State Street Bank & Trust Co.

    USD     3,842        AUD       4,905       4/17/18       (74,283 ) 

State Street Bank & Trust Co.

    USD     13,451        GBP       9,453       4/17/18       (181,164 ) 

State Street Bank & Trust Co.

    USD     7,330        SEK       59,538       4/17/18       (192,491 ) 

State Street Bank & Trust Co.

    USD     8,658        TRY       33,854       4/17/18       (116,096 ) 

UBS AG

    USD     14,046        JPY       1,495,395       4/17/18       18,922  
             

 

 

  
              $     8,614,693  
             

 

 

  

 

(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 March 31, 2018, the aggregate market value of these securities amounted to $91,001,506 or 2.4% of net assets.

 

(b) Non-income producing security.

 

(c) On March 30, 2018, the Portfolio and U.S. stock exchanges were closed for business due to a U.S. holiday but the foreign markets remained open for trading. The Portfolio valued its foreign securities using the closing market prices from the respective foreign markets as of March 29, 2018 for financial reporting purposes.

Currency Abbreviations:

AUD – Australian Dollar

BRL – Brazilian Real

CAD – Canadian Dollar

CHF – Swiss Franc

CNY – Chinese Yuan Renminbi

EUR – Euro

GBP – Great British Pound

HKD – Hong Kong Dollar

ILS – Israeli Shekel

INR – Indian Rupee

JPY – Japanese Yen

KRW – South Korean Won

NOK – Norwegian Krone

 

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Table of Contents

 

PORTFOLIO OF INVESTMENTS (continued)

TAX-MANAGED INTERNATIONAL PORTFOLIO

 

NZD – New Zealand Dollar

PEN – Peruvian Sol

PHP – Philippine Peso

PLN – Polish Zloty

RUB – Russian Ruble

SEK – Swedish Krona

TRY – Turkish Lira

TWD – New Taiwan Dollar

USD – United States Dollar

Glossary:

ADR – American Depositary Receipt

EAFE – Europe, Australia, and Far East

MSCI – Morgan Stanley Capital International

REG – Registered Shares

See notes to financial statements.

 

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Table of Contents

 

PORTFOLIO OF INVESTMENTS

EMERGING MARKETS PORTFOLIO

March 31, 2018 (unaudited)

 

Company        
    
    
Shares		     U.S. $ Value  

 

  

COMMON STOCKS – 97.9%

     

Financials – 30.2%

     

Banks – 20.1%

     

Abu Dhabi Commercial Bank PJSC

      2,033,470     $ 3,661,474  

Agricultural Bank of China Ltd. – Class H

      48,342,000       27,760,054  

Banco Macro SA (ADR)

      76,446       8,253,875  

Bank Central Asia Tbk PT

      5,463,500       9,281,314  

Bank Mandiri Persero Tbk PT

      22,084,500       12,383,913  

Bank of China Ltd. – Class H

      28,764,000       15,712,595  

Bank Tabungan Negara Persero Tbk PT

      776,000       214,876  

BGEO Group PLC

      43,680       2,179,795  

China Construction Bank Corp. – Class H

      48,972,000       51,151,443  

China Merchants Bank Co., Ltd. – Class H

      3,212,500       13,334,662  

Commercial International Bank Egypt SAE

      61,990       313,185  

Credicorp Ltd.

      68,603       15,575,625  

Grupo Financiero Galicia SA (ADR)

      90,350       5,941,416  

Grupo Supervielle SA (Sponsored ADR)

      3,405       103,308  

Hana Financial Group, Inc.

      558,320       24,061,980  

HDFC Bank Ltd.

      809,774       23,949,913  

ICICI Bank Ltd.

      893,110       3,883,607  

IndusInd Bank Ltd.

      371,370       10,321,053  

Industrial & Commercial Bank of China Ltd. – Class H

      17,780,000       15,495,015  

Itau Unibanco Holding SA (Preference Shares)

      878,940       13,660,183  

KB Financial Group, Inc.

      452,357       26,235,447  

Sberbank of Russia PJSC (Sponsored ADR)

      986,344       18,395,316  

Shinhan Financial Group Co., Ltd.

      44,490       1,897,911  

Standard Bank Group Ltd.

      492,690       9,104,140  

TCS Group Holding PLC (GDR)(a)

      16,470       361,516  

Turkiye Is Bankasi AS – Class C

      2,208,354       4,010,970  
    

 

 

  
       317,244,586  
    

 

 

  

Capital Markets – 0.3%

     

China Everbright Ltd.

      2,314,000       4,887,985  

CRISIL Ltd.

      6,460       187,772  

Noah Holdings Ltd. (Sponsored ADR)(b)

      5,960       281,372  
    

 

 

  
       5,357,129  
    

 

 

  

Consumer Finance – 0.4%

     

Gentera SAB de CV

      1,527,310       1,112,298  

KRUK SA

      82,580       5,268,063  

Repco Home Finance Ltd.

      38,850       330,914  
    

 

 

  
       6,711,275  
    

 

 

  

 

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Table of Contents

 

PORTFOLIO OF INVESTMENTS (continued)

EMERGING MARKETS PORTFOLIO

 

Company        
    
    
Shares		     U.S. $ Value  

 

  

Diversified Financial Services – 1.5%

     

Chailease Holding Co., Ltd.

      3,208,000     $ 11,141,267  

Cielo SA

      607,060       3,804,411  

Haci Omer Sabanci Holding AS ADR

      3,438,657       9,159,694  
    

 

 

  
       24,105,372  
    

 

 

  

Insurance – 4.9%

     

AIA Group Ltd.

      3,115,400       26,632,544  

Discovery Ltd.

      8,140       117,433  

Fanhua, Inc. (Sponsored ADR)

      9,280       250,745  

HDFC Standard Life Insurance Co., Ltd.(a)

      573,950       4,023,587  

IRB Brasil Resseguros S/A

      444,700       5,638,475  

Max Financial Services Ltd.(b)

      613,628       4,273,631  

PICC Property & Casualty Co., Ltd. – Class H

      9,494,000       16,776,169  

Ping An Insurance Group Co. of China Ltd. – Class H

      1,288,000       13,280,141  

Prudential PLC

      218,550       5,461,275  
    

 

 

  
       76,454,000  
    

 

 

  

Thrifts & Mortgage Finance – 3.0%

     

GRUH Finance Ltd.

      12,040       106,243  

Housing Development Finance Corp., Ltd.

      1,014,792       28,512,726  

Indiabulls Housing Finance Ltd.

      938,735       17,987,717  

PNB Housing Finance Ltd.(a)

      7,390       146,960  
    

 

 

  
       46,753,646  
    

 

 

  
       476,626,008  
    

 

 

  

Information Technology – 24.8%

     

Electronic Equipment, Instruments & Components – 4.7%

     

Compeq Manufacturing Co., Ltd.

      4,327,000       4,506,322  

Elite Material Co., Ltd.

      3,299,000       10,947,729  

FIT Hon Teng Ltd.(a)

      10,286,000       4,779,207  

Hangzhou Hikvision Digital Technology Co., Ltd. – Class A

      2,287,772       15,231,866  

Hollysys Automation Technologies Ltd.

      3,920       96,902  

Largan Precision Co., Ltd.

      63,000       7,333,929  

LG Display Co., Ltd.

      78,146       1,903,306  

Sunny Optical Technology Group Co., Ltd.

      1,193,000       22,385,812  

Tongda Group Holdings Ltd.

      2,720,000       523,972  

Tripod Technology Corp.

      1,840,000       6,240,844  
    

 

 

  
       73,949,889  
    

 

 

  

Internet Software & Services – 7.1%

     

Alibaba Group Holding Ltd. (Sponsored ADR)(b)

      302,290       55,482,306  

 

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PORTFOLIO OF INVESTMENTS (continued)

EMERGING MARKETS PORTFOLIO

 

Company        
    
    
Shares		     U.S. $ Value  

 

  

NetEase, Inc. (ADR)

      64,733     $ 18,150,486  

Sea Ltd. (ADR)(b)

      426,603       4,807,816  

Tencent Holdings Ltd.

      617,900       33,168,587  
    

 

 

  
       111,609,195  
    

 

 

  

IT Services – 0.2%

     

Hexaware Technologies Ltd.

      22,130       129,570  

My EG Services Bhd

      3,534,900       2,608,582  

TravelSky Technology Ltd. – Class H

      73,000       213,225  
    

 

 

  
       2,951,377  
    

 

 

  

Semiconductors & Semiconductor Equipment – 7.5%

     

eMemory Technology, Inc.

      18,000       217,277  

Hua Hong Semiconductor Ltd.(a)

      2,254,000       4,514,083  

Koh Young Technology, Inc.

      2,530       239,051  

LandMark Optoelectronics Corp.

      194,000       2,554,411  

Nanya Technology Corp.

      2,958,000       9,477,705  

Parade Technologies Ltd.

      6,000       117,935  

Realtek Semiconductor Corp.

      3,788,000       16,487,059  

Silergy Corp.

      9,000       204,356  

Silicon Motion Technology Corp. (ADR)

      2,150       103,458  

SK Hynix, Inc.

      132,520       10,152,616  

Taiwan Semiconductor Manufacturing Co., Ltd.

      8,565,120       72,548,266  

Taiwan Semiconductor Manufacturing Co., Ltd. (Sponsored ADR)

      43,270       1,893,495  
    

 

 

  
       118,509,712  
    

 

 

  

Software – 0.0%

     

Globant SA(b)

      6,620       341,195  

NCSoft Corp.

      275       106,419  
    

 

 

  
       447,614  
    

 

 

  

Technology Hardware, Storage & Peripherals – 5.3%

     

Primax Electronics Ltd.

      2,304,000       5,164,031  

Samsung Electronics Co., Ltd.

      22,211       51,895,470  

Samsung Electronics Co., Ltd. (Preference Shares)

      13,312       25,598,085  
    

 

 

  
       82,657,586  
    

 

 

  
       390,125,373  
    

 

 

  

Consumer Discretionary – 10.7%

     

Auto Components – 0.8%

     

Cub Elecparts, Inc.

      13,000       183,420  

Hankook Tire Co., Ltd.

      226,990       11,234,831  

 

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PORTFOLIO OF INVESTMENTS (continued)

EMERGING MARKETS PORTFOLIO

 

Company        
    
    
Shares		     U.S. $ Value  

 

  

Hota Industrial Manufacturing Co., Ltd.

      31,000     $ 133,520  

Minth Group Ltd.

      236,000       1,082,790  

Nexteer Automotive Group Ltd.

      44,000       67,258  
    

 

 

  
       12,701,819  
    

 

 

  

Diversified Consumer Services – 1.4%

     

Estacio Participacoes SA

      1,138,800       12,062,529  

Four Seasons Education Cayman, Inc. (ADR)

      430,571       2,854,686  

Fu Shou Yuan International Group Ltd.

      294,000       292,675  

Kroton Educacional SA

      35,600       146,651  

Tarena International, Inc. (ADR)

      574,812       6,449,390  
    

 

 

  
       21,805,931  
    

 

 

  

Hotels, Restaurants & Leisure – 1.6%

     

Alsea SAB de CV

      12,150       42,565  

CVC Brasil Operadora e Agencia de Viagens SA

      263,200       4,835,172  

Galaxy Entertainment Group Ltd.

      1,814,000       16,650,129  

Gourmet Master Co., Ltd.

      13,000       170,757  

Modetour Network, Inc.

      4,450       163,241  

OPAP SA

      13,630       156,218  

Premium Leisure Corp.

      141,129,000       2,921,170  
    

 

 

  
       24,939,252  
    

 

 

  

Household Durables – 0.5%

     

Basso Industry Corp.

      2,075,000       3,754,847  

Cuckoo Holdings Co., Ltd.

      600       48,579  

Hanssem Co., Ltd.

      670       94,694  

Skyworth Digital Holdings Ltd.

      9,047,314       4,097,553  
    

 

 

  
       7,995,673  
    

 

 

  

Internet & Direct Marketing
Retail – 1.1%

     

Ctrip.com International Ltd. (ADR)(b)

      322,790       15,048,470  

MakeMyTrip Ltd.(b)

      64,150       2,226,005  
    

 

 

  
       17,274,475  
    

 

 

  

Media – 3.3%

     

IMAX China Holding, Inc.(a)(b)

      1,177,600       3,748,328  

Megacable Holdings SAB de CV

      1,131,130       5,197,723  

Naspers Ltd. – Class N

      150,370       36,797,474  

Smiles Fidelidade SA

      6,400       134,728  

Sun TV Network Ltd.

      402,817       5,295,836  

Surya Citra Media Tbk PT

      263,000       52,072  
    

 

 

  
       51,226,161  
    

 

 

  

 

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PORTFOLIO OF INVESTMENTS (continued)

EMERGING MARKETS PORTFOLIO

 

Company        
    
    
Shares		     U.S. $ Value  

 

  

Multiline Retail – 0.0%

     

Mitra Adiperkasa Tbk PT

      376,500     $ 212,623  

Poya International Co., Ltd.

      4,000       50,229  

V-Mart Retail Ltd.

      1,900       55,201  
    

 

 

  
       318,053  
    

 

 

  

Specialty Retail – 1.2%

     

Ace Hardware Indonesia Tbk PT

      1,176,400       113,645  

Beauty Community PCL

      195,800       133,552  

Chow Tai Fook Jewellery Group Ltd.

      3,490,800       3,983,755  

Cuckoo Homesys Co., Ltd.(b)

      12,557       2,032,163  

Foschini Group Ltd. (The)

      645,800       12,181,409  

JUMBO SA

      14,710       263,170  

Mr Price Group Ltd.

      2,000       48,096  
    

 

 

  
       18,755,790  
    

 

 

  

Textiles, Apparel & Luxury Goods – 0.8%

     

Best Pacific International Holdings Ltd.(a)

      194,000       94,675  

CCC SA

      1,270       86,751  

Eclat Textile Co., Ltd.

      10,000       117,567  

Li Ning Co., Ltd.(b)

      9,973,000       10,268,479  

Welspun India Ltd.

      2,846,603       2,530,492  
    

 

 

  
       13,097,964  
    

 

 

  
       168,115,118  
    

 

 

  

Energy – 7.0%

     

Energy Equipment & Services – 0.1%

     

TMK PJSC (GDR)(a)

      329,380       1,857,703  
    

 

 

  

Oil, Gas & Consumable Fuels – 6.9%

     

Canacol Energy Ltd.(b)

      12,880       42,594  

Cosan SA Industria e Comercio

      152,100       1,912,393  

Gran Tierra Energy, Inc.(b)

      832,930       2,314,503  

LUKOIL PJSC (Sponsored ADR)

      518,029       35,857,968  

Novatek PJSC (Sponsored GDR)(a)

      101,700       13,952,044  

PetroChina Co., Ltd. – Class H

      7,956,000       5,526,377  

Petroleo Brasileiro SA (Preference Shares)(b)

      2,503,800       16,237,216  

Tatneft PJSC (Sponsored ADR)

      191,717       12,313,983  

Transportadora de Gas del Sur SA (Sponsored ADR)(b)

      4,650       94,581  

YPF SA (Sponsored ADR)

      929,207       20,089,455  
    

 

 

  
       108,341,114  
    

 

 

  
       110,198,817  
    

 

 

  

 

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PORTFOLIO OF INVESTMENTS (continued)

EMERGING MARKETS PORTFOLIO

 

Company        
    
    
Shares		     U.S. $ Value  

 

  

Materials – 6.8%

     

Chemicals – 0.8%

     

Berger Paints India Ltd.

      25,550     $ 101,201  

Kumho Petrochemical Co., Ltd.

      110,520       10,116,196  

Sinopec Shanghai Petrochemical Co., Ltd. – Class H

      3,094,000       1,890,582  

Supreme Industries Ltd.

      10,500       197,165  
    

 

 

  
       12,305,144  
    

 

 

  

Construction Materials – 1.1%

     

Anhui Conch Cement Co., Ltd. – Class H

      2,533,500       13,941,750  

Grupo Cementos de Chihuahua SAB de CV

      664,550       3,574,972  

Loma Negra Cia Industrial Argentina SA (Sponsored ADR)(b)

      7,020       149,667  
    

 

 

  
       17,666,389  
    

 

 

  

Metals & Mining – 4.9%

     

Aluminum Corp. of China Ltd. – Class H(b)

      16,004,000       9,038,884  

Gerdau SA (Preference Shares)

      2,747,100       12,897,378  

Jindal Steel & Power Ltd.(b)

      64,250       218,057  

JSW Steel Ltd. ADR

      1,811,640       8,056,571  

KGHM Polska Miedz SA

      373,696       9,518,289  

Polyus PJSC (GDR)(a)

      87,140       3,389,746  

POSCO

      72,248       23,061,602  

Real Gold Mining Ltd.(b)(c)(d)(e)

      1,788,000       – 0  – 

Vedanta Ltd.

      2,430,240       10,432,315  
    

 

 

  
       76,612,842  
    

 

 

  
       106,584,375  
    

 

 

  

Industrials – 5.3%

     

Airlines – 1.6%

     

Air Arabia PJSC ADR

      4,170,300       1,294,331  

Air China Ltd. – Class H

      6,004,000       7,753,756  

China Southern Airlines Co., Ltd. – Class H

      4,214,000       4,403,899  

InterGlobe Aviation Ltd.(a)

      8,570       170,070  

Turk Hava Yollari AO(b)

      2,221,690       10,987,025  
    

 

 

  
       24,609,081  
    

 

 

  

Building Products – 0.0%

     

Kajaria Ceramics Ltd.

      13,170       118,021  
    

 

 

  

Commercial Services & Supplies – 0.0%

     

JMT Network Services PCL

      106,400       111,912  

S-1 Corp.

      1,190       107,177  
    

 

 

  
       219,089  
    

 

 

  

 

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PORTFOLIO OF INVESTMENTS (continued)

EMERGING MARKETS PORTFOLIO

 

Company        
    
    
Shares		     U.S. $ Value  

 

  

Industrial Conglomerates – 1.1%

     

Bidvest Group Ltd. (The)

      451,330     $ 8,564,893  

SM Investments Corp.

      203,255       3,597,010  

Turkiye Sise ve Cam Fabrikalari AS

      3,214,438       4,229,362  
    

 

 

  
       16,391,265  
    

 

 

  

Machinery – 0.6%

     

Airtac International Group

      21,000       378,170  

Grupo Rotoplas SAB de CV(b)

      36,600       56,410  

Sinotruk Hong Kong Ltd.

      3,157,500       3,770,613  

Weichai Power Co., Ltd. – Class H

      1,861,000       2,104,691  

Yangzijiang Shipbuilding Holdings Ltd.

      3,323,000       3,094,981  
    

 

 

  
       9,404,865  
    

 

 

  

Marine – 0.1%

     

COSCO SHIPPING Energy Transportation Co., Ltd. – Class H

      2,218,000       1,146,159  
    

 

 

  

Professional Services – 0.7%

     

51job, Inc. (ADR)(b)

      129,236       11,119,465  

Quess Corp. Ltd.(a)(b)

      7,490       117,940  

Sporton International, Inc.

      47,400       262,655  
    

 

 

  
       11,500,060  
    

 

 

  

Road & Rail – 0.7%

     

Globaltrans Investment PLC (Sponsored GDR)(a)

      941,443       11,165,514  

Localiza Rent a Car SA

      40,400       351,448  
    

 

 

  
       11,516,962  
    

 

 

  

Trading Companies & Distributors – 0.5%

     

Barloworld Ltd.

      563,360       7,933,070  
    

 

 

  

Transportation Infrastructure – 0.0%

     

Grupo Aeroportuario del Pacifico SAB de CV – Class B

      8,930       88,234  

TAV Havalimanlari Holding AS

      36,200       218,075  
    

 

 

  
       306,309  
    

 

 

  
       83,144,881  
    

 

 

  

Consumer Staples – 4.1%

     

Beverages – 0.9%

     

Kweichow Moutai Co., Ltd. – Class A

      135,230       14,929,229  
    

 

 

  

Food & Staples Retailing – 1.5%

     

BGF retail Co., Ltd.

      1,320       188,854  

Clicks Group Ltd.

      17,310       267,425  

E-MART, Inc.

      40,500       10,341,318  

 

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PORTFOLIO OF INVESTMENTS (continued)

EMERGING MARKETS PORTFOLIO

 

Company        
    
    
Shares		     U.S. $ Value  

 

  

Lenta Ltd. (GDR)(a)(b)

      4     $ 24  

Lenta Ltd. (GDR)(a)(b)

      1,125,324       6,695,678  

Massmart Holdings Ltd.

      14,720       199,614  

President Chain Store Corp.

      21,000       212,524  

Raia Drogasil SA

      9,000       203,910  

X5 Retail Group NV (GDR)(a)(b)

      142,125       4,766,355  
    

 

 

  
       22,875,702  
    

 

 

  

Food Products – 0.9%

     

Alicorp SAA

      16,520       57,609  

AVI Ltd.

      12,920       120,941  

Britannia Industries Ltd.

      1,500       114,810  

China Agri-Industries Holdings Ltd.

      7,097,000       3,137,366  

Kaveri Seed Co., Ltd.

      11,600       86,336  

LT Foods Ltd.

      135,410       179,940  

Ulker Biskuvi Sanayi AS

      24,190       134,911  

Vitasoy International Holdings Ltd.

      90,000       232,265  

WH Group Ltd.(a)

      9,724,500       10,419,663  

Zhou Hei Ya International Holdings Co., Ltd.(a)

      270,620       247,374  
    

 

 

  
       14,731,215  
    

 

 

  

Personal Products – 0.0%

     

Cosmax, Inc.

      1,405       182,404  
    

 

 

  

Tobacco – 0.8%

     

ITC Ltd.

      3,019,180       11,880,115  
    

 

 

  
       64,598,665  
    

 

 

  

Health Care – 3.7%

     

Biotechnology – 0.9%

     

3SBio, Inc.(a)(b)

      143,500       326,853  

Hugel, Inc.(b)

      16,540       9,330,220  

Medy-Tox, Inc.

      6,566       4,635,934  
    

 

 

  
       14,293,007  
    

 

 

  

Health Care Equipment & Supplies – 0.2%

     

Vieworks Co., Ltd.

      4,625       172,160  

Yestar Healthcare Holdings Co., Ltd.

      7,452,500       2,592,372  
    

 

 

  
       2,764,532  
    

 

 

  

Health Care Providers & Services – 0.9%

     

Bangkok Dusit Medical Services PCL

      138,900       104,532  

Bumrungrad Hospital PCL

      30,100       199,911  

MLP Saglik Hizmetleri AS(a)(b)

      806,000       3,881,581  

NMC Health PLC

      5,000       238,424  

Odontoprev SA

      42,300       191,291  

 

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Table of Contents

 

PORTFOLIO OF INVESTMENTS (continued)

EMERGING MARKETS PORTFOLIO

 

Company        
    
    
Shares		     U.S. $ Value  

 

  

Qualicorp SA

      29,000     $ 195,708  

Shanghai Pharmaceuticals Holding Co., Ltd. – Class H

      3,412,500       9,185,883  
    

 

 

  
       13,997,330  
    

 

 

  

Life Sciences Tools & Services – 0.2%

     

Wuxi Biologics Cayman, Inc.(a)(b)

      443,100       4,312,287  
    

 

 

  

Pharmaceuticals – 1.5%

     

Aspen Pharmacare Holdings Ltd.

      8,780       192,648  

Aurobindo Pharma Ltd.

      17,680       153,543  

China Medical System Holdings Ltd.

      5,403,000       12,377,636  

China Resources Pharmaceutical Group Ltd.(a)

      7,611,700       10,706,816  

Richter Gedeon Nyrt

      12,380       258,712  
    

 

 

  
       23,689,355  
    

 

 

  
       59,056,511  
    

 

 

  

Telecommunication Services – 2.6%

     

Diversified Telecommunication
Services – 1.7%

     

China Unicom Hong Kong Ltd.(b)

      16,210,000       20,737,465  

Tower Bersama Infrastructure Tbk PT

      14,787,700       5,997,730  
    

 

 

  
       26,735,195  
    

 

 

  

Wireless Telecommunication
Services – 0.9%

     

Safaricom PLC

      23,929,660       7,314,184  

Sarana Menara Nusantara Tbk PT

      5,816,900       1,512,584  

Turkcell Iletisim Hizmetleri AS

      1,633,551       6,259,729  
    

 

 

  
       15,086,497  
    

 

 

  
       41,821,692  
    

 

 

  

Real Estate – 1.6%

     

Real Estate Management &
Development – 1.6%

     

Aldar Properties PJSC

      9,663,200       5,610,123  

Ayala Land, Inc.

      3,250,500       2,572,255  

China Resources Land Ltd.

      500,000       1,837,329  

CIFI Holdings Group Co., Ltd.

      12,956,000       11,445,862  

Parque Arauco SA

      34,560       103,668  

Times China Holdings Ltd.

      2,213,000       3,420,834  
    

 

 

  
       24,990,071  
    

 

 

  

Utilities – 1.1%

     

Electric Utilities – 0.9%

     

Centrais Eletricas Brasileiras SA(b)

      1,409,100       8,963,062  

 

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PORTFOLIO OF INVESTMENTS (continued)

EMERGING MARKETS PORTFOLIO

 

Company        
    
    
Shares		     U.S. $ Value  

 

  

Centrais Eletricas Brasileiras SA (Preference Shares)

      251,000     $ 1,832,255  

Equatorial Energia SA

      182,800       3,958,927  
    

 

 

  
       14,754,244  
    

 

 

  

Water Utilities – 0.2%

     

Cia de Saneamento Basico do Estado de Sao Paulo

      234,700       2,488,149  
    

 

 

  
       17,242,393  
    

 

 

  

Total Common Stocks
(cost $1,245,070,335)

        1,542,503,904  
    

 

 

  
    

EQUITY LINKED NOTES – 0.9%

     

Real Estate – 0.5%

     

Real Estate Management & Development – 0.5%

     

Vincom Retail JSC, Deutsche Bank AG, expiring 11/12/27(b)

      3,266,460       7,303,671  
    

 

 

  

Information Technology – 0.3%

     

Electronic Equipment, Instruments & Components – 0.3%

     

FPT Corp., Macquarie Bank Ltd., expiring 3/31/20(b)

      2,037,478       5,315,004  
    

 

 

  

Consumer Discretionary – 0.1%

     

Specialty Retail – 0.1%

     

Mobile World Investment Corp., Macquarie Bank Ltd., expiring 3/29/19(b)

      338,990       1,680,905  
    

 

 

  

Total Warrants
(cost $12,034,888)

        14,299,580  
    

 

 

  
     Principal
Amount
(000)		        

SHORT-TERM INVESTMENTS – 0.6%

     

Repurchase Agreements – 0.6%

     

State Street Bank & Trust Co.
0.28%, dated 3/29/18 due 4/02/18 in the amount of $9,345,687 (collateralized by $9,270,000 U.S. Treasury Notes, 3.625%, due 2/15/20, value $9,534,890)
(cost $9,345,396)

    $     9,345       9,345,396  
    

 

 

  

Total Investments – 99.4%
(cost $1,266,450,619)

        1,566,148,880 (f) 

Other assets less liabilities – 0.6%

        9,824,925  
    

 

 

  

Net Assets – 100.0%

      $ 1,575,973,805  
    

 

 

  

 

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Table of Contents

 

PORTFOLIO OF INVESTMENTS (continued)

EMERGING MARKETS PORTFOLIO

 

FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3)

 

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

Bank of America, NA

   BRL     15,929       USD       4,792       4/03/18     $ (32,443 ) 

Bank of America, NA

   USD     4,900       BRL       15,929       4/03/18       (74,873 ) 

Bank of America, NA

   RUB     372,312       USD       6,522       4/17/18       35,287  

Bank of America, NA

   USD     7,180       RUB       408,475       4/17/18       (63,241 ) 

Bank of America, NA

   KRW     12,338,456       USD       11,627       4/26/18       6,522  

Barclays Bank PLC

   BRL     55,621       USD       16,840       4/03/18       (7,906 ) 

Barclays Bank PLC

   USD     16,734       BRL       55,621       4/03/18       113,286  

Barclays Bank PLC

   RUB     2,369,617       USD       41,417       4/17/18       131,719  

Barclays Bank PLC

   USD     11,432       KRW       12,338,456       4/26/18       188,060  

Barclays Bank PLC

   USD     16,792       BRL       55,621       5/03/18       14,461  

Barclays Bank PLC

   USD     3,138       MXN       59,275       5/15/18       101,462  

Barclays Bank PLC

   USD     11,278       ZAR       133,614       5/15/18       (56,390 ) 

Barclays Bank PLC

   INR     152,884       USD       2,335       5/17/18       (3,116 ) 

Barclays Bank PLC

   USD     12,305       MYR       48,369       7/12/18       204,270  

BNP Paribas SA

   CLP     2,363,979       USD       3,924       4/19/18       9,415  

Citibank, NA

   BRL     39,692       USD       11,942       4/03/18       (80,843 ) 

Citibank, NA

   USD     12,190       BRL       39,692       4/03/18       (167,073 ) 

Citibank, NA

   ARS     260,643       USD       12,659       4/19/18       (185,268 ) 

Citibank, NA

   USD     12,702       ARS       260,643       4/19/18       142,085  

Citibank, NA

   USD     5,598       COP       15,847,518       4/19/18       72,734  

Citibank, NA

   HKD     25,001       USD       3,203       5/15/18       12,455  

Citibank, NA

   TRY     15,883       USD       3,980       5/15/18       5,206  

Citibank, NA

   USD     7,609       HKD       59,380       5/15/18       (32,013 ) 

Citibank, NA

   USD     19,031       MXN       363,477       5/15/18       832,999  

Citibank, NA

   USD     16,830       ZAR       206,807       5/15/18       539,158  

Citibank, NA

   INR     318,283       USD       4,847       5/17/18       (21,294 ) 

Citibank, NA

   USD     9,001       TWD       259,955       6/07/18       (10,772 ) 

Deutsche Bank AG

   PEN     21,316       USD       6,549       4/19/18       (54,904 ) 

Deutsche Bank AG

   USD     18,875       CLP       11,341,041       4/19/18       (93,733 ) 

Deutsche Bank AG

   USD     2,964       IDR       39,674,063       4/23/18       (76,509 ) 

Goldman Sachs Bank USA

   IDR     39,674,063       USD       2,881       4/23/18       (6,439 ) 

HSBC Bank USA

   USD     2,425       MXN       45,922       5/15/18       84,576  

HSBC Bank USA

   ZAR     48,622       USD       4,070       5/15/18       (13,169 ) 

JPMorgan Chase Bank, NA

   USD     11,479       KRW       12,319,518       4/26/18       123,437  

Morgan Stanley & Co., Inc.

   HKD     56,731       USD       7,272       5/15/18       32,789  

Royal Bank of Scotland PLC

   USD     2,402       MXN       46,106       5/15/18       117,513  

Societe Generale

   HKD     423,677       USD       54,303       5/15/18       242,018  

State Street Bank & Trust Co.

   HKD     25,510       USD       3,259       5/15/18       3,967  

State Street Bank & Trust Co.

   THB     302,820       USD       9,712       5/15/18       14,453  

State Street Bank & Trust Co.

   TRY     24,862       USD       6,400       5/15/18       178,126  

State Street Bank & Trust Co.

   USD     4,470       EUR       3,621       5/15/18       (1,803 ) 

State Street Bank & Trust Co.

   USD     9,555       THB       302,820       5/15/18       142,329  
           

 

 

  
            $     2,366,538  
           

 

 

  

 

(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 March 31, 2018, the aggregate market value of these securities amounted to $89,678,004 or 5.7% of net assets.

 

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PORTFOLIO OF INVESTMENTS (continued)

EMERGING MARKETS PORTFOLIO

 

 

(b) Non-income producing security.

 

(c) Fair valued by the Adviser.

 

(d) Illiquid security.

 

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

 

(f) On March 30, 2018, the Portfolio and U.S. stock exchanges were closed for business due to a U.S. holiday but the foreign markets remained open for trading. The Portfolio valued its foreign securities using the closing market prices from the respective foreign markets as of March 29, 2018 for financial reporting purposes.

Currency Abbreviations:

ARS – Argentine Peso

BRL – Brazilian Real

CLP – Chilean Peso

COP – Colombian Peso

EUR – Euro

HKD – Hong Kong Dollar

IDR – Indonesian Rupiah

INR – Indian Rupee

KRW – South Korean Won

MXN – Mexican Peso

MYR – Malaysian Ringgit

PEN – Peruvian Sol

RUB – Russian Ruble

THB – Thailand Baht

TRY – Turkish Lira

TWD – New Taiwan Dollar

USD – United States Dollar

ZAR – South African Rand

Glossary:

ADR – American Depositary Receipt

GDR – Global Depositary Receipt

JSC – Joint Stock Company

PJSC – Public Joint Stock Company

See notes to financial statements.

 

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STATEMENT OF ASSETS AND LIABILITIES

March 31, 2018 (unaudited)

 

    International
Portfolio		     Tax-Managed
International
Portfolio		     Emerging
Markets
Portfolio		  
Assets      

Investments in securities, at value

   $ 1,603,537,887     $ 3,729,708,803     $ 1,566,148,880  

Foreign currencies, at value(a)

     4,037,115       10,999,538       5,193,757  

Cash

     – 0  –      390,413       – 0  – 

Cash collateral due from broker

     2,255,050       4,522,100       610,000  

Receivables:

      

Dividends and interest

     4,730,582       11,281,403       3,315,605  

Foreign withholding tax reclaims

     1,840,678       4,589,370       59,923  

Investment securities sold and foreign currency transactions

     11,369,256       25,958,183       13,040,898  

Capital shares sold

     425,812       1,115,128       621,939  

Variation margin on futures

     114,839       479,052       – 0  – 

Unrealized appreciation of forward currency exchange contracts

     2,500,952       26,326,295       3,348,327  
 

 

 

    

 

 

    

 

 

  

Total assets

     1,630,812,171       3,815,370,285       1,592,339,329  
 

 

 

    

 

 

    

 

 

  
Liabilities      

Cash collateral due to broker

     795,000       2,984,000       – 0  – 

Payables:

      

Investment securities purchased and foreign currency transactions

     8,519,032       20,493,316       9,703,157  

Foreign capital gains taxes

     1,183,661       2,597,501       2,858,596  

Capital shares redeemed

     1,345,335       2,759,968       1,038,315  

Management fee

     1,070,953       2,384,999       1,328,690  

Shareholder servicing fee

     278,332       730,405       305,170  

Transfer Agent fee

     22,769       34,868       43,254  

Distribution fee

     6,026       702       – 0  – 

Accrued expenses and other liabilities

     62,092       78,533       106,553  

Unrealized depreciation of forward currency exchange contracts

     4,934,690       17,711,602       981,789  
 

 

 

    

 

 

    

 

 

  

Total liabilities

     18,217,890       49,775,894       16,365,524  
 

 

 

    

 

 

    

 

 

  

Net Assets

   $ 1,612,594,281     $ 3,765,594,391     $ 1,575,973,805  
 

 

 

    

 

 

    

 

 

  

Cost of investments

   $     1,381,152,417     $     3,272,192,378     $     1,266,450,619  
 

 

 

    

 

 

    

 

 

  

 

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STATEMENT OF ASSETS AND LIABILITIES (continued)

 

    International
Portfolio		     Tax-Managed
International
Portfolio		     Emerging
Markets
Portfolio		  
Net Assets Consist of:  

Capital stock, at par

   $ 87,369     $ 203,698     $ 46,852  

Additional paid-in capital

     2,236,407,253       4,881,025,521       1,213,041,274  

Undistributed net investment income/(distributions in excess of net investment income)

     3,796,711       9,517,693       (2,634,232 ) 

Accumulated net realized gain (loss) on investment and foreign currency transactions

     (846,486,461 )      (1,588,615,112 )      64,973,213  

Net unrealized appreciation/depreciation of:

      

Investments and futures transactions(b)

     221,109,288       454,578,383       298,114,737  

Foreign currency denominated assets and liabilities

     (2,319,879 )      8,884,208       2,431,961  
 

 

 

    

 

 

    

 

 

  
  $     1,612,594,281     $     3,765,594,391     $     1,575,973,805  
 

 

 

    

 

 

    

 

 

  

 

(a) Cost: $4,057,713, $11,037,341 and $5,172,046, respectively. (Note 1)

 

(b) Net of accrued foreign capital gains taxes of $1,183,661, $2,597,501 and $1,583,524.

See notes to financial statements.

 

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STATEMENT OF ASSETS AND LIABILITIES (continued)

 

    International
Portfolio		     Tax-Managed
International
Portfolio		     Emerging
Markets
Portfolio		  
Calculation of Maximum Offering Price      

International Class/Tax-Managed International Class/Emerging Markets Class Shares

      

Net Assets

   $     1,250,098,318     $     3,298,822,224     $     1,374,661,723  

Shares of capital stock outstanding

     67,494,715       178,128,383       40,868,322  
 

 

 

    

 

 

    

 

 

  

Net asset value, offering and redemption price per share

   $ 18.52     $ 18.52     $ 33.64  
 

 

 

    

 

 

    

 

 

  

Class A Shares

      

Net Assets

   $ 24,254,007     $ 2,553,974    

Shares of capital stock outstanding

     1,331,265       139,894    
 

 

 

    

 

 

    

Net asset value and redemption price per share

   $ 18.22     $ 18.26    

Sales charge – 4.25% of public offering price

     0.81       0.81    
 

 

 

    

 

 

    

Maximum offering price

   $ 19.03     $ 19.07    
 

 

 

    

 

 

    

Class B Shares

      

Net Assets

   $ 4,132     $ 5,063    

Shares of capital stock outstanding

     221.24       273.29    
 

 

 

    

 

 

    

Net asset value and offering price per share

   $ 18.68     $ 18.53    
 

 

 

    

 

 

    

Class C Shares

      

Net Assets

   $ 828,894     $ 185,696    

Shares of capital stock outstanding

     45,100       10,078    
 

 

 

    

 

 

    

Net asset value and offering price per share

   $ 18.38     $ 18.43    
 

 

 

    

 

 

    

Class Z Shares

      

Net Assets

   $ 337,408,930     $ 464,027,434     $ 201,312,082  

Shares of capital stock outstanding

     18,497,667       25,419,320       5,983,926  
 

 

 

    

 

 

    

 

 

  

Net asset value and offering price per share

   $ 18.24     $ 18.25     $ 33.64  
 

 

 

    

 

 

    

 

 

  

See notes to financial statements.

 

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STATEMENT OF OPERATIONS

For the six months ended March 31, 2018 (unaudited)

 

     International
Portfolio		     Tax-Managed
International
Portfolio		     Emerging
Markets
Portfolio		  
Investment Income       

Income:

       

Interest

    $ 27,348     $ 71,219     $ – 0  – 

Dividends(a)

          13,074,867           30,176,944       9,754,638  

Other income

      1,592       3,648       1,543  
  

 

 

    

 

 

    

 

 

  

Total income

      13,103,807       30,251,811       9,756,181  
  

 

 

    

 

 

    

 

 

  
Expenses:       

Management fee
(see Note 2A)

      6,815,785       14,987,333       8,152,119  

Shareholder servicing fee
(see Note 2B)

      1,631,928       4,186,718       1,721,619  

Custodian fee

      203,723       285,820       299,532  

Transfer Agent fee – Non-Retail Class

      61,408       93,597       142,382  

Transfer Agent fee – Class A

      9,168       1,980       – 0  – 

Transfer Agent fee – Class B

      11       10       – 0  – 

Transfer Agent fee – Class C

      349       170       – 0  – 

Transfer Agent fee – Advisor Class

      – 0  –      – 0  –      – 0  – 

Transfer Agent fee – Class Z

      32,661       43,394       19,173  

Distribution fees – Class A

      29,514       2,632       – 0  – 

Distribution fees – Class B

      31       27       – 0  – 

Distribution fees – Class C

      3,974       884       – 0  – 

Directors’ fees and expenses

      27,152       61,889       25,535  

Auditing and tax fees

      26,607       55,028       20,616  

Registration fees

      34,346       33,291       17,856  

Printing fees

      27,316       24,949       28,304  

Legal fees

      14,557       34,389       13,172  

Miscellaneous

      35,055       50,593       29,447  
  

 

 

    

 

 

    

 

 

  

Total expenses

      8,953,585       19,862,704       10,469,755  

Less: expenses waived and reimbursed by the Adviser
(see Note 2A and 2B)

      (231,550 )      (472,491 )      (96,043 ) 
  

 

 

    

 

 

    

 

 

  

Net expenses

      8,722,035       19,390,213           10,373,712  
  

 

 

    

 

 

    

 

 

  

Net investment income (loss)

      4,381,772       10,861,598       (617,531 ) 
  

 

 

    

 

 

    

 

 

  

 

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STATEMENT OF OPERATIONS (continued)

 

    International
Portfolio		     Tax-Managed
International
Portfolio		     Emerging
Markets
Portfolio		  
Realized and Unrealized Gain (loss) on Investment and Foreign Currency Transactions      

Net realized gain (loss) on:

      

Investment transactions(b)

   $ 71,086,359     $ 140,635,689     $ 84,414,704  

Forward currency exchange contracts

     (3,324,838 )      (13,244,658 )      603,987  

Futures

     708,209       2,591,292       – 0  – 

Swaps

     – 0  –      – 0  –      – 0  – 

Foreign currency transactions

     195,127       (49,580 )      489,214  
 

 

 

    

 

 

    

 

 

  

Net realized gain (loss) on investment and foreign currency transactions

     68,664,857       129,932,743       85,507,905  
 

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation/depreciation of:

      

Investments(c)

     (13,196,569 )      (12,476,888 )      38,526,224  

Forward currency exchange contracts

     (3,233,123 )      (32,150 )      2,324,236  

Futures

     (123,665 )      (384,872 )      – 0  – 

Swaps

     – 0  –      – 0  –      – 0  – 

Foreign currency denominated assets and liabilities

     67,584       171,558       98,047  
 

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities

         (16,485,773 )          (12,722,352 )      40,948,507  
 

 

 

    

 

 

    

 

 

  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     52,179,084       117,210,391       126,456,412  
 

 

 

    

 

 

    

 

 

  

Contributions from affiliates
(see Note 2A)

     – 0  –      – 0  –      31,039  
 

 

 

    

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

   $ 56,560,856     $ 128,071,989     $     125,869,920  
 

 

 

    

 

 

    

 

 

  

 

(a) Net of foreign withholding taxes of $1,443,720, $3,383,268 and $1,326,932 for the International Portfolio, Tax-Managed International Portfolio, and Emerging Markets Portfolio, respectively.

 

(b) Net of foreign capital gains taxes of $117,592, $262,505 and $62,535 for the International Portfolio, Tax-Managed International Portfolio, and Emerging Markets Portfolio, respectively.

 

(c) Net of increase/(decrease) in accrued foreign capital gain taxes of $595,240, $1,347,204, $(1,972,195) for the International Portfolio, Tax-Managed International Portfolio, and Emerging Markets Portfolio, respectively.

See notes to financial statements.

 

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STATEMENT OF CHANGES IN NET ASSETS

 

     International Portfolio  
     Six Months Ended
3/31/18
(unaudited)		     Year Ended
9/30/17		  
Increase (Decrease) in Net Assets from Operations:     

Net investment income

    $ 4,381,772     $ 20,576,512  

Net realized gain on investment and foreign currency transactions

      68,664,857       104,279,908  

Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities

      (16,485,773 )      123,186,326  
  

 

 

    

 

 

  

Net increase in net assets resulting from operations

      56,560,856       248,042,746  
Dividends to shareholders:     

Dividends from net investment income

     

International Class Shares

      (14,325,300 )      (22,632,899 ) 

Class A

      (281,507 )      (63,772 ) 

Class B

      – 0  –      (134 ) 

Class C

      – 0  –      (13,155 ) 

Class Z

      (4,358,244 )      (3,168,395 ) 
  

 

 

    

 

 

  

Total dividends to shareholders

      (18,965,051 )      (25,878,355 ) 
  

 

 

    

 

 

  
Capital-share transactions:  

Net proceeds from sales of shares

      72,816,147       287,597,234  

Net proceeds from sales of shares issued to shareholders on reinvestment of dividends and distributions

      17,145,634       23,149,102  
  

 

 

    

 

 

  

Total proceeds from shares sold

      89,961,781       310,746,336  

Cost of shares redeemed

      (172,084,489 )      (397,362,403 ) 
  

 

 

    

 

 

  

Net decrease in net assets from capital-share transactions

      (82,122,708 )      (86,616,067 ) 
  

 

 

    

 

 

  

Net increase (decrease) in net assets

      (44,526,903 )      135,548,324  
Net Assets:  

Beginning of period

      1,657,121,184       1,521,572,860  
  

 

 

    

 

 

  

End of period(a)

    $     1,612,594,281     $     1,657,121,184  
  

 

 

    

 

 

  

(a) Includes undistributed net investment income

    $ 3,796,711     $ 18,379,990  
  

 

 

    

 

 

  

See notes to financial statements.

 

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STATEMENT OF CHANGES IN NET ASSETS (continued)

 

     Tax-Managed International Portfolio  
     Six Months
Ended 3/31/18
(unaudited)		     Year Ended
9/30/17		  
Increase (Decrease) in Net Assets from Operations:     

Net investment income

    $ 10,861,598     $ 50,458,101  

Net realized gain on investment and foreign currency transactions

      129,932,743       305,647,550  

Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities

      (12,722,352 )      218,766,215  
  

 

 

    

 

 

  

Net increase in net assets resulting from operations

      128,071,989       574,871,866  
Dividends to shareholders:     

Dividends from net investment income

     

Tax-Managed International Class

      (44,003,206 )      (54,948,127 ) 

Class A

      (24,488 )      (26,996 ) 

Class B

      (17 )      (46 ) 

Class C

      – 0  –      (3,206 ) 

Class Z

      (6,571,034 )      (6,750,440 ) 
  

 

 

    

 

 

  

Total dividends to shareholders

      (50,598,745 )      (61,728,815 ) 
  

 

 

    

 

 

  
Capital-share transactions:     

Net proceeds from sales of shares

      161,410,808       332,781,289  

Net proceeds from sales of shares issued to shareholders on reinvestment of dividends and distributions

      41,956,974       50,654,235  
  

 

 

    

 

 

  

Total proceeds from shares sold

      203,367,782       383,435,524  

Cost of shares redeemed

      (212,228,738 )      (787,378,472 ) 
  

 

 

    

 

 

  

Net decrease in net assets from capital-share transactions

      (8,860,956 )      (403,942,948 ) 
  

 

 

    

 

 

  

Net increase in net assets

      68,612,288       109,200,103  
Net Assets:     

Beginning of period

      3,696,982,103       3,587,782,000  
  

 

 

    

 

 

  

End of period(a)

    $     3,765,594,391     $     3,696,982,103  
  

 

 

    

 

 

  

(a) Includes undistributed net investment income

    $ 9,517,693     $ 49,254,840  
  

 

 

    

 

 

  

See notes to financial statements.

 

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STATEMENT OF CHANGES IN NET ASSETS (continued)

 

     Emerging Markets Portfolio  
     Six Months
Ended 3/31/18
(unaudited)		     Year Ended
9/30/17		  
Increase (Decrease) in Net Assets from Operations:     

Net investment income (loss)

    $ (617,531 )    $ 9,765,289  

Net realized gain on investment and foreign currency transactions

      85,507,905       123,757,236  

Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities

      40,948,507       120,141,379  

Contributions from affiliates
(see Note 2A)

      31,039       52,505  
  

 

 

    

 

 

  

Net increase in net assets resulting from operations

      125,869,920       253,716,409  
Dividends and distributions to shareholders:     

Dividends from net investment income Emerging Markets Class

      (7,273,208 )      (6,719,437 ) 

Class Z

      (1,536,559 )      (1,038,554 ) 

Distributions from net realized gain on investment transactions Emerging Markets Class

      (2,782,034 )      – 0  – 

Class Z

      (379,460 )      – 0  – 
  

 

 

    

 

 

  

Total dividends and distributions to shareholders

      (11,971,261 )      (7,757,991 ) 
  

 

 

    

 

 

  
Capital-share transactions:  

Net proceeds from sales of shares

      88,955,680       234,666,601  

Net proceeds from sales of shares issued to shareholders on reinvestment of dividends and distributions

      10,565,975       5,946,621  
  

 

 

    

 

 

  

Total proceeds from shares sold

      99,521,655       240,613,222  

Cost of shares redeemed

      (123,515,912 )      (338,833,172 ) 
  

 

 

    

 

 

  

Net decrease in net assets from capital-share transactions

      (23,994,257 )      (98,219,950 ) 
  

 

 

    

 

 

  

Net increase in net assets

      89,904,402       147,738,468  
Net Assets:  

Beginning of period

      1,486,069,403       1,338,330,935  
  

 

 

    

 

 

  

End of period(a)

    $     1,575,973,805     $     1,486,069,403  
  

 

 

    

 

 

  

(a) Includes undistributed net investment income/(distributions in excess of net investment income) of:

    $ (2,634,232 )    $ 6,793,066  
  

 

 

    

 

 

  

See notes to financial statements.

 

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NOTES TO FINANCIAL STATEMENTS

March 31, 2018 (unaudited)

 

NOTE 1.

Organization and Significant Accounting Policies

The Class A, B, C and Z shares (collectively, the “AB International Retail Class shares”) of AB International Portfolio and Tax-Managed International Portfolio and the Class Z shares Emerging Markets Portfolio are shares of the International Portfolio, Tax-Managed International Portfolio and Emerging Markets Portfolio (the “Portfolios”), respectively, of the Sanford C. Bernstein Fund, Inc. (the “Fund”). The Fund is a managed open-end registered investment company incorporated in Maryland on May 4, 1988. The Fund operates as a series company currently comprised of 15 portfolios each with its own investment objective. Class Z shares are currently offered exclusively to registered investment companies (or their series) managed by AllianceBernstein L.P. (the “Adviser”). Class R shares for the International Portfolio have been authorized but currently are not offered. Class A shares of the Portfolios are sold with a front-end sales charge of up to 4.25% for purchases not exceeding $1,000,000. With respect to purchases of $1,000,000 or more, Class A shares redeemed within one year of purchase may be subject to a contingent deferred sales charge of 1%. Class B shares are currently sold with a contingent deferred sales charge which declines from 4% to zero depending on the period of time the shares are held. The ability to establish a new Program for accounts containing Class B shares was suspended as of January 31, 2009. Class B shares will automatically convert to Class A shares eight years after the end of the calendar month of purchase. Class C shares are subject to a contingent deferred sales charge of 1% on redemptions made within the first year after purchase, and 0% after the first year of purchase. Effective April 10, 2017, Class C shares will automatically convert to Class A shares ten years after the end of the calendar month of purchase. These financial statements include only the AB International Retail Class shares. The financial highlights of the International, Tax-Managed International and Emerging Markets Class shares are presented in a separate financial report. All classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan, as applicable. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. Each Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Portfolios.

 

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A. Portfolio Valuation

Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Fund’s Board of Directors (the “Board”).

In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, the Adviser will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Such factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.

 

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Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Portfolios may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Portfolios value their securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolios generally value many of their foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.

B. Fair Value Measurements

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolios 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 value as described in Note 1.A above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolios. Unobservable inputs reflect the Portfolios’ 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 Portfolios’ own assumptions in determining the fair value of investments)

Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and

 

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comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.

The following tables summarize the valuation of the Portfolios’ investments by the above fair value hierarchy levels as of March 31, 2018:

 

International Portfolio  
Investments in
Securities:		   Level 1     Level 2     Level 3     Total  

Assets:

        

Common Stocks:

        

Financials

   $ 22,278,144     $ 306,681,164     $ – 0  –    $ 328,959,308  

Consumer Discretionary

     30,628,693       202,271,366       – 0  –      232,900,059  

Information Technology

     18,426,797       210,234,593    

 

– 0

 – 

     228,661,390  

Consumer Staples

     17,437,546       170,809,632       – 0  –      188,247,178  

Industrials

     8,852,790       166,051,076       – 0  –      174,903,866  

Health Care

     16,885,666       88,241,632       – 0  –      105,127,298  

Telecommunication Services

     – 0  –      99,195,214       – 0  –      99,195,214  

Materials

     14,078,705       84,541,126       – 0  –      98,619,831  

Energy

     14,352,635       65,099,524       – 0  –      79,452,159  

Utilities

     5,510,609       19,235,119       – 0  –      24,745,728  

Real Estate

     – 0  –      6,421,840       – 0  –      6,421,840  

Short-Term Investments

     36,304,016       – 0  –      – 0  –      36,304,016  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

     184,755,601       1,418,782,286 (a)       – 0  –      1,603,537,887  

Other Financial Instruments(b):

        

Assets:

        

Forward Currency Exchange Contracts

     – 0  –      2,500,952       – 0  –      2,500,952  

Liabilities:

        

Futures

     (92,521 )      – 0  –      – 0  –      (92,521 )(c)  

Forward Currency Exchange Contracts

     – 0  –      (4,934,690 )      – 0  –      (4,934,690 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Total(d)(e)(f)

  $     184,663,080     $     1,416,348,548     $     – 0  –    $     1,601,011,628  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

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Tax-Managed International Portfolio  
Investments in
Securities:		   Level 1     Level 2     Level 3     Total  

Assets:

        

Common Stocks:

        

Financials

   $ 51,864,962     $ 716,827,217     $ – 0  –    $ 768,692,179  

Consumer Discretionary

     71,570,760       470,643,263       – 0  –      542,214,023  

Information Technology

     42,382,580       490,630,694       – 0  –      533,013,274  

Consumer Staples

     40,154,767       395,835,047       – 0  –      435,989,814  

Industrials

     20,350,201       386,993,571       – 0  –      407,343,772  

Health Care

     39,471,182       205,299,297       – 0  –      244,770,479  

Telecommunication Services

     – 0  –      233,138,568       – 0  –      233,138,568  

Materials

     33,631,080       195,672,679       – 0  –      229,303,759  

Energy

     32,283,002       151,837,608       – 0  –      184,120,610  

Utilities

     12,573,264       44,719,347       – 0  –      57,292,611  

Real Estate

     – 0  –      14,832,784       – 0  –      14,832,784  

Short-Term Investments

     78,996,930       – 0  –      – 0  –      78,996,930  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

         423,278,728           3,306,430,075 (a)      – 0  –          3,729,708,803  

Other Financial Instruments(b):

        

Assets:

        

Forward Currency Exchange Contracts

     – 0  –      26,326,295       – 0  –      26,326,295  

Liabilities:

        

Futures

     (340,541 )      – 0  –      – 0  –      (340,541 )(c)  

Forward Currency Exchange Contracts

     – 0  –      (17,711,602 )      – 0  –      (17,711,602 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Total(f)(g)(h)

  $ 422,938,187     $ 3,315,044,768     $     – 0  –    $ 3,737,982,955  
 

 

 

    

 

 

    

 

 

    

 

 

  
Emerging Markets Portfolio  
Investments in
Securities:		   Level 1     Level 2     Level 3     Total  

Assets:

        

Common Stocks:

        

Financials

   $ 73,691,725     $ 402,934,283     $ – 0  –    $ 476,626,008  

Information Technology

     80,875,658       309,249,715       – 0  –      390,125,373  

Consumer Discretionary

     54,372,195       113,742,923       – 0  –      168,115,118  

Energy

     90,720,396       19,478,421       – 0  –      110,198,817  

Materials

     16,622,017       89,962,358       0 (i)       106,584,375  

Industrials

     24,300,519       58,844,362       – 0  –      83,144,881  

Consumer Staples

     7,266,992       57,331,673       – 0  –      64,598,665  

Health Care

     6,860,952       52,195,559       – 0  –      59,056,511  

 

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Investments in
Securities:		   Level 1     Level 2     Level 3     Total  

Telecommunication Services

   $ 1,512,584     $ 40,309,108     $ – 0  –    $ 41,821,692  

Real Estate

     103,668       24,886,403       – 0  –      24,990,071  

Utilities

     17,242,393       – 0  –      – 0  –      17,242,393  

Warrants

     – 0  –      14,299,580       – 0  –      14,299,580  

Short-Term Investments

     9,345,396       – 0  –      – 0  –      9,345,396  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

     382,914,495       1,183,234,385 (a)       – 0  –      1,566,148,880  

Other Financial Instruments(b):

        

Assets:

        

Forward Currency Exchange Contracts

     – 0  –      3,348,327       – 0  –      3,348,327  

Liabilities:

        

Forward Currency Exchange Contracts

     – 0  –      (981,789 )      – 0  –      (981,789 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Total(f)(j)(k)

  $     382,914,495     $     1,185,600,923     $     – 0  –    $     1,568,515,418  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) A significant portion of the Portfolio’s foreign equity investments are categorized as Level 2 investments since they are valued using fair value prices based on third party vendor modeling tools to the extent available, see Note 1.A.

 

(b) 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.

 

(c) Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the schedule of investments. Centrally cleared swaps with upfront premiums are presented here at market value.

 

(d) An amount of $18,280,514 was transferred from Level 1 to Level 2 due to decrease in trading volume during the reporting period.

 

(e) An amount of $25,718,830 was transferred from Level 1 to Level 2 due to the above mentioned foreign equity fair valuation using third party vendor modeling tools during the reporting period.

 

(f) There were de minimis transfers under 1% of net assets from Level 2 to Level 1 during the reporting period.

 

(g) An amount of $41,251,912 was transferred from Level 1 to Level 2 due to decrease in trading volume during the reporting period.

 

(h) An amount of $56,277,981 was transferred from Level 1 to Level 2 due to the above mentioned foreign equity fair valuation using third party vendor modelling tools during the reporting period.

 

(i) The Portfolio held securities with zero market value at period end.

 

(j) An amount of $29,761,609 was transferred from Level 1 to Level 2 due to the above mentioned foreign equity fair valuation using third party vendor modeling tools during the reporting period.

 

(k) An amount of $25,893,769 was transferred from Level 1 to Level 2 due to decrease in trading volume during the reporting period.

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

 

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

 

Emerging Markets Portfolio

    Common  Stocks(a)     Total  

Balance as of 9/30/17

    $ – 0  –    $ – 0  – 

Accrued discounts/(premiums)

      – 0  –      – 0  – 

Realized gain (loss)

      – 0  –      – 0  – 

Change in unrealized appreciation/depreciation

      – 0  –      – 0  – 

Purchases

      – 0  –      – 0  – 

Sales

      – 0  –      – 0  – 

Transfers in to Level 3

      – 0  –      – 0  – 

Transfers out of Level 3

      – 0  –      – 0  – 
  

 

 

    

 

 

  

Balance as of 3/31/18

    $     – 0  –    $     – 0  – 
  

 

 

    

 

 

  

Net change in unrealized appreciation/depreciation from investments held as of 3/31/18(b)

   $ – 0  –    $ – 0  – 
  

 

 

    

 

 

  

 

(a) The Portfolio held securities with zero market value at period end.

 

(b) The unrealized appreciation/depreciation is included in net change in unrealized appreciation/depreciation on investments and other financial instruments in the accompanying statement of operations.

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

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

 

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

C. Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Prices of securities and other assets and liabilities denominated in non-U.S. currencies are translated into U.S. dollars using the exchange rate at 4:00 p.m., Eastern Time. Amounts related to the purchases and sales of securities, investment income and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions.

Net realized gain or loss on foreign currency transactions represents net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on security transactions and the difference between the amount of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent amount actually received or paid. Net unrealized currency gains and losses arising from valuing foreign currency denominated assets and liabilities, other than security investments, at the current exchange rate are reflected as part of unrealized appreciation/depreciation on foreign currencies.

The Portfolios do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of securities held at period end. The Portfolios do isolate the effect of changes in foreign exchange rates from changes in market prices of securities sold during the year, as required by the Internal Revenue Code.

The Portfolios may invest in foreign securities and foreign currency transactions that may involve risks not associated with domestic investments as a result of the level of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability, among others.

D. Taxes

Each Portfolio is treated as a separate entity for federal income tax purposes. Each Portfolio intends to continue to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986 as they apply to regulated investment companies. By so complying, each Portfolio will not be subject to federal and state income taxes to the extent that all of its

 

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income is distributed. The Portfolios may be subject to taxes imposed by countries in which they invest. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned based on management’s understanding of applicable local tax law.

In consideration of recent decisions rendered by the European courts, International Portfolio and Tax-Managed International Portfolio filed reclaims to recover taxes withheld on dividends earned from certain European Union countries during calendar years 2008 through 2010. These filing are subject to various administrative and judicial proceedings within these countries. No amounts for additional tax reclaims are disclosed in the financial statements due to the uncertainty as to the ultimate resolution of proceedings, the likelihood of receipt of these reclaims, and the potential timing of payment.

In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Portfolios’ tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Portfolios’ financial statements. As of March 31, 2018, the Portfolios did not have any unrecognized tax benefits.

E. Security Transactions and Related Investment Income

Security transactions are accounted for on the trade date (the date the buy or sell order is executed). Securities gains and losses are calculated on the identified cost basis. Interest income is recorded on the accrual basis and dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. The Portfolios amortize premiums and accrete discounts as adjustments to interest income.

F. Securities Transactions on a When-Issued or Delayed-Delivery Basis

Each Portfolio may purchase securities on a when-issued basis or purchase or sell securities on a delayed-delivery basis. At the time a Portfolio commits to purchase a security on a when-issued or delayed-delivery basis, the Portfolio will record the transaction and use the security’s value in determining the Portfolio’s net asset value. At the time a Portfolio commits to sell a security on a delayed-delivery basis, the Portfolio will record the transaction and exclude the security’s value in determining the Portfolio’s net asset value.

 

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G. Class Allocations

All income earned and expenses incurred by the Portfolios are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Portfolio represented by the shares of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Fund are charged proportionately to each Portfolio or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.

H. Distribution of Income and Gains

Dividends from net investment income, if any, will be paid to shareholders at least once a year. Distributions of net realized gains, less any available loss carryforwards, if any, will be paid to shareholders at least once a year, and recorded on the ex-dividend date.

Elements of realized gains and net investment income may be recorded in different accounting periods for financial reporting (book) and federal income tax (tax) purposes (temporary differences). To the extent that such distributions required for tax purposes exceed income and gains recorded for book purposes as a result of such temporary differences, “excess distributions” are reflected in the accompanying statement of assets and liabilities. To the extent distributions exceed income and gains for tax purposes, such distributions would be shown as “return of capital” on the statement of changes in net assets. Certain other differences—permanent differences—arise because treatment of elements of income and gains is different between book and tax accounting. Permanent differences are reclassified in the year they arise.

I. Repurchase Agreements

Each Portfolio may enter into repurchase agreements with banks or securities broker-dealers. It is the Fund’s policy that its custodian receives delivery of the securities collateralizing repurchase agreements, the amount of which at the time of purchase and each subsequent business day is required to be maintained at such a level that the market value of the collateral is equal to at least 100% of the repurchase price. Repurchase agreements could involve certain risks in the event of default or insolvency of the other party, including possible delays or restrictions on the Portfolios’ ability to dispose of the underlying securities.

NOTE 2.

Investment Management and Transactions with Affiliated Persons

A. Management Fee

Under the Investment Management Agreement between the Fund and the Adviser, the Adviser manages the investment of each Portfolio’s assets,

 

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places purchase and sale orders, and bears various expenses, including the salaries and expenses of all personnel except those of outside directors. In addition, the Adviser agrees to permit its directors, officers and employees who may be elected directors or officers of the Fund to serve in the capacities to which they are elected. The Adviser renders these services subject to the general oversight of the Board.

The International Portfolios pay the Adviser an investment management fee at an annual rate of .75% of the first $2.5 billion, .65% of the next $2.5 billion and .60% in excess of the $5 billion of the average daily net assets of the Portfolio. Prior to January 1, 2018, the management fee for the International Portfolio was .925% of the first $1 billion, .85% of the next $3 billion, .80% of the next $2 billion, .75% of the next $2 billion and .65% in excess of $8 billion of the average daily net assets of the Portfolio. Prior to January 1, 2018, the management fee for the Tax Managed International Portfolio was .925% of the first $1 billion, .85% of the next $3 billion, .80% of the next $2 billion, .75% of the next $2 billion, .65% of the next $2 billion and .60% in excess of $10 billion of the average daily net assets of the Portfolio. The Emerging Markets Portfolio pays the Adviser an investment management fee at an annual rate of .95% of the first $2.5 billion, .90% of the next $2.5 billion and .85% in excess of the $5 billion of the average daily net assets of the Portfolio. Prior to January 1, 2018, the management fee was 1.175% of the first $1 billion, 1.050% of the next $1 billion, 1.00% of the next $1 billion, .90% of the next $3 billion, and .85% in excess of $6 billion of the average daily net assets of the Portfolio.

Prior to January 1, 2018, the Adviser voluntarily waived the annual investment management fees of the International Portfolio and Tax-Managed International Portfolio by an amount equal to .05% per annum of the respective net assets of the Portfolios. Prior to January 1, 2018, the Adviser voluntarily waived the annual investment management fees of the Emerging Markets Portfolio by an amount equal to .025% per annum of the respective average net assets. For the six months ended March 31, 2018, such waivers amounted to $207,310, $467,064 and $96,043 for the International Portfolio, Tax-Managed International Portfolio and Emerging Markets Portfolio, respectively.

Prior to January 27, 2018, the Adviser agreed to bear certain expenses to the extent necessary to limit the total operating expenses on an annual basis (the “Expense Cap”) to 1.20%, 1.95%, 1.95% and .95% of average daily net assets for Class A, Class B, Class C and Class Z shares, respectively, for the International Portfolio and Tax-Managed International Portfolio and 1.25% for Class Z shares, for the Emerging Markets Portfolio. For the six months ended March 31, 2018, there was no such reimbursement.

 

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During the six months ended March 31, 2018 and year ended September 30, 2017, the Adviser reimbursed the Emerging Markets Portfolio, $31,039 and $52,505, respectively, for trading losses incurred due to trade entry errors.

B. Transfer Agency Agreement; Shareholder Servicing Fee

Under the Shareholder Servicing Agreement between the Sanford C. Bernstein Fund and the Adviser, the Adviser pays expenses it incurs in providing shareholder services to the Fund, the Portfolios and individual shareholders of the Portfolios (except the Retail Classes). Such services include, but are not limited to, providing information to shareholders concerning their Sanford C. Bernstein fund investments, systematic withdrawal plans, fund dividend payments and reinvestments, shareholder account or transactions status, net asset value of shares, fund performance, fund services, plans and options, fund investment policies, portfolio holdings and tax consequences of fund investments; dealing with shareholder complaints and other correspondence relating to fund matters; and communications with shareholders when proxies are being solicited from them with respect to voting their fund shares. This agreement applies only to the International, Tax-Managed International and Emerging Markets Class shares of the Portfolios. Under the agreement, the fee paid by the International, Tax-Managed International and Emerging Markets Class shares to the Adviser for services under this agreement is at an annual rate of .25%, annualized of the average daily net assets of each Portfolio attributable to the respective class during the month.

Under a Transfer Agency Agreement between the Fund, on behalf of the Retail Classes, and AllianceBernstein Investor Services, Inc. (“ABIS”), the Retail Classes compensate ABIS, a wholly-owned subsidiary of the Adviser, for providing personnel and facilities to perform transfer agency services. ABIS may make payments to intermediaries that provide omnibus account services, sub accounting services and/or networking services. Such compensation retained by ABIS amounted to: International Portfolio, $36,514, Tax-Managed International Portfolio, $43,883 and Emerging Markets Portfolio, $19,173 for the six months ended March 31, 2018.

The Adviser is currently waiving the costs of transfer agency fees for Classes A, B and C and printing fees for Classes A, B, C and Z of the International and Tax-Managed International Portfolios. For the six months ended March 31, 2018, such waivers amounted to $24,240 and $5,427, respectively.

C. Distribution Arrangements—International, Tax-Managed International and Emerging Markets Class Shares

Under the Distribution Agreement between the Fund, on behalf of each Portfolio and Sanford C. Bernstein & Co., LLC (the “Distributor”), the

 

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Distributor agrees to act as agent to sell International, Tax-Managed International and Emerging Markets Class shares of the Portfolios. This agreement does not apply to the AllianceBernstein International Retail Class shares of the Portfolios. The Distributor receives no fee for this service, and furthermore agrees to pay all expenses arising from the performance of its obligations under this agreement. The Distributor is a wholly owned subsidiary of the Adviser.

D. Distribution Arrangements—AB International Retail Classes

The Retail Classes of the Portfolios have adopted a Distribution Services Agreement (the “Agreement”), including a distribution plan pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement, each of the Retail Classes pays distribution services fees to AllianceBernstein Investments, Inc., (the “Distributor”), a wholly-owned subsidiary of the Adviser, at an annual rate of up to .30% of the Class A shares and 1% of the Class B and Class C shares of the respective average daily net assets attributable to the Retail Classes. Effective January 30, 2015, payments under the Agreement in respect of Class A shares are limited to an annual rate of .25% of the Class A shares’ average daily net assets. The fees are accrued daily and paid monthly. The Agreement provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. The Distributor has advised the Sanford C. Bernstein Fund, Inc., that it has incurred expenses in excess of the distribution costs reimbursed by each Portfolio as follows:

 

Portfolio   Class B     Class C  
International   $     196,285     $     1,463,349  
Tax-Managed International     225,619       1,237,432  

While such costs may be recovered from each Portfolio in future periods so long as the Agreement is in effect, the rate of the distribution and servicing fees payable under the Agreement may not be increased without a shareholder vote. In accordance with the Agreement, there is no provision for recovery of unreimbursed distribution costs incurred by the Retail Distributor beyond the current fiscal year for Class A shares. The Agreement also provides that the Adviser may use its own resources to finance the distribution of each Portfolio’s shares.

E. Other Transactions with Affiliates

The Distributor has advised the Sanford C. Bernstein Fund, Inc., that it has retained front-end sales charges from sales of Class A shares and received contingent deferred sales charges imposed upon redemptions by

 

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shareholders of Class A, Class B and Class C shares for the six months ended March 31, 2018, as follows:

 

     Front-End Sales
Charges		      Contingent Deferred Sales
Charges		  
Portfolio    Class A      Class A     Class B     Class C  

International

    $     166      $ 37     $     – 0  –    $     – 0  – 

Tax-Managed International

      147            – 0  –      – 0  –      – 0  – 

The Portfolios may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment advisor, common officers, or common directors. For the six months ended March 31, 2018, there were no purchase and sale transactions with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act.

Brokerage commissions paid on investment transactions and brokerage commissions paid to Sanford C. Bernstein & Co., LLC and Sanford C. Bernstein & Co., Ltd., affiliates of the Adviser, for the six months ended March 31, 2018 were as follows:

 

Portfolio   

Total

Commissions

     

Sanford C.

Bernstein &

Co., LLC

    

Sanford C.

Bernstein &

Co., Ltd.

  

International

    $     394,623      $     – 0  –    $     – 0  – 

Tax-Managed International

      863,363        – 0  –      – 0  – 

Emerging Markets

      922,626        – 0  –      – 0  – 

NOTE 3.

Investment Security Transactions

A. Purchases and Sales

For the six months ended March 31, 2018, the Portfolios had purchases and sales transactions, excluding transactions in short-term instruments, as follows:

 

Portfolio   

Purchases
Excluding

U.S.
Government

Securities

     

Purchases of

U.S.
Government

Securities

    

Sales
Excluding

U.S.
Government

Securities

     

Sales of

U.S.
Government

Securities

  

International

    $     314,641,377      $     – 0  –    $     396,127,094      $     – 0  – 

Tax-Managed International

      758,956,559        – 0  –      780,050,270        – 0  – 

Emerging Markets

      405,076,695        – 0  –      449,167,075        – 0  – 

 

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The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation are as follows:

 

          Gross Unrealized     Net
Unrealized
Appreciation/
(Depreciation)		  
Portfolio   Cost     Appreciation     (Depreciation)    

International

   $ 1,381,152,417     $     275,959,810     $ (56,100,599 )    $     219,859,211  

Tax-Managed International

         3,272,192,378       623,762,008           (157,971,431 )      465,790,577  

Emerging Markets

     1,266,450,619       357,475,362       (55,410,563 )      302,064,799  

B. Derivative Financial Instruments

Each Portfolio may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.

The principal types of derivatives utilized by the Portfolios, as well as the methods in which they may be used are:

 

  •  

Futures

Each Portfolio may buy or sell futures for investment purposes or for the purpose of hedging its portfolio against adverse effects of potential movements in the market. The Portfolio bears the market risk that arises from changes in the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Portfolios may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under “Currency Transactions”.

At the time a Portfolio enters into futures, a Portfolio deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Portfolio as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk

 

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mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.

Use of long futures subjects the Portfolio to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Portfolio to unlimited risk of loss. Each Portfolio may enter into futures only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transactions; therefore, the Portfolio’s credit risk is subject to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.

During the six months ended March 31, 2018, the International Portfolio and Tax-Managed International Portfolio held futures for hedging purposes. During the six months ended March 31, 2018, the Emerging Markets Portfolio held futures for non-hedging purposes.

 

  •  

Forward Currency Exchange Contracts

The Portfolios may enter into forward currency exchange contracts on either a spot (i.e., cash) or forward basis. Spot contracts are entered into at the rate then prevailing in the currency-exchange market. Forward currency exchange contracts obligate the contracting parties to purchase or sell a specific currency at a specified future date at a specified price. The Portfolios will generally not enter into a forward currency exchange contract with a term greater than one year. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on foreign currency transactions. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Portfolio. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.

Forward currency exchange contracts used to protect the Portfolios from adverse currency movements involve the risk that the Adviser may not accurately predict currency movements. As a result, total return could be adversely affected. The Adviser may seek investment opportunities by taking long or short positions in currencies through the use of currency related derivatives, including forward currency exchange contracts, futures and options on futures, swaps and other

 

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options. The Adviser may enter into foreign currency transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value.

Under certain circumstances, the Non-U.S. stock Portfolios may commit a substantial portion or the entire value of their Portfolios to the consummation of these contracts. The Adviser will consider the effect that a substantial commitment of assets to forward contracts would have on the investment program of these Portfolios and the flexibility of the Portfolios to purchase additional securities.

During the six months ended March 31, 2018, the International Portfolio and Tax-Managed International Portfolio held forward currency exchange contracts for hedging purposes. During the six months ended March 31, 2018, the Emerging Markets Portfolio held forward currency exchange contracts for hedging and non-hedging purposes.

The Portfolios typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Portfolios typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Portfolios’ net liability, held by the defaulting party, may be delayed or denied.

The Portfolios’ ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Portfolios decline below specific levels (“net asset contingent features”). If these levels are triggered, the Portfolios’ OTC counterparty has the right to terminate such transaction and require the Portfolios to pay or receive a settlement amount in connection with the terminated transaction. For additional details, please refer to netting arrangements by the OTC counterparty tables below.

 

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During the six months ended March 31, 2018, the Portfolios had entered into the following derivatives:

 

International Portfolio                
   

Asset Derivatives

    

Liability Derivatives

  
Derivative Type  

Statement of

Assets and

Liabilities

Location

   Fair Value    

Statement of

Assets and

Liabilities

Location

   Fair Value  

Equity contracts

       Receivable/Payable for variation margin on futures   $ 92,521 * 

Foreign currency contracts

       
Unrealized appreciation on forward currency exchange contracts		       
$
2,500,952
 		       
Unrealized depreciation on forward currency exchange contracts		    
     
4,934,690
 
   

 

 

      

 

 

  

Total

     $     2,500,952       $     5,027,211  
   

 

 

      

 

 

  

 

* Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the schedule of investments.

 

Derivative Type

  

Location of

Gain or (Loss)

on Derivatives

Within Statement of

Operations

   Realized Gain
or (Loss) on
Derivatives		     Change in
Unrealized
Appreciation or
(Depreciation)		  

Equity contracts

   Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures   $ 708,209     $ (123,665 ) 

Foreign currency contracts

   Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts     (3,324,838 )      (3,233,123 ) 
   

 

 

    

 

 

  

Total

     $     (2,616,629 )    $     (3,356,788 ) 
   

 

 

    

 

 

  

 

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Tax-Managed International Portfolio            
   

Asset Derivatives

    

Liability Derivatives

  
Derivative Type  

Statement of

Assets and

Liabilities

Location

   Fair Value    

Statement of

Assets and

Liabilities

Location

   Fair Value  

Equity contracts

       Receivable/Payable for variation margin on futures   $ 340,541 * 

Foreign currency contracts

       
Unrealized appreciation on forward currency exchange contracts		       
$
26,326,295
 		       
Unrealized depreciation on forward currency exchange contracts		    
     
17,711,602
 
   

 

 

      

 

 

  

Total

     $     26,326,295       $     18,052,143  
   

 

 

      

 

 

  

 

* Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the schedule of investments.

 

Derivative Type

  

Location of

Gain or (Loss)

on Derivatives

Within Statement of
Operations

   Realized Gain
or (Loss) on
Derivatives		     Change in
Unrealized
Appreciation or
(Depreciation)		  

Equity contracts

   Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures   $ 2,591,292     $ (384,872 ) 

Foreign currency contracts

   Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts     (13,244,658 )      (32,150 ) 
   

 

 

    

 

 

  

Total

     $     (10,653,366 )    $     (417,022 ) 
   

 

 

    

 

 

  

 

Emerging Markets Portfolio            
   

Asset Derivatives

    

Liability Derivatives

  
Derivative Type  

Statement of

Assets and

Liabilities

Location

   Fair Value    

Statement of

Assets and

Liabilities

Location

   Fair Value  

Foreign currency contracts

       
Unrealized appreciation on forward currency exchange contracts		       
$
3,348,327
 		       
Unrealized depreciation on forward currency exchange contracts		       
$
981,789
 
   

 

 

      

 

 

  

Total

     $     3,348,327       $     981,789  
   

 

 

      

 

 

  

 

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Derivative Type

  

Location of

Gain or (Loss)

on Derivatives

Within Statement of
Operations

   Realized Gain
or (Loss) on
Derivatives		     Change in
Unrealized
Appreciation or
(Depreciation)		  

Foreign exchange contracts

  

Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts

  

$

603,987

 

  

$

2,324,236

 

   

 

 

    

 

 

  

Total

     $     603,987     $     2,324,236  
   

 

 

    

 

 

  

The following tables represent the average monthly volume of the Portfolios’ derivative transactions during the six months ended March 31, 2018:

 

International Portfolio       

Futures:

   

Average original value of buy contracts

    $ 13,631,106  

Forward Currency Exchange Contracts:

   

Average principal amount of buy contracts

    $ 469,927,716  

Average principal amount of sale contracts

    $ 442,227,272  
  
Tax-Managed International Portfolio       

Futures:

   

Average original value of buy contracts

    $ 47,165,578  

Forward Currency Exchange Contracts:

   

Average principal amount of buy contracts

    $ 1,165,444,846  

Average principal amount of sale contracts

    $ 1,111,037,482  
  
Emerging Markets Portfolio       

Forward Currency Exchange Contracts:

   

Average principal amount of buy contracts

    $ 224,682,638  

Average principal amount of sale contracts

    $ 231,785,003  

For financial reporting purposes, the Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.

All OTC derivatives held at period end were subject to netting arrangements. The following tables present the Portfolios’ derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements and net of the related collateral received/pledged by the Portfolios as of March 31, 2018. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the tables.

 

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International Portfolio                          

Counterparty

   Derivative
Assets
Subject
to a MA		     Derivative
Available
for Offset		     Cash
Collateral
Received*		     Security
Collateral
Received*		     Net Amount of
Derivatives
Assets		  

Bank of America, NA

   $ 16,299     $ (16,299 )    $ – 0  –    $ – 0  –    $ – 0  – 

Barclays Bank PLC

     762,062       (154,389 )      – 0  –      – 0  –      607,673  

BNP Paribas SA

     32,797       (32,797 )      – 0  –      – 0  –      – 0  – 

Citibank, NA

     345,031       (196,179 )      – 0  –      – 0  –      148,852  

Credit Suisse International

     352,782       (352,782 )      – 0  –      – 0  –      – 0  – 

Deutsche Bank AG

     283,868       (5,988 )      – 0  –      – 0  –      277,880  

HSBC Bank USA

     108,219       (1,316 )      – 0  –      – 0  –      106,903  

JPMorgan Chase Bank, NA

     292,911       (23,937 )      – 0  –      – 0  –      268,974  

Morgan Stanley & Co., Inc.

     175,019       (63,918 )      – 0  –      – 0  –      111,101  

Royal Bank of Scotland PLC

     39,760       (39,760 )      – 0  –      – 0  –      – 0  – 

Standard Chartered Bank

     64,019       (64,019 )      – 0  –      – 0  –      – 0  – 

State Street Bank & Trust Co.

     19,633       (19,633 )      – 0  –      – 0  –      – 0  – 

UBS AG

     8,552       – 0  –      – 0  –      – 0  –      8,552  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $     2,500,952     $     (971,017 )    $     – 0  –    $     – 0  –    $     1,529,935 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Counterparty

   Derivative
Liabilities
Subject
to a MA		     Derivative
Available
for Offset		     Cash
Collateral
Pledged*		     Security
Collateral
Pledged*		     Net Amount of
Derivatives
Liabilities		  

Bank of America, NA

   $ 127,844     $ (16,299 )    $ – 0  –    $ – 0  –    $ 111,545  

Barclays Bank PLC

     154,389       (154,389 )      – 0  –      – 0  –      – 0  – 

BNP Paribas SA

         1,016,421       (32,797 )      (983,624 )      – 0  –      – 0  – 

Citibank, NA

     196,179       (196,179 )      – 0  –      – 0  –      – 0  – 

Credit Suisse International

     725,261       (352,782 )      – 0  –      – 0  –      372,479  

Deutsche Bank AG

     5,988       (5,988 )      – 0  –      – 0  –      – 0  – 

Goldman Sachs Bank USA

     5,165       – 0  –      – 0  –      – 0  –      5,165  

 

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Counterparty

   Derivative
Liabilities
Subject
to a MA		     Derivative
Available
for Offset		     Cash
Collateral
Pledged*		     Security
Collateral
Pledged*		     Net Amount of
Derivatives
Liabilities		  

HSBC Bank USA

   $ 1,316     $ (1,316 )    $ – 0  –    $ – 0  –    $ – 0  – 

JPMorgan Chase Bank, NA

     23,937       (23,937 )      – 0  –      – 0  –      – 0  – 

Morgan Stanley & Co., Inc.

     63,918       (63,918 )      – 0  –      – 0  –      – 0  – 

Royal Bank of Scotland PLC

     1,466,397       (39,760 )      – 0  –      – 0  –      1,426,637  

Standard Chartered Bank

     1,044,019       (64,019 )      (680,000 )      – 0  –      300,000  

State Street Bank & Trust Co.

     103,856       (19,633 )      – 0  –      – 0  –      84,223  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 4,934,690     $ (971,017 )    $   (1,663,624 )    $   – 0  –    $   2,300,049 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

* The actual collateral received/pledged may be more than the amount reported due to over-collateralization.

 

^ Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty.

 

Tax-Managed International Portfolio  

Counterparty

   Derivative
Assets
Subject
to a MA		     Derivative
Available
for Offset		     Cash
Collateral
Received*		     Security
Collateral
Received*		     Net Amount of
Derivatives
Assets		  

Bank of America, NA

   $ 4,420,123     $ – 0  –    $ (440,000 )    $   – 0  –    $ 3,980,123  

Barclays Bank PLC

     1,647,988       (1,042,701 )      – 0  –      – 0  –      605,287  

BNP Paribas SA

     2,130,602       (186,793 )        (1,847,000 )      – 0  –      96,809  

Citibank, NA

     2,371,872       (2,371,872 )      – 0  –      – 0  –      – 0  – 

Credit Suisse International

     2,077,570       (612,406 )      (697,000 )      – 0  –      768,164  

Deutsche Bank AG

     5,196,283       (18,625 )      – 0  –      – 0  –        5,177,658  

HSBC Bank USA

     682,993       (682,993 )      – 0  –      – 0  –      – 0  – 

JPMorgan Chase Bank, NA

     2,651,930       (2,574,720 )      – 0  –      – 0  –      77,210  

Morgan Stanley & Co., Inc.

     208,449       (208,449 )      – 0  –      – 0  –      – 0  – 

Royal Bank of Scotland PLC

       3,973,056         (3,940,070 )      – 0  –      – 0  –      32,986  

 

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Counterparty

   Derivative
Assets
Subject
to a MA		     Derivative
Available
for Offset		     Cash
Collateral
Received*		     Security
Collateral
Received*		     Net Amount of
Derivatives
Assets		  

Standard Chartered Bank

   $ 910,073     $ (910,073 )    $ – 0  –    $ – 0  –    $ – 0  – 

State Street Bank & Trust Co.

     36,434       (36,434 )      – 0  –      – 0  –      – 0  – 

UBS AG

     18,922       – 0  –      – 0  –      – 0  –      18,922  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $   26,326,295     $ (12,585,136 )    $   (2,984,000 )    $   – 0  –    $   10,757,159 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Counterparty

   Derivative
Liabilities
Subject
to a MA		     Derivative
Available
for Offset		     Cash
Collateral
Pledged*		     Security
Collateral
Pledged*		     Net Amount  of
Derivatives
Liabilities		  

Barclays Bank PLC

   $ 1,042,701     $ (1,042,701 )    $ – 0  –    $ – 0  –    $ – 0  – 

BNP Paribas SA

     186,793       (186,793 )      – 0  –      – 0  –      – 0  – 

Citibank, NA

     3,328,419       (2,371,872 )      – 0  –      – 0  –      956,547  

Credit Suisse International

     612,406       (612,406 )      – 0  –      – 0  –      – 0  – 

Deutsche Bank AG

     18,625       (18,625 )      – 0  –      – 0  –      – 0  – 

Goldman Sachs Bank USA

     17,887       – 0  –      – 0  –      – 0  –      17,887  

HSBC Bank USA

     2,755,209       (682,993 )      – 0  –      – 0  –      2,072,216  

JPMorgan Chase Bank, NA

     2,574,720       (2,574,720 )      – 0  –      – 0  –      – 0  – 

Morgan Stanley & Co., Inc.

     982,178       (208,449 )      – 0  –      – 0  –      773,729  

Royal Bank of Scotland PLC

     3,940,070       (3,940,070 )      – 0  –      – 0  –      – 0  – 

Standard Chartered Bank

     1,688,560       (910,073 )      (778,487 )      – 0  –      – 0  – 

State Street Bank & Trust Co.

     564,034       (36,434 )      – 0  –      – 0  –      527,600  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $   17,711,602     $   (12,585,136 )    $ (778,487 )    $ – 0  –    $ 4,347,979 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

* The actual collateral received/pledged may be more than the amount reported due to over-collateralization.

 

^ Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty.

 

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Emerging Markets Portfolio  

Counterparty

   Derivative
Assets
Subject
to a MA		     Derivative
Available
for Offset		     Cash
Collateral
Received*		     Security
Collateral
Received*		     Net Amount of
Derivatives
Assets		  

Bank of America, NA

   $ 41,809     $ (41,809 )    $ – 0  –    $ – 0  –    $ – 0  – 

Barclays Bank PLC

     753,258       (67,412 )      – 0  –      (685,846 )      – 0  – 

BNP Paribas SA

     9,415       – 0  –      – 0  –      – 0  –      9,415  

Citibank, NA

     1,604,637       (497,263 )      – 0  –      – 0  –      1,107,374  

HSBC Bank USA

     84,576       (13,169 )      – 0  –      – 0  –      71,407  

JPMorgan Chase Bank, NA

     123,437       – 0  –      – 0  –      – 0  –      123,437  

Morgan Stanley & Co., Inc.

     32,789       – 0  –      – 0  –      – 0  –      32,789  

Royal Bank of Scotland PLC

     117,513       – 0  –      – 0  –      – 0  –      117,513  

Societe Generale

     242,018       – 0  –      – 0  –      – 0  –      242,018  

State Street Bank & Trust Co.

     338,875       (1,803 )      – 0  –      – 0  –      337,072  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $   3,348,327     $   (621,456 )    $ – 0  –    $   (685,846 )    $   2,041,025 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Counterparty

   Derivative
Liabilities
Subject
to a MA		     Derivative
Available
for Offset		     Cash
Collateral
Pledged*		     Security
Collateral
Pledged*		     Net Amount of
Derivatives
Liabilities		  

Bank of America, NA

   $ 170,557     $ (41,809 )    $ – 0  –    $ – 0  –    $ 128,748  

Barclays Bank PLC

     67,412       (67,412 )      – 0  –      – 0  –      – 0  – 

Citibank, NA

     497,263       (497,263 )      – 0  –      – 0  –      – 0  – 

Deutsche Bank AG

     225,146       – 0  –      (225,146 )      – 0  –      – 0  – 

Goldman Sachs Bank USA

     6,439       – 0  –      – 0  –      – 0  –      6,439  

HSBC Bank USA

     13,169       (13,169 )      – 0  –      – 0  –      – 0  – 

State Street Bank & Trust Co.

     1,803       (1,803 )      – 0  –      – 0  –      – 0  – 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 981,789     $ (621,456 )    $   (225,146 )    $ – 0  –    $ 135,187 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

* The actual collateral received/pledged may be more than the amount reported due to over-collateralization.

 

^ Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty.

 

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C. Currency Transactions

The Portfolios may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Portfolios may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Portfolios may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Portfolios and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Portfolios may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).

NOTE 4.

Distributions to Shareholders

The tax character of distributions to be paid for the year ending September 30, 2018 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended September 30, 2017 and September 30, 2016 were as follows:

 

     2017     2016  

International

     

Distributions paid from:

     

Ordinary income

    $     25,878,355     $     21,802,390  
  

 

 

    

 

 

  

Total distributions paid

    $ 25,878,355     $ 21,802,390  
  

 

 

    

 

 

  
    

Tax-Managed International

     

Distributions paid from:

     

Ordinary income

    $ 61,728,815     $ 55,480,983  
  

 

 

    

 

 

  

Total distributions paid

    $ 61,728,815     $ 55,480,983  
  

 

 

    

 

 

  
    

Emerging Markets

     

Distributions paid from:

     

Ordinary income

    $ 7,757,991     $ 7,737,820  

Long-term capital gains

      – 0  –      20,157,829  
  

 

 

    

 

 

  

Total distributions paid

    $ 7,757,991     $ 27,895,649  
  

 

 

    

 

 

  

 

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As of September 30, 2017, the components of accumulated earnings/(deficit) on a tax basis were as follows:

 

Portfolio  

Undistributed

Ordinary

Income

    

Accumulated

Capital and

Other

Losses(a)

    

Unrealized

Appreciation/

(Depreciation)(b)

    

Total

Accumulated

Earnings/

(Deficit)(c)

  

International

   $     18,659,329     $ (910,864,476 )    $     230,709,002     $ (661,496,145 ) 

Tax-Managed International

     49,829,843           (1,697,877,316 )      454,939,401           (1,193,108,072 ) 

Emerging Markets

     8,805,806       (15,680,918 )      256,420,814       249,545,702  

 

(a) During the fiscal year ended September 30, 2017 International Portfolio, Tax-Managed International Portfolio, and Emerging Markets Portfolio utilized capital loss carryforwards of $99,746,296, $325,858,055, and $126,444,947 respectively, to offset current year net realized gains. Additionally, International Portfolio had $41,457,938 of capital loss carryforwards expire during the fiscal year.

 

(b) The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the tax deferral of losses on wash sales, the tax treatment of passive foreign investment companies (PFICs), and the realization for tax purposes of gains/losses on certain derivative instruments.

 

(b) The differences between book-basis and tax-basis components of accumulated earnings/(deficit) is attributable primarily to foreign capital gains tax exposure on Peruvian securities.

For tax purposes, net capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an indefinite period. These post-December 22, 2010 capital losses must be utilized prior to the earlier capital losses, which are subject to expiration. Post-December 22, 2010 capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered short-term as under previous regulation.

As of September 30, 2017, the following Portfolios had net capital loss carryforwards which will expire as follows:

 

Portfolio   

Short-Term

Amount

     

Long-Term

Amount

      Expiration  

International

    $ 910,864,476        n/a        2018  

Tax-Managed International

          1,697,877,316        n/a        2018  

Emerging Markets

      n/a      $     15,680,918        No expiration  

NOTE 5.

Risks Involved in Investing in the Portfolios

Foreign (Non-U.S.) Securities Risk—Investments in foreign securities entail significant risks in addition to those customarily associated with investing in U.S. securities. These risks include risks related to adverse market, economic, political and regulatory factors and social instability, all of which could disrupt the financial markets in which the Portfolios invest and adversely affect the value of the Portfolios’ assets.

 

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Country Concentration Risk—The Portfolios may not always be diversified among countries or regions and the effect on the share price of the Portfolios of specific risks such as political, regulatory and currency may be magnified due to concentration of the Portfolios’ investments in a particular country or region.

Emerging Markets Securities Risk—The risks of investing in foreign (non-U.S.) securities are heightened with respect to issuers in emerging-market countries because the markets are less developed and less liquid and there may be a greater amount of economic, political and social uncertainty, and these risks are even more pronounced in “frontier” markets, which are investable markets with lower total market capitalization and liquidity than the more developed emerging markets. In addition, the value of the Portfolio’s investments may decline because of factors such as unfavorable or unsuccessful government actions and reduction of government or central bank support.

Foreign Currency Risk—This is the risk that changes in foreign (non-U.S.) currency exchange rates may negatively affect the value of the Portfolios’ investments or reduce the returns of the Portfolios. For example, the value of the Portfolios’ investments in foreign securities and foreign currency positions may decrease if the U.S. Dollar is strong (i.e., gaining value relative to other currencies) and other currencies are weak (i.e., losing value relative to the U.S. Dollar).

Actions by a Few Major Investors—In certain countries, volatility may be heightened by actions of a few major investors. For example, substantial increases or decreases in cash flows of mutual funds investing in these markets could significantly affect local stock prices and, therefore, share prices of the Portfolios.

Liquidity Risk—Liquidity risk exists when particular investments are difficult to purchase or sell, possibly preventing the Portfolios from selling out of these illiquid securities at an advantageous price. Illiquid securities may also be difficult to value. Derivatives and securities involving substantial market and credit risk tend to involve greater liquidity risk.

Redemption Risk—The Portfolios may experience heavy redemptions that could cause a Portfolio to liquidate its assets at inopportune times or at a loss or depressed value, which could cause the value of your investment to decline. Redemption risk is heightened during periods of overall market turmoil.

Market Risk—The Portfolios are subject to market risk, which is the risk that stock prices in general may decline over short or extended periods.

 

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Stock prices may decline in response to adverse changes in the economy or the economic outlook; deterioration in investor sentiment; interest rate, currency and commodity price fluctuations; adverse geopolitical, social or environmental developments; issuer- and sector-specific considerations; and other factors. In the past decade, financial markets in the United States, Europe and elsewhere have experienced increased volatility, decreased liquidity and heightened uncertainty. These market conditions may recur from time to time and have an adverse impact on various securities markets. The U.S. Government and the Federal Reserve, as well as certain foreign governments and central banks, have taken steps to support financial markets. Other governments have tried to support markets by buying stocks and through other market interventions. Government intervention may not work as intended, particularly if the efforts are perceived by investors as being unlikely to achieve the desired results. The Federal Reserve has reduced its market support activities and has begun raising interest rates. Further Federal Reserve or other U.S. or non-U.S. governmental or central bank actions, including interest rate increases or decreases, could negatively affect financial markets generally, increase market volatility and reduce the value and liquidity of securities in which the Portfolios invest.

Current political uncertainty surrounding the European Union (“EU”) and its membership may increase market volatility. The United Kingdom has voted to withdraw from the EU, and one or more other countries may withdraw from the EU and/or abandon the Euro, the common currency of the EU. The financial instability of some countries in the EU, together with the risk of that financial instability impacting other more stable countries, may increase the risk of investing in companies in Europe and worldwide. In addition, policy and legislative changes in the United States and in other countries are affecting many aspects of financial regulation, and may in some instances contribute to decreased liquidity and increased volatility in the financial markets. The impact of these changes, and the practical implications for market participants, may not be fully known for some time.

Economies and financial markets throughout the world are becoming increasingly interconnected. Economic, financial or political events, trading and tariff arrangements, terrorism, natural disasters and other circumstances in one country or region could have profound impacts on global economies or markets. As a result, whether or not the Portfolios invest in securities of issuers located in or with significant exposure to countries experiencing economic and financial difficulties, the value and liquidity of the Portfolios investments may be negatively affected.

Capitalization Risk—Investments in mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in mid-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.

 

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Allocation Risk—The allocation of investments among investment disciplines may have a significant effect on the Portfolios’ performance when the investment disciplines in which the Portfolios have greater exposure perform worse than the investment disciplines with less exposure.

Derivatives Risk—The Portfolios may use derivatives as direct investments to earn income, enhance return and broaden portfolio diversification, which entail greater risk than if used solely for hedging purposes. In addition to other risks such as the credit risk of the counterparty, derivatives involve the risk that changes in the value of the derivative may not correlate with relevant assets, rates or indices. Derivatives may be illiquid and difficult to price or unwind, and small changes may produce disproportionate losses for the Portfolios. Certain derivatives have the potential for unlimited loss, regardless of the size of the initial investment. Assets required to be set aside or posted to cover or secure derivatives positions may themselves go down in value, and these collateral and other requirements may limit investment flexibility. Some derivatives involve leverage, which can make the Portfolios more volatile and can compound other risks. Use of derivatives may have different tax consequences for the Portfolios than an investment in the underlying security, and such differences may affect the amount, timing and character of income distributed to shareholders. The U.S. Government and foreign governments are in the process of adopting and implementing regulations governing derivatives markets, including mandatory clearing of certain derivatives, margin, reporting and registration requirements. The ultimate impact of the regulations remains unclear. Additional regulation may make derivatives more costly, limit their availability or utility, otherwise adversely affect their performance, or disrupt markets.

Sector Risk—The Portfolios may have more risk because of concentrated investments in a particular market sector, such as the technology or financial services sector. Market or economic factors affecting that sector could have a major effect on the value of the Portfolios’ investments.

Management Risk—The Portfolios are subject to management risk because they are actively managed investment portfolios. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolios, but these techniques, analyses and decisions may not work as intended or may not produce the desired results. In some cases, derivatives and other investment techniques may be unavailable or the Adviser may determine not to use them, possibly even under market conditions where their use could benefit the Portfolios. In addition, the Adviser may change the Portfolios’ investment strategies or policies from time to time. Those changes may not lead to the results intended by the Adviser and could have an adverse effect on the value or performance of the Portfolios.

 

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Cybersecurity Risk—Cybersecurity incidents may allow an unauthorized party to gain access to Portfolio assets, customer data (including private shareholder information), or proprietary information, or cause the Portfolios, the Adviser, and/or its service providers (including, but not limited to, fund accountants, custodians, sub-custodians, transfer agents and financial intermediaries) to suffer data breaches, data corruption or lose operational functionality.

Indemnification Risk—In the ordinary course of business, the Portfolios enter into contracts that contain a variety of indemnifications. The Portfolios’ maximum exposure under these arrangements is unknown. However, the Portfolios have not had prior claims or losses pursuant to these indemnification provisions and expect the risk of loss thereunder to be remote. Therefore, the Portfolios have not accrued any liability in connection with these indemnification provisions.

NOTE 6.

Capital-Share Transactions

The Fund has authorized 15.5 billion shares of common stock, par value $0.001 per share, of which 3.7 billion shares are allocated to the International Portfolio, Tax-Managed International Portfolio and Emerging Markets Portfolio. The allocation is as follows:

 

    Allocation of Shares (in Millions)  
Portfolio  

Bernstein

Class

Shares

    

Retail

Class A

Shares

    

Retail

Class B

Shares

    

Retail

Class C

Shares

    

Retail

Class R

Shares

    

Retail

Class Z

Shares

     Total  

International

     600       200       200       200       200       300       1,700  

Tax-Managed International

     600       200       200       200       – 0  –      300       1,500  

Emerging Markets

     200       – 0  –      – 0  –      – 0  –      – 0  –      300       500  

Share transactions for each Portfolio for the six months ended March 31, 2018 and year ended September 30, 2017, were as follows:

 

            
     International Portfolio        
     Shares           Amount        
    

Six Months Ended

3/31/18

(unaudited)

    

Year Ended

9/30/17

           Six Months Ended
3/31/18
(unaudited)		    

Year Ended

9/30/17

        
  

 

 

    
International Class Shares             

Shares sold

      2,882,275       7,483,074       $ 53,556,296     $ 118,954,332    

 

    

Shares issued to shareholders on reinvestment of dividends

      689,746       1,336,312         12,511,988       19,911,064    

 

    

Shares redeemed

      (9,035,838 )      (22,063,768 )        (167,548,995 )      (363,680,486 )   

 

    

Net decrease

      (5,463,817 )      (13,244,382 )      $ (101,480,711 )    $ (224,815,090 )   

 

    

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

            
     International Portfolio        
     Shares           Amount        
    

Six Months Ended

3/31/18

(unaudited)

    

Year Ended

9/30/17

           Six Months Ended
3/31/18
(unaudited)		    

Year Ended

9/30/17

        
  

 

 

    
Class A Shares             

Shares sold

      151,067       1,062,230       $ 2,768,943     $ 17,941,202    

 

    

Shares issued to shareholders on reinvestment of dividends

      15,448       3,967         275,584       58,191    

 

    

Shares converted from Class B

      181       719         3,276       10,961    

 

    

Shares converted from Class C

      5,263       44,838         94,564       730,037    

 

    

Shares redeemed

      (107,660 )      (95,430 )        (1,959,876 )      (1,518,459 )   

 

    

Net increase

      64,299       1,016,324       $ 1,182,491     $ 17,221,932    

 

    
            
Class B Shares             

Shares sold

      – 0  –      317       $ – 0  –    $ 4,672    

 

    

Shares issued to shareholders on reinvestment of dividends

      – 0  –      9         – 0  –      133    

 

    

Shares converted to Class A

      (177 )      (705 )        (3,276 )      (10,961 )   

 

    

Shares redeemed

      – 0  –      (590 )        – 0  –      (9,392 )   

 

    

Net decrease

      (177 )      (969 )      $ (3,276 )    $ (15,548 )   

 

    
            
Class C Shares             

Shares sold

      10,846       14,393       $ 200,768     $ 234,350    

 

    

Shares issued to shareholders on reinvestment of dividends

      – 0  –      782         – 0  –      11,542    

 

    

Shares converted to Class A

      (5,249 )      (44,702 )        (94,564 )      (730,037 )   

 

    

Shares redeemed

      (13,938 )      (22,278 )        (253,330 )      (341,744 )   

 

    

Net decrease

      (8,341 )      (51,805 )      $ (147,126 )    $ (825,889 )   

 

    
            
Class Z Shares             

Shares sold

      897,081       8,699,691       $ 16,192,300     $ 149,721,680    

 

    

Shares issued to shareholders on reinvestment of dividends

      244,149       215,963         4,358,062       3,168,172    

 

    

Shares redeemed

      (118,479 )      (1,798,353 )        (2,224,448 )      (31,071,324 )   

 

    

Net increase

      1,022,751       7,117,301       $ 18,325,914     $ 121,818,528    

 

    

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

 

            
     Tax-Managed International Portfolio        
     Shares           Amount        
     Six Months Ended
3/31/18
(unaudited)		     Year Ended
9/30/17		          

Six Months Ended

3/31/18
(unaudited)

    

Year Ended

9/30/17

        
  

 

 

    
Tax-Managed International Class Shares             

Shares sold

      6,452,942       15,801,467       $ 120,236,763     $ 254,717,530    

 

    

Shares issued to shareholders on reinvestment of dividends

      1,949,586       2,930,958         35,365,491       43,876,449    

 

    

Shares redeemed

      (11,335,100 )      (43,277,193 )        (211,754,901 )      (720,956,205 )   

 

    

Net decrease

      (2,932,572 )      (24,544,768 )      $ (56,152,647 )    $ (422,362,226 )   

 

    
            
Class A Shares             

Shares sold

      36,271       4,449       $ 670,643     $ 69,658    

 

    

Shares issued to shareholders on reinvestment of dividends

      1,154       1,738         20,640       25,631    

 

    

Shares converted from Class B

      22       0 (a)        404       1    

 

    

Shares converted from Class C

      – 0  –      11,040         – 0  –      180,190    

 

    

Shares redeemed

      (2,782 )      (9,567 )        (51,545 )      (154,008 )   

 

    

Net increase

      34,665       7,660       $ 640,142     $ 121,472    

 

    
            
Class B Shares             

Shares issued to shareholders on reinvestment of dividends

      1       3         17       45    

 

    

Shares converted to Class A

      (22 )      0 (a)        (404 )      (1 )   

 

    

Shares redeemed

      0 (a)      (1 )        (1 )      (20 )   

 

    

Net increase (decrease)

      (21 )      2       $ (388 )    $ 24    

 

    
            
Class C Shares             

Shares sold

      547       382       $ 10,000     $ 5,572    

 

    

Shares issued to shareholders on reinvestment of dividends

      – 0  –      128         – 0  –      1,895    

 

    

Shares converted to Class A

      – 0  –      (11,007 )        – 0  –      (180,190 )   

 

    

Shares redeemed

      (999 )      (1,650 )        (17,829 )      (26,578 )   

 

    

Net decrease

      (452 )      (12,147 )      $ (7,829 )    $ (199,301 )   

 

    

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

             
     Tax-Managed International Portfolio        
     Shares           Amount        
     Six Months Ended
3/31/18
(unaudited)		      Year Ended
9/30/17		          

Six Months Ended

3/31/18
(unaudited)

    

Year Ended

9/30/17

        
  

 

 

    
Class Z Shares    

Shares sold

      2,242,046        4,508,015       $ 40,492,998     $ 77,808,338    

 

    

Shares issued to shareholders on reinvestment of dividends

      367,702        457,642         6,570,826       6,750,215    

 

    

Shares redeemed

      (22,374 )       (3,825,356 )        (404,058 )      (66,061,470 )   

 

    

Net increase

      2,587,374        1,140,301       $ 46,659,766     $ 18,497,083    

 

    
             

 

(a) Share amount is less than one full share.

 

            
     Emerging Markets Portfolio        
     Shares           Amount        
    

Six Months Ended

3/31/18

(unaudited)

    

Year Ended

9/30/17

           Six Months Ended
3/31/18
(unaudited)		    

Year Ended

9/30/17

        
  

 

 

    
Emerging Markets Class Shares             

Shares sold

      2,387,645       6,567,500       $ 79,231,766     $ 177,786,348    

 

    

Shares issued to shareholders on reinvestment of dividends and distributions

      273,652       195,234         8,650,126       4,908,179    

 

    

Shares redeemed

      (3,652,912 )      (11,275,164 )        (121,703,630 )      (311,572,502 )   

 

    

Net decrease

      (991,615 )      (4,512,430 )      $ (33,821,738 )    $ (128,877,975 )   

 

    
            
Class Z Shares             

Shares sold

      296,797       1,850,969       $ 9,723,914     $ 56,880,253    

 

    

Shares issued to shareholders on reinvestment of dividends and distributions

      60,628       41,306         1,915,849       1,038,442    

 

    

Shares redeemed

      (51,878 )      (885,752 )        (1,812,282 )      (27,260,670 )   

 

    

Net increase

      305,547       1,006,523       $ 9,827,481     $ 30,658,025    

 

    

NOTE 7.

Subsequent Events

Effective April 26, 2018, the International Portfolio, the Tax-Managed International Portfolio and the Emerging Markets Portfolio intend to invest uninvested cash balances in an affiliated money market fund, the AB Government Money Market Portfolio of AB Fixed-Income Shares, Inc. (the “Money Market Portfolio”), as permitted by Rule 12d1-1 under the 1940 Act.

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no other material events that would require disclosure in the Portfolios’ financial statements through this date.

 

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Table of Contents

 

FINANCIAL HIGHLIGHTS

Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period

 

    International Portfolio  
    Class A  
    Six Months
Ended
March 31,
2018
(unaudited)		     Year Ended September 30,  
      2017     2016     2015     2014     2013  
 

 

 

  

Net asset value, beginning of period

     $  17.84       $  15.49       $  14.47       $  15.63       $  15.65       $  13.07  
 

 

 

  

Income From Investment Operations

            

Net investment income(a)(b)

     .05       .18       .25 ^      .19       .35       .08  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     .55       2.44       .99       (1.03 )      (.16 )      2.70  

Contributions from affiliates

     – 0  –      – 0  –      – 0  –      – 0  –      .00 (c)      – 0  – 
 

 

 

  

Total from investment operations

     .60       2.62       1.24       (.84 )      .19       2.78  
 

 

 

  

Less: Dividends

            

Dividends from net investment income

     (.22 )      (.27 )      (.22 )      (.32 )      (.21 )      (.20 ) 
 

 

 

  

Net asset value, end of period

     $  18.22       $  17.84       $  15.49       $  14.47       $  15.63       $  15.65  
 

 

 

  

Total Return

            

Total investment return based on net asset
value(d)

     3.40  %      17.27  %      8.62  %^      (5.47 )%      1.23  %      21.55  % 

Ratios/Supplemental Data

            

Net assets, end of period (000 omitted)

     $24,254       $22,599       $3,883       $4,172       $4,312       $4,688  

Average net assets (000 omitted)

     $23,547       $7,637       $4,086       $4,436       $4,694       $5,196  

Ratio to average net assets of:

            

Expenses, net of waivers/reimbursements

     1.09  %*      1.15  %      1.14  %      1.16  %+      1.19  %      2.10  % 

Expenses, before waiver/reimbursements

     1.20  %*      1.38  %      1.74  %      2.12  %+      1.69  %      2.15  % 

Net investment income(b)

     .53  %*      1.07  %      1.70  %^      1.22  %+      2.14  %      .59  % 

Portfolio turnover rate

     20  %      82  %      77  %      80  %      67  %      72  % 

See footnote summary on page 110.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period

 

    International Portfolio  
    Class B  
    Six Months
Ended
March 31,
2018
(unaudited)		     Year Ended September 30,  
      2017     2016     2015     2014     2013  
 

 

 

  

Net asset value, beginning of period

     $  18.13       $  15.68       $  14.54       $  15.64       $  15.56       $  12.97  
 

 

 

  

Income From Investment Operations

            

Net investment income (loss)(a)(b)

     (.04 )      .06       .10 ^      .04       .22       (.03 ) 

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     .59       2.50       1.04       (1.00 )      (.14 )      2.67  

Contributions from affiliates

     – 0  –      – 0  –      – 0  –      – 0  –      .00 (c)      – 0  – 
 

 

 

  

Total from investment operations

     .55       2.56       1.14       (.96 )      .08       2.64  
 

 

 

  

Less: Dividends

            

Dividends from net investment income

     – 0  –      (.11 )      – 0  –      (.14 )      .00 (c)      (.05 ) 
 

 

 

  

Net asset value, end of period

     $  18.68       $  18.13       $  15.68       $  14.54       $  15.64       $  15.56  
 

 

 

  

Total Return

            

Total investment return based on net asset
value(d)

     3.03  %      16.44  %      7.86  %^      (6.17 )%      .52  %      20.43  % 

Ratios/Supplemental Data

            

Net assets, end of period (000 omitted)

     $4       $7       $21       $55       $166       $286  

Average net assets (000 omitted)

     $6       $14       $33       $104       $223       $436  

Ratio to average net assets of:

            

Expenses, net of waivers/reimbursements

     1.82  %*      1.88  %      1.89  %      1.89  %+      1.89  %      2.90  % 

Expenses, before waivers/reimbursements

     2.21  %*      2.26  %      2.65  %      2.82  %+      2.49  %      2.97  % 

Net investment income (loss)(b)

     (.46 )%*      .39  %      .64  %^      .23  %+      1.38  %      (.24 )% 

Portfolio turnover rate

     20  %      82  %      77  %      80  %      67  %      72  % 

See footnote summary on page 110.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period

 

    International Portfolio  
    Class C  
    Six Months
Ended
March 31,
2018
(unaudited)		     Year Ended September 30,  
      2017     2016     2015     2014     2013  
 

 

 

  

Net asset value, beginning of period

     $  17.84       $  15.47       $  14.44       $  15.58       $  15.61       $  13.01  
 

 

 

  

Income From Investment Operations

            

Net investment income (loss)(a)(b)

     (.02 )      .07       .14 ^      .07       .23       (.01 ) 

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     .56       2.44       .99       (1.02 )      (.15 )      2.69  

Contributions from affiliates

     – 0  –      – 0  –      – 0  –      – 0  –      .00 (c)      – 0  – 
 

 

 

  

Total from investment operations

     .54       2.51       1.13       (.95 )      .08       2.68  
 

 

 

  

Less: Dividends

            

Dividends from net investment income

     – 0  –      (.14 )      (.10 )      (.19 )      (.11 )      (.08 ) 
 

 

 

  

Net asset value, end of period

     $  18.38       $  17.84       $  15.47       $  14.44       $  15.58       $  15.61  
 

 

 

  

Total Return

            

Total investment return based on net asset
value(d)

     3.03  %      16.38  %      7.81  %^      (6.13 )%      .49  %      20.73  % 

Ratios/Supplemental Data

            

Net assets, end of period (000 omitted)

     $829       $953       $1,628       $1,838       $2,298       $2,650  

Average net assets (000 omitted)

     $793       $1,241       $1,781       $2,130       $2,594       $2,721  

Ratio to average net assets of:

            

Expenses, net of waivers/reimbursements

     1.84  %*      1.90  %      1.89  %      1.90  %+      1.89  %      2.82  % 

Expenses, before waivers/reimbursements

     1.96  %*      2.13  %      2.51  %      2.85  %+      2.41  %      2.88  % 

Net investment income (loss)(b)

     (.22 )%*      .44  %      .95  %^      .45  %+      1.43  %      (.10 )% 

Portfolio turnover rate

     20  %      82  %      77  %      80  %      67  %      72  % 

See footnote summary on page 110.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period

 

    International Portfolio  
    Class Z  
    Six Months
Ended
March 31,
2018
(unaudited)		     Year ended
September 30
2017		     January 15,
2016(e) to
September 30,
2016		  
 

 

 

  

Net asset value, beginning of period

     $  17.86       $  15.52       $  13.76  
 

 

 

  

Income From Investment Operations

      

Net investment income(a)(b)

     .07       .25       .30 ^ 

Net realized and unrealized gain on investment and foreign currency transactions

     .56       2.40       1.46  
 

 

 

  

Total from investment operations

     .63       2.65       1.76  
 

 

 

  

Less dividends:

      

Dividends from net investment income

     (.25 )      (.31 )      – 0  – 
 

 

 

  

Net asset value, end of period

     $  18.24       $  17.86       $  15.52  
 

 

 

  

Total Return

      

Total investment return based on net asset value(d)

     3.55  %      17.48  %      12.79  %^ 

Ratios/Supplemental Data

      

Net assets, end of period (000 omitted)

     $337,409       $312,172       $160,704  

Average net assets (000 omitted)

     $325,719       $192,728       $132,402  

Ratio to average net assets of:

      

Expenses, net of waivers/reimbursements

     .86  %*      .92  %      .92  %* 

Expenses, before waivers/reimbursements

     .89  %*      .98  %      1.01  %* 

Net investment income(b)

     .77  %*      1.53  %      2.92  %^* 

Portfolio turnover rate

     20  %      82  %      77  % 

See footnote summary on page 110.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period

 

    Tax-Managed International Portfolio  
    Class A  
    Six Months
Ended
March 31,
2018
(unaudited)		     Year Ended September 30,  
      2017     2016     2015     2014     2013  
 

 

 

  

Net asset value, beginning of period

     $  17.88       $  15.57       $  14.54       $  15.71       $  15.78       $  13.07  
 

 

 

  

Income From Investment Operations

            

Net investment income(a)(b)

     .06       .23       .26 ^      .20       .36       .13  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     .55       2.36       1.00       (1.03 )      (.17 )      2.73  

Contributions from affiliates

     – 0  –      – 0  –      – 0  –      – 0  –      .00 (c)      – 0  – 
 

 

 

  

Total from investment operations

     .61       2.59       1.26       (.83 )      .19       2.86  
 

 

 

  

Less: Dividends

            

Dividends from net investment income

     (.23 )      (.28 )      (.23 )      (.34 )      (.26 )      (.15 ) 
 

 

 

  

Net asset value, end of period

     $  18.26       $  17.88       $  15.57       $  14.54       $  15.71       $  15.78  
 

 

 

  

Total Return

            

Total investment return based on net asset value(d)

     3.45  %      16.98  %      8.69  %^      (5.37 )%      1.18  %      22.10  %** 

Ratios/Supplemental Data

            

Net assets, end of period (000 omitted)

     $2,554       $1,882       $1,519       $1,410       $1,517       $1,549  

Average net assets (000 omitted)

     $2,100       $1,630       $1,481       $1,518       $1,625       $1,465  

Ratio to average net assets of:

            

Expenses, net of waivers/reimbursements

     1.04  %*      1.10  %      1.10  %      1.12  %+      1.15  %      1.88  % 

Expenses, before waiver/reimbursements

     1.26  %*      1.28  %      1.46  %      1.61  %+      1.55  %      1.93  % 

Net investment income(b)

     .69  %*      1.42  %      1.76  %^      1.26  %+      2.19  %      .88  % 

Portfolio turnover rate

     21  %      78  %      69  %      76  %      64  %      72  % 

See footnote summary on page 110.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period

 

    Tax-Managed International Portfolio  
    Class B  
    Six Months
Ended
March 31,
2018
(unaudited)		     Year Ended September 30,  
      2017     2016     2015     2014     2013  
 

 

 

  

Net asset value, beginning of period

     $  18.04       $  15.69       $  14.54       $  15.73       $  15.65       $  12.92  
 

 

 

  

Income From Investment Operations

            

Net investment income (loss)(a)(b)

     (.02 )      .11       .14 ^      .09       .24       (.05 ) 

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     .57       2.40       1.01       (1.04 )      (.16 )      2.78  

Contributions from affiliates

     – 0  –      – 0  –      – 0  –      – 0  –      .00 (c)      – 0  – 
 

 

 

  

Total from investment operations

     .55       2.51       1.15       (.95 )      .08       2.73  
 

 

 

  

Less: Dividends

            

Dividends from net investment income

     (.06 )      (.16 )      – 0  –      (.24 )      – 0  –      – 0  – 
 

 

 

  

Net asset value, end of period

     $  18.53       $  18.04       $  15.69       $  14.54       $  15.73       $  15.65  
 

 

 

  

Total Return

            

Total investment return based on net asset value(d)

     3.04  %      16.18  %      7.91  %^      (6.09 )%      .51  %      21.13  %** 

Ratios/Supplemental Data

            

Net assets, end of period (000 omitted)

     $5       $5       $4       $16       $14       $19  

Average net assets (000 omitted)

     $5       $5       $5       $17       $17       $41  

Ratio to average net assets of:

            

Expenses, net of waivers/reimbursements

     1.78  %*      1.83  %      1.83  %      1.85  %+      1.84  %      2.79  % 

Expenses, before waivers/reimbursements

     2.19  %*      2.33  %      2.53  %      2.30  %+      2.39  %      2.84  % 

Net investment income (loss)(b)

     (.26 )%*      .67  %      .94  %^      .56  %+      1.50  %      (.41 )% 

Portfolio turnover rate

     21  %      78  %      69  %      76  %      64  %      72  % 

See footnote summary on page 110.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period

 

    Tax-Managed International Portfolio  
    Class C  
    Six Months
Ended
March 31,
2018
(unaudited)		     Year Ended September 30,  
      2017     2016     2015     2014     2013  
 

 

 

  

Net asset value, beginning of period

     $  17.88       $  15.55       $  14.52       $  15.66       $  15.72       $  12.97  
 

 

 

  

Income From Investment Operations

            

Net investment income (loss)(a)(b)

     (.02 )      .08       .13 ^      .09       .25       .00 (c) 

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     .57       2.39       1.02       (1.04 )      (.18 )      2.75  

Contributions from affiliates

     – 0  –      – 0  –      – 0  –      – 0  –      .00 (c)      – 0  – 
 

 

 

  

Total from investment operations

     .55       2.47       1.15       (.95 )      .07       2.75  
 

 

 

  

Less: Dividends

            

Dividends from net investment income

     – 0  –      (.14 )      (.12 )      (.19 )      (.13 )      – 0  – 
 

 

 

  

Net asset value, end of period

     $  18.43       $  17.88       $  15.55       $  14.52       $  15.66       $  15.72  
 

 

 

  

Total Return

            

Total investment return based on net asset value(d)

     3.02  %      16.09  %      7.95  %^      (6.10 )%      .47  %      21.20  %** 

Ratios/Supplemental Data

            

Net assets, end of period (000 omitted)

     $186       $188       $353       $424       $420       $459  

Average net assets (000 omitted)

     $176       $280       $385       $426       $487       $453  

Ratio to average net assets of:

            

Expenses, net of waivers/reimbursements

     1.79  %*      1.85  %      1.85  %      1.86  %+      1.85  %      2.63  % 

Expenses, before waivers/reimbursements

     2.01  %*      2.02  %      2.24  %      2.34  %+      2.25  %      2.68  % 

Net investment income (loss)(b)

     (.20 )%*      .49  %      .90  %^      .57  %+      1.52  %      (.01 )% 

Portfolio turnover rate

     21  %      78  %      69  %      76  %      64  %      72  % 

See footnote summary on page 110.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:

 

    Tax-Managed International Portfolio  
    Class Z  
    Six Months
ended
March 31,
2018
(unaudited)		     Year Ended
September 30,
2017		     January 15,
2016(e) to
September 30,
2016		  
 

 

 

  

Net asset value, beginning of period

     $  17.91       $  15.60       $  13.84  
 

 

 

  

Income From Investment Operations

      

Net investment income(a)(b)

     .08 ‡      .26       .31 ^ 

Net realized and unrealized gain on investment and foreign currency transactions

     .55       2.36       1.45  
 

 

 

  

Total from investment operations

     .63       2.62       1.76  
 

 

 

  

Less: Dividends

      

Dividends from net investment income

     (.29 )      (.31 )      – 0  – 
 

 

 

  

Net asset value, end of period

     $  18.25       $  17.91       $  15.60  
 

 

 

  

Total Return

      

Total investment return based on net asset value(d)

     3.54  %      17.23  %      12.72  %^ 

Ratios/Supplemental Data

      

Net assets, end of period (000 omitted)

     $464,027       $409,005       $338,402  

Average net assets (000 omitted)

     $432,754       $356,111       $278,926  

Ratio to average net assets of:

      

Expenses, net of waivers/reimbursements

     .81  %*      .87  %      .87  %* 

Expenses, before waivers/reimbursements

     .84  %*      .92  %      .95  %* 

Net investment income(b)

     .84  %*      1.63  %      2.94  %^* 

Portfolio turnover rate

     21  %      78  %      69  % 

See footnote summary on page 110.

 

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FINANCIAL HIGHLIGHTS (continued)

 

    Emerging Markets Portfolio  
    Class Z  
    Six Months
ended
March 31,
2018
(unaudited)		     Year Ended
September 30,
2017		     January 15,
2016(e) to
September 30,
2016		  
 

 

 

    

 

 

    

 

 

  

Net asset value, beginning of period

     $  31.32       $  26.27       $  19.92  
 

 

 

  

Income From Investment Operations

      

Net investment income(a)(b)

     .03       .26       .27 ^ 

Net realized and unrealized gain on investment and foreign currency transactions

     2.63       5.01       6.08  

Contributions from affiliates

     – 0  –(c)      .00 (c)      .00 (c) 
 

 

 

  

Total from investment operations

     2.66       5.27       6.35  
 

 

 

  

Less: Dividends and Distributions

      

Dividends from net investment income

     (.27 )      (.22 )      – 0  – 

Distributions from net realized gain on investment transactions

     (.07 )      – 0  –      – 0  – 
 

 

 

  

Total dividends and distributions

     (.34 )      – 0  –      – 0  – 
 

 

 

  

Net asset value, end of period

     $  33.64       $  31.32       $  26.27  
 

 

 

  

Total Return

      

Total investment return based on net asset value(d)

     8.42  %      20.28  %^^      31.88  %^ 

Ratios/Supplemental Data

      

Net assets, end of period (000 omitted)

     $201,312       $177,853       $122,726  

Average net assets (000 omitted)

     $191,208       $137,242       $95,977  

Ratio to average net assets of:

      

Expenses, net of waivers/reimbursements

     1.10  %*      1.21  %      1.22  %* 

Expenses, before waivers/reimbursements

     1.11  %*      1.24  %      1.25  %* 

Net investment income(b)

     .16  %*      .94  %      1.62  %*^ 

Portfolio turnover rate

     26  %      63  %      71  % 

See footnote summary on page 110.

 

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FINANCIAL HIGHLIGHTS (continued)

 

 

(a) Based on average shares outstanding.

 

(b) Net of fees and expenses waived by the Adviser.

 

(c) Amount is less than $.005.

 

(d) Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Total return does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Total investment return calculated for a period of less than one year is not annualized.

 

(e) Commencement of distributions

 

^ For the year ended September 30, 2016 the amount includes a refund for overbilling of prior years’ custody out of pocket fees as follows:

 

Portfolio

    Net Investment
Income Per Share		      Net Investment
Income Ratio		     Total
Return		  

International

    $ .003        .02 %      .02 % 

Tax-Managed International

    $ .002        .01 %      .01 % 

Emerging Markets

    $ .007        .03 %      .03 % 

 

* Annualized

 

** Includes the impact of proceeds received and credited to the Portfolio resulting from class action settlements, which enhanced the Portfolio’s performance for the year ended September 30, 2013 by .02%, respectively.

 

+ The ratio includes expenses attributable to costs of proxy solicitation.

 

^^ The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements.

See notes to financial statements.

 

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BOARD OF DIRECTORS

 

Bart Friedman,(1)(2) Chairman

Kathleen Fisher, President

R. Jay Gerken(1)

William Kristol(1)

Debra Perry(1)

Donald K. Peterson(1)

OFFICERS

Henry D’Auria, Vice President(3)

Sharon E. Fay, Vice President(3)

Kent W. Hargis, Vice President(3)

Avi Lavi, Vice President(3)

Mark Phelps, Vice President(3)

Daniel C. Roarty, Vice President(3)

Laurent Saltiel, Vice President(3)

   

Nelson Yu, Vice President(3)

Joseph J. Mantineo, Treasurer and Chief Financial Officer

Phyllis J. Clarke, Controller

Emilie D. Wrapp, Secretary

Vincent S. Noto, Chief Compliance Officer

 

Custodian and Accounting Agent

State Street Bank and Trust Company
State Street Corporation CCB/5

1 Iron Street

Boston, MA 02210

 

Distributor†

AllianceBernstein Investments, Inc.
1345 Avenue of the Americas
New York, NY 10105

 

Transfer Agent†

AllianceBernstein Investor
Services, Inc.
P.O. Box 786003
San Antonio, TX 78278-6003
Toll-Free (800) 221-5672

   

Legal Counsel

Willkie Farr & Gallagher LLP
787 Seventh Avenue
New York, NY 10019

 

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP
300 Madison Avenue
New York, NY 10017

 

1 Member of the Audit Committee, the Nominating, Governance and Compensation Committee and the Independent Directors Committee.

 

2 Member of the Fair Value Pricing Committee.

 

3 The day-to-day management of, and investment decisions for, the International Portfolio and the Tax-Managed International Portfolio are made by the International Team. Ms. Fay and Messrs. Hargis, Lavi, Phelps, Roarty and Yu are the investment professionals with the most significant responsibility for the day-to-day management of the Funds’ portfolios. The day-to-day management of, and investment decisions for, the Emerging Markets Portfolio are made by the Emerging Markets Team. Messrs. D’Auria, Saltiel and Yu are the investment professionals with the most significant responsibility for the day-to-day management of the Fund’s Portfolio.

 

† For the AB International and AB Tax-Managed International Portfolios, Classes A, B, C and Z shares only. For the AB Emerging Markets Portfolio, Class Z shares only.

 

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BOARD’S CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT

 

Tax-Managed International Portfolio

International Portfolio

Emerging Markets Portfolio

Short Duration Diversified Municipal Portfolio

New York Municipal Portfolio

California Municipal Portfolio

Diversified Municipal Portfolio

Short Duration Plus Portfolio

Intermediate Duration Portfolio

Overlay A Portfolio

Tax-Aware Overlay A Portfolio

Overlay B Portfolio

Tax-Aware Overlay B Portfolio

Tax-Aware Overlay C Portfolio

Tax-Aware Overlay N Portfolio

The Fund’s Board of Directors, including the Directors who are not interested persons of the Fund (the “Independent Directors”), unanimously approved the continuation of the Investment Management Agreement between the Sanford C. Bernstein Fund, Inc. (the “Fund”), on behalf of the Tax-Managed International, International, Emerging Markets, Short Duration Diversified Municipal, New York Municipal, California Municipal, Diversified Municipal, Short Duration Plus, Intermediate Duration, Overlay A, Tax-Aware Overlay A, Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios (each, a “Portfolio” and collectively, the “Portfolios”) and AllianceBernstein L.P. (the “Adviser”) (the “Investment Management Agreement”) at a meeting held on October 25-26, 2017. In connection with the process relating to the annual review of the Investment Management Agreement between the Fund and the Adviser, the Adviser received a letter dated August 18, 2017, from counsel to the Independent Directors. The letter contained a list of information requested by the Independent Directors to conduct their annual review. The Board of Directors, including the Independent Directors, met in person in July 2017 and received and reviewed certain information relating to the profitability of the Adviser in 2016 and prior years in relation to its services to the Fund, and received and evaluated extensive additional materials relating to the renewal of the Investment Management Agreement from the Adviser during in-person meetings in September and October 2017. In addition, the Independent Directors received materials prepared by the Senior Officer1 as described below. At the July 27, 2017 meeting, the Independent Directors met separately with independent counsel and the Senior Officer, and met with Seth Bernstein, the Chief Executive Officer of the Adviser, to discuss (among other things) the importance of the Private Client business to the

 

1 Philip Kirstein, the Fund’s Senior Officer, retired effective 12/31/2017.

 

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BOARD’S CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT (continued)

 

Adviser and the role played by the Portfolios, as well as the capabilities the Adviser could provide to clients. On September 28, 2017, the Board of Directors held an in-person meeting to discuss its review of the Investment Management Agreement and the materials the Directors had been provided. Also on September 28, 2017, the Independent Directors met separately with independent counsel and the Senior Officer in executive session. Following the September 28, 2017 meeting, the Independent Directors, through counsel, requested certain additional information which was provided by the Adviser on October 5, 2017. The Independent Directors held a telephonic meeting on October 17, 2017 to discuss the contract renewal materials and supplemental materials. On October 25-26, 2017, the Board of Directors held an in-person meeting to continue their review of the Investment Management Agreement. During this meeting, the Independent Directors met with counsel to the Independent Directors as well as the Fund’s Senior Officer to review the contract renewal materials provided by the Adviser as well as the Senior Officer’s report and conclusions. At the conclusion of this meeting, the Board approved the continuation of the Investment Management Agreement for an additional annual term as described below.

In approving the continuation of the Investment Management Agreement, the Board of Directors, including the Independent Directors, considered all information it deemed reasonably necessary to evaluate the terms of the Agreement and considered whether continuation of the Investment Management Agreement would be in the best interests of each Portfolio.

The Board of Directors also reviewed an independent evaluation prepared by the Fund’s Senior Officer of the reasonableness of the advisory fees in the Investment Management Agreement, wherein the Senior Officer concluded that the contractual fees contained in the Adviser’s proposal were reasonable with respect to all Portfolios and within the range of what would have been negotiated at arms-length in light of the surrounding circumstances.

The matters discussed below were considered separately by the Independent Directors in executive sessions, during which experienced counsel that is independent of the Adviser provided guidance to the Independent Directors. No single factor was considered in isolation or to be determinative to the decision of the Board to approve the continuation of the Investment Management Agreement. Rather, the Board concluded, in light of a weighing and balancing of all factors considered, and in light of the proposal to establish breakpoints for the Overlay A and the Tax-Aware Overlay A Portfolios’ fee schedules, and to reduce fees for the Short Duration Diversified Municipal, Short Duration Plus, Intermediate Duration, Tax-Managed International, International, and Emerging Markets Portfolios,

 

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BOARD’S CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT (continued)

 

effective January 1, 2018, that it was in the best interests of each Portfolio to approve the continuation of the Investment Management Agreement including the fees to be charged for services thereunder, as summarized below.

Fees and Expenses

The Board of Directors, including the Independent Directors, compared the fees and expense ratios of each Portfolio as proposed by the Adviser (before and after any fee waivers and expense reimbursements) against fees and expense ratios of a peer group of funds with similar investment objectives (“peer group”). Both the peer group and the funds within the peer group, with respect to the fee and expense data, were prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data. The Senior Officer also performed analyses of the advisory fees, and compared such analyses to the Portfolios’ peer groups.

The Board also received and considered information about the services rendered, and the fee rates charged, to other clients advised by the Adviser, including information about recent advisory fee changes with respect to other investment companies and non-investment company clients advised by the Adviser.

On the basis of its review and consideration of the fees as described above and the Board’s consideration of the other factors described below, the Board concluded that the contractual advisory fees as proposed are reasonable.

Nature, Extent and Quality of Services

The Board of Directors, including the Independent Directors, considered the nature, quality and extent of services performed by the Adviser and its affiliates gained from their experience as directors of the Fund, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, and the Adviser’s initiative in identifying and raising potential issues with the Directors. The Board also considered the Adviser’s responsiveness, frankness and attention to concerns raised by the Directors from time to time, including the Adviser’s willingness to consider and implement organizational changes designed to improve investment results and the services provided to the Portfolios. The Board also considered the scope and quality of the Adviser’s investment management capabilities, other resources dedicated to performing its services, the quality of its compliance, administrative and other services provided to the Portfolios and the background and experience of the Adviser’s senior management. The Board reviewed the qualifications, backgrounds and responsibilities of the investment staff primarily responsible for day-to-day

 

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BOARD’S CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT (continued)

 

portfolio management services for each Portfolio and noted the Adviser’s commitment to strong research and investment management capabilities throughout changing market environments. The Board reviewed the compliance and administrative services of the Adviser that support the investment advisory services provided to the Portfolios and noted that such staff appeared sufficient to provide a high level of service to the Portfolios. The Board also considered how the organizational capabilities and financial condition of the Adviser may affect the nature and quality of its services. The Board further reviewed information about AXA Financial’s proposed initial public offering (“IPO”) of a minority stake in its US operations, including AXA Group’s interest in the Adviser, and the statements of the Adviser that it will continue to operate as an independent, publicly-traded US asset manager and that the IPO is not anticipated to change the Adviser’s current management structure or strategy.

In considering the nature and quality of the services provided by the Adviser, the Board of Directors, including the Independent Directors, received and considered information about each Portfolio’s investment performance, as well as the performance of its peer group and the performance of an appropriate benchmark index. (The Board recognized that the benchmark indices do not account for fees and expenses incurred by a fund, including the Portfolios.) The Board was provided with performance data versus each Portfolio’s peer group, for the l-year, 3-year, 5-year and 10-year periods, as applicable, ended June 30, 2017 (“relevant periods”) and versus each Portfolio’s benchmark index, for the year to date, l-year, 3-years, 5-years, 10-years and since inception periods, as applicable, ended June 30, 2017. Both the funds included in each Portfolio’s peer group and the comparative performance data were provided to the Directors by Broadridge. The Directors also receive detailed comparative performance information for the Portfolios at each regular Board meeting during the year.

The Directors noted the complexity of the Overlay Portfolios, in particular the complexity of managing the globally diversified set of asset classes and derivatives in which the Overlay Portfolios can invest as well as the complexity of dynamically allocating assets through the Overlay Portfolios among various asset classes as economic and market conditions change in seeking to provide the desired risk/return trade-off for their investors. The Directors also noted the Adviser’s continued efforts to enhance the Overlay Portfolios.

The Board concluded that the Adviser had the experience and resources necessary to provide services of appropriate nature, quality and scope with respect to the Portfolios.

 

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Profitability

The Board of Directors, including the Independent Directors, considered the level of the Adviser’s profits in respect of its management of the Portfolios. The materials provided to the Independent Directors included information indicating the profitability of the Portfolios to the Adviser for calendar years 2015 and 2016, which had been reviewed by an independent consultant retained by the Senior Officer. The Directors reviewed the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and noted that there are many potentially acceptable allocation methodologies for information of this type. The Directors noted that they received information regarding all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to the Adviser’s subsidiaries that provide transfer agency, distribution and brokerage services to the Portfolios, and that they had focused on profitability before taxes and distribution expenses. The Directors also received a presentation at the July 27, 2017 Board meeting from the independent consultant who reviewed the Adviser’s method of calculating profitability. The Directors recognized that it is difficult to make comparisons of profitability among fund advisory contracts because comparative information is not generally publicly available and is affected by numerous factors including different cost accounting methodologies.

After reviewing all relevant factors, the Board of Directors, including the Independent Directors, concluded that the level of the Adviser’s profits in respect of its management of the Portfolios was not excessive.

Economies of Scale

The Board of Directors, including the Independent Directors, considered whether there have been economies of scale in respect of the management of the Portfolios, whether the Portfolios have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale.

At the October 26, 2017 Board meeting, the Directors received the Senior Officer Report which included a discussion of possible economies of scale. The Directors discussed with the Senior Officer possible ways in which any such economies of scale may be shared with the Portfolios, including by investment in enhanced services.

After reviewing the profitability and economies of scale information provided by the Adviser, the Board concluded that the benefits of any economies of scale were appropriately being shared with Portfolio investors by way of, among other things, breakpoint arrangements as currently in effect as well as the new breakpoints proposed for the Overlay A and Tax-Aware Overlay A Portfolios; proposed fee reductions for the Short

 

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BOARD’S CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT (continued)

 

Duration Diversified Municipal, Short Duration Plus, Intermediate Duration, Tax-Managed International, International, and Emerging Markets Portfolios, effective January 1, 2018; the fact that that the New York Municipal Portfolio, California Municipal Portfolio and Diversified Municipal Portfolio had recently implemented advisory fee reductions in 2017; the fact that in the case of the Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios the fee levels initially established had assumed achievement of significant scale and that these Portfolios are considerably smaller in asset size than the Overlay A and Tax-Aware Overlay A Portfolios; expense caps and waivers on select Portfolios; and the Adviser’s continued reinvestment in the business, including by researching and implementing new product enhancements, although the Adviser decreased its operating expenses and staff in recent years. The Directors also noted that, because of the investment by the Overlay A and Tax-Aware Overlay A Portfolios in affiliated portfolios, there are significant waivers of management fees for the Overlay A and Tax-Aware Overlay A Portfolios to reflect their investment in such affiliated portfolios.

Fall-Out Benefits and Other Revenue

The Board of Directors, including the Independent Directors, also took into account so-called “fall-out benefits” to the Adviser, such as soft dollar arrangements (whereby the Adviser receives the benefit of research services from many of the brokers and dealers that execute purchases and sales of securities on behalf of its clients on an agency basis), Rule 12b-1 fees and sales charges received by the principal underwriter (which is a wholly owned subsidiary of the Adviser) with respect to the retail share classes of certain Portfolios, and transfer agency fees paid by the retail share classes of certain Portfolios to a wholly-owned subsidiary of the Adviser. The Directors recognized that the Adviser’s profitability would be lower without these benefits. They also considered other benefits potentially derived from an increase in the Adviser’s business as a result of its relationship with the Fund. The Directors concluded that these fall-out benefits to the Adviser were acceptable.

Advisory Fee Rate Schedule

On the basis of the information considered, the Board determined to approve the continuation of the Investment Management Agreement for an additional annual term, with the addition of breakpoints to the Overlay A and the Tax-Aware Overlay A Portfolios’ fee schedules, and with the reduction of certain other Portfolios’ contractual fee schedules, as set forth below:

 

      Advisory Fee Schedule
Short Duration Diversified Municipal Portfolio    0.30% of the first $750 million; 0.25% of assets in excess of $750 million

 

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BOARD’S CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT (continued)

 

      Advisory Fee Schedule
Short Duration Plus Portfolio    0.35% of the first $750 million; 0.30% of assets in excess of $750 million
  
New York Municipal Portfolio    0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% in excess of $5 billion
  
California Municipal Portfolio    0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% in excess of $5 billion
  
Diversified Municipal Portfolio    0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% in excess of $5 billion up to, but not exceeding $7 billion; 0.225% of assets in excess of $7 billion
  
Intermediate Duration Portfolio    0.45% of the first $2.5 billion; 0.40% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.35% in excess of $5 billion up to, but not exceeding $8 billion; 0.30% of assets in excess of $8 billion
  
Tax-Managed International Portfolio    0.75% of the first $2.5 billion; 0.65% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.60% in excess of $5 billion
  
International Portfolio    0.75% of the first $2.5 billion; 0.65% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.60% in excess of $5 billion
  
Emerging Markets Portfolio    0.95% of the first $2.5 billion; 0.90% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.85% in excess of $5 billion
  
Overlay A Portfolio    0.90% of the first $5 billion; 0.875% in excess of $5 billion
  
Tax-Aware Overlay A Portfolio    0.90% of the first $5 billion; 0.875% in excess of $5 billion
  
Overlay B Portfolio    0.65%
  
Tax-Aware Overlay B Portfolio    0.65%
  
Tax-Aware Overlay C Portfolio    0.65%
  
Tax-Aware Overlay N Portfolio    0.65%

 

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This page is not part of the Shareholder Report or the Financial Statements.

 

 

AB FAMILY OF FUNDS

 

US EQUITY

US CORE

Core Opportunities Fund

FlexFee™ US Thematic Portfolio

Select US Equity Portfolio

US GROWTH

Concentrated Growth Fund

Discovery Growth Fund

FlexFee™ Large Cap Growth Portfolio

Growth Fund

Large Cap Growth Fund

Small Cap Growth Portfolio

US VALUE

Discovery Value Fund

Equity Income Fund

Relative Value Fund

Small Cap Value Portfolio

Value Fund

INTERNATIONAL/ GLOBAL EQUITY

INTERNATIONAL/ GLOBAL CORE

Global Core Equity Portfolio

International Portfolio

International Strategic Core Portfolio

Sustainable Global Thematic Fund

Tax-Managed International Portfolio

Tax-Managed Wealth Appreciation Strategy

Wealth Appreciation Strategy

INTERNATIONAL/ GLOBAL GROWTH

Concentrated International Growth Portfolio

Sustainable International Thematic Fund1

INTERNATIONAL/ GLOBAL EQUITY (continued)

INTERNATIONAL/ GLOBAL VALUE

International Value Fund

FIXED INCOME

MUNICIPAL

High Income Municipal Portfolio

Intermediate California Municipal Portfolio

Intermediate Diversified Municipal Portfolio

Intermediate New York Municipal Portfolio

Municipal Bond Inflation Strategy

Tax-Aware Fixed Income Portfolio

National Portfolio

Arizona Portfolio

California Portfolio

Massachusetts Portfolio

Minnesota Portfolio

New Jersey Portfolio

New York Portfolio

Ohio Portfolio

Pennsylvania Portfolio

Virginia Portfolio

TAXABLE

Bond Inflation Strategy

FlexFee™ High Yield Portfolio1

FlexFee™ International Bond Portfolio

Global Bond Fund

High Income Fund

Income Fund

Intermediate Bond Portfolio

Limited Duration High Income Portfolio

Short Duration Portfolio

ALTERNATIVES

All Market Real Return Portfolio

Global Real Estate Investment Fund

Select US Long/Short Portfolio

Unconstrained Bond Fund

MULTI-ASSET

All Market Income Portfolio

All Market Total Return Portfolio

Conservative Wealth Strategy

Emerging Markets Multi-Asset Portfolio

Global Risk Allocation Fund

Tax-Managed All Market Income Portfolio

TARGET-DATE

Multi-Manager Select Retirement Allocation Fund

Multi-Manager Select 2010 Fund

Multi-Manager Select 2015 Fund

Multi-Manager Select 2020 Fund

Multi-Manager Select 2025 Fund

Multi-Manager Select 2030 Fund

Multi-Manager Select 2035 Fund

Multi-Manager Select 2040 Fund

Multi-Manager Select 2045 Fund

Multi-Manager Select 2050 Fund

Multi-Manager Select 2055 Fund

CLOSED-END FUNDS

Alliance California Municipal Income Fund

AllianceBernstein Global High Income Fund

AllianceBernstein National Municipal Income Fund

 

We also offer Government Money Market Portfolio1, which serves as the money market fund exchange vehicle for the AB mutual funds. An investment in Government Money Market Portfolio is not a deposit in a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.

Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.

 

1 Prior to November 10, 2017, Government Money Market Portfolio was named Government Exchange Reserves; prior to January 8, 2018, Sustainable International Thematic Fund was named International Growth Fund; prior to February 23, 2018, FlexFee High Yield Portfolio was named High Yield Portfolio.

 

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NOTES

 

 

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NOTES

 

 

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LOGO

AB BLENDED STYLE FUNDS

1345 Avenue of the Americas

New York, NY 10105

800 221 5672

 

IPTIP-0152-0318                 LOGO

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MAR    03.31.18

LOGO

 

SEMI-ANNUAL REPORT

AB SHORT DURATION PORTFOLIO

 

 

LOGO

 

Table of Contents

 

 

 
Investment Products Offered  

•  Are Not FDIC Insured • May Lose Value • Are Not Bank Guaranteed

Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.

This shareholder report must be preceded or accompanied by the Fund’s prospectus for individuals who are not current shareholders of the Fund.

You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com, or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.

The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-Q may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC 0330. AB publishes full portfolio holdings for the Fund monthly at www.abfunds.com.

AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.

The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.

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FROM THE ADVISER    LOGO

Dear Shareholder,

We are pleased to provide this report for AB Short Duration Portfolio (the “Portfolio”). Please review the discussion of Portfolio performance, the market conditions during the reporting period and the Portfolio’s investment strategy.

As always, AB strives to keep clients ahead of what’s next by:

 

+   

Transforming uncommon insights into uncommon knowledge with a global research scope

 

+   

Navigating markets with seasoned investment experience and sophisticated solutions

 

+   

Providing thoughtful investment insights and actionable ideas

Whether you’re an individual investor or a multi-billion-dollar institution, we put knowledge and experience to work for you.

AB’s global research organization connects and collaborates across platforms and teams to deliver impactful insights and innovative products. Better insights lead to better opportunities—anywhere in the world.

For additional information about AB’s range of products and shareholder resources, please log on to www.abfunds.com.

Thank you for your investment in the AB Mutual Funds.

Sincerely,

 

LOGO

Robert M. Keith

Senior Vice President of the Adviser

 

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SEMI-ANNUAL REPORT

 

May 22, 2018

This report provides management’s discussion of fund performance for AB Short Duration Portfolio for the semi-annual reporting period ended March 31, 2018.

The investment objective of the Portfolio is to provide safety of principal and a moderate rate of income that is subject to taxes.

NAV RETURNS AS OF MARCH 31, 2018 (unaudited)

 

     6 Months      12 Months  
AB SHORT DURATION PORTFOLIO1      
Class A Shares      -0.57%        -0.33%  
Class B Shares2      -0.74%        -0.65%  
Class C Shares      -0.67%        -0.44%  
ICE BofA ML 1-3 Year US Treasury Index      -0.38%        0.03%  

 

1 Includes the impact of proceeds received and credited to the Portfolio resulting from class-action settlements, which enhanced the performance of the Portfolio for the six- and 12-month periods ended March 31, 2018, by 0.00% and 0.11%, respectively.

 

2 Effective January 31, 2009, Class B shares are no longer available for purchase to new investors. Please see Note 1 for additional information.

INVESTMENT RESULTS

The table above shows performance for the Portfolio compared to its benchmark, the Intercontinental Exchange Bank of America Merrill Lynch (“ICE BofA ML”) 1-3 Year US Treasury Index, for the six- and 12-month periods ended March 31, 2018.

During the six-month period, all share classes of the Portfolio underperformed the benchmark, before sales charges. Exposure to the investment-grade corporates sector detracted from relative performance, while an allocation to commercial mortgage-backed securities contributed. The Portfolio’s yield-curve positioning was also positive, helped by an underweight along the short end of the curve. Security selection within investment-grade corporates was a modest positive.

During the 12-month period, all share classes of the Portfolio underperformed the benchmark, before sales charges. Within the Portfolio’s yield-curve positioning, being long overall duration detracted from relative performance. Sector and security selection contributed in the period.

During both periods, the Portfolio utilized derivatives in the form of currency forwards to hedge currency exposure. Credit default swaps, both single name and index, were used to hedge credit risk as well as to take active credit risk. Treasury futures were used to manage duration and yield-curve positioning.

 

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MARKET REVIEW AND INVESTMENT STRATEGY

Fixed-income markets generally performed well over the six-month period. Emerging-market debt had mixed returns over the period, with some segments of the market helped by increasing oil prices and an improving global growth story, while the rise in global rates weighed on others. Investment-grade credit fell in the period, lagging the positive returns of emerging-market local-currency government bonds and developed-market treasuries, while global high yield had neutral performance. Within high yield, sector performance varied. Transportation and electric utilities had the strongest absolute returns, while communications fell furthest. US Treasury yields rose across the board, though treasury yields in other developed markets moved in different directions.

After some initial uncertainty regarding the US government’s ability to implement meaningful changes, markets reacted with enthusiasm when the Tax Cuts and Jobs Act was passed in December. In Europe, despite some formal progress on Brexit, investor anxiety increased around a bifurcated outlook for the negotiation process. The US Federal Reserve (the “Fed”) raised interest rates, and began to formally reduce its balance sheet, as universally anticipated by markets. The European Central Bank confirmed that its newly reduced pace of asset purchases would continue through September 2018 and further, if necessary.

At the end of the reporting period, a severe spike in volatility shook a broad swath of capital markets. US yields rose dramatically, with the 10-year Treasury yield reaching a four-year peak. In the US, higher-than-expected wage gains and inflation numbers fueled concerns regarding the risk of the Fed tightening monetary policy faster than anticipated and pushed bond yields higher. Additionally, President Trump’s early-March announcement of import tariffs on Chinese steel and aluminum weighed on capital markets around the world, as investors feared the possible onset of a global trade war. Nervous sentiment from the US reverberated across markets around the globe. Elsewhere, the Bank of England said that it too could increase rates faster than previously expected, depending on the strength of the economy.

INVESTMENT POLICIES

The Portfolio invests at least 80% of its total assets in securities rated A or better by national rating agencies (or, if unrated, determined by the Adviser to be of comparable quality) and comparably rated commercial paper and notes. Many types of securities may be purchased by the Portfolio, including corporate bonds, notes, US government and agency securities, asset-backed securities, mortgage-related securities, inflation-protected securities, bank loan debt and preferred stock, as well as others. The Portfolio may also

 

(continued on next page)

 

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invest up to 20% of its total assets in fixed-income foreign securities in developed- or emerging-market countries. The Portfolio may use derivatives, such as options, futures contracts, forward contracts and swaps. The Portfolio may invest up to 20% of its total assets in fixed-income securities rated BB or B by national rating agencies, which are not investment-grade (commonly known as “junk bonds”).

In managing the Portfolio, the Adviser may use interest rate forecasting to estimate the best level of interest rate risk at a given time. The Portfolio seeks to maintain an effective duration of one to three years under normal market conditions. Duration is a measure that relates the expected price volatility of a security to changes in interest rates. The duration of a debt security is the weighted average term to maturity, expressed in years, of the present value of all future cash flows, including coupon payments and principal repayments. Within the range described above, the Adviser may moderately shorten the average duration of the Portfolio when it expects interest rates to rise and modestly lengthen average duration when it anticipates that interest rates will fall.

The Adviser selects securities for purchase or sale based on its assessment of the securities’ risk and return characteristics as well as the securities’ impact on the overall risk and return characteristics of the Portfolio. In making this assessment, the Adviser takes into account various factors including the credit quality and sensitivity to interest rates of the securities under consideration and of the Portfolio’s other holdings.

The Portfolio may enter into foreign currency transactions on a spot (i.e., cash) basis or through the use of derivatives transactions, such as forward currency exchange contracts, currency futures and options thereon, and options on currencies. An appropriate hedge of currency exposure resulting from the Portfolio’s securities positions may not be available or cost effective, or the Adviser may determine not to hedge the positions, possibly even under market conditions where doing so could benefit the Portfolio.

 

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DISCLOSURES AND RISKS

 

Benchmark Disclosure

The ICE BofA ML® 1-3 Year US Treasury Index is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The ICE BofA ML 1-3 Year US Treasury Index represents the performance of US dollar-denominated sovereign debt publicly issued by the US government in its domestic market with a remaining term to final maturity of one to three years. An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Portfolio.

A Word About Risk

Interest Rate Risk: This is the risk that changes in interest rates will affect the value of the Portfolio’s investments in fixed-income debt securities such as bonds and notes. The Portfolio may be subject to a greater risk of rising interest rates due to the current period of historically low rates and the effect of potential government policy initiatives and market reaction to those initiatives. Increases in interest rates may cause the value of the Portfolio’s investments to decline and this decrease in value may not be offset by higher income from new investments. The Portfolio will experience increased interest rate risk to the extent it invests in fixed-income securities with longer maturities or durations. A general rise in interest rates may cause investors to move out of fixed-income securities on a large scale, which could adversely affect the price and liquidity of fixed-income securities and could also result in increased redemptions from a Portfolio that invests largely in fixed-income securities.

Credit Risk: This is the risk that the issuer or the guarantor of a debt security, or the counterparty to a derivatives or other contract, will be unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. The issuer or guarantor may default, potentially causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. The credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security. Investments in fixed-income securities with lower ratings tend to have a higher probability that an issuer will default or fail to meet its payment obligations. At times when credit risk is perceived to be greater, credit “spreads” (i.e., the difference between the yields on lower quality securities and the yields on higher quality securities) may get larger or “widen”. As a result, the values of the lower quality securities may go down more and they may become harder to sell and less liquid.

Duration Risk: The duration of a fixed-income security may be shorter than or equal to full maturity of the fixed-income security. Fixed-income securities with longer durations have more interest rate risk and will

 

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DISCLOSURES AND RISKS (continued)

 

decrease in price as interest rates rise. For example, a fixed-income security with a duration of three years would be expected to decrease in value by approximately 3% if interest rates increase by 1%. Securities that have final maturities longer than their durations may be affected by increased credit spreads to a far greater degree than their durations would suggest, because they are exposed to credit risk until final maturity.

Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Portfolio’s assets can decline as can the value of the Portfolio’s distributions. This risk is significantly greater for fixed-income securities with longer maturities.

Inflation-Protected Securities Risk: The terms of inflation-protected securities provide for the coupon and/or maturity value to be adjusted based on changes in an inflation index. Decreases in the inflation rate or in investors’ expectations about inflation could cause these securities to underperform non-inflation-adjusted securities on a total-return basis. In addition, these securities may have limited liquidity in the secondary market.

Foreign (Non-US) Securities Risk: Investments in foreign securities entail significant risks in addition to those customarily associated with investing in US securities. These risks include risks related to adverse market, economic, political and regulatory factors and social instability, all of which could disrupt the financial markets in which the Portfolio invests and adversely affect the value of the Portfolio’s assets.

Emerging-Markets Securities Risk: The risks of investing in foreign (non-US) securities are heightened with respect to issuers in emerging-market countries because the markets are less developed and less liquid and there may be a greater amount of economic, political and social uncertainty, and these risks are even more pronounced in “frontier” markets, which are investable markets with lower total market capitalization and liquidity than the more developed emerging markets. In addition, the value of the Portfolio’s investments may decline because of factors such as unfavorable or unsuccessful government actions and reduction of government or central bank support.

Derivatives Risk: The Portfolio may use derivatives as direct investments to earn income, enhance return and broaden portfolio diversification, which entail greater risk than if used solely for hedging purposes. In addition to other risks such as the credit risk of the counterparty, derivatives involve the risk that changes in the value of the derivative may not correlate with relevant assets, rates or indices. Derivatives may be illiquid and difficult to price or unwind, and small changes may produce disproportionate losses for the Portfolio. Certain derivatives have the potential for unlimited loss,

 

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DISCLOSURES AND RISKS (continued)

 

regardless of the size of the initial investment. Assets required to be set aside or posted to cover or secure derivatives positions may themselves go down in value, and these collateral and other requirements may limit investment flexibility. Some derivatives involve leverage, which can make the Portfolio more volatile and can compound other risks. Use of derivatives may have different tax consequences for the Portfolio than an investment in the underlying security, and such differences may affect the amount, timing and character of income distributed to shareholders. The US government and foreign governments are in the process of adopting and implementing regulations governing derivatives markets, including mandatory clearing of certain derivatives, margin, reporting and registration requirements. The ultimate impact of the regulations remains unclear. Additional regulation may make derivatives more costly, limit their availability or utility, otherwise adversely affect their performance, or disrupt markets.

Mortgage-Related Securities Risk: Mortgage-related securities represent interests in “pools” of mortgages, including consumer loans or receivables held in trust. Mortgage-related securities are subject to credit, interest rate, prepayment and extension risks. These securities also are subject to risk of default on the underlying mortgage, particularly during periods of economic downturn. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-related securities.

Prepayment and Extension Risk: Prepayment risk is the risk that a loan, bond or other security might be called or otherwise converted, prepaid or redeemed before maturity. If this happens, particularly during a time of declining interest rates or credit spreads, the Portfolio will not benefit from the rise in market price that normally accompanies a decline in interest rates, and may not be able to invest the proceeds in securities providing as much income, resulting in a lower yield to the Portfolio. Conversely, extension risk is the risk that as interest rates rise or spreads widen, payments of securities may occur more slowly than anticipated by the market. If this happens, the values of these securities may go down because their interest rates are lower than current market rates and they remain outstanding longer than anticipated.

Subordination Risk: The Portfolio may invest in securities that are subordinated to more senior securities of an issuer, or which represent interests in pools of such subordinated securities. Subordinated securities will be disproportionately affected by a default or even a perceived decline in creditworthiness of the issuer. Subordinated securities are more likely to suffer a credit loss than non-subordinated securities of the same issuer, any loss incurred by the subordinated securities is likely to be proportionately greater, and any recovery of interest or principal may take more time.

 

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DISCLOSURES AND RISKS (continued)

 

Management Risk: The Portfolio is subject to management risk because it is an actively managed investment portfolio. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolio, but these techniques, analyses and decisions may not work as intended or may not produce the desired results. In some cases, derivatives and other investment techniques may be unavailable or the Adviser may determine not to use them, possibly even under market conditions where their use could benefit the Portfolio. In addition, the Adviser may change the Portfolio’s investment strategies or policies from time to time. Those changes may not lead to the results intended by the Adviser and could have an adverse effect on the value or performance of the Portfolio.

Liquidity Risk: Liquidity risk exists when particular investments are difficult to purchase or sell, possibly preventing the Portfolio from selling out of these illiquid or relatively less liquid securities at an advantageous price. Over recent years, regulatory changes have led to reduced liquidity in the marketplace, and the capacity of dealers to make markets in fixed-income securities has been outpaced by the growth in the size of the fixed-income markets. Liquidity risk may be magnified in a rising interest rate environment, where the value and liquidity of fixed-income securities generally go down. Derivatives and securities involving substantial market and credit risk tend to involve greater liquidity risk. Illiquid securities and relatively less liquid securities may also be difficult to value.

Redemption Risk: The Portfolio may experience heavy redemptions that could cause the Portfolio to liquidate its assets at inopportune times or at a loss or depressed value, which could cause the value of your investment to decline. Redemption risk is heightened during periods of overall market turmoil.

Foreign Currency Risk: This is the risk that changes in foreign (non-US) currency exchange rates may negatively affect the value of the Portfolio’s investments or reduce the returns of the Portfolio. For example, the value of the Portfolio’s investments in foreign securities and foreign currency positions may decrease if the US dollar is strong (i.e., gaining value relative to other currencies) and other currencies are weak (i.e., losing value relative to the US dollar).

Actions by a Few Major Investors: In certain countries, volatility may be heightened by actions of a few major investors. For example, substantial increases or decreases in cash flows of mutual funds investing in these markets could significantly affect local securities prices and, therefore, share prices of the Portfolio.

 

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DISCLOSURES AND RISKS (continued)

 

Market Risk: The Portfolio is subject to market risk, which is the risk that bond prices in general may decline over short or extended periods. In the past decade, financial markets in the United States, Europe and elsewhere have experienced increased volatility, decreased liquidity and heightened uncertainty. These market conditions may recur from time to time and have an adverse impact on various securities markets. The US government and the Federal Reserve, as well as certain foreign governments and central banks, have taken steps to support financial markets. Other governments have tried to support markets by buying stocks and through other market interventions. Government intervention may not work as intended, particularly if the efforts are perceived by investors as being unlikely to achieve the desired results. The Federal Reserve has reduced its market support activities and has begun raising interest rates. Further Federal Reserve or other US or non-US governmental or central bank actions, including interest rate increases or decreases, could negatively affect financial markets generally, increase market volatility and reduce the value and liquidity of securities in which the Portfolio invests.

Current political uncertainty surrounding the European Union (the “EU”) and its membership may increase market volatility. The United Kingdom has voted to withdraw from the EU, and one or more other countries may withdraw from the EU and/or abandon the Euro, the common currency of the EU. The financial instability of some countries in the EU, together with the risk of that financial instability impacting other more stable countries, may increase the risk of investing in companies in Europe and worldwide. In addition, policy and legislative changes in the United States and in other countries are affecting many aspects of financial regulation, and may in some instances contribute to decreased liquidity and increased volatility in the financial markets. The impact of these changes, and the practical implications for market participants, may not be fully known for some time.

Economies and financial markets throughout the world are becoming increasingly interconnected. Economic, financial or political events, trading and tariff arrangements, terrorism, natural disasters and other circumstances in one country or region could have profound impacts on global economies or markets. As a result, whether or not the Portfolio invests in securities of issuers located in or with significant exposure to countries experiencing economic and financial difficulties, the value and liquidity of the Portfolio’s investments may be negatively affected.

Lower-rated Securities Risk: Lower-rated securities, or junk bonds/high-yield securities, are subject to greater risk of loss of principal and interest and greater market risk than higher-rated securities. The capacity of issuers of lower-rated securities to pay interest and repay principal is more likely to weaken than is that of issuers of higher-rated securities in times of deteriorating economic conditions or rising interest rates.

 

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DISCLOSURES AND RISKS (continued)

 

Riskier than a Money-Market Fund: Although the Portfolio maintains a short overall duration, it invests in securities with longer maturities and in some cases lower quality than the assets of the type of mutual fund known as a money-market fund. The risk of a decline in the market value of the Portfolio is greater than for a money-market fund since the credit quality of the Portfolio’s securities may be lower and the effective duration of the Portfolio will be longer.

These risks are fully discussed in the Portfolio’s prospectus. As with all investments, you may lose money by investing in the Portfolio.

An Important Note About Historical Performance

The investment return and principal value of an investment in the Portfolio will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by visiting www.abfunds.com.

All fees and expenses related to the operation of the Portfolio have been deducted. Net asset value (“NAV”) returns do not reflect sales charges; if sales charges were reflected, the Portfolio’s quoted performance would be lower. SEC returns reflect the applicable sales charges for each share class: a 4.25% maximum front-end sales charge for Class A shares; the applicable contingent deferred sales charge for Class B shares (3% year 1, 2% year 2, 1% year 3) and a 1% 1-year contingent deferred sales charge for Class C shares. Returns for the different share classes will vary due to different expenses associated with each class. Performance assumes reinvestment of distributions and does not account for taxes.

 

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HISTORICAL PERFORMANCE

 

AVERAGE ANNUAL RETURNS AS OF MARCH 31, 2018 (unaudited)

 

    NAV Returns    

SEC Returns

(reflects applicable
sales charges)

     SEC
Yields1		  
CLASS A SHARES         1.14%  
1 Year     -0.33%       -4.57%    
5 Years     0.06%       -0.81%    
10 Years     0.81%       0.37%    
CLASS B SHARES         0.26%  
1 Year     -0.65%       -3.63%    
5 Years     -0.18%       -0.18%    
10 Years2     0.48%       0.48%    
CLASS C SHARES         0.45%  
1 Year     -0.44%       -1.43%    
5 Years     -0.14%       -0.14%    
10 Years     0.42%       0.42%    

SEC AVERAGE ANNUAL RETURNS

AS OF THE MOST RECENT CALENDAR QUARTER-END

MARCH 31, 2018 (unaudited)

 

    

SEC Returns

(reflects applicable
sales charges)

  
CLASS A SHARES   
1 Year      -4.57%  
5 Years      -0.81%  
10 Years      0.37%  
CLASS B SHARES   
1 Year      -3.63%  
5 Years      -0.18%  
10 Years2      0.48%  
CLASS C SHARES   
1 Year      -1.43%  
5 Years      -0.14%  
10 Years      0.42%  

The Portfolio’s current prospectus fee table shows the Portfolio’s total annual operating expense ratios as 1.03%, 1.86% and 1.76% for Class A, Class B and Class C shares, respectively. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.

 

1 SEC yields are calculated based on SEC guidelines for the 30-day period ended March 31, 2018.

 

2 Assumes conversion of Class B shares into Class A shares after six years.

 

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EXPENSE EXAMPLE

(unaudited)

 

As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

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EXPENSE EXAMPLE (continued)

 

 

    Beginning
Account Value
October 1, 2017		     Ending
Account Value
March 31, 2018		     Expenses Paid
During Period*		     Annualized
Expense Ratio*		  
Class A        

Actual

   $     1,000     $ 994.30     $     5.22       1.05 % 

Hypothetical**

   $ 1,000     $ 1,019.70     $ 5.29       1.05 % 
Class B        

Actual

   $ 1,000     $ 992.60     $ 7.00       1.41 % 

Hypothetical**

   $ 1,000     $ 1,017.90     $ 7.09       1.41 % 
Class C        

Actual

   $ 1,000     $ 993.30     $ 6.21       1.25 % 

Hypothetical**

   $ 1,000     $     1,018.70     $ 6.29       1.25 % 

 

* Expenses are equal to the classes’ annualized expense ratios multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

 

** Assumes 5% annual return before expenses.

 

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PORTFOLIO SUMMARY

March 31, 2018 (unaudited)

 

PORTFOLIO STATISTICS

Net Assets ($mil): $223.2

 

 

 

LOGO

 

1 All data are as of March 31, 2018. The Portfolio’s security type breakdown is expressed as a percentage of total investments and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Schedule of Investments” section of the report for additional details).

 

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PORTFOLIO OF INVESTMENTS

March 31, 2018 (unaudited)

 

          Principal
Amount
(000)		      U.S. $ Value  

 

  

GOVERNMENTS – TREASURIES – 31.7%

       

United States – 31.7%

       

U.S. Treasury Notes
0.875%, 9/15/19

     U.S.$       3,150      $ 3,088,182  

1.125%, 9/30/21

       6,176        5,899,045  

1.375%, 7/31/19-2/15/20

       32,161        31,767,196  

1.375%, 1/31/21(a)

       12,439        12,093,040  

1.50%, 8/15/20

       4,333        4,250,402  

1.625%, 12/31/19

       13,866        13,716,013  
      

 

 

  

Total Governments-Treasuries
(cost $71,381,931)

          70,813,878  
      

 

 

  
      

CORPORATES – INVESTMENT
GRADE – 21.5%

       

Financial Institutions – 13.4%

       

Banking – 13.0%

       

ABN AMRO Bank NV
2.50%, 10/30/18(b)

       1,249        1,247,551  

American Express Credit Corp.
2.125%, 3/18/19

       684        680,293  

Banco Santander SA
3.50%, 4/11/22

       200        199,146  

Bank of Montreal
1.35%, 8/28/18

       1,109        1,104,242  

Banque Federative du Credit Mutuel SA
2.75%, 10/15/20(b)

       235        232,044  

BB&T Corp.
2.25%, 2/01/19

       834        830,747  

BNP Paribas SA
2.375%, 5/21/20

       925        913,142  

Capital One NA/Mclean VA
1.85%, 9/13/19

       1,000        983,190  

Citigroup, Inc.
2.05%, 6/07/19

       717        710,468  

3.142%, 1/24/23

       650        642,369  

Cooperatieve Rabobank UA/NY
2.25%, 1/14/20

       250        246,818  

Danske Bank A/S
1.65%, 9/06/19(b)

       1,000        983,540  

Deutsche Bank AG
Series G
2.85%, 5/10/19

       717        714,512  

Goldman Sachs Group, Inc. (The)
2.905% (LIBOR 3 Month + 1.16%),
4/23/20(c)

       730        740,081  

Huntington National Bank (The)
2.20%, 11/06/18

       940        936,484  

2.375%, 3/10/20

       650        641,128  

 

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PORTFOLIO OF INVESTMENTS (continued)

 

          Principal
Amount
(000)		      U.S. $ Value  

 

  

ING Bank NV
2.50%, 10/01/19(b)

     U.S.$       1,000      $ 993,526  

ING Groep NV
3.15%, 3/29/22

       589        581,278  

JPMorgan Chase & Co.
2.295%, 8/15/21

       474        460,297  

KeyBank NA/Cleveland OH
1.70%, 6/01/18

       1,270        1,268,197  

Manufacturers & Traders Trust Co.
2.30%, 1/30/19

       950        946,371  

Morgan Stanley
5.625%, 9/23/19

       740        767,920  

Nordea Bank AB
2.375%, 4/04/19(b)

       975        971,548  

PNC Bank NA
1.80%, 11/05/18

       940        935,714  

1.995% (LIBOR 3 Month + 0.25%),
1/22/21(c)

       875        873,355  

Royal Bank of Canada
Series G
1.80%, 7/30/18

       825        823,152  

Santander UK Group Holdings PLC
2.875%, 8/05/21

       800        784,624  

Sumitomo Mitsui Banking Corp.
1.966%, 1/11/19

       1,039        1,032,652  

Svenska Handelsbanken AB
1.50%, 9/06/19

       995        975,140  

US Bank NA/Cincinnati OH
1.40%, 4/26/19

       870        858,707  

2.24% (LIBOR 3 Month + 0.48%),
10/28/19(c)

       714        716,799  

Wells Fargo & Co.
2.125%, 4/22/19

       1,190        1,181,967  

3.069%, 1/24/23

       554        544,831  

Westpac Banking Corp.
1.60%, 8/19/19

       292        287,243  

1.65%, 5/13/19

       1,150        1,135,820  

2.65%, 1/25/21

       1,002        990,307  
      

 

 

  
         28,935,203  
      

 

 

  

Insurance – 0.4%

 

Pricoa Global Funding I
1.45%, 9/13/19(b)

       834        816,786  

Principal Life Global Funding II
1.50%, 4/18/19(b)

       197        194,656  
      

 

 

  
         1,011,442  
      

 

 

  
         29,946,645  
      

 

 

  

 

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PORTFOLIO OF INVESTMENTS (continued)

 

          Principal
Amount
(000)		      U.S. $ Value  

 

  

Industrial – 7.3%

 

Basic – 0.3%

 

Dow Chemical Co. (The)
8.55%, 5/15/19

     U.S.$       584      $ 619,747  
      

 

 

  

Capital Goods – 0.4%

 

Caterpillar Financial Services Corp.
1.931%, 10/01/21

       272        262,213  

2.10%, 1/10/20

       729        720,675  
      

 

 

  
         982,888  
      

 

 

  

Communications - Media – 0.4%

 

NBCUniversal Media LLC
5.15%, 4/30/20

       734        765,937  
      

 

 

  

Communications - Telecommunications – 0.3%

 

AT&T, Inc.
2.85%, 2/14/23

       620        623,199  
      

 

 

  

Consumer Cyclical - Automotive – 2.4%

 

American Honda Finance Corp.
1.20%, 7/12/19

       988        970,156  

Daimler Finance North America LLC
1.50%, 7/05/19(b)

       1,125        1,105,909  

General Motors Financial Co., Inc.
3.10%, 1/15/19

       800        800,952  

3.15%, 1/15/20

       667        666,113  

Harley-Davidson Financial Services, Inc.
2.25%, 1/15/19(b)

       930        925,192  

Hyundai Capital Services, Inc.
1.625%, 8/30/19(b)

       830        812,339  
      

 

 

  
         5,280,661  
      

 

 

  

Consumer Cyclical - Retailers – 0.1%

 

Lowe’s Cos., Inc.
1.15%, 4/15/19

       228        224,744  
      

 

 

  

Consumer Non-Cyclical – 1.2%

 

Anheuser-Busch InBev Finance, Inc.
1.90%, 2/01/19

       688        686,273  

CVS Health Corp.
3.35%, 3/09/21

       369        371,033  

Kroger Co. (The)
6.15%, 1/15/20

       609        642,745  

Molson Coors Brewing Co.
2.25%, 3/15/20

       267        263,227  

Mylan NV
2.50%, 6/07/19

       709        703,874  
      

 

 

  
         2,667,152  
      

 

 

  

 

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PORTFOLIO OF INVESTMENTS (continued)

 

          Principal
Amount
(000)		      U.S. $ Value  

 

  

Energy – 1.0%

 

Schlumberger Holdings Corp.
2.35%, 12/21/18(b)

     U.S.$       1,234      $ 1,230,718  

TransCanada PipeLines Ltd.
9.875%, 1/01/21

       290        340,460  

Williams Partners LP
4.125%, 11/15/20

       742        754,109  
      

 

 

  
         2,325,287  
      

 

 

  

Services – 0.4%

 

Visa, Inc.
2.20%, 12/14/20

       984        968,394  
      

 

 

  

Technology – 0.8%

 

Hewlett Packard Enterprise Co.
2.10%, 10/04/19(b)

       438        432,078  

Microsoft Corp.
1.10%, 8/08/19

       700        688,065  

QUALCOMM, Inc.
1.40%, 5/18/18

       670        669,022  
      

 

 

  
         1,789,165  
      

 

 

  
         16,247,174  
      

 

 

  

Utility – 0.8%

       

Electric – 0.8%

       

Dominion Energy, Inc.
Series B
1.60%, 8/15/19

       704        691,877  

Exelon Generation Co. LLC
2.95%, 1/15/20

       354        352,910  

Georgia Power Co.
1.95%, 12/01/18

       775        770,683  
      

 

 

  
         1,815,470  
      

 

 

  

Total Corporates – Investment Grade
(cost $48,497,369)

          48,009,289  
      

 

 

  
      

ASSET-BACKED SECURITIES –14.4%

       

Autos - Fixed Rate – 7.3%

       

Ally Auto Receivables Trust
Series 2015-2, Class A3
1.49%, 11/15/19

       128        127,816  

Ally Master Owner Trust
Series 2015-3, Class A
1.63%, 5/15/20

       916        915,082  

Americredit Automobile Receivables Trust
Series 2016-4, Class A2A
1.34%, 4/08/20

       149        148,836  

AmeriCredit Automobile Receivables Trust
Series 2017-3, Class A2A
1.69%, 12/18/20

       266        265,121  

 

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PORTFOLIO OF INVESTMENTS (continued)

 

          Principal
Amount
(000)		      U.S. $ Value  

 

  

Avis Budget Rental Car Funding AESOP LLC
Series 2013-2A, Class A
2.97%, 2/20/20(b)

     U.S.$       1,533      $ 1,534,841  

Bank of The West Auto Trust
Series 2015-1, Class A3
1.31%, 10/15/19(b)

       58        58,163  

CarMax Auto Owner Trust
Series 2015-4, Class A3
1.56%, 11/16/20

       847        842,519  

Chrysler Capital Auto Receivables Trust
Series 2015-BA, Class A3
1.91%, 3/16/20(b)

       111        110,825  

CPS Auto Receivables Trust
Series 2017-D, Class A
1.87%, 3/15/21(b)

       492        489,650  

CPS Auto Trust
Series 2017-A, Class A
1.68%, 8/17/20(b)

       218        217,791  

Drive Auto Receivables Trust
Series 2017-AA, Class A3
1.77%, 1/15/20(b)

       28        27,569  

DT Auto Owner Trust
Series 2017-3A, Class A
1.73%, 8/17/20(b)

       146        146,046  

Series 2018-1A, Class A
2.59%, 5/17/21(b)

       438        437,743  

Exeter Automobile Receivables Trust
Series 2016-3A, Class A
1.84%, 11/16/20(b)

       77        77,208  

Series 2017-2A, Class A
2.11%, 6/15/21(b)

       209        208,425  

Fifth Third Auto Trust
Series 2014-3, Class A4
1.47%, 5/17/21

       479        477,577  

Flagship Credit Auto Trust
Series 2016-3, Class A1
1.61%, 12/15/19(b)

       33        32,861  

Series 2016-4, Class A2
1.96%, 2/16/21(b)

       870        866,750  

Series 2017-3, Class A
1.88%, 10/15/21(b)

       310        307,415  

Series 2017-4, Class A
2.07%, 4/15/22(b)

       275        272,974  

Ford Credit Auto Owner Trust
Series 2014-2, Class A
2.31%, 4/15/26(b)

       1,062        1,056,055  

 

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PORTFOLIO OF INVESTMENTS (continued)

 

          Principal
Amount
(000)		      U.S. $ Value  

 

  

Series 2016-1, Class A
2.31%, 8/15/27(b)

     U.S.$       607      $ 596,990  

Ford Credit Floorplan Master Owner Trust
Series 2016-1, Class A1
1.76%, 2/15/21

       489        485,058  

Series 2017-1, Class A1
2.07%, 5/15/22

       660        650,077  

Series 2017-2, Class A1
2.16%, 9/15/22

       558        550,055  

GMF Floorplan Owner Revolving Trust
Series 2015-1, Class A1
1.65%, 5/15/20(b)

       469        468,354  

Series 2016-1, Class A1
1.96%, 5/17/21(b)

       711        705,158  

Harley-Davidson Motorcycle Trust
Series 2015-1, Class A3
1.41%, 6/15/20

       148        147,379  

Hertz Vehicle Financing II LP
Series 2015-1A, Class A
2.73%, 3/25/21(b)

       546        541,765  

Series 2015-2A, Class A
2.02%, 9/25/19(b)

       470        468,203  

Series 2016-1A, Class A
2.32%, 3/25/20(b)

       566        562,979  

Hertz Vehicle Financing LLC
Series 2013-1A, Class A2
1.83%, 8/25/19(b)

       653        652,067  

Honda Auto Receivables Owner Trust
Series 2015-4, Class A3
1.23%, 9/23/19

       371        369,477  

Santander Drive Auto Receivables Trust
Series 2017-3, Class A2
1.85%, 6/15/20

       247        246,300  

Westlake Automobile Receivables Trust
Series 2016-2A, Class A2
1.57%, 6/17/19(b)

       20        20,293  

Series 2018-1A, Class A1
1.75%, 2/15/19(b)

       246        246,071  

Wheels SPV 2 LLC
Series 2016-1A, Class A3
1.87%, 5/20/25(b)

       841        830,782  
      

 

 

  
         16,162,275  
      

 

 

  

Credit Cards - Fixed Rate – 3.3%

       

Barclays Dryrock Issuance Trust
Series 2014-3, Class A
2.41%, 7/15/22

       1,050        1,045,956  

 

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Table of Contents

 

PORTFOLIO OF INVESTMENTS (continued)

 

          Principal
Amount
(000)		      U.S. $ Value  

 

  

Series 2015-2, Class A
1.56%, 3/15/21

     U.S.$       534      $ 533,568  

Series 2015-4, Class A
1.72%, 8/16/21

       523        520,956  

GE Capital Credit Card Master Note Trust
Series 2012-2, Class A
2.22%, 1/15/22

       995        992,450  

Synchrony Credit Card Master Note Trust
Series 2015-3, Class A
1.74%, 9/15/21

       650        647,782  

Series 2016-1, Class A
2.04%, 3/15/22

       684        680,840  

World Financial Network Credit Card Master Trust
Series 2016-B, Class A
1.44%, 6/15/22

       1,015        1,010,809  

Series 2017-B, Class A
1.98%, 6/15/23

       470        465,165  

Series 2017-C, Class A
2.31%, 8/15/24

       935        918,806  

Series 2018-A, Class A
3.07%, 12/16/24

       590        589,515  
      

 

 

  
         7,405,847  
      

 

 

  

Credit Cards - Floating Rate – 1.8%

       

Chase Issuance Trust
Series 2013-A6, Class A6
2.197% (LIBOR 1 Month + 0.42%), 7/15/20(c)

       1,991        1,992,959  

Discover Card Execution Note Trust
Series 2014-A1, Class A1
2.207% (LIBOR 1 Month + 0.43%), 7/15/21(c)

       895        897,121  

World Financial Network Credit Card Master Trust
Series 2015-A, Class A
2.257% (LIBOR 1 Month + 0.48%), 2/15/22(c)

       1,123        1,123,161  
      

 

 

  
         4,013,241  
      

 

 

  

Other ABS - Fixed Rate – 1.6%

       

CLUB Credit Trust
Series 2017-P1, Class A
2.42%, 9/15/23(b)(d)

       514        512,578  

CNH Equipment Trust
Series 2014-B, Class A4
1.61%, 5/17/21

       607        606,500  

 

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PORTFOLIO OF INVESTMENTS (continued)

 

          Principal
Amount
(000)		      U.S. $ Value  

 

  

Series 2015-A, Class A4
1.85%, 4/15/21

     U.S.$       546      $ 542,614  

Marlette Funding Trust
Series 2016-1A, Class A
3.06%, 1/17/23(b)(d)

       39        39,193  

Series 2017-1A, Class A
2.827%, 3/15/24(b)(d)

       171        170,535  

Series 2017-2A, Class A
2.39%, 7/15/24(b)(d)

       236        235,626  

Series 2017-3A, Class A
2.36%, 12/15/24(b)(d)

       182        181,674  

Series 2017-3A, Class B
3.01%, 12/15/24(b)(d)

       166        164,536  

SoFi Consumer Loan Program LLC
Series 2016-2, Class A
3.09%, 10/27/25(b)(d)

       174        173,735  

Series 2016-3, Class A
10.60%, 12/26/25(b)(d)

       257        257,062  

Series 2017-2, Class A
3.28%, 2/25/26(b)(d)

       307        307,928  

Series 2017-5, Class A2
2.78%, 9/25/26(b)(d)

       430        423,508  
      

 

 

  
         3,615,489  
      

 

 

  

Autos - Floating Rate – 0.4%

       

Ford Credit Floorplan Master Owner Trust
Series 2015-2, Class A2
2.347% (LIBOR 1 Month + 0.57%), 1/15/22(c)

       836        840,898  
      

 

 

  

Total Asset-Backed Securities
(cost $32,164,861)

          32,037,750  
      

 

 

  
      

COMMERCIAL MORTGAGE-BACKED SECURITIES – 8.3%

       

Non-Agency Fixed Rate CMBS – 6.7%

       

CCUBS Commercial Mortgage Trust
Series 2017-C1, Class A4
3.544%, 11/15/50

       645        639,836  

Citigroup Commercial Mortgage Trust
Series 2013-GC11, Class XA
1.519%, 4/10/46(e)

       10,002        533,197  

Series 2015-GC29, Class A2
2.674%, 4/10/48

       848        845,469  

Commercial Mortgage Trust
Series 2013-CR6, Class A2
2.122%, 3/10/46

       84        83,841  

Series 2013-LC6, Class XA
1.418%, 1/10/46(e)

       3,541        193,875  

 

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PORTFOLIO OF INVESTMENTS (continued)

 

          Principal
Amount
(000)		      U.S. $ Value  

 

  

Series 2014-CR16, Class A2
3.042%, 4/10/47

   U.S.$       1,068      $ 1,070,985  

Series 2014-CR19, Class A2
2.965%, 8/10/47

       1,300        1,303,753  

GS Mortgage Securities Corp. II
Series 2013-GC10, Class XA
1.549%, 2/10/46(e)

       9,157        530,713  

JP Morgan Chase Commercial Mortgage Securities Trust
Series 2010-C2, Class D
5.662%, 11/15/43(b)(d)

       546        557,061  

Series 2013-C13, Class A2
2.665%, 1/15/46

       1,135        1,134,374  

Series 2013-C16, Class A2
3.07%, 12/15/46

       672        671,886  

JPMBB Commercial Mortgage Securities Trust
Series 2013-C15, Class A2
2.977%, 11/15/45

       766        766,013  

Series 2014-C22, Class XA
0.913%, 9/15/47(e)

       11,438        503,390  

Series 2015-C28, Class A2
2.773%, 10/15/48

       1,042        1,038,430  

Series 2015-C29, Class A2
2.921%, 5/15/48

       500        499,679  

LSTAR Commercial Mortgage Trust
Series 2014-2, Class A2
2.767%, 1/20/41(b)

       41        40,688  

Series 2016-4, Class A2
2.579%, 3/10/49(b)

       587        568,958  

Morgan Stanley Bank of America Merrill Lynch Trust
Series 2014-C17, Class A2
3.119%, 8/15/47

       910        914,393  

Series 2015-C23, Class A2
2.982%, 7/15/50

       775        776,010  

Morgan Stanley Capital I Trust
Series 2005-IQ9, Class D
5.00%, 7/15/56(d)

       335        332,125  

Wells Fargo Commercial Mortgage Trust
Series 2015-NXS1, Class A2
2.632%, 5/15/48

       464        462,912  

WF-RBS Commercial Mortgage Trust
Series 2011-C2, Class C
5.392%, 2/15/44(b)(d)

       516        535,345  

Series 2012-C10, Class XA
1.58%, 12/15/45(b)(e)

       1,213        72,151  

Series 2012-C6, Class XA
2.089%, 4/15/45(b)(e)

       696        43,486  

 

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PORTFOLIO OF INVESTMENTS (continued)

 

          Principal
Amount
(000)		      U.S. $ Value  

 

  

Series 2014-C24, Class A2
2.863%, 11/15/47

     U.S.$       750      $ 747,478  
      

 

 

  
         14,866,048  
      

 

 

  

Non-Agency Floating Rate CMBS – 1.0%

       

BX Trust
Series 2017-IMC, Class A
2.827% (LIBOR 1 Month + 1.05%),
10/15/32(b)(c)

       540        540,337  

Great Wolf Trust
Series 2017-WOLF, Class A
2.777% (LIBOR 1 Month + 0.85%),
9/15/34(b)(c)

       459        459,629  

JP Morgan Chase Commercial Mortgage Securities Trust
Series 2015-SGP, Class A
3.477% (LIBOR 1 Month + 1.70%),
7/15/36(b)(c)

       405        403,708  

Starwood Retail Property Trust
Series 2014-STAR, Class A
2.997% (LIBOR 1 Month + 1.22%),
11/15/27(b)(c)

       897        897,309  
      

 

 

  
         2,300,983  
      

 

 

  

Agency CMBS – 0.6%

       

Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates
Series K033, Class A1
2.871%, 2/25/23

       1,348        1,344,917  

Government National Mortgage Association
Series 2006-51, Class IO
0.938%, 8/16/46(e)

       429        2,471  
      

 

 

  
         1,347,388  
      

 

 

  

Total Commercial Mortgage-Backed Securities
(cost $18,849,824)

          18,514,419  
      

 

 

  
      

COLLATERALIZED MORTGAGE OBLIGATIONS – 7.2%

       

Risk Share Floating Rate – 3.0%

       

Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
Series 2015-DN1, Class M3
6.022% (LIBOR 1 Month + 4.15%),
1/25/25(c)

       444        478,791  

Series 2015-DNA3, Class M2
4.722% (LIBOR 1 Month + 2.85%),
4/25/28(c)

       684        709,396  

 

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PORTFOLIO OF INVESTMENTS (continued)

 

          Principal
Amount
(000)		      U.S. $ Value  

 

  

Series 2015-HQ2, Class M2
3.822% (LIBOR 1 Month + 1.95%),
5/25/25(c)

     U.S.$       725      $ 744,464  

Series 2015-HQA1, Class M2
4.522% (LIBOR 1 Month + 2.65%),
3/25/28(c)

       475        484,619  

Series 2016-DNA3, Class M1
2.972% (LIBOR 1 Month + 1.10%),
12/25/28(c)

       51        51,171  

Series 2016-DNA4, Class M1
2.672% (LIBOR 1 Month + 0.80%),
3/25/29(c)

       139        139,044  

Series 2016-HQA1, Class M1
3.622% (LIBOR 1 Month + 1.75%),
9/25/28(c)

       18        17,838  

Series 2016-HQA2, Class M2
4.122% (LIBOR 1 Month + 2.25%),
11/25/28(c)

       542        553,315  

Series 2017-DNA1, Class M1
3.072% (LIBOR 1 Month + 1.20%),
7/25/29(c)

       298        300,698  

Federal National Mortgage Association Connecticut Avenue Securities
Series 2013-C01, Class M1
3.872% (LIBOR 1 Month + 2.00%),
10/25/23(c)

       60        60,006  

Series 2013-C01, Class M2
7.122% (LIBOR 1 Month + 5.25%),
10/25/23(c)

       265        308,415  

Series 2014-C01, Class M1
3.472% (LIBOR 1 Month + 1.60%),
1/25/24(c)

       286        287,865  

Series 2014-C02, Class 1M1
2.822% (LIBOR 1 Month + 0.95%),
5/25/24(c)

       253        253,957  

Series 2016-C02, Class 1M1
4.022% (LIBOR 1 Month + 2.15%),
9/25/28(c)

       222        223,167  

Series 2016-C03, Class 1M1
3.872% (LIBOR 1 Month + 2.00%),
10/25/28(c)

       601        609,652  

Series 2016-C03, Class 2M1
4.072% (LIBOR 1 Month + 2.20%),
10/25/28(c)

       146        146,878  

Series 2016-C04, Class 1M1
3.322% (LIBOR 1 Month + 1.45%),
1/25/29(c)

       169        170,094  

 

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PORTFOLIO OF INVESTMENTS (continued)

 

          Principal
Amount
(000)		      U.S. $ Value  

 

  

Series 2016-C05, Class 2M1
3.222% (LIBOR 1 Month + 1.35%),
1/25/29(c)

     U.S.$       120      $ 120,952  

Series 2016-C06, Class 1M1
3.172% (LIBOR 1 Month + 1.30%),
4/25/29(c)

       685        690,786  

Series 2017-C01, Class 1M1
3.172% (LIBOR 1 Month + 1.30%),
7/25/29(c)

       296        298,319  

Wells Fargo Credit Risk Transfer Securities Trust
Series 2015-WF1, Class 2M1
4.722% (LIBOR 1 Month + 2.85%),
11/25/25(c)(f)

       57        57,077  
      

 

 

  
         6,706,504  
      

 

 

  

Agency Floating Rate – 2.2%

       

Federal Home Loan Mortgage Corp. REMICs
Series 4248, Class QF
2.277% (LIBOR 1 Month + 0.50%),
6/15/39(c)

       738        745,567  

Series 4286, Class VF
2.227% (LIBOR 1 Month + 0.45%),
12/15/43(c)

       729        735,282  

Federal National Mortgage Association REMICs
Series 2013-57, Class FN
2.222% (LIBOR 1 Month + 0.35%),
6/25/43(c)

       649        646,862  

Series 2014-49, Class AF
1.895% (LIBOR 1 Month + 0.32%),
8/25/44(c)

       1,080        1,078,687  

NCUA Guaranteed Notes Trust
Series 2010-R3, Class 1A
2.181% (LIBOR 1 Month + 0.56%),
12/08/20(c)

       1,811        1,819,563  
      

 

 

  
         5,025,961  
      

 

 

  

Agency Fixed Rate – 1.7%

       

Federal Home Loan Mortgage Corp. REMICs
Series 3948, Class DA
3.00%, 12/15/24

       768        771,629  

Series 4029, Class NE
2.50%, 3/15/41

       1,373        1,348,462  

Federal National Mortgage Association REMICs
Series 2010-9, Class EA
3.50%, 1/25/24

       172        171,826  

 

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PORTFOLIO OF INVESTMENTS (continued)

 

          Principal
Amount
(000)		      U.S. $ Value  

 

  

Series 2014-54, Class LA
3.00%, 2/25/44

     U.S.$       452      $ 451,784  

Series 2015-72, Class PC
3.00%, 10/25/43

       1,071        1,071,704  
      

 

 

  
         3,815,405  
      

 

 

  

Non-Agency Floating Rate – 0.3%

       

Mortgage Equity Conversion Asset Trust
Series 2007-FF2, Class A
2.51% (H15T 1 Year + 0.47%),
2/25/42(b)(c)

       707        639,618  
      

 

 

  

Total Collateralized Mortgage Obligations
(cost $16,255,113)

          16,187,488  
      

 

 

  
      

INFLATION-LINKED SECURITIES – 5.3%

       

United States – 5.3%

       

U.S. Treasury Inflation Index
0.125%, 4/15/19-4/15/20 (TIPS)

       8,333        8,319,608  

1.125%, 1/15/21 (TIPS)

       3,511        3,590,454  
      

 

 

  

Total Inflation-Linked Securities
(cost $12,028,578)

          11,910,062  
      

 

 

  
      

MORTGAGE PASS-THROUGHS –1.4%

       

Agency Fixed Rate 30-Year – 1.1%

       

Federal National Mortgage Association
Series 2010
5.00%, 2/01/40

       1,515        1,651,099  

Government National Mortgage Association
Series 2002
7.50%, 3/15/32

       73        84,887  

Series 2009
5.00%, 10/15/39

       622        679,504  
      

 

 

  
         2,415,490  
      

 

 

  

Agency Fixed Rate 15-Year – 0.3%

       

Federal Home Loan Mortgage Corp. Gold
Series 2011
5.00%, 7/01/25

       244        254,347  

6.50%, 3/01/26

       379        401,613  

Federal National Mortgage Association
Series 2006
6.00%, 12/01/21

       3        2,993  
      

 

 

  
         658,953  
      

 

 

  

 

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Table of Contents

 

PORTFOLIO OF INVESTMENTS (continued)

 

          Principal
Amount
(000)		      U.S. $ Value  

 

  

Other Agency Fixed Rate Programs – 0.0%

       

Federal National Mortgage Association
Series 2007
3.009%, 1/01/37

     U.S.$       3      $ 3,410  
      

 

 

  

Total Mortgage Pass-Throughs
(cost $3,088,767)

          3,077,853  
      

 

 

  
      

EMERGING MARKETS – CORPORATE BONDS – 0.2%

       

Industrial – 0.2%

       

Energy – 0.2%

       

Petrobras Global Finance BV
5.75%, 2/01/29
(cost $360,215)

       366        354,112  
      

 

 

  
      

SHORT-TERM INVESTMENTS – 9.7%

       

Governments – Treasuries – 9.7%

       

Japan – 9.7%

       

Japan Treasury Discount Bill
Series 729
Zero Coupon, 4/05/18
(cost $20,281,159)

     JPY       2,300,000        21,615,860  
      

 

 

  

Total Investments – 99.7%
(cost $222,907,817)

          222,520,711 (g) 

Other assets less liabilities – 0.3%

          640,846  
      

 

 

  

Net Assets – 100.0%

        $ 223,161,557  
      

 

 

  

FUTURES (see Note 3)

 

Description   Number of
Contracts		     Expiration
Month		    

Notional
(000)

    

Original

Value

    

Value at
March 31,

2018

     Unrealized
Appreciation/
(Depreciation)		  

Purchased Contracts

 

        

U.S. T-Note 2 Yr (CBT) Futures

     317       June 2018       USD         63,400     $   67,410,077     $   67,397,172     $ (12,905 ) 

U.S. T-Note 5 Yr (CBT) Futures

     43       June 2018       USD       4,300       4,901,867       4,921,820       19,953  

Sold Contracts

 

        

U.S. Long Bond (CBT) Futures

     1       June 2018       USD       100       142,702       146,625       (3,923 ) 

U.S. T-Note 10 Yr (CBT) Futures

     26       June 2018       USD       2,600       3,124,432       3,149,656       (25,224 ) 
             

 

 

  
              $   22,099 ) 
             

 

 

  

 

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Table of Contents

 

PORTFOLIO OF INVESTMENTS (continued)

 

FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3)

 

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

Citibank, NA

      JPY        2,307,171        USD        21,745        4/16/18      $     45,908  

CREDIT DEFAULT SWAPS (see Note 3)

 

Swap

Counterparty

&
Referenced
Obligation

   Fixed
Rate
(Pay)
Receive		     Payment
Frequency		     Implied
Credit
Spread at
March 31,
2018		    

Notional
Amount
(000)

     Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

Buy Contracts

                

Citigroup Global Markets, Inc.

 

          

CDX-CMBX.
NA.AAA Series 9, 9/17/58*

     (0.50 )%      Monthly       0.47 %      USD       87     $ 36     $ 1,106     $ (1,070 ) 

Credit Suisse International

 

        

CDX-CMBX.
NA.AAA Series 9, 9/17/58*

     (0.50 )      Monthly       0.47       USD       1,564       651       19,750       (19,099 ) 

Deutsche Bank AG

 

          

CDX-CMBX.
NA.AAA Series 9, 9/17/58*

     (0.50 )      Monthly       0.47       USD       1,048       437       14,268       (13,831 ) 

Sale Contracts

 

          

Citigroup Global Markets, Inc.

 

          

CDX-CMBX.
NA.BBB- Series 6, 5/11/63*

     3.00       Monthly       7.20       USD       147       (21,579 )      (23,465 )      1,886  

CDX-CMBX.
NA.BBB- Series 6, 5/11/63*

     3.00       Monthly       7.20       USD       24       (3,524 )      (4,020 )      496  

Credit Suisse International

 

          

CDX-CMBX.
NA.BBB- Series 6, 5/11/63*

     3.00       Monthly       7.20       USD       132       (19,378 )      (11,131 )      (8,247 ) 

CDX-CMBX.
NA.BBB- Series 6, 5/11/63*

     3.00       Monthly       7.20       USD       168       (24,662 )      (14,467 )      (10,195 ) 

CDX-CMBX.
NA.BBB-
Series 6, 5/11/63*

     3.00       Monthly       7.20       USD       330         (48,444 )        (32,739 )        (15,705 ) 

CDX-CMBX.
NA.BBB-
Series 6, 5/11/63*

     3.00       Monthly       7.20       USD       209       (30,682 )      (12,943 )      (17,739 ) 

CDX-CMBX.
NA.BBB-
Series 6, 5/11/63*

     3.00       Monthly       7.20       USD       607       (89,107 )      (51,183 )      (37,924 ) 

 

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Table of Contents

 

PORTFOLIO OF INVESTMENTS (continued)

 

Swap

Counterparty

&
Referenced
Obligation

   Fixed
Rate
(Pay)
Receive		     Payment
Frequency		     Implied
Credit
Spread at
March 31,
2018		    

Notional
Amount
(000)

     Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

CDX-CMBX.
NA.BBB-
Series 6, 5/11/63*

     3.00 %      Monthly       7.20 %      USD       504     $ (73,987 )    $ (33,902 )    $ (40,085 ) 

CDX-CMBX.
NA.BBB-
Series 6, 5/11/63*

     3.00       Monthly       7.20       USD       860       (126,248 )      (61,827 )      (64,421 ) 

Deutsche Bank AG

 

CDX-CMBX.
NA.A
Series 6, 5/11/63*

     2.00       Monthly       3.17       USD       800       (35,013 )      (16,272 )      (18,741 ) 

CDX-CMBX.
NA.BBB-
Series 6, 5/11/63*

     3.00       Monthly       7.20       USD       499       (73,253 )      (42,678 )      (30,575 ) 

CDX-CMBX.
NA.BBB-
Series 6, 5/11/63*

     3.00       Monthly       7.20       USD       445       (65,326 )      (33,196 )      (32,130 ) 

Goldman Sachs International

 

CDX-CMBX.
NA.BBB-
Series 6, 5/11/63*

     3.00       Monthly       7.20       USD       186       (27,305 )      (32,066 )      4,761  

CDX-CMBX.
NA.BBB-
Series 6, 5/11/63*

     3.00       Monthly       7.20       USD       133       (19,524 )      (22,603 )      3,079  

CDX-CMBX.
NA.BBB-
Series 6, 5/11/63*

     3.00       Monthly       7.20       USD       160       (23,488 )      (25,574 )      2,086  
           

 

 

    

 

 

    

 

 

  
            $   (680,396 )    $   (382,942 )    $   (297,454 ) 
           

 

 

    

 

 

    

 

 

  

 

* Termination date

 

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

 

(b) 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 March 31, 2018, the aggregate market value of these securities amounted to $28,107,530 or 12.6% of net assets.

 

(c) Floating Rate Security. Stated interest/floor/ceiling rate was in effect at March 31, 2018.

 

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

(e) IO – Interest Only.

 

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PORTFOLIO OF INVESTMENTS (continued)

 

 

(f) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.03% of net assets as of March 31, 2018, are considered illiquid and restricted. Additional information regarding such securities follows:

 

144A/Restricted & Illiquid
Securities		    Acquisition
Date		      Cost      Market
Value		      Percentage of
Net Assets		  

Wells Fargo Credit Risk Transfer Securities Trust Series 2015-WF1, Class 2M1
4.722%, 11/25/25

      9/28/15      $     56,661      $     57,077        0.03 % 

 

(g) On March 30, 2018, the Portfolio and U.S. stock exchanges were closed for business due to a U.S. holiday but the foreign markets remained open for trading. The Portfolio valued its foreign securities using the closing market prices from the respective foreign markets as of March 29, 2018 for financial reporting purposes.

Currency Abbreviations:

JPY – Japanese Yen

USD – United States Dollar

Glossary:

ABS – Asset-Backed Securities

BA – Banker’s Acceptance

CBT – Chicago Board of Trade

CDX-CMBX.NA – North American Commercial Mortgage-Backed Index

CMBS – Commercial Mortgage-Backed Securities

H15T – U.S. Treasury Yield Curve Rate T Note Constant Maturity

LIBOR – London Interbank Offered Rates

NCUA – National Credit Union Administration

REMICs – Real Estate Mortgage Investment Conduits

TIPS – Treasury Inflation Protected Security

See notes to financial statements.

 

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STATEMENT OF ASSETS AND LIABILITIES

March 31, 2018 (unaudited)

 

Assets   

Investments in securities, at value

    $ 222,520,711  

Cash

      7,075,770  

Cash collateral due from broker

      126,451  

Receivables:

   

Interest

      630,770  

Investment securities sold

      4,413,654  

Capital shares sold

      41,895  

Variation margin on futures

      32,484  

Unrealized appreciation of forward currency exchange contracts

      45,908  

Unrealized appreciation of credit default swaps

      12,308  

Upfront premiums paid on credit default swaps

      35,124  
  

 

 

  

Total assets

      234,935,075  
  

 

 

  
Liabilities  

Payables:

 

Dividends to shareholders

      118,770  

Investment securities purchased

      10,154,381  

Capital shares redeemed

      619,217  

Management fee

      67,497  

Shareholder servicing fee

      17,687  

Transfer Agent fee

      8,227  

Distribution fee

      8,081  

Accrued expenses

      51,830  

Unrealized depreciation of credit default swaps

      309,762  

Upfront premiums received on credit default swaps

      418,066  
  

 

 

  

Total liabilities

      11,773,518  
  

 

 

  

Net Assets

    $ 223,161,557  
  

 

 

  

Cost of investments

    $ 222,907,817  
  

 

 

  
Net Assets Consist of:  

Capital stock, at par

    $ 19,281  

Additional paid-in capital

      240,415,210  

Undistributed net investment income

      428,071  

Accumulated net realized loss on investment and foreign currency transactions

      (17,040,254 ) 

Net unrealized appreciation/depreciation of:

   

Investments, futures and interest rate swap transactions

      (706,659 ) 

Foreign currency denominated assets and liabilities

      45,908  
  

 

 

  
   $     223,161,557  
  

 

 

  

See notes to financial statements.

 

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STATEMENT OF ASSETS AND LIABILITIES (continued)

 

Calculation of Maximum Offering Price   
  

Short Duration Plus Class Shares

 

Net Assets

    $     198,935,605  

Shares of capital stock outstanding

      17,188,766  
  

 

 

  

Net asset value, offering and redemption price per share

    $ 11.57  
  

 

 

  

Class A Shares

 

Net Assets

    $ 20,322,291  

Shares of capital stock outstanding

      1,754,481  
  

 

 

  

Net asset value and redemption price per share

    $ 11.58  

Sales charge—4.25% of public offering price

      0.51  
  

 

 

  

Maximum offering price

    $ 12.09  
  

 

 

  

Class B Shares

 

Net Assets

    $ 28,071  

Shares of capital stock outstanding

      2,428  
  

 

 

  

Net asset value and offering price per share

    $ 11.56  
  

 

 

  

Class C Shares

 

Net Assets

    $ 3,875,590  

Shares of capital stock outstanding

      335,335  
  

 

 

  

Net asset value and offering price per share

    $ 11.56  
  

 

 

  

See notes to financial statements.

 

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STATEMENT OF OPERATIONS

March 31, 2018 (unaudited)

 

Investment Income     

Income:

     

Interest

    $     2,112,809    

Other income

      253    
  

 

 

    

Total income

      $ 2,113,062  
Expenses:     

Management fee (see Note 2A)

      507,818    

Shareholder servicing fee (see Note 2B)

      112,372    

Custodian fee

      62,708    

Transfer Agent fee—Non-Retail Class

      10,782    

Transfer Agent fee—Class A

      19,622    

Transfer Agent fee—Class B

      58    

Transfer Agent fee—Class C

      3,822    

Distribution fees—Class A

      28,779    

Distribution fees—Class B

      180    

Distribution fees—Class C

      21,848    

Registration fees

      36,766    

Printing fees

      17,437    

Auditing and tax fees

      8,621    

Directors’ fees and expenses

      5,114    

Legal fees

      2,224    

Miscellaneous

      17,581    
  

 

 

    

Total expenses

      855,732    

Less: expenses waived and reimbursed by the Adviser (see Note 2D)

      (12,115 )   
  

 

 

    

Net expenses

        843,617  
    

 

 

  

Net investment income

        1,269,445  
    

 

 

  
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions     

Net realized gain (loss) on:

     

Investment transactions

        (451,469 ) 

Forward currency exchange contracts

        (1,406 ) 

Futures

        (916,538 ) 

Swaps

        69,487  

Foreign currency transactions

        (1,234,192 ) 
    

 

 

  

Net realized loss on investment and foreign currency transactions

        (2,534,118 ) 
    

 

 

  

Net change in unrealized appreciation/depreciation of:

     

Investments

        209,933  

Forward currency exchange contracts

        (161,817 ) 

Futures

        174,479  

Swaps

        34,579  

Foreign currency denominated assets and liabilities

        658  
    

 

 

  

Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities

        257,832  
    

 

 

  

Net realized and unrealized loss on investment and foreign currency transactions

        (2,276,286 ) 
    

 

 

  

Net Decrease in Net Assets Resulting from Operations

      $     (1,006,841 ) 
    

 

 

  

See notes to financial statements.

 

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STATEMENT OF CHANGES IN NET ASSETS

 

     Six Months Ended
3/31/18
(unaudited)		     Year Ended
9/30/17		  
Increase (Decrease) in Net Assets from Operations:     

Net investment income

    $ 1,269,445     $ 2,088,292  

Net realized loss on investment and foreign currency transactions

      (2,534,118 )      (35,960 ) 

Net change in unrealized appreciation/depreciation of investments

      257,832       (1,345,903 ) 

Contributions from affiliates (see Note 2A)

      – 0  –      5,699  
  

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

      (1,006,841 )      712,128  
Dividends Shareholders:     

Dividends from net investment income

     

Short Duration Plus Class

      (1,315,438 )      (2,543,722 ) 

Class A

      (87,384 )      (120,469 ) 

Class B

      (70 )      (120 ) 

Class C

      (12,129 )      (24,687 ) 
  

 

 

    

 

 

  

Total dividends to shareholders

      (1,415,021 )      (2,688,998 ) 
  

 

 

    

 

 

  
Capital-Share Transactions:     

Net proceeds from sales of shares

      57,086,569       126,069,861  

Net proceeds from sales of shares issued to shareholders on reinvestment of dividends and distributions

      1,137,258       2,191,820  
  

 

 

    

 

 

  

Total proceeds from shares sold

      58,223,827       128,261,681  

Cost of shares redeemed

      (89,680,137 )          (219,273,001 ) 
  

 

 

    

 

 

  

Net decrease in net assets from capital-share transactions

      (31,456,310 )      (91,011,320 ) 
  

 

 

    

 

 

  

Net decrease in net assets

      (33,878,172 )      (92,988,190 ) 
Net Assets:     

Beginning of period

      257,039,729       350,027,919  
  

 

 

    

 

 

  

End of period(a)

    $     223,161,557     $ 257,039,729  
  

 

 

    

 

 

  

(a) Includes undistributed net investment income of:

    $ 428,071     $ 573,647  
  

 

 

    

 

 

  

See notes to financial statements.

 

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NOTES TO FINANCIAL STATEMENTS

March 31, 2018 (unaudited)

 

NOTE 1.

Organization and Significant Accounting Policies

The AB Short Duration Class A, B and C shares (collectively, the “Short Duration Retail Classes”) are shares of Short Duration Plus Portfolio (the “Portfolio”) of the Sanford C. Bernstein Fund, Inc. (the “Fund”). The Fund is a managed open-end registered investment company, incorporated in Maryland on May 4, 1988. The Fund is currently comprised of 15 series each with its own investment objective. Class R and Class T shares have been authorized but currently are not offered. Class A shares are sold with a front-end sales charge of up to 4.25% for purchases not exceeding $1,000,000. With respect to purchases of $1,000,000 or more, Class A shares redeemed within one year of purchase may be subject to a contingent deferred sales charge of 1%. Class B shares are currently sold with a contingent deferred sales charge which declines from 3% to zero depending on the period of time the shares are held. Effective January 31, 2009, sales of Class B shares of the Portfolio to new investors were suspended. Class B shares will only be issued (i) upon the exchange of Class B shares from another AB mutual fund, (ii) for purposes of dividend reinvestment, (iii) through the Portfolio’s Automatic Investment Program (the “Program”) for accounts that established the Program prior to January 31, 2009, and (iv) for purchases of additional shares by Class B shareholders as of January 31, 2009. The ability to establish a new Program for accounts containing Class B shares was suspended as of January 31, 2009. Class B shares will automatically convert to Class A shares six years after the end of the calendar month of purchase. Class C shares are subject to a contingent deferred sales charge of 1% on redemptions made within the first year after purchase, and 0% after the first year of purchase. Effective April 10, 2017, Class C shares will automatically convert to Class A shares ten years after the end of the calendar month of purchase. These financial statements include only the Short Duration Retail Classes. The financial highlights of the Short Duration Plus Class shares (the “Plus Class”) are presented in a separate financial report. All classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Portfolio.

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

A. Portfolio Valuation

Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Fund’s Board of Directors (the “Board”).

In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the “Adviser”) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Such factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open end

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.

Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Portfolio may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Portfolio values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of securities trading in such markets. To account for this, the Portfolio generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.

B. Fair Value Measurements

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

 

  •  

Level 1—quoted prices in active markets for identical investments

  •  

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

  •  

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

The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

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 are then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.

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

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

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2018:

 

Investments in

Securities:

    Level 1     Level 2     Level 3     Total  

Assets:

         

Governments – Treasuries

    $ – 0  –    $ 70,813,878     $ – 0  –    $ 70,813,878  

Corporates – Investment Grade

      – 0  –      48,009,289       – 0  –      48,009,289  

Asset-Backed Securities

      – 0  –      29,571,375       2,466,375       32,037,750  

Commercial Mortgage-Backed Securities

      – 0  –      17,089,888       1,424,531       18,514,419  

Collateralized Mortgage Obligations

      – 0  –      16,187,488       – 0  –      16,187,488  

Inflation-Linked Securities

      – 0  –      11,910,062       – 0  –      11,910,062  

Mortgage Pass-Throughs

      – 0  –      3,077,853       – 0  –      3,077,853  

Emerging Markets – Corporate Bonds

      – 0  –      354,112       – 0  –      354,112  

Short-Term Investments

      – 0  –      21,615,860       – 0  –      21,615,860  
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      – 0  –        218,629,805         3,890,906         222,520,711  

Other Financial Instruments(a):

         

Assets:

         

Futures

      19,953       – 0  –      – 0  –      19,953 (b)  

Forward Currency Exchange Contracts

      – 0  –      45,908       – 0  –      45,908  

Credit Default Swaps

      – 0  –      1,124       – 0  –      1,124  

Liabilities:

         

Futures

      (42,052 )      – 0  –      – 0  –      (42,052 )(b)  

Credit Default Swaps

      – 0  –      (681,520 )      – 0  –      (681,520 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total(c)

   $   (22,099 )    $   217,995,317     $   3,890,906     $   221,864,124  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

(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) Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the schedule of investments. Centrally cleared swaps with upfront premiums are presented here at market value.

 

(c) There were no transfers between any levels during the reporting period.

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

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

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

 

      Asset-
Backed
Securities		     Commercial
Mortgage-
Backed
Securities		     Total  

Balance as of 9/30/17

    $ 2,940,010     $ 1,450,211     $ 4,390,221  

Accrued discounts/(premiums)

      40       (669 )      (629 ) 

Realized gain (loss)

      174       – 0  –      174  

Change in unrealized appreciation/depreciation

      (21,693 )      (25,011 )      (46,704 ) 

Purchases/Payups

      398,957       – 0  –      398,957  

Sales/Paydowns

      (851,113 )      – 0  –      (851,113 ) 

Transfers in to Level 3

      – 0  –      – 0  –      – 0  – 

Transfers out of Level 3

      – 0  –      – 0  –      – 0  – 
  

 

 

    

 

 

    

 

 

  

Balance as of 3/31/18

    $   2,466,375     $   1,424,531     $   3,890,906  
  

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation/depreciation from investments held as of 3/31/18(a)

    $ (21,693 )    $ (25,011 )    $ (46,704 ) 
  

 

 

    

 

 

    

 

 

  

 

(a) The unrealized appreciation/depreciation is included in net change in unrealized appreciation/depreciation on investments and other financial instruments in the accompanying statement of operations.

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

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

 

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

C. Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Prices of securities and other assets and liabilities denominated in non-U.S. currencies are translated into U.S. dollars using the exchange rate at 4:00 p.m., Eastern Time. Amounts related to the purchases and sales of securities, investment income and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions.

Net realized gain or loss on foreign currency transactions represents net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on security transactions and the difference between the amount of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent amount actually received or paid. Net unrealized currency gains and losses arising from valuing foreign currency denominated assets and liabilities, other than security investments, at the current exchange rate are reflected as part of unrealized appreciation/depreciation on foreign currencies.

The Portfolio does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of securities held at period end. The Fund does isolate the effect of changes in foreign exchange rates from changes in market prices of securities sold during the year, as required by the Internal Revenue Code.

The Portfolio may invest in foreign securities and foreign currency transactions that may involve risks not associated with domestic investments as a result of the level of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability, among others.

D. Taxes

The Portfolio is treated as a separate entity for federal income tax purposes. The Portfolio intends to continue to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986 as they apply to regulated investment companies. By so complying, the Portfolio will not be subject to federal and state income taxes to the extent that all of its

 

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income is distributed. The Portfolio may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned based on management’s understanding of applicable local tax law.

In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Portfolio’s tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Portfolio’s financial statements. As of March 31, 2018, the Portfolio did not have any unrecognized tax benefits.

E. Security Transactions and Related Investment Income

Security transactions are accounted for on the trade date (the date the buy or sell order is executed). Securities gains and losses are calculated on the identified cost basis. Interest income is recorded on the accrual basis and dividend income is recorded on the ex-dividend date or as soon as the Portfolio is informed of the dividend. The Portfolio amortizes premiums and accretes discounts as adjustments to interest income.

F. Securities Transactions on a When-Issued or Delayed-Delivery Basis

The Portfolio may purchase securities on a when-issued basis or purchase or sell securities on a delayed-delivery basis. At the time the Portfolio commits to purchase a security on a when-issued or delayed-delivery basis, the Portfolio will record the transaction and use the security’s value in determining the Portfolio’s net asset value. At the time the Portfolio commits to sell a security on a delayed-delivery basis, the Portfolio will record the transaction and exclude the security’s value in determining the Portfolio’s net asset value.

G. Class Allocations

All income earned and expenses incurred by the Portfolio are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Portfolio represented by the shares of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Fund are charged to the Portfolio in proportion to net assets. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.

 

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H. Distribution of Income and Gains

Net investment income of the Portfolio is declared and recorded as a dividend to shareholders daily and is payable to shareholders monthly. Distributions of net realized gains, less any available loss carryforwards, if any, for the Portfolio will be paid to shareholders at least once a year, and recorded on the ex-dividend date.

Elements of realized gains and net investment income may be recorded in different accounting periods for financial reporting (book) and federal income tax (tax) purposes (temporary differences). To the extent that such distributions required for tax purposes exceed income and gains recorded for book purposes as a result of such temporary differences, “excess distributions” are reflected in the accompanying statement of assets and liabilities. To the extent distributions exceed income and gains for tax purposes, such distributions would be shown as “return of capital” on the statement of changes in net assets. Certain other differences—permanent differences—arise because treatment of elements of income and gains is different between book and tax accounting. Permanent differences are reclassified in the year they arise.

NOTE 2.

Investment Management and Transactions with Affiliated Persons

A. Management Fee

Under the Investment Management Agreement between the Fund and the Adviser, the Adviser manages the investment of the Portfolio’s assets, places purchase and sale orders, and bears various expenses, including the salaries and expenses of all personnel except those of outside directors. In addition, the Adviser agrees to permit its directors, officers and employees who may be elected directors or officers of the Fund to serve in the capacities to which they are elected. The Adviser renders these services subject to the general oversight of the Board.

The Portfolio pays the Adviser an investment management fee at an annual rate of .35% of the first $750 million and .30% of the Portfolio’s average daily net assets over $750 million. Prior to January 1, 2018 the management fee was .45% of the first $750 million and .40% of the Portfolio’s average daily net assets over $750 million. The fee is accrued daily and paid monthly.

During the year ended September 30, 2017, the Adviser reimbursed the Portfolio $5,699 for trading losses incurred due to trade entry errors.

B. Transfer Agency Agreement; Shareholder Servicing Fee

Under a Transfer Agency Agreement between the Fund, on behalf of the Short Duration Retail Classes, and AllianceBernstein Investor Services, Inc.

 

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(“ABIS”), the Short Duration Retail Classes compensate ABIS, a wholly-owned subsidiary of the Adviser, for providing personnel and facilities to perform transfer agency services. ABIS may make payments to intermediaries that provide omnibus account services, sub-accounting services and/or networking services. Such compensation retained by ABIS amounted to $8,194 for the six months ended March 31, 2018.

Under the Shareholder Servicing Agreement between the Fund and the Adviser, the Adviser pays expenses it incurs in providing shareholder services to individual shareholders of the Portfolio (except the Retail Classes). Such services include, but are not limited to, providing information to shareholders concerning their fund investments, systematic withdrawal plans, fund dividend payments and reinvestments, shareholder account or transactions status, net asset value of shares, fund performance, fund services, plans and options, fund investment policies, portfolio holdings and tax consequences of fund investments; dealing with shareholder complaints and other correspondence relating to fund matters; and communications with shareholders when proxies are being solicited from them with respect to voting their fund shares. This agreement applies only to the Plus Class shares of the Portfolio. Under the agreement, the fee paid by the Plus Class shares to the Adviser for services under this agreement is at an annual rate of .10% of the average daily net assets of the Portfolio attributable to the Plus Class shares during the month.

C. Distribution Arrangements—Short Duration Plus Class Shares

Under the Distribution Agreement between the Fund, on behalf of the Plus Class Shares of the Portfolio and Sanford C. Bernstein & Co., LLC (the “Distributor”), the Distributor agrees to act as agent to sell Plus Class shares of the Portfolio. This agreement does not apply to the Short Duration Retail Classes of the Portfolio. The Distributor receives no fee for this service, and furthermore agrees to pay all expenses arising from the performance of its obligations under this agreement. The Distributor is a wholly owned subsidiary of the Adviser.

D. Distribution Arrangements—Short Duration Retail Classes

The Short Duration Retail Classes of the Portfolio have adopted a Distribution Services Agreement (the “Agreement”), including a distribution plan pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement, each such class pays distribution services fees to AllianceBernstein Investments, Inc., (the “Distributor”), a wholly owned subsidiary of the Adviser, at an annual rate of up to .30 of 1% of the Class A Shares and 1% of the Class B and Class C Shares of the respective average daily net assets attributable to the Retail Classes. Effective January 30, 2015, payments under the Agreement in respect of Class A shares were limited to an annual rate of .25 of 1% of Class A

 

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shares’ average daily net assets attributable to the Retail Classes. Effective April 1, 2012, the Distributor voluntarily agreed to waive .55 of 1% to limit such fees to .45 of 1% of the average daily net assets attributable to the Class B Shares and Class C Shares. For the six months ended March 31, 2018, such waivers amounted to $12,115. The Agreement provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. Since the commencement of the Portfolio’s operations, the Distributor has incurred expenses in excess of the distribution costs reimbursed by the Portfolio in the amount of $14,176 and $1,023,893 for Class B and Class C shares, respectively. While such costs may be recovered from the Portfolio in future periods so long as the Agreement is in effect, the rate of the distribution and servicing fees payable under the Agreement may not be increased without a shareholder vote. In accordance with the Agreement, there is no provision for recovery of unreimbursed distribution costs incurred by the Distributor beyond the current fiscal year for Class A shares. The Agreement also provides that the Adviser may use its own resources to finance the distribution of the Portfolio’s Short Duration Retail Class shares.

E. Other Transactions with Affiliates

The Distributor has advised the Portfolio that it has retained front-end sales charges of $49 from sales of Class A shares and received $0, $0, and $0 in contingent deferred sales charges imposed upon redemptions by shareholders of Class A, Class B and Class C Shares, respectively, for the six months ended March 31, 2018.

The Portfolio may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment advisor, common officers, or common directors. For the six months ended March 31, 2018, there were no purchase and sale transactions with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act.

Brokerage commissions paid on investment transactions for the six months ended March 31, 2018 amounted to $2,754, of which $0 and $0, respectively, was paid to Sanford C. Bernstein & Co. LLC and Sanford C. Bernstein & Co., Ltd, affiliates of the Adviser.

 

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NOTE 3.

Investment Security Transactions

A. Purchases and Sales

For the six months ended March 31, 2018, the Portfolio had purchases and sales transactions, excluding repurchase transactions and transactions in short-term instruments, as follows:

 

     Purchases      Sales  

Investment securities (excluding
U.S. government securities)

    $     10,151,337      $     19,417,690  

U.S. government securities

      51,664,471        63,798,545  

The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation are as follows:

 

Gross unrealized appreciation

    $ 1,619,922  

Gross unrealized depreciation

          (2,280,673 ) 
  

 

 

  

Net unrealized appreciation

    $ (660,751 ) 
  

 

 

  

B. Derivative Financial Instruments

The Portfolio may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.

The principal types of derivatives utilized by the Portfolio, as well as the methods in which they may be used are:

 

  •  

Futures

The Portfolio may buy or sell futures for investment purposes or for the purpose of hedging its portfolio against adverse effects of potential movements in the market. The Portfolio bears the market risk that arises from changes in the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Portfolio may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under “Currency Transactions”.

At the time the Portfolio enters into futures, the Portfolio deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Portfolio agrees to receive

 

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from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Portfolio as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.

Use of long futures subjects the Portfolio to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Portfolio to unlimited risk of loss. The Portfolio may enter into futures only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transactions; therefore, the Portfolio’s credit risk is subject to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.

During the six months ended March 31, 2018, the Portfolio held futures for hedging and non-hedging purposes.

 

  •  

Forward Currency Exchange Contracts

The Portfolio may enter into forward currency exchange contracts on either a spot (i.e., cash) or forward basis. Spot contracts are entered into at the rate then prevailing in the currency-exchange market. Forward currency exchange contracts obligate the contracting parties to purchase or sell a specific currency at a specified future date at a specified price. The Portfolio will generally not enter into a forward currency exchange contract with a term greater than one year. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on foreign currency transactions. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Portfolio. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.

 

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Forward currency exchange contracts used to protect the Portfolio from adverse currency movements involve the risk that the Adviser may not accurately predict currency movements. As a result, total return could be adversely affected. The Adviser may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps and other options. The Adviser may enter into foreign currency transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value.

During the six months ended March 31, 2018, the Portfolio held forward currency exchange contracts for hedging purposes.

 

  •  

Swaps

The Portfolio may enter into swaps to hedge their exposure to interest rates, credit risk, or currencies. The Portfolio may also enter into swaps for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions”. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Portfolio in accordance with the terms of the respective swaps to provide value and recourse to the Portfolio or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.

Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Portfolio, and/or the termination value at the end of the contract. Therefore, the Portfolio considers the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Portfolio and the counterparty and by the posting of collateral by the counterparty to the Portfolio to cover the Portfolio’s exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Portfolio accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement

 

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of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received in connection with credit default swaps are recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight-line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the statement of operations.

Credit Default Swaps:

The Portfolio may enter into credit default swaps for multiple reasons, including to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults by corporate and sovereign issuers held by the Portfolio, or to create exposure to corporate or sovereign issuers to which they are not otherwise exposed. The Portfolio may purchase credit protection (“Buy Contract”) or provide credit protection (“Sale Contract”) on the referenced obligation of the credit default swap. During the term of the swap, the Portfolio receives/(pays) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Portfolio is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Portfolio will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap (the “Maximum Payout Amount”) and deliver/(take delivery of) the referenced obligation or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront premium received upon entering into the agreement, or net amounts received from settlement of buy protection credit default swaps entered into by the Portfolio for the same reference obligation with the same counterparty. As of March 31, 2018, the Portfolio did not have Buy Contracts outstanding with respect to the same referenced obligation and same counterparty for its Sale Contracts outstanding.

Credit default swaps may involve greater risks than if a Portfolio had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If the Portfolio is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If the Portfolio is a seller of protection and a credit event occurs, the value

 

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of the referenced obligation received by the Portfolio coupled with the periodic payments previously received, may be less than the Maximum Payout Amount it pays to the buyer, resulting in a net loss to the Portfolio.

Implied credit spreads over U.S. Treasuries of comparable maturity utilized in determining the market value of credit default swaps on issuers as of period end are disclosed in the schedule of investments. The implied spreads serve as an indicator of the current status of the payment/performance risk and typically reflect the market’s assessment of the likelihood of default by the issuer of the referenced obligation. The implied credit spread of a particular reference obligation also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Widening credit spreads typically represent a deterioration of the referenced obligation’s credit soundness and greater likelihood of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced obligation.

During the six months ended March 31, 2018, the Portfolio held credit default swaps for hedging and non-heding purposes.

The Portfolio typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Portfolio typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Portfolio’s net liability, held by the defaulting party, may be delayed or denied.

The Portfolio’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Portfolio decline below specific levels (“net asset contingent features”). If these levels are triggered, the Portfolio’s OTC counterparty has the right to terminate such transaction and require the Portfolio to pay or receive a settlement amount in connection with the terminated transaction. For additional details, please refer to netting arrangements by the OTC counterparty tables below.

 

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During the six months ended March 31, 2018, the Portfolio had entered into the following derivatives:

 

     

Asset Derivatives

    

Liability Derivatives

  

Derivative Type

   

Statement of
Assets and
Liabilities
Location

    Fair Value    

Statement of
Assets and
Liabilities
Location

    Fair Value  

Interest rate contracts

   

Receivable/Payable for variation margin on futures

   

$

19,953

* 

  

Receivable/Payable for variation margin on futures

   

$

42,052

* 

Foreign currency contracts

   

Unrealized appreciation on forward currency exchange contracts

   

 

45,908

 

     

Credit contracts

    Unrealized appreciation on credit default swaps      12,308     Unrealized depreciation on credit default swaps      309,762  
     

 

 

       

 

 

  

Total

       $   78,169        $   351,814  
     

 

 

       

 

 

  

 

* Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the schedule of investments.

 

Derivative Type

   

Location of Gain
or (Loss) on
Derivatives Within
Statement of
Operations

    Realized Gain
or (Loss) on
Derivatives		     Change in
Unrealized
Appreciation or
(Depreciation)		  

Interest rate contracts

    Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures    $     (916,538 )    $ 174,479  

Foreign currency contracts

   

Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts

   

 

(1,406

) 

  

 

  (161,817

) 

 

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Derivative Type

   

Location of Gain
or (Loss) on
Derivatives Within
Statement of
Operations

    Realized Gain
or (Loss) on
Derivatives		     Change in
Unrealized
Appreciation or
(Depreciation)		  

Credit contracts

    Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps    $ 69,487     $ 34,579  
     

 

 

    

 

 

  

Total

       $   (848,457 )    $     47,241  
     

 

 

    

 

 

  

 

Futures:

   

Average original value of buy contracts

    $     72,991,755  

Average original value of sale contracts

    $ 2,680,095  

Forward Currency Exchange Contracts:

   

Average principal amount of buy contracts

    $ 997,528 (a) 

Average principal amount of sale contracts

    $ 24,439,931  

Credit Default Swaps:

   

Average notional amount of buy contracts

    $ 2,699,000  

Average notional amount of sale contracts

    $ 5,062,143  

 

(a) Positions were open for one month during the period.

For financial reporting purposes, the Portfolio does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.

All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Portfolio’s derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements and net of the related collateral received/pledged by the Portfolio as of March 31, 2018. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.

 

Counterparty

   Derivative
Assets
Subject
to a MA		      Derivative
Available
for Offset		     Cash
Collateral
Received*		     Security
Collateral
Received*		     Net Amount
of Derivatives
Assets		  

Citibank, NA

   $ 45,908      $ – 0  –    $ – 0  –    $ – 0  –    $ 45,908  

Citigroup Global Markets, Inc.

     36        (36 )      – 0  –      – 0  –      – 0  – 

Credit Suisse International

     651        (651 )      – 0  –      – 0  –      – 0  – 

Deutsche Bank AG

     437        (437 )      – 0  –      – 0  –      – 0  – 
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $  47,032      $  (1,124 )    $  – 0  –    $  – 0  –    $  45,908 ^ 
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

 

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Counterparty

    Derivative
Liabilities
Subject
to a MA		      Derivative
Available
for Offset		     Cash
Collateral
Pledged*		     Security
Collateral
Pledged*		     Net Amount
of Derivatives
Liabilities		  

Citigroup Global Markets, Inc.

    $ 25,103      $ (36 )    $ – 0  –    $ – 0  –    $ 25,067  

Credit Suisse International

      412,508        (651 )      – 0  –      (264,241 )      147,616  

Deutsche Bank AG

      173,592        (437 )      – 0  –      – 0  –      173,155  

Goldman Sachs International

      70,317        – 0  –      – 0  –      – 0  –      70,317  
  

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

Total

    $   681,520      $   (1,124 )    $   – 0  –    $   (264,241 )    $   416,155 ^ 
  

 

 

     

 

 

    

 

 

    

 

 

    

 

 

  

 

* The actual collateral received/pledged may be more than the amount reported due to over-collateralization.

 

^ Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty.

C. Currency Transactions

The Portfolio may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Portfolio may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Portfolio may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Portfolio and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Portfolio may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).

NOTE 4.

Distributions to Shareholders

The tax character of distributions to be paid for the year ending September 30, 2018 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended September 30, 2017 and September 30, 2016 were as follows:

 

     2017      2016  

Distributions paid from:

      

Ordinary income

    $ 2,688,998      $ 2,655,169  
  

 

 

     

 

 

  

Total distributions paid

    $     2,688,998      $     2,655,169  
  

 

 

     

 

 

  

 

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As of September 30, 2017, the components of accumulated earnings/(deficit) on a tax basis were as follows:

 

Undistributed Ordinary Income

    $ 498,791  

Accumulated capital and other losses(a)

      (14,608,104 ) 

Unrealized appreciation/(depreciation)(b)

      (690,389 ) 
  

 

 

  

Total accumulated earnings/(deficit)(c)

    $     (14,799,702 ) 
  

 

 

  

 

(a) As of September 30, 2017, the Portfolio had capital loss carryforwards of $14,607,016 for federal income tax purposes. Additionally, the Portfolio had $5,807,512 of capital loss carryforwards expire during the fiscal year. As of September 30, 2017, the Portfolio deferred $1,088 in straddle losses. Net capital losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Portfolio’s next taxable year. These losses are deemed to arise on October 1, 2017.

 

(b) The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the tax deferral of losses on wash sales, the tax treatment of swaps and the realization for tax purposes of gains/losses on certain derivative instruments.

 

(c) The difference between book-basis and tax-basis components of accumulated earnings/(deficit) is attributable primarily to dividends payable to shareholders.

For tax purposes, net capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an indefinite period. These post-December 22, 2010 capital losses must be utilized prior to the earlier capital losses, which are subject to expiration. Post-December 22, 2010 capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered short-term as under previous regulation.

As of March 31, 2018, the Portfolio had a net capital loss carryforward of $14,607,016 which will expire as follows:

 

Short-Term
Amount

  

Long-Term
Amount

  

Expiration

$1,960,592   n/a   2018
   2,061,764   n/a   2019
   4,089,301   $6,495,359   No expiration

NOTE 5.

Risks Involved in Investing in the Portfolio

Interest Rate Risk—This is the risk that changes in interest rates will affect the value of the Portfolio’s investments in fixed-income debt securities such as bonds and notes. The Portfolio may be subject to a greater risk of rising interest rates due to the current period of historically low rates and the effect of potential government policy initiatives and market reaction to those initiatives. Increases in interest rates may cause the value of the Portfolio’s investments to decline and this decrease in value may not be offset by higher income from new investments. The Portfolio will experience increased interest rate risk to the extent it invests in fixed-income securities with longer maturities or durations. A general rise in interest rates

 

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may cause investors to move out of fixed-income securities on a large scale, which could adversely affect the price and liquidity of fixed-income securities and could also result in increased redemptions from a Portfolio that invests largely in fixed-income securities.

Credit Risk—This is the risk that the issuer or the guarantor of a debt security, or the counterparty to a derivatives or other contract, will be unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. The issuer or guarantor may default, potentially causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. The credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security. Investments in fixed-income securities with lower ratings tend to have a higher probability that an issuer will default or fail to meet its payment obligations. At times when credit risk is perceived to be greater, credit “spreads” (i.e., the difference between the yields on lower quality securities and the yields on higher quality securities) may get larger or “widen”. As a result, the values of the lower quality securities may go down more and they may become harder to sell and less liquid.

Duration Risk—The duration of a fixed-income security may be shorter than or equal to full maturity of the fixed-income security. Fixed-income securities with longer durations have more interest rate risk and will decrease in price as interest rates rise. For example, a fixed-income security with a duration of three years would be expected to decrease in value by approximately 3% if interest rates increase by 1%. Securities that have final maturities longer than their durations may be affected by increased credit spreads to a far greater degree than their durations would suggest, because they are exposed to credit risk until final maturity.

Inflation Risk—This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Portfolio’s assets can decline as can the value of the Portfolio’s distributions. This risk is significantly greater for fixed-income securities with longer maturities.

Inflation-Protected Securities Risk—The terms of inflation-protected securities provide for the coupon and/or maturity value to be adjusted based on changes in an inflation index. Decreases in the inflation rate or in investors’ expectations about inflation could cause these securities to underperform non-inflation-adjusted securities on a total-return basis. In addition, these securities may have limited liquidity in the secondary market.

Foreign (Non-U.S.) Securities Risk—Investments in foreign securities entail significant risks in addition to those customarily associated with

 

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investing in U.S. securities. These risks include risks related to adverse market, economic, political and regulatory factors and social instability, all of which could disrupt the financial markets in which the Portfolio invests and adversely affect the value of the Portfolio’s assets.

Emerging Markets Securities Risk—The risks of investing in foreign (non-U.S.) securities are heightened with respect to issuers in emerging-market countries, because the markets are less developed and less liquid and there may be a greater amount of economic, political and social uncertainty, and these risks are even more pronounced in “frontier” markets, which are investable markets with lower total market capitalization and liquidity than the more developed emerging markets. In addition, the value of the Portfolio’s investments may decline because of factors such as unfavorable or unsuccessful government actions and reduction of government or central bank support.

Derivatives Risk—The Portfolio may use derivatives as direct investments to earn income, enhance return and broaden portfolio diversification, which entail greater risk than if used solely for hedging purposes. In addition to other risks such as the credit risk of the counterparty, derivatives involve the risk that changes in the value of the derivative may not correlate with relevant assets, rates or indices. Derivatives may be illiquid and difficult to price or unwind, and small changes may produce disproportionate losses for the Portfolio. Certain derivatives have the potential for unlimited loss, regardless of the size of the initial investment. Assets required to be set aside or posted to cover or secure derivatives positions may themselves go down in value, and these collateral and other requirements may limit investment flexibility. Some derivatives involve leverage, which can make the Portfolio more volatile and can compound other risks. Use of derivatives may have different tax consequences for the Portfolio than an investment in the underlying security, and such differences may affect the amount, timing and character of income distributed to shareholders. The U.S. Government and foreign governments are in the process of adopting and implementing regulations governing derivatives markets, including mandatory clearing of certain derivatives, margin, reporting and registration requirements. The ultimate impact of the regulations remains unclear. Additional regulation may make derivatives more costly, limit their availability or utility, otherwise adversely affect their performance, or disrupt markets.

Mortgage-Related Securities Risk—Mortgage-related securities represent interests in “pools” of mortgages, including consumer loans or receivables held in trust. Mortgage-related securities are subject to credit, interest rate, prepayment and extension risks. These securities also are subject to risk of default on the underlying mortgage, particularly during periods of economic downturn. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-related securities.

 

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Prepayment and Extension Risk—Prepayment risk is the risk that a loan, bond or other security might be called or otherwise converted, prepaid or redeemed before maturity. If this happens, particularly during a time of declining interest rates or credit spreads, the Portfolio will not benefit from the rise in market price that normally accompanies a decline in interest rates, and may not be able to invest the proceeds in securities providing as much income, resulting in a lower yield to the Portfolio. Conversely, extension risk is the risk that as interest rates rise or spreads widen, payments of securities may occur more slowly than anticipated by the market. If this happens, the values of these securities may go down because their interest rates are lower than current market rates and they remain outstanding longer than anticipated.

Subordination Risk—The Portfolio may invest in securities that are subordinated to more senior securities of an issuer, or which represent interests in pools of such subordinated securities. Subordinated securities will be disproportionately affected by a default or even a perceived decline in creditworthiness of the issuer. Subordinated securities are more likely to suffer a credit loss than non-subordinated securities of the same issuer, any loss incurred by the subordinated securities is likely to be proportionately greater, and any recovery of interest or principal may take more time.

Management Risk—The Portfolio is subject to management risk because it is an actively managed investment portfolio. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolio, but these techniques, analyses and decisions may not work as intended or may not produce the desired results. In some cases, derivatives and other investment techniques may be unavailable or the Adviser may determine not to use them, possibly even under market conditions where their use could benefit the Portfolio. In addition, the Adviser may change the Portfolio’s investment strategies or policies from time to time. Those changes may not lead to the results intended by the Adviser and could have an adverse effect on the value or performance of the Portfolio.

Liquidity Risk—Liquidity risk exists when particular investments are difficult to purchase or sell, possibly preventing the Portfolio from selling out of these illiquid or relatively less liquid securities at an advantageous price. Over recent years, regulatory changes have led to reduced liquidity in the marketplace, and the capacity of dealers to make markets in fixed-income securities has been outpaced by the growth in the size of the fixed-income markets. Liquidity risk may be magnified in a rising interest rate environment, where the value and liquidity of fixed-income securities generally go down. Derivatives and securities involving substantial market and credit risk tend to involve greater liquidity risk. Illiquid securities and relatively less liquid securities may also be difficult to value.

 

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Redemption Risk—The Portfolio may experience heavy redemptions that could cause the Portfolio to liquidate its assets at inopportune times or at a loss or depressed value, which could cause the value of your investment to decline. Redemption risk is heightened during periods of overall market turmoil.

Foreign Currency Risk—This is the risk that changes in foreign (non-U.S.) currency exchange rates may negatively affect the value of the Portfolio’s investments or reduce the returns of the Portfolio. For example, the value of the Portfolio’s investments in foreign securities and foreign currency positions may decrease if the U.S. Dollar is strong (i.e., gaining value relative to other currencies) and other currencies are weak (i.e., losing value relative to the U.S. Dollar).

Actions by a Few Major Investors—In certain countries, volatility may be heightened by actions of a few major investors. For example, substantial increases or decreases in cash flows of mutual funds investing in these markets could significantly affect local securities prices and, therefore, share prices of the Portfolios.

Market Risk—The Portfolio is subject to market risk, which is the risk that bond prices in general may decline over short or extended periods. In the past decade, financial markets in the United States, Europe and elsewhere have experienced increased volatility, decreased liquidity and heightened uncertainty. These market conditions may recur from time to time and have an adverse impact on various securities markets. The U.S. Government and the Federal Reserve, as well as certain foreign governments and central banks, have taken steps to support financial markets. Other governments have tried to support markets by buying stocks and through other market interventions. Government intervention may not work as intended, particularly if the efforts are perceived by investors as being unlikely to achieve the desired results. The Federal Reserve has reduced its market support activities and has begun raising interest rates. Further Federal Reserve or other U.S. or non-U.S. governmental or central bank actions, including interest rate increases or decreases, could negatively affect financial markets generally, increase market volatility and reduce the value and liquidity of securities in which the Portfolio invests.

Current political uncertainty surrounding the European Union (“EU”) and its membership may increase market volatility. The United Kingdom has voted to withdraw from the EU, and one or more other countries may withdraw from the EU and/or abandon the Euro, the common currency of the EU. The financial instability of some countries in the EU, together with the risk of that financial instability impacting other more stable countries, may increase the risk of investing in companies in Europe and worldwide. In

 

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addition, policy and legislative changes in the United States and in other countries are affecting many aspects of financial regulation, and may in some instances contribute to decreased liquidity and increased volatility in the financial markets. The impact of these changes, and the practical implications for market participants, may not be fully known for some time.

Economies and financial markets throughout the world are becoming increasingly interconnected. Economic, financial or political events, trading and tariff arrangements, terrorism, natural disasters and other circumstances in one country or region could have profound impacts on global economies or markets. As a result, whether or not the Portfolio invests in securities of issuers located in or with significant exposure to countries experiencing economic and financial difficulties, the value and liquidity of the Portfolio’s investments may be negatively affected.

Lower-rated Securities Risk—Lower-rated securities, or junk bonds/high-yield securities, are subject to greater risk of loss of principal and interest and greater market risk than higher-rated securities. The capacity of issuers of lower-rated securities to pay interest and repay principal is more likely to weaken than is that of issuers of higher-rated securities in times of deteriorating economic conditions or rising interest rates.

Riskier than a Money-Market Fund—Although the Portfolio maintains a short overall duration, it invests in securities with longer maturities and in some cases lower quality than the assets of the type of mutual fund known as a money market fund. The risk of a decline in the market value of the Portfolio is greater than for a money-market fund since the credit quality of the Portfolio’s securities may be lower and the effective duration of the Portfolio will be longer.

Cybersecurity Risk—Cybersecurity incidents may allow an unauthorized party to gain access to Portfolio assets, customer data (including private shareholder information), or proprietary information, or cause the Portfolio, the Adviser, and/or its service providers (including, but not limited to, fund accountants, custodians, sub-custodians, transfer agents and financial intermediaries) to suffer data breaches, data corruption or lose operational functionality.

Indemnification Risk—In the ordinary course of business, the Portfolio enters into contracts that contain a variety of indemnifications. The Portfolio’s maximum exposure under these arrangements is unknown. However, the Portfolio has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Portfolio has not accrued any liability in connection with these indemnification provisions.

 

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NOTE 6.

Capital-Share Transactions

The Fund has authorized 15.5 billion shares of common stock, par value $0.001 per share, of which 1.3 billion are allocated to the Portfolio, 200 million each to the five classes (including Class R shares which are not currently being offered) and 300 million to Class T, which are not currently being offered. Share transactions for the Portfolio for the six months ended March 31, 2018 and year ended September 30, 2017, were as follows:

 

            
     Shares           Amount        
     Six Months Ended
3/31/18
(unaudited)		     Year Ended
9/30/17		           Six Months Ended
3/31/18
(unaudited)		     Year Ended
9/30/17		        
  

 

 

    
Short Duration
Plus Class Shares		            

Shares sold

      4,536,025       9,120,742       $ 52,846,153     $ 106,607,659    

 

    

Shares issued to shareholders on reinvestment of dividends

      91,389       175,972         1,061,250       2,057,285    

 

    

Shares redeemed

      (6,639,798 )      (16,801,294 )        (77,134,937 )      (196,290,374 )   

 

    

Net decrease

      (2,012,384 )      (7,504,580 )      $ (23,227,534 )    $ (87,625,430 )   

 

    
            
Class A Shares             

Shares sold

      296,339       1,186,589       $ 3,445,587     $ 13,889,300    

 

    

Shares issued to shareholders on reinvestment of dividends

      5,822       9,344         67,667       109,398    

 

    

Shares converted from Class B

      799       6,327         9,298       74,109    

 

    

Shares converted from Class C

      12,054       232,595         140,703       2,721,372    

 

    

Shares redeemed

      (919,607 )      (1,254,355 )        (10,702,772 )      (14,680,569 )   

 

    

Net increase (decrease)

      (604,593 )      180,500       $ (7,039,517 )    $ 2,113,610    

 

    
            
Class B Shares             

Shares sold

      – 0  –      1,359       $ – 0  –    $ 15,861    

 

    

Shares issued to shareholders on reinvestment of dividends

      5       15         62       179    

 

    

Shares converted to Class A

      (801 )      (6,339 )        (9,298 )      (74,109 )   

 

    

Shares redeemed

      (544 )      (754 )        (6,308 )      (8,794 )   

 

    

Net decrease

      (1,340 )      (5,719 )      $ (15,544 )    $ (66,863 )   

 

    

 

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     Shares           Amount        
     Six Months Ended
3/31/18
(unaudited)		     Year Ended
9/30/17		           Six Months Ended
3/31/18
(unaudited)		     Year Ended
9/30/17		        
  

 

 

    
Class C Shares             

Shares sold

      55,581       236,433       $ 644,828     $ 2,761,560    

 

    

Shares issued to shareholders on reinvestment of dividends

      714       2,136         8,279       24,958    

 

    

Shares converted to Class A

      (12,085 )      (233,192 )        (140,703 )      (2,721,372 )   

 

    

Shares redeemed

      (145,244 )      (471,161 )        (1,686,119 )      (5,497,783 )   

 

    

Net decrease

      (101,034 )      (465,784 )      $ (1,173,715 )    $ (5,432,637 )   

 

    

NOTE 7.

Recent Accounting Pronouncements

In March 2017, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (the “ASU”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The ASU does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. The ASU is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. At this time, management is evaluating the implications of these changes on the financial statements.

NOTE 8.

Subsequent Events

Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Portfolio’s financial statements through this date.

 

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FINANCIAL HIGHLIGHTS

Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period

 

    Class A  
   

Six Months
Ended
March 31,
2018

(unaudited)

     Year Ended September 30,  
      2017     2016     2015     2014     2013  
 

 

 

  

Net asset value, beginning of period

     $  11.69       $  11.76       $  11.75       $  11.75       $  11.75       $  11.91  
 

 

 

  

Income From Investment Operations

            

Net investment income†

     .04       .03       .05^       .03 (a)      .03       .01  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     (.11 )      (.04 )      .02       .02       .02       (.10 ) 

Contributions from affiliates

     – 0  –      .00 (b)      – 0  –      – 0  –      – 0  –      – 0  – 
 

 

 

  

Total from investment operations

     (.07 )      (.01 )      .07       .05       .05       (.09 ) 
 

 

 

  

Less: Dividends

            

Dividends from net investment income

     (.04 )      (.06 )      (.06 )      (.05 )      (.05 )      (.07 ) 
 

 

 

  

Net asset value, end of period

     $  11.58       $  11.69       $  11.76       $  11.75       $  11.75       $  11.75  
 

 

 

  

Total Return

            

Total investment return based on net asset value(c)

     (.57 )%      (.10 )%*      .64  %^*      .43  %      .41  %      (.76 )% 

Ratios/Supplemental Data

            

Net assets, end of period (000 omitted)

     $20,322       $27,583       $25,615       $35,923       $53,727       $44,806  

Average net assets (000 omitted)

     $22,961       $24,693       $32,219       $42,125       $58,748       $47,682  

Ratio to average net assets of:

            

Expenses, net of waivers/reimbursements

     1.05  %‡      1.13  %      .95  %      .91  %+      .95  %      .94  % 

Expenses, before waiver/reimbursements

     1.05  %‡      1.13  %      .95  %      .91  %+      .95  %      .94  % 

Net investment income

     .64  %‡      .30  %      .41  %^      .23  %+(a)      .22  %      .06  % 

Portfolio turnover rate

     28  %      64  %      76  %      86  %      67  %      120  %** 

 

See Footnote Summary on page 66.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period

 

    Class B  
   

Six Months
Ended
March 31,
2018

(unaudited)

     Year Ended September 30,  
      2017     2016     2015     2014     2013  
 

 

 

  

Net asset value, beginning of period

     $  11.67       $  11.73       $  11.73       $  11.73       $  11.72       $  11.89  
 

 

 

  

Income From Investment Operations

            

Net investment
income (loss)†(a)

     .02       .00 (b)      .02^       (.01 )      .01       (.02 ) 

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     (.11 )      (.03 )      .01       .03       .03       (.11 ) 

Contributions from affiliates

     – 0  –      .00 (b)      – 0  –      – 0  –      – 0  –      – 0  – 
 

 

 

  

Total from investment operations

     (.09 )      (.03 )      .03       .02       .04       (.13 ) 
 

 

 

  

Less: Dividends

            

Dividends from net investment income

     (.02 )      (.03 )      (.03 )      (.02 )      (.03 )      (.04 ) 
 

 

 

  

Net asset value, end of period

     $  11.56       $  11.67       $  11.73       $  11.73       $  11.73       $  11.72  
 

 

 

  

Total Return

            

Total investment return based on net asset value(c)

     (.74 )%      (.32 )%*      .31  %^*      .16  %      .33  %      (1.09 )% 

Ratios/Supplemental Data

            

Net assets, end of period (000 omitted)

     $28       $43       $111       $341       $1,175       $1,703  

Average net assets (000 omitted)

     $36       $65       $219       $662       $1,385       $2,071  

Ratio to average net assets of:

            

Expenses, net of waivers/reimbursements

     1.41  %‡      1.40  %      1.23  %      1.17  %+      1.13  %      1.20  % 

Expenses, before waivers/reimbursements

     1.96  %‡      1.96  %      1.78  %      1.72  %+      1.68  %      1.75  % 

Net investment income (loss)(a)

     .28  %‡      (.02 )%      .14  %^      (.07 )%+      .05  %      (.20 )% 

Portfolio turnover rate

     28  %      64  %      76  %      86  %      67  %      120  %** 

See Footnote Summary on page 66.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period

 

    Class C  
   

Six Months
Ended
March 31,
2018

(unaudited)

     Year Ended September 30,  
      2017     2016     2015     2014     2013  
 

 

 

  

Net asset value, beginning of period

     $  11.67       $  11.73       $  11.72       $  11.73       $  11.72       $  11.89  
 

 

 

  

Income From Investment Operations

            

Net investment
income (loss)†(a)

     .03       .01       .02 ^      .00 (b)      .01       (.01 ) 

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     (.11 )      (.03 )      .03       .01       .03       (.11 ) 

Contributions from affiliates

     – 0 –      .00 (b)      – 0 –      – 0 –      – 0 –      – 0 – 
 

 

 

  

Total from investment operations

     (.08 )      (.02 )      .05       .01       .04       (.12 ) 
 

 

 

  

Less: Dividends

            

Dividends from net investment income

     (.03 )      (.04 )      (.04 )      (.02 )      (.03 )      (.05 ) 
 

 

 

  

Net asset value, end of period

     $  11.56       $  11.67       $  11.73       $  11.72       $  11.73       $  11.72  
 

 

 

  

Total Return

            

Total investment return based on net asset value(c)

     (.67 )%      (.22 )%*      .42 %^*      .08 %      .34 %      (1.01 )% 

Ratios/Supplemental Data

            

Net assets, end of period (000 omitted)

     $3,876       $5,091       $10,582       $13,724       $15,507       $18,421  

Average net assets (000 omitted)

     $4,358       $8,270       $12,845       $13,866       $17,270       $19,599  

Ratio to average net assets of:

            

Expenses

     1.25  %‡      1.31  %      1.19  %      1.17  %+      1.11  %      1.11  % 

Expenses, before waivers/reimbursements

     1.80  %‡      1.86  %      1.74  %      1.72  %+      1.66  %      1.66  % 

Net investment income (loss)(a)

     .44  %‡      .09  %      .18  %^      (.01 )%+      .06  %      (.11 )% 

Portfolio turnover rate

     28  %      64  %      76  %      86  %      67  %      120  % ** 

See Footnote Summary on page 66.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period

 

 

† Based on average shares outstanding.
^ For the year ended September 30, 2016 the amount includes a refund for overbilling of prior years custody out of pocket fees as follows:

 

Net Investment

Income Per Share

    Net Investment
Income Ratio		   Total
Return

$0.004

    0.03%   0.03%

 

* Includes the impact of proceeds received and credited to the Portfolio resulting from class action settlements, which enhanced the Portfolio’s performance for the years ended September 30, 2017 and September 30, 2016 by .11% and .05%, respectively.

 

‡ Annualized

 

+ The ratio includes expenses attributable to costs of proxy solicitation.

 

** The Portfolio accounts for dollar roll transactions as purchases and sales.

 

(a) Net of expenses waived by the Adviser

 

(b) Amount is less than $.005.

 

(c) Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Total return does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

See notes to financial statements.

 

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BOARD OF DIRECTORS

 

Bart Friedman(1)(2), Chairman

Kathleen Fisher, President

R. Jay Gerken(1)

William Kristol(1)

Debra Perry(1)

Donald K. Peterson(1)

OFFICERS

Michael Canter, Vice President(3)

Shawn E. Keegan, Vice President(3)

Janaki Rao, Vice President(3)

Greg J. Wilensky, Vice President(3)

Joseph J. Mantineo, Treasurer and Chief Financial Officer

   

Phyllis J. Clarke, Controller

Emilie D. Wrapp, Secretary

Vincent S. Noto, Chief Compliance Officer

 

Custodian and Accounting Agent

State Street Bank and Trust Company

State Street Corporation CCB/5

1 Iron Street
Boston, MA 02210

 

Distributor†

AllianceBernstein Investments, Inc.

1345 Avenue of the Americas

New York, NY 10105

 

Transfer Agent†

AllianceBernstein Investor Services, Inc.

P.O. Box 786003

San Antonio, TX 78278-6003

Toll-Free (800) 221-5672

   

Legal Counsel

Willkie Farr & Gallagher LLP

787 Seventh Avenue

New York, NY 10019

 

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

300 Madison Avenue

New York, NY 10017

 

1 Member of the Audit Committee, the Nominating, Governance and Compensation Committee and the Independent Directors Committee.

 

2 Member of the Fair Value Pricing Committee.

 

3 The day-to-day management of, and investment decisions for, the AB Short Duration Portfolio are made by the U.S. Investment Grade: Liquid Markets Structured Products Investment Team. Messrs. Canter, Keegan, Rao and Wilensky are the investment professionals with the most significant responsibility for the day-to-day management of the Fund’s portfolio.

 

† For the AB Short Duration Portfolio, Classes A, B and C shares only.

 

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BOARD’S CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT

 

Tax-Managed International Portfolio

International Portfolio

Emerging Markets Portfolio

Short Duration Diversified Municipal Portfolio

New York Municipal Portfolio

California Municipal Portfolio

Diversified Municipal Portfolio

Short Duration Plus Portfolio

Intermediate Duration Portfolio

Overlay A Portfolio

Tax-Aware Overlay A Portfolio

Overlay B Portfolio

Tax-Aware Overlay B Portfolio

Tax-Aware Overlay C Portfolio

Tax-Aware Overlay N Portfolio

The Fund’s Board of Directors, including the Directors who are not interested persons of the Fund (the “Independent Directors”), unanimously approved the continuation of the Investment Management Agreement between the Sanford C. Bernstein Fund, Inc. (the “Fund”), on behalf of the Tax-Managed International, International, Emerging Markets, Short Duration Diversified Municipal, New York Municipal, California Municipal, Diversified Municipal, Short Duration Plus, Intermediate Duration, Overlay A, Tax-Aware Overlay A, Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios (each, a “Portfolio” and collectively, the “Portfolios”) and AllianceBernstein L.P. (the “Adviser”) (the “Investment Management Agreement”) at a meeting held on October 25-26, 2017. In connection with the process relating to the annual review of the Investment Management Agreement between the Fund and the Adviser, the Adviser received a letter dated August 18, 2017, from counsel to the Independent Directors. The letter contained a list of information requested by the Independent Directors to conduct their annual review. The Board of Directors, including the Independent Directors, met in person in July 2017 and received and reviewed certain information relating to the profitability of the Adviser in 2016 and prior years in relation to its services to the Fund, and received and evaluated extensive additional materials relating to the renewal of the Investment Management Agreement from the Adviser during in-person meetings in September and October 2017. In addition, the Independent Directors received materials prepared by the Senior Officer1 as described below. At the July 27, 2017 meeting, the Independent Directors met separately with independent counsel and the Senior Officer, and met with Seth Bernstein, the Chief Executive Officer of the Adviser, to discuss (among other things) the importance of the Private Client business to the

 

1 Philip Kirstein, the Fund’s Senior Officer, retired effective 12/31/2017.

 

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BOARD’S CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT (continued)

 

Adviser and the role played by the Portfolios, as well as the capabilities the Adviser could provide to clients. On September 28, 2017, the Board of Directors held an in-person meeting to discuss its review of the Investment Management Agreement and the materials the Directors had been provided. Also on September 28, 2017, the Independent Directors met separately with independent counsel and the Senior Officer in executive session. Following the September 28, 2017 meeting, the Independent Directors, through counsel, requested certain additional information which was provided by the Adviser on October 5, 2017. The Independent Directors held a telephonic meeting on October 17, 2017 to discuss the contract renewal materials and supplemental materials. On October 25-26, 2017, the Board of Directors held an in-person meeting to continue their review of the Investment Management Agreement. During this meeting, the Independent Directors met with counsel to the Independent Directors as well as the Fund’s Senior Officer to review the contract renewal materials provided by the Adviser as well as the Senior Officer’s report and conclusions. At the conclusion of this meeting, the Board approved the continuation of the Investment Management Agreement for an additional annual term as described below.

In approving the continuation of the Investment Management Agreement, the Board of Directors, including the Independent Directors, considered all information it deemed reasonably necessary to evaluate the terms of the Agreement and considered whether continuation of the Investment Management Agreement would be in the best interests of each Portfolio.

The Board of Directors also reviewed an independent evaluation prepared by the Fund’s Senior Officer of the reasonableness of the advisory fees in the Investment Management Agreement, wherein the Senior Officer concluded that the contractual fees contained in the Adviser’s proposal were reasonable with respect to all Portfolios and within the range of what would have been negotiated at arms-length in light of the surrounding circumstances.

The matters discussed below were considered separately by the Independent Directors in executive sessions, during which experienced counsel that is independent of the Adviser provided guidance to the Independent Directors. No single factor was considered in isolation or to be determinative to the decision of the Board to approve the continuation of the Investment Management Agreement. Rather, the Board concluded, in light of a weighing and balancing of all factors considered, and in light of the proposal to establish breakpoints for the Overlay A and the Tax-Aware Overlay A Portfolios’ fee schedules, and to reduce fees for the Short Duration Diversified Municipal, Short Duration Plus, Intermediate Duration, Tax-Managed International, International, and Emerging Markets Portfolios,

 

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BOARD’S CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT (continued)

 

effective January 1, 2018, that it was in the best interests of each Portfolio to approve the continuation of the Investment Management Agreement including the fees to be charged for services thereunder, as summarized below.

Fees and Expenses

The Board of Directors, including the Independent Directors, compared the fees and expense ratios of each Portfolio as proposed by the Adviser (before and after any fee waivers and expense reimbursements) against fees and expense ratios of a peer group of funds with similar investment objectives (“peer group”). Both the peer group and the funds within the peer group, with respect to the fee and expense data, were prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data. The Senior Officer also performed analyses of the advisory fees, and compared such analyses to the Portfolios’ peer groups.

The Board also received and considered information about the services rendered, and the fee rates charged, to other clients advised by the Adviser, including information about recent advisory fee changes with respect to other investment companies and non-investment company clients advised by the Adviser.

On the basis of its review and consideration of the fees as described above and the Board’s consideration of the other factors described below, the Board concluded that the contractual advisory fees as proposed are reasonable.

Nature, Extent and Quality of Services

The Board of Directors, including the Independent Directors, considered the nature, quality and extent of services performed by the Adviser and its affiliates gained from their experience as directors of the Fund, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, and the Adviser’s initiative in identifying and raising potential issues with the Directors. The Board also considered the Adviser’s responsiveness, frankness and attention to concerns raised by the Directors from time to time, including the Adviser’s willingness to consider and implement organizational changes designed to improve investment results and the services provided to the Portfolios. The Board also considered the scope and quality of the Adviser’s investment management capabilities, other resources dedicated to performing its services, the quality of its compliance, administrative and other services provided to the Portfolios and the background and experience of the Adviser’s senior management. The Board reviewed the qualifications, backgrounds and responsibilities of the investment staff primarily responsible for day-to-day

 

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BOARD’S CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT (continued)

 

portfolio management services for each Portfolio and noted the Adviser’s commitment to strong research and investment management capabilities throughout changing market environments. The Board reviewed the compliance and administrative services of the Adviser that support the investment advisory services provided to the Portfolios and noted that such staff appeared sufficient to provide a high level of service to the Portfolios. The Board also considered how the organizational capabilities and financial condition of the Adviser may affect the nature and quality of its services. The Board further reviewed information about AXA Financial’s proposed initial public offering (“IPO”) of a minority stake in its US operations, including AXA Group’s interest in the Adviser, and the statements of the Adviser that it will continue to operate as an independent, publicly-traded US asset manager and that the IPO is not anticipated to change the Adviser’s current management structure or strategy.

In considering the nature and quality of the services provided by the Adviser, the Board of Directors, including the Independent Directors, received and considered information about each Portfolio’s investment performance, as well as the performance of its peer group and the performance of an appropriate benchmark index. (The Board recognized that the benchmark indices do not account for fees and expenses incurred by a fund, including the Portfolios.) The Board was provided with performance data versus each Portfolio’s peer group, for the l-year, 3-year, 5-year and 10-year periods, as applicable, ended June 30, 2017 (“relevant periods”) and versus each Portfolio’s benchmark index, for the year to date, l-year, 3-years, 5-years, 10-years and since inception periods, as applicable, ended June 30, 2017. Both the funds included in each Portfolio’s peer group and the comparative performance data were provided to the Directors by Broadridge. The Directors also receive detailed comparative performance information for the Portfolios at each regular Board meeting during the year.

The Directors noted the complexity of the Overlay Portfolios, in particular the complexity of managing the globally diversified set of asset classes and derivatives in which the Overlay Portfolios can invest as well as the complexity of dynamically allocating assets through the Overlay Portfolios among various asset classes as economic and market conditions change in seeking to provide the desired risk/return trade-off for their investors. The Directors also noted the Adviser’s continued efforts to enhance the Overlay Portfolios.

The Board concluded that the Adviser had the experience and resources necessary to provide services of appropriate nature, quality and scope with respect to the Portfolios.

 

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BOARD’S CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT (continued)

 

Profitability

The Board of Directors, including the Independent Directors, considered the level of the Adviser’s profits in respect of its management of the Portfolios. The materials provided to the Independent Directors included information indicating the profitability of the Portfolios to the Adviser for calendar years 2015 and 2016, which had been reviewed by an independent consultant retained by the Senior Officer. The Directors reviewed the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and noted that there are many potentially acceptable allocation methodologies for information of this type. The Directors noted that they received information regarding all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to the Adviser’s subsidiaries that provide transfer agency, distribution and brokerage services to the Portfolios, and that they had focused on profitability before taxes and distribution expenses. The Directors also received a presentation at the July 27, 2017 Board meeting from the independent consultant who reviewed the Adviser’s method of calculating profitability. The Directors recognized that it is difficult to make comparisons of profitability among fund advisory contracts because comparative information is not generally publicly available and is affected by numerous factors including different cost accounting methodologies.

After reviewing all relevant factors, the Board of Directors, including the Independent Directors, concluded that the level of the Adviser’s profits in respect of its management of the Portfolios was not excessive.

Economies of Scale

The Board of Directors, including the Independent Directors, considered whether there have been economies of scale in respect of the management of the Portfolios, whether the Portfolios have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale.

At the October 26, 2017 Board meeting, the Directors received the Senior Officer Report which included a discussion of possible economies of scale. The Directors discussed with the Senior Officer possible ways in which any such economies of scale may be shared with the Portfolios, including by investment in enhanced services.

After reviewing the profitability and economies of scale information provided by the Adviser, the Board concluded that the benefits of any economies of scale were appropriately being shared with Portfolio investors by way of, among other things, breakpoint arrangements as currently in effect as well as the new breakpoints proposed for the Overlay A and Tax-Aware Overlay A Portfolios; proposed fee reductions for the Short

 

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BOARD’S CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT (continued)

 

Duration Diversified Municipal, Short Duration Plus, Intermediate Duration, Tax-Managed International, International, and Emerging Markets Portfolios, effective January 1, 2018; the fact that that the New York Municipal Portfolio, California Municipal Portfolio and Diversified Municipal Portfolio had recently implemented advisory fee reductions in 2017; the fact that in the case of the Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios the fee levels initially established had assumed achievement of significant scale and that these Portfolios are considerably smaller in asset size than the Overlay A and Tax-Aware Overlay A Portfolios; expense caps and waivers on select Portfolios; and the Adviser’s continued reinvestment in the business, including by researching and implementing new product enhancements, although the Adviser decreased its operating expenses and staff in recent years. The Directors also noted that, because of the investment by the Overlay A and Tax-Aware Overlay A Portfolios in affiliated portfolios, there are significant waivers of management fees for the Overlay A and Tax-Aware Overlay A Portfolios to reflect their investment in such affiliated portfolios.

Fall-Out Benefits and Other Revenue

The Board of Directors, including the Independent Directors, also took into account so-called “fall-out benefits” to the Adviser, such as soft dollar arrangements (whereby the Adviser receives the benefit of research services from many of the brokers and dealers that execute purchases and sales of securities on behalf of its clients on an agency basis), Rule 12b-1 fees and sales charges received by the principal underwriter (which is a wholly owned subsidiary of the Adviser) with respect to the retail share classes of certain Portfolios, and transfer agency fees paid by the retail share classes of certain Portfolios to a wholly-owned subsidiary of the Adviser. The Directors recognized that the Adviser’s profitability would be lower without these benefits. They also considered other benefits potentially derived from an increase in the Adviser’s business as a result of its relationship with the Fund. The Directors concluded that these fall-out benefits to the Adviser were acceptable.

Advisory Fee Rate Schedule

On the basis of the information considered, the Board determined to approve the continuation of the Investment Management Agreement for an additional annual term, with the addition of breakpoints to the Overlay A and the Tax-Aware Overlay A Portfolios’ fee schedules, and with the reduction of certain other Portfolios’ contractual fee schedules, as set forth below:

 

      Advisory Fee Schedule
Short Duration Diversified Municipal Portfolio    0.30% of the first $750 million; 0.25% of assets in excess of $750 million

 

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BOARD’S CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT (continued)

 

      Advisory Fee Schedule
Short Duration Plus Portfolio    0.35% of the first $750 million; 0.30% of assets in excess of $750 million
  
New York Municipal Portfolio    0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% in excess of $5 billion
  
California Municipal Portfolio    0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% in excess of $5 billion
  
Diversified Municipal Portfolio    0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% in excess of $5 billion up to, but not exceeding $7 billion; 0.225% of assets in excess of $7 billion
  
Intermediate Duration Portfolio    0.45% of the first $2.5 billion; 0.40% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.35% in excess of $5 billion up to, but not exceeding $8 billion; 0.30% of assets in excess of $8 billion
  
Tax-Managed International Portfolio    0.75% of the first $2.5 billion; 0.65% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.60% in excess of $5 billion
  
International Portfolio    0.75% of the first $2.5 billion; 0.65% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.60% in excess of $5 billion
  
Emerging Markets Portfolio    0.95% of the first $2.5 billion; 0.90% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.85% in excess of $5 billion
  
Overlay A Portfolio    0.90% of the first $5 billion; 0.875% in excess of $5 billion
  
Tax-Aware Overlay A Portfolio    0.90% of the first $5 billion; 0.875% in excess of $5 billion
  
Overlay B Portfolio    0.65%
  
Tax-Aware Overlay B Portfolio    0.65%
  
Tax-Aware Overlay C Portfolio    0.65%
  
Tax-Aware Overlay N Portfolio    0.65%

 

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This page is not part of the Shareholder Report or the Financial Statements.

 

 

AB FAMILY OF FUNDS

 

US EQUITY

US CORE

Core Opportunities Fund

FlexFee™ US Thematic Portfolio

Select US Equity Portfolio

US GROWTH

Concentrated Growth Fund

Discovery Growth Fund

FlexFee™ Large Cap Growth Portfolio

Growth Fund

Large Cap Growth Fund

Small Cap Growth Portfolio

US VALUE

Discovery Value Fund

Equity Income Fund

Relative Value Fund

Small Cap Value Portfolio

Value Fund

INTERNATIONAL/ GLOBAL EQUITY

INTERNATIONAL/ GLOBAL CORE

Global Core Equity Portfolio

International Portfolio

International Strategic Core Portfolio

Sustainable Global Thematic Fund

Tax-Managed International Portfolio

Tax-Managed Wealth Appreciation Strategy

Wealth Appreciation Strategy

INTERNATIONAL/ GLOBAL GROWTH

Concentrated International Growth Portfolio

Sustainable International Thematic Fund1

INTERNATIONAL/ GLOBAL EQUITY (continued)

INTERNATIONAL/ GLOBAL VALUE

International Value Fund

FIXED INCOME

MUNICIPAL

High Income Municipal Portfolio

Intermediate California Municipal Portfolio

Intermediate Diversified Municipal Portfolio

Intermediate New York Municipal Portfolio

Municipal Bond Inflation Strategy

Tax-Aware Fixed Income Portfolio

National Portfolio

Arizona Portfolio

California Portfolio

Massachusetts Portfolio

Minnesota Portfolio

New Jersey Portfolio

New York Portfolio

Ohio Portfolio

Pennsylvania Portfolio

Virginia Portfolio

TAXABLE

Bond Inflation Strategy

FlexFee™ High Yield Portfolio1

FlexFee™ International Bond Portfolio

Global Bond Fund

High Income Fund

Income Fund

Intermediate Bond Portfolio

Limited Duration High Income Portfolio

Short Duration Portfolio

ALTERNATIVES

All Market Real Return Portfolio

Global Real Estate Investment Fund

Select US Long/Short Portfolio

Unconstrained Bond Fund

MULTI-ASSET

All Market Income Portfolio

All Market Total Return Portfolio

Conservative Wealth Strategy

Emerging Markets Multi-Asset Portfolio

Global Risk Allocation Fund

Tax-Managed All Market Income Portfolio

TARGET-DATE

Multi-Manager Select Retirement Allocation Fund

Multi-Manager Select 2010 Fund

Multi-Manager Select 2015 Fund

Multi-Manager Select 2020 Fund

Multi-Manager Select 2025 Fund

Multi-Manager Select 2030 Fund

Multi-Manager Select 2035 Fund

Multi-Manager Select 2040 Fund

Multi-Manager Select 2045 Fund

Multi-Manager Select 2050 Fund

Multi-Manager Select 2055 Fund

CLOSED-END FUNDS

Alliance California Municipal Income Fund

AllianceBernstein Global High Income Fund

AllianceBernstein National Municipal Income Fund

 

We also offer Government Money Market Portfolio1, which serves as the money market fund exchange vehicle for the AB mutual funds. An investment in Government Money Market Portfolio is not a deposit in a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.

Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.

 

1 Prior to November 10, 2017, Government Money Market Portfolio was named Government Exchange Reserves; prior to January 8, 2018, Sustainable International Thematic Fund was named International Growth Fund; prior to February 23, 2018, FlexFee High Yield Portfolio was named High Yield Portfolio.

 

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NOTES

 

 

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LOGO

AB SHORT DURATION PORTFOLIO

1345 Avenue of the Americas

New York, NY 10105

800 221 5672

 

SD-0152-0318                 LOGO

Table of Contents

MAR    03.31.18

LOGO

SEMI-ANNUAL REPORT

AB INTERMEDIATE MUNICIPAL PORTFOLIOS

 

+  

AB INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO

+  

AB INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

+  

AB INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO

 

 

LOGO

 

Table of Contents

 

 

 
Investment Products Offered  

•  Are Not FDIC Insured • May Lose Value • Are Not Bank Guaranteed

Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.

This shareholder report must be preceded or accompanied by the Fund’s prospectus for individuals who are not current shareholders of the Fund.

You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com, or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.

The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-Q may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC 0330. AB publishes full portfolio holdings for the Fund monthly at www.abfunds.com.

AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.

The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.

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FROM THE ADVISER    LOGO

Dear Shareholder,

We are pleased to provide this report for AB Intermediate Municipal Portfolios: California, Diversified and New York (each a “Portfolio,” and collectively, the “Portfolios”). Please review the discussion of Portfolio performance, the market conditions during the reporting period and the Portfolios’ investment strategies.

As always, AB strives to keep clients ahead of what’s next by:

 

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Transforming uncommon insights into uncommon knowledge with a global research scope

 

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Navigating markets with seasoned investment experience and sophisticated solutions

 

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Providing thoughtful investment insights and actionable ideas

Whether you’re an individual investor or a multi-billion-dollar institution, we put knowledge and experience to work for you.

AB’s global research organization connects and collaborates across platforms and teams to deliver impactful insights and innovative products. Better insights lead to better opportunities—anywhere in the world.

For additional information about AB’s range of products and shareholder resources, please log on to www.abfunds.com.

Thank you for your investment in the AB Mutual Funds.

Sincerely,

 

LOGO

Robert M. Keith

Senior Vice President of the Adviser

 

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SEMI-ANNUAL REPORT

 

May 15, 2018

This report provides management’s discussion of fund performance for the AB Intermediate Municipal Portfolios: California, Diversified and New York, for the semi-annual reporting period ended March 31, 2018.

Each of the Portfolios seeks to provide safety of principal and maximize total return after taking account of federal taxes (and, in the case of Intermediate California Municipal Portfolio, California state taxes and, in the case of Intermediate New York Municipal Portfolio, New York state and local taxes).

NAV RETURNS AS OF MARCH 31, 2018 (unaudited)

 

     6 Months      12 Months  
AB INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO      
Class A Shares      -0.98%        0.83%  
Class C Shares      -1.35%        0.07%  
Advisor Class Shares1      -0.86%        1.08%  
Bloomberg Barclays 5-Year GO Municipal Bond Index      -1.39%        0.40%  
Lipper California Intermediate Municipal Debt Funds Average      -0.62%        1.95%  

 

     6 Months      12 Months  
AB INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO      
Class A Shares      -1.22%        0.56%  
Class B Shares2      -1.71%        -0.34%  
Class C Shares      -1.66%        -0.26%  
Advisor Class Shares1      -1.17%        0.74%  
Bloomberg Barclays 5-Year GO Municipal Bond Index      -1.39%        0.40%  
Lipper Intermediate Municipal Debt Funds Average      -0.71%        1.88%  

 

1 Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Portfolio.

 

2 Effective January 31, 2009, Class B shares are no longer available for purchase to new investors. Please see Note A for additional information.

 

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NAV RETURNS AS OF MARCH 31, 2018 (unaudited)

 

     6 Months      12 Months  
AB INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO      
Class A Shares      -1.20%        0.62%  
Class B Shares2      -1.67%        -0.47%  
Class C Shares      -1.57%        -0.14%  
Advisor Class Shares1      -1.08%        0.95%  
Bloomberg Barclays 5-Year GO Municipal Bond Index      -1.39%        0.40%  
Lipper New York Intermediate Municipal Debt Funds Average      -0.82%        1.40%  

 

1 Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Portfolio.

 

2 Effective January 31, 2009, Class B shares are no longer available for purchase to new investors. Please see Note A for additional information.

INVESTMENT RESULTS

The preceding tables show performance for each Portfolio compared to its benchmark, the Bloomberg Barclays 5-Year General Obligation (“GO”) Municipal Bond Index, for the six- and 12-month periods ended March 31, 2018. The table also includes performance for each Portfolios’ peer group, as represented by the Lipper California Intermediate Municipal Debt Funds Average for the Intermediate California Municipal Portfolio, the Lipper Intermediate Municipal Debt Funds Average for the Intermediate Diversified Municipal Portfolio and the Lipper New York Intermediate Municipal Debt Funds for the Intermediate New York Municipal Portfolio. Funds in each Lipper Average have generally similar investment objectives to the Portfolios, although some of the funds have different investment policies, sales and management fees and fund expenses.

All share classes of the Intermediate California Municipal Portfolio outperformed the benchmark for the six-month period, before sales charges; for the 12-month period Class A and Advisor Class shares outperformed, Class C shares underperformed; Class B and C shares of the Intermediate Diversified Municipal Portfolio and the Intermediate New York Municipal Portfolio underperformed the benchmark for both periods, Class A and Advisor Class shares outperformed. All share classes of the Portfolios underperformed their respective Lipper Averages for both periods.

During the six-month period, an overweight to short- and long-maturity bonds detracted from relative performance as the yield curve flattened. Over the 12-month period, yield-curve positioning contributed, because of an overweight to the nine- to 12-year part of the yield curve. Sector positioning also contributed, as an underweight to general obligation bonds and overweight to revenue bonds added to performance. A modest position in Treasuries slightly detracted, as municipal bonds outperformed Treasuries.

 

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Versus their Lipper Averages, the Portfolios trailed their peers as they had less lower-rated securities and fewer callable bonds that performed well, particularly over the 12-month period, as the slope of the yield curve flattened.

The Portfolios utilized derivatives in the form of credit default swaps for investment purposes, which had no material impact on absolute returns for both periods; the Intermediate New York Municipal and Intermediate Diversified Municipal Portfolios also utilized interest rate swaps during the 12-month period for hedging purposes, which had no material impact on returns.

MARKET REVIEW AND INVESTMENT STRATEGY

Against the backdrop of three interest rate hikes by the US Federal Reserve (the “Fed”) and concerns about tax reform, municipals remained resilient throughout 2017 and outperformed US Treasuries. Yields jumped in January and the first half of February of 2018; the 10-year AAA municipal yield rose 50 basis points during that period, before declining modestly and ending the reporting period 44 basis points higher than at the end of 2017. Over the 12-month period, as the Fed again raised the fed funds rate, short-maturity yields increased significantly more than intermediate- and long-maturity yields. For example, AAA-rated two-year yields increased 63 basis points while AAA-rated 30-year yields actually fell 10 basis points. After record municipal supply in December 2017, new issuance remained light, giving support to prices into the first months of 2018.

The Portfolios may purchase municipal securities that are insured under policies issued by certain insurance companies. Historically, insured municipal securities typically received a higher credit rating, which meant that the issuer of the securities paid a lower interest rate. As a result of declines in the credit quality and associated downgrades of most bond insurers, insurance has less value than it did in the past. The market now values insured municipal securities primarily based on the credit quality of the issuer of the security with little value given to the insurance feature. In purchasing such insured securities, the Adviser evaluates the risk and return of municipal securities through its own research. If an insurance company’s rating is downgraded or the company becomes insolvent, the prices of municipal securities insured by the insurance company may decline. As of March 31, 2018, the Portfolios’ percentages of investments in municipal bonds that are insured and insured municipal bonds that have been pre-refunded or escrowed to maturity were 3.92% and 0.47%, respectively, for Intermediate California Municipal Portfolio; 4.05% and 0.02%, respectively, for Intermediate Diversified Municipal Portfolio and 3.51% and 0.00%, respectively, for Intermediate New York Municipal Portfolio.

 

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INVESTMENT POLICIES

As a matter of fundamental policy, the Portfolios, under normal circumstances, invest at least 80% of their net assets in municipal securities (and, in the case of the Intermediate California and Intermediate New York Municipal Portfolios, municipal securities issued by the State of California or the State of New York, or their political subdivisions, or otherwise exempt from California or New York state income tax, respectively). The Intermediate Diversified Municipal Portfolio invests no more than 25% of its total assets in municipal securities of issuers located in any one state. Each of the Portfolios invests at least 80% of its total assets in municipal securities rated A or better by national rating agencies (or, if unrated, determined by the Adviser to be of comparable quality) and comparably rated municipal notes. The Portfolios may invest up to 20% of their total assets in fixed-income securities rated BB or B by national rating agencies, which are not investment-grade (commonly known as “junk bonds”).

The Portfolios may invest, without limit, in revenue bonds, which generally do not have the pledge of the credit of the issuer. The Portfolios may invest, without limit, in securities or obligations that are related in such a way that business or political developments or changes affecting one such security could also affect the others (for example, securities with interest that is paid from projects of a similar type). Each of the Portfolios may invest up to 20% of their net assets in fixed-income securities of US issuers that are not municipal securities if, in the Adviser’s opinion, these securities will enhance the after-tax return for investors. The Portfolios may use derivatives, such as options, futures contracts, forward contracts and swaps. In managing the Portfolios, the Adviser may use interest rate forecasting to estimate the best level of interest rate risk at a given time.

Each Portfolio seeks to maintain an effective duration of three and one-half years to seven years under normal market conditions. Within the ranges described in the prospectus, the Adviser may moderately shorten the average duration of the Portfolios when it expects interest rates to rise and modestly lengthen average duration when it anticipates that interest rates will fall.

 

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DISCLOSURES AND RISKS

 

Benchmark Disclosure

The Bloomberg Barclays 5-Year GO Municipal Bond Index is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The Bloomberg Barclays 5-Year GO Municipal Bond Index represents the performance of long-term, investment-grade tax-exempt bonds with maturities ranging from four-to-six years. An investor cannot invest directly in an index or average, and their results are not indicative of the performance for any specific investment, including the Portfolios.

A Word About Risk

Interest Rate Risk: This is the risk that changes in interest rates will affect the value of the Portfolios’ investments in fixed-income debt securities such as bonds and notes. The Portfolios may be subject to a greater risk of rising interest rates due to the current period of historically low rates and the effect of potential government policy initiatives and market reaction to those initiatives. Increases in interest rates may cause the value of the Portfolios’ investments to decline and this decrease in value may not be offset by higher income from new investments. The Portfolios will experience increased interest rate risk to the extent they invest in fixed-income securities with longer maturities or durations. A general rise in interest rates may cause investors to move out of fixed-income securities on a large scale, which could adversely affect the price and liquidity of fixed-income securities and could also result in increased redemptions from a Portfolio that invests largely in fixed-income securities.

Credit Risk: This is the risk that the issuer or the guarantor of a debt security, or the counterparty to a derivatives or other contract, will be unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. The issuer or guarantor may default, potentially causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. The credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security. Investments in fixed-income securities with lower ratings tend to have a higher probability that an issuer will default or fail to meet its payment obligations. At times when credit risk is perceived to be greater, credit “spreads” (i.e., the difference between the yields on lower quality securities and the yields on higher quality securities) may get larger or “widen”. As a result, the values of the lower quality securities may go down more and they may become harder to sell and less liquid.

Duration Risk: The duration of a fixed-income security may be shorter than or equal to full maturity of the fixed-income security. Fixed-income securities with longer durations have more interest rate risk and will

 

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DISCLOSURES AND RISKS (continued)

 

decrease in price as interest rates rise. For example, a fixed-income security with a duration of three years would be expected to decrease in value by approximately 3% if interest rates increase by 1%. Securities that have final maturities longer than their durations may be affected by increased credit spreads to a far greater degree than their durations would suggest, because they are exposed to credit risk until final maturity.

Municipal Market Risk: This is the risk that special factors may adversely affect the value of municipal securities and have a significant effect on the yield or value of the Portfolios’ investments in municipal securities. These factors include economic conditions, political or legislative changes, uncertainties related to the tax status of municipal securities, or the rights of investors in these securities. The value of municipal securities may also be adversely affected by rising health care costs, increasing unfunded pension liabilities, and by the phasing out of federal programs providing financial support. In recent periods an increasing number of municipal issuers have defaulted on obligations, been downgraded or commenced insolvency proceedings. Financial difficulties of municipal issuers may continue or get worse. To the extent the Portfolios invest in a particular state’s municipal securities, they may be vulnerable to events adversely affecting that state, including economic, political and regulatory occurrences, court decisions, terrorism and catastrophic natural disasters, such as hurricanes and earthquakes. The Portfolios’ investments in certain municipal securities with principal and interest payments that are made from the revenues of a specific project or facility, and not general tax revenues, are subject to the risk that factors affecting the project or facility, such as local business or economic conditions, could have a significant effect on the project’s ability to make payments of principal and interest on these securities.

In addition, recent tax law changes could have a material impact on the value of municipal securities. Changes in tax rates or the treatment of income from certain types of municipal securities, among other things, could negatively affect the municipal securities markets.

The Portfolios may invest in municipal securities of issuers in Puerto Rico or other US territories and their governmental agencies and municipalities, which are exempt from federal, state, and, where applicable, local income taxes. These municipal securities may have more risks than those of other US issuers of municipal securities. Like many US states and municipalities, Puerto Rico experienced a significant downturn during the recent recession. Puerto Rico’s downturn was particularly severe, and Puerto Rico continues to face a very challenging economic and fiscal environment. If the general economic situation in Puerto Rico continues to persist or worsens, the volatility and credit quality of Puerto Rican municipal securities could continue to be adversely affected, and the market for such securities may deteriorate further.

 

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DISCLOSURES AND RISKS (continued)

 

Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Portfolios’ assets can decline as can the value of the Portfolios’ distributions. This risk is significantly greater for fixed-income securities with longer maturities.

Non-Diversification Risk: Concentration of investments in a small number of securities tends to increase risk. The Intermediate California and Intermediate New York Municipal Portfolios may have more risk because they are “non-diversified”, meaning that they can invest more of their assets in a relatively small number of issuers with greater concentration of risk. Matters affecting these issuers can have a more significant effect on the Portfolios’ net asset value (“NAV”).

Liquidity Risk: Liquidity risk exists when particular investments are difficult to purchase or sell, possibly preventing the Portfolios from selling out of these illiquid or relatively less liquid securities at an advantageous price. Over recent years, regulatory changes have led to reduced liquidity in the marketplace, and the capacity of dealers to make markets in fixed-income securities has been outpaced by the growth in the size of the fixed-income markets. Liquidity risk may be magnified in a rising interest rate environment, where the value and liquidity of fixed-income securities generally go down. Derivatives and securities involving substantial market and credit risk tend to involve greater liquidity risk. The Portfolios are subject to more liquidity risk because the market for municipal securities is generally smaller than many other markets. Illiquid securities and relatively less liquid securities may also be difficult to value.

Redemption Risk: The Portfolios may experience heavy redemptions that could cause the Portfolios to liquidate their assets at inopportune times or at a loss or depressed value, which could cause the value of your investment to decline. Redemption risk is heightened during periods of overall market turmoil.

Derivatives Risk: The Portfolios may use derivatives as direct investments to earn income, enhance return and broaden portfolio diversification, which entail greater risk than if used solely for hedging purposes. In addition to other risks such as the credit risk of the counterparty, derivatives involve the risk that changes in the value of the derivative may not correlate with relevant assets, rates or indices. Derivatives may be illiquid and difficult to price or unwind, and small changes may produce disproportionate losses for the Portfolios. Certain derivatives have the potential for unlimited loss, regardless of the size of the initial investment. Assets required to be set aside or posted to cover or secure derivatives positions may themselves go down in value, and these collateral and other requirements may limit investment flexibility. Some derivatives involve

 

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DISCLOSURES AND RISKS (continued)

 

leverage, which can make the Portfolios more volatile and can compound other risks. Use of derivatives may have different tax consequences on the Portfolios than an investment in the underlying security, and such differences may affect the amount, timing and character of income distributed to shareholders, including the proportion of income consisting of exempt-interest dividends. The US government and foreign governments are in the process of adopting and implementing regulations governing derivatives markets, including mandatory clearing of certain derivatives, margin, reporting and registration requirements. The ultimate impact of the regulations remains unclear. Additional regulation may make derivatives more costly, limit their availability or utility, otherwise adversely affect their performance, or disrupt markets.

Management Risk: The Portfolios are subject to management risk because they are actively managed investment portfolios. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolios, but these techniques, analyses and decisions may not work as intended or many not produce the desired results. In some cases, derivatives and other investment techniques may be unavailable or the Adviser may determine not to use them, possibly even under market conditions where their use could benefit the Portfolios. In addition, the Adviser may change the Portfolios’ investment strategies or policies from time to time. Those changes may not lead to the results intended by the Adviser and could have an adverse effect on the value or performance of the Portfolios.

Market Risk: The Portfolios are subject to market risk, which is the risk that bond prices in general may decline over short or extended periods. In the past decade, financial markets in the United States and elsewhere have experienced increased volatility, decreased liquidity and heightened uncertainty. These market conditions may continue, worsen, or spread. The US government and the Federal Reserve, as well as certain foreign governments and central banks, have taken steps to support financial markets, including by keeping interest rates low. The Federal Reserve has reduced its market support activities and has begun raising interest rates. Further Federal Reserve or other US or non-US governmental or central bank actions, including interest rate increases or decreases, could negatively affect financial markets generally, increase market volatility and reduce the value and liquidity of securities in which the Portfolios invest.

In addition, policy and legislative changes in the United States and in other countries are affecting many aspects of financial regulation, and may in some instances contribute to decreased liquidity and increased volatility in the financial markets. The impact of these changes, and the practical implications for market participants, may not be fully known for some time.

 

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DISCLOSURES AND RISKS (continued)

 

Tax Risk: There is no guarantee that the income on the Portfolios’ municipal securities will be exempt from regular federal income, and if applicable, state income taxes. Unfavorable legislation, adverse interpretations by federal or state authorities, litigation or noncompliant conduct by the issuer of a municipal security could affect the tax-exempt status of municipal securities. If the Internal Revenue Service or a state authority determines that an issuer of a municipal security has not complied with applicable requirements, interest from the security could become subject to regular federal income tax and/or state personal income tax, possibly retroactively to the date the security was issued, the value of the security could decline significantly, and a portion of the distributions to Portfolio shareholders could be recharacterized as taxable. The US Congress has considered changes to US federal tax law that would, if enacted, have a negative impact on certain types of municipal securities, such as private activity bonds, or would otherwise make investments in municipal bonds less attractive.

Lower-rated Securities Risk: Lower-rated securities, or junk bonds/high-yield securities, are subject to greater risk of loss of principal and interest and greater market risk than higher-rated securities. The capacity of issuers of lower-rated securities to pay interest and repay principal is more likely to weaken than is that of issuers of higher-rated securities in times of deteriorating economic conditions or rising interest rates.

Prepayment and Extension Risk: Prepayment risk is the risk that a loan, bond or other security might be called or otherwise converted, prepaid or redeemed before maturity. If this happens, particularly during a time of declining interest rates or credit spreads, the Portfolios will not benefit from the rise in market price that normally accompanies a decline in interest rates, and may not be able to invest the proceeds in securities providing as much income, resulting in a lower yield to the Portfolios. Conversely, extension risk is the risk that as interest rates rise or spreads widen, payments of securities may occur more slowly than anticipated by the market. If this happens, the values of these securities may go down because their interest rates are lower than current market rates and they remain outstanding longer than anticipated.

These risks are fully discussed in the Portfolios’ prospectus. As with all investments, you may lose money by investing in the Portfolios.

An Important Note About Historical Performance

The investment return and principal value of an investment in the Portfolios will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by visiting www.abfunds.com.

 

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DISCLOSURES AND RISKS (continued)

 

All fees and expenses related to the operation of the Portfolios have been deducted. NAV returns do not reflect sales charges; if sales charges were reflected, the Portfolios’ quoted performance would be lower. SEC returns reflect the applicable sales charges for each share class: a 3.00% maximum front-end sales charge for Class A shares; the applicable contingent deferred sales charge for Class B shares (3% year 1, 2% year 2, 1% year 3, 0% year 4) and a 1% 1-year contingent deferred sales charge for Class C shares. Returns for the different share classes will vary due to different expenses associated with each class. Performance assumes reinvestment of distributions and does not account for taxes.

 

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HISTORICAL PERFORMANCE

INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO

 

AVERAGE ANNUAL RETURNS AS OF MARCH 31, 2018 (unaudited)

 

    NAV Returns     SEC Returns
(reflects applicable
sales charges)		     SEC
Yields1		     Taxable
Equivalent
Yields2		  
CLASS A SHARES         1.36%       2.41%  
1 Year     0.83%       -2.21%      
5 Years     1.00%       0.38%      
10 Years     2.48%       2.17%      
CLASS C SHARES         0.66%       1.17%  
1 Year     0.07%       -0.92%      
5 Years     0.26%       0.26%      
10 Years     1.75%       1.75%      
ADVISOR CLASS SHARES3         1.65%       2.93%  
1 Year     1.08%       1.08%      
Since Inception4     -0.36%       -0.36%      

The Portfolio’s current prospectus fee table shows the Portfolio’s total annual operating expense ratios as 0.74%, 1.50% and 0.47% for Class A, Class C and Advisor Class shares, respectively. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights sections since they are based on different time periods.

 

1 SEC yields are calculated based on SEC guidelines for the 30-day period ended March 31, 2018.

 

2 Taxable equivalent yields are based on SEC yields and a 35% marginal federal income tax rate and maximum state taxes where applicable.

 

3 This share class is offered at NAV to eligible investors and the SEC returns are the same as the NAV returns. Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Portfolio.

 

4 Inception date: 7/25/2016.

 

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HISTORICAL PERFORMANCE (continued)

INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO

 

SEC AVERAGE ANNUAL RETURNS

AS OF THE MOST RECENT CALENDAR QUARTER-END

MARCH 31, 2018 (unaudited)

 

    SEC Returns
(reflects applicable
sales charges)		  
CLASS A SHARES  
1 Year     -2.21%  
5 Years     0.38%  
10 Years     2.17%  
CLASS C SHARES  
1 Year     -0.92%  
5 Years     0.26%  
10 Years     1.75%  
ADVISOR CLASS SHARES1  
1 Year     1.08%  
Since Inception2     -0.36%  

 

1 Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Portfolio.

 

2 Inception date: 7/25/2016.

 

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HISTORICAL PERFORMANCE

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

AVERAGE ANNUAL RETURNS AS OF MARCH 31, 2018 (unaudited)

 

    NAV Returns     SEC Returns
(reflects applicable
sales charges)		     SEC
Yields1		     Taxable
Equivalent
Yields2		  
CLASS A SHARES         1.50%       2.31%  
1 Year     0.56%       -2.44%      
5 Years     0.99%       0.37%      
10 Years     2.46%       2.15%      
CLASS B SHARES         0.71%       1.09%  
1 Year     -0.34%       -3.30%      
5 Years     0.20%       0.20%      
10 Years3     2.03%       2.03%      
CLASS C SHARES         0.81%       1.25%  
1 Year     -0.26%       -1.25%      
5 Years     0.24%       0.24%      
10 Years     1.73%       1.73%      
ADVISOR CLASS SHARES4         1.80%       2.77%  
1 Year     0.74%       0.74%      
Since Inception5     1.41%       1.41%      

The Portfolio’s current prospectus fee table shows the Portfolio’s total annual operating expense ratios as 0.73%, 1.53%, 1.49% and 0.48% for Class A, Class B, Class C and Advisor Class shares, respectively. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights sections since they are based on different time periods.

 

1 SEC yields are calculated based on SEC guidelines for the 30-day period ended March 31, 2018.

 

2 Taxable equivalent yields are based on SEC yields and a 35% marginal federal income tax rate and maximum state taxes where applicable.

 

3 Assumes conversion of Class B shares into Class A shares after six years.

 

4 This share class is offered at NAV to eligible investors and the SEC returns are the same as the NAV returns. Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Portfolio.

 

5 Inception date: 6/26/2015.

 

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HISTORICAL PERFORMANCE (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

SEC AVERAGE ANNUAL RETURNS

AS OF THE MOST RECENT CALENDAR QUARTER-END

MARCH 31, 2018 (unaudited)

 

    SEC Returns
(reflects applicable
sales charges)		  
CLASS A SHARES  
1 Year     -2.44%  
5 Years     0.37%  
10 Years     2.15%  
CLASS B SHARES  
1 Year     -3.30%  
5 Years     0.20%  
10 Years1     2.03%  
CLASS C SHARES  
1 Year     -1.25%  
5 Years     0.24%  
10 Years     1.73%  
ADVISOR CLASS SHARES2  
1 Year     0.74%  
Since Inception3     1.41%  

 

1 Assumes conversion of Class B shares into Class A shares after six years.

 

2 Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Portfolio.

 

3 Inception date: 6/26/2015.

 

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Table of Contents

 

HISTORICAL PERFORMANCE

INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO

 

AVERAGE ANNUAL RETURNS AS OF MARCH 31, 2018 (unaudited)

 

    NAV Returns     SEC Returns
(reflects applicable
sales charges)		     SEC
Yields1		     Taxable
Equivalent
Yields2		  
CLASS A SHARES         1.51 %      2.55 % 
1 Year     0.62 %      -2.39 %     
5 Years     1.06 %      0.44 %     
10 Years     2.48 %      2.17 %     
CLASS B SHARES         0.44 %      0.74 % 
1 Year     -0.47 %      -3.43 %     
5 Years     0.22 %      0.22 %     
10 Years3     2.05 %      2.05 %     
CLASS C SHARES         0.81 %      1.37 % 
1 Year     -0.14 %      -1.12 %     
5 Years     0.32 %      0.32 %     
10 Years     1.74 %      1.74 %     
ADVISOR CLASS SHARES4         1.81 %      3.05 % 
1 Year     0.95 %      0.95 %     
Since Inception5     -0.37 %      -0.37 %     

The Portfolio’s current prospectus fee table shows the Portfolio’s total annual operating expense ratios as 0.73%, 1.90%, 1.48% and 0.47% for Class A, Class B, Class C and Advisor Class shares, respectively. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights sections since they are based on different time periods.

 

1 SEC yields are calculated based on SEC guidelines for the 30-day period ended March 31, 2018.

 

2 Taxable equivalent yields are based on SEC yields and a 35% marginal federal income tax rate and maximum state taxes where applicable.

 

3 Assumes conversion of Class B shares into Class A shares after six years.

 

4 This share class is offered at NAV to eligible investors and the SEC returns are the same as the NAV returns. Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Portfolio.

 

5 Inception date: 7/25/2016.

 

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HISTORICAL PERFORMANCE (continued)

INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO

 

SEC AVERAGE ANNUAL RETURNS

AS OF THE MOST RECENT CALENDAR QUARTER-END

MARCH 31, 2018 (unaudited)

 

    SEC Returns
(reflects applicable
sales charges)		  
CLASS A SHARES  
1 Year     -2.39%  
5 Years     0.44%  
10 Years     2.17%  
CLASS B SHARES  
1 Year     -3.43%  
5 Years     0.22%  
10 Years1     2.05%  
CLASS C SHARES  
1 Year     -1.12%  
5 Years     0.32%  
10 Years     1.74%  
ADVISOR CLASS SHARES2  
1 Year     0.95%  
Since Inception3     -0.37%  

 

1 Assumes conversion of Class B shares into Class A shares after six years.

 

2 Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Portfolio.

 

3 Inception date: 7/25/2016.

 

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Table of Contents

 

EXPENSE EXAMPLE

(unaudited)

 

As a shareholder of a Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on a Portfolio’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

California Municipal Portfolio

 

     Beginning
Account Value
October 1,  2017		      Ending
Account Value
March 31, 2018		      Expenses
Paid During
Period*		      Annualized
Expense
Ratio*		  
Class A            

Actual

    $     1,000      $ 990.20      $ 3.67        0.74 % 

Hypothetical**

    $ 1,000      $     1,021.24      $     3.73        0.74 % 

 

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EXPENSE EXAMPLE (continued)

(unaudited)

 

     Beginning
Account Value
October 1,  2017		      Ending
Account Value
March 31, 2018		      Expenses
Paid During
Period*		      Annualized
Expense
Ratio*		  
Class C            

Actual

    $     1,000      $ 986.50      $ 7.38        1.49 % 

Hypothetical**

    $ 1,000      $     1,017.50      $     7.49        1.49 % 
Advisor Class            

Actual

    $ 1,000      $ 991.40      $ 2.43        0.49 % 

Hypothetical**

    $ 1,000      $ 1,022.49      $ 2.47        0.49 % 

Diversified Municipal Portfolio

 

     Beginning
Account Value
October 1, 2017		      Ending
Account Value
March 31, 2018		      Expenses
Paid During
Period*		      Annualized
Expense
Ratio*		  
Class A            

Actual

    $     1,000      $ 987.80      $ 3.57        0.72 % 

Hypothetical**

    $ 1,000      $     1,021.34      $     3.63        0.72 % 
Class B            

Actual

    $ 1,000      $ 982.90      $ 7.71        1.56 % 

Hypothetical**

    $ 1,000      $ 1,017.15      $ 7.85        1.56 % 
Class C            

Actual

    $ 1,000      $ 983.40      $ 7.27        1.47 % 

Hypothetical**

    $ 1,000      $ 1,017.60      $ 7.39        1.47 % 
Advisor Class            

Actual

    $ 1,000      $ 988.30      $ 2.33        0.47 % 

Hypothetical**

    $ 1,000      $ 1,022.59      $ 2.37        0.47 % 

New York Municipal Portfolio

 

     Beginning
Account Value
October 1, 2017		      Ending
Account Value
March 31, 2018		      Expenses
Paid During
Period*		      Annualized
Expense
Ratio*		  
Class A            

Actual

    $     1,000      $ 988.00      $ 3.62        0.73 % 

Hypothetical**

    $ 1,000      $     1,021.29      $     3.68        0.73 % 
Class B            

Actual

    $ 1,000      $ 983.30      $ 9.05        1.83 % 

Hypothetical**

    $ 1,000      $ 1,015.81      $ 9.20        1.83 % 
Class C            

Actual

    $ 1,000      $ 984.30      $ 7.32        1.48 % 

Hypothetical**

    $ 1,000      $ 1,017.55      $ 7.44        1.48 % 
Advisor Class            

Actual

    $ 1,000      $ 989.20      $ 2.38        0.48 % 

Hypothetical**

    $ 1,000      $ 1,022.54      $ 2.42        0.48 % 

 

* Expenses are equal to the classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

 

** Assumes 5% annual return before expenses.

 

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PORTFOLIO SUMMARY

INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO

March 31, 2018 (unaudited)

 

PORTFOLIO STATISTICS

Net Assets ($mil): $1,305.5

 

 

 

LOGO

 

 

 

LOGO

 

1 All data are as of March 31, 2018. The Portfolio’s quality rating breakdown is expressed as a percentage of the Portfolio’s total investments in municipal securities and may vary over time. The quality ratings are determined by using the Standard & Poor’s Ratings Services (“S&P”), Moody’s Investors Services, Inc. (“Moody’s”) and Fitch Ratings, Ltd. (“Fitch”). The Portfolio considers the credit ratings issued by S&P, Moody’s and Fitch and uses the highest rating issued by the agencies. These ratings are a measure of the quality and safety of a bond or portfolio, based on the issuer’s financial condition. AAA is the highest (best) and D is the lowest (worst). If applicable, the pre-refunded category includes bonds which are secured by U.S. Government securities and therefore are deemed high-quality investment grade by the Adviser. If applicable, Not Applicable (N/A) includes non-credit worthy investments; such as, equities, currency contracts, futures and options. If applicable, the Not Rated category includes bonds that are not rated by a nationally recognized statistical rating organization. The Adviser evaluates the creditworthiness of non-rated securities based on a number of factors including, but not limited to, cash flows, enterprise value and economic environment.

 

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PORTFOLIO SUMMARY

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

March 31, 2018 (unaudited)

 

PORTFOLIO STATISTICS

Net Assets ($mil): $7,169.4

 

 

 

LOGO

 

 

 

LOGO

 

1 All data are as of March 31, 2018. The Portfolio’s quality rating breakdown and state breakdown are expressed as a percentage of the Portfolio’s total investments in municipal securities and may vary over time. The quality ratings are determined by using S&P, Moody’s and Fitch. The Portfolio considers the credit ratings issued by S&P, Moody’s and Fitch and uses the highest rating issued by the agencies. These ratings are a measure of the quality and safety of a bond or portfolio, based on the issuer’s financial condition. AAA is the highest (best) and D is the lowest (worst). If applicable, the pre-refunded category includes bonds which are secured by U.S. Government securities and therefore are deemed high-quality investment grade by the Adviser. If applicable, Not Applicable (N/A) includes non-credit worthy investments; such as, equities, currency contracts, futures and options. If applicable, the Not Rated category includes bonds that are not rated by a nationally recognized statistical rating organization. The Adviser evaluates the creditworthiness of non-rated securities based on a number of factors including, but not limited to, cash flows, enterprise value and economic environment.

 

2 “Other” represents less than 2.2% in 28 different states, District of Columbia and Puerto Rico.

 

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PORTFOLIO SUMMARY

INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO

March 31, 2018 (unaudited)

 

PORTFOLIO STATISTICS

Net Assets ($mil): $1,833.3

 

 

 

LOGO

 

 

 

LOGO

 

1 All data are as of March 31, 2018. The Portfolio’s quality rating breakdown and state breakdown are expressed as a percentage of the Portfolio’s total investments in municipal securities and may vary over time. The quality ratings are determined by using the S&P, Moody’s and Fitch. The Portfolio considers the credit ratings issued by S&P, Moody’s and Fitch and uses the highest rating issued by the agencies. These ratings are a measure of the quality and safety of a bond or portfolio, based on the issuer’s financial condition. AAA is the highest (best) and D is the lowest (worst). If applicable, the pre-refunded category includes bonds which are secured by U.S. Government securities and therefore are deemed high-quality investment grade by the Adviser. If applicable, Not Applicable (N/A) includes non-credit worthy investments; such as, equities, currency contracts, futures and options. If applicable, the Not Rated category includes bonds that are not rated by a nationally recognized statistical rating organization. The Adviser evaluates the creditworthiness of non-rated securities based on a number of factors including, but not limited to, cash flows, enterprise value and economic environment.

 

2 “Other” represents less than 0.3% in five different states and District of Columbia.

 

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PORTFOLIO OF INVESTMENTS

INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO

March 31, 2018 (unaudited)

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

MUNICIPAL OBLIGATIONS – 100.9%

     

Long-Term Municipal Bonds – 99.3%

     

California – 86.2%

     

Abag Finance Authority for Nonprofit Corps.
(Odd Fellows Home of California)
Series 2012A
5.00%, 4/01/20-4/01/22

    $ 2,000     $ 2,176,020  

Anaheim Public Financing Authority
(City of Anaheim CA Lease)
Series 2014A
5.00%, 5/01/21-5/01/24

      4,050       4,534,293  

Bay Area Toll Authority
Series 2009F-1
5.00%, 4/01/22 (Pre-refunded/ETM)

      14,975       15,493,434  

Series 2012
5.00%, 4/01/24-4/01/25

      13,845       15,503,055  

Bay Area Water Supply & Conservation Agency
Series 2013A
5.00%, 10/01/25

      4,710       5,376,041  

Brea Redevelopment Agency
Series 2017A
5.00%, 8/01/31

      1,605       1,891,605  

California Econ Recovery
Series 2009A
5.00%, 7/01/18 (Pre-refunded/ETM)

      12,420       12,529,047  

5.00%, 7/01/20 (Pre-refunded/ETM)

      22,500       23,461,200  

California Educational Facilities Authority
(Claremont Mckenna College)
Series 2015A
5.00%, 1/01/27

      1,300       1,550,705  

California Educational Facilities Authority
(University of the Pacific)
Series 2015
5.00%, 11/01/28

      1,545       1,762,011  

California Health Facilities Financing Authority
(Cedars-Sinai Medical Center)
Series 2015
5.00%, 11/15/27-11/15/29

      19,500       23,151,610  

California Health Facilities Financing Authority
(Children’s Hospital Los Angeles)
Series 2017A
5.00%, 8/15/32

      1,215       1,399,243  

California Health Facilities Financing Authority
(Kaiser Foundation Hospitals)
Series 2017P
5.00%, 11/01/32

      7,370       8,394,798  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

California Health Facilities Financing Authority
(Sutter Health Obligated Group)
Series 2018A
5.00%, 11/15/23-11/15/29(a)

    $ 11,365     $ 13,407,570  

California Infrastructure & Economic Development Bank
Series 2016
4.00%, 10/01/18

      2,460       2,492,251  

California Infrastructure & Economic Development Bank
(Broad Collection (The))
Series 2011A
5.00%, 6/01/21

      20,650       22,758,365  

California Infrastructure & Economic Development Bank
(California Infrastructure & Economic Development Bank SRF)
5.00%, 10/01/22-10/01/32

      15,680       18,849,124  

Series 2017
5.00%, 10/01/24

      5,000       5,909,300  

California Infrastructure & Economic Development Bank
(Segerstrom Center for the Arts)
Series 2016
5.00%, 7/01/26

      2,370       2,795,344  

Series 2016B
5.00%, 7/01/23

      12,760       14,445,724  

California Municipal Finance Authority
(Rocketship Education Obligated Group)
Series 2015A
4.25%, 3/01/28(b)(c)

      1,900       1,925,175  

California Pollution Control Financing Authority
(Poseidon Resources Channelside LP)
Series 2012
5.00%, 7/01/27(c)

      4,000       4,358,080  

California School Finance Authority
(Rocketship Education Obligated Group)
Series 2016A
5.00%, 6/01/31(b)(c)

      1,000       1,048,350  

California State Public Works Board
Series 2009E
5.00%, 4/01/21 (Pre-refunded/ETM)

      5,890       6,090,967  

5.00%, 4/01/22 (Pre-refunded/ETM)

      4,935       5,103,382  

Series 2011G
5.00%, 12/01/23 (Pre-refunded/ETM)

      1,545       1,721,115  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

California State Public Works Board
(California State Public Works Board Lease)
Series 2014A
5.00%, 9/01/30

    $ 11,220     $ 12,750,857  

Series 2014B
5.00%, 10/01/29

      4,445       5,072,990  

Series 2017H
5.00%, 4/01/30-4/01/32

      5,270       6,180,286  

AMBAC Series 1993A
5.00%, 12/01/19

      1,380       1,430,591  

California State University
Series 2010A
5.00%, 11/01/24

      1,490       1,588,996  

Series 2011A
5.25%, 11/01/26

      5,500       6,148,450  

Series 2012A
5.00%, 11/01/26

      10,930       12,342,047  

Series 2014A
5.00%, 11/01/28

      16,650       19,412,568  

California Statewide Communities Development Authority
(CHF-Irvine LLC)
Series 2017A
5.00%, 5/15/29

      1,210       1,401,737  

Central Coast Water Authority
Series 2016
5.00%, 10/01/18

      1,040       1,057,971  

City & County of San Francisco CA
Series 2018B
5.00%, 6/15/19(a)

      3,370       3,510,495  

City & County of San Francisco CA COP
Series 2015R
5.00%, 9/01/21-9/01/24

      7,405       8,356,009  

City of Hayward CA COP
Series 2015
5.00%, 11/01/20-11/01/23

      9,255       10,333,264  

City of Long Beach CA Harbor Revenue
Series 2010A
5.00%, 5/15/22-5/15/25

      16,895       18,063,312  

Series 2010B
5.00%, 5/15/21

      6,500       6,955,195  

Series 2015A
4.00%, 5/15/18

      2,145       2,151,285  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

City of Los Angeles CA Wastewater System Revenue
Series 2012C
5.00%, 6/01/23

    $ 2,765     $ 3,106,312  

Series 2017A
5.00%, 6/01/30

      4,800       5,759,520  

City of Los Angeles Department of Airports
Series 2017A
5.00%, 5/15/28-5/15/29

      4,015       4,665,665  

City of Los Angeles Department of Airports
(Los Angeles Intl Airport)
Series 2009A
5.25%, 5/15/23-5/15/24

      15,955       16,593,040  

Series 2010A
5.00%, 5/15/23-5/15/25

      25,915       27,656,782  

Series 2010D
5.00%, 5/15/23

      5,000       5,337,200  

City of Riverside CA Sewer Revenue
Series 2015A
5.00%, 8/01/27-8/01/30

      5,320       6,195,818  

City of Roseville CA
Series 2017A
5.00%, 9/01/28-9/01/30(b)

      2,305       2,640,106  

City of Roseville CA
(HP Campus Oaks Community Facilities District No 1)
Series 2016
5.00%, 9/01/31(b)

      1,170       1,250,239  

City of San Francisco CA Public Utilities Commission Wastewater Revenue
Series 2013B
5.00%, 10/01/25

      4,000       4,520,720  

City of San Francisco CA Public Utilities Commission Water Revenue
Series 2009A
5.00%, 11/01/28 (Pre-refunded/ETM)

      2,000       2,106,780  

Series 2011A
5.00%, 11/01/25 (Pre-refunded/ETM)

      11,320       12,590,330  

Series 2017E
5.00%, 11/01/26

      2,130       2,593,850  

City of San Jose CA Airport Revenue
Series 2014A
5.00%, 3/01/25

      3,600       4,066,308  

Contra Costa Transportation Authority
(Contra Costa Transportation Authority Sales Tax)
Series 2015A
5.00%, 3/01/22

      3,000       3,365,760  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Series 2017A
5.00%, 3/01/30

    $ 1,250     $ 1,496,013  

Cotati-Rohnert Park Unified School District
AGM Series 2015B
5.00%, 8/01/21

      3,000       3,309,690  

County of San Diego CA
(Sanford Burnham Prebys Medical Discovery Institute)
Series 2015A
5.00%, 11/01/21

      1,725       1,900,916  

Desert Sands Unified School District
Series 2015
5.00%, 8/01/21

      1,680       1,859,743  

Dublin Unified School District
Series 2016A
5.00%, 8/01/18

      2,845       2,878,116  

East Bay Municipal Utility District Water System Revenue
Series 2017B
5.00%, 6/01/28

      5,195       6,328,341  

Fontana Redevelopment Agency Successor Agency
Series 2017A
5.00%, 10/01/29-10/01/31

      8,750       10,467,747  

Fremont Community Facilities District No. 1
Series 2015
5.00%, 9/01/27(b)

      1,000       1,129,860  

Golden State Tobacco Securitization Corp.
Series 2017A
4.00%, 6/01/18

      5,720       5,743,052  

5.00%, 6/01/19-6/01/20

      11,585       12,082,449  

Hayward Area Recreation and Park District
Series 2017A
5.00%, 8/01/19

      3,330       3,482,148  

Lake Elsinore Public Financing Authority
Series 2015
5.00%, 9/01/21-9/01/23(b)

      1,675       1,848,598  

Long Beach Bond Finance Authority
(Aquarium of the Pacific)
Series 2012
5.00%, 11/01/23

      4,025       4,441,306  

Long Beach Unified School District
Series 2009A
5.00%, 8/01/18

      9,845       9,959,596  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Series 2010A
5.00%, 8/01/25

    $ 1,000     $ 1,074,740  

Los Angeles Community College District/CA
Series 2015A
5.00%, 8/01/25

      5,000       5,854,850  

Los Angeles County Metropolitan Transportation Authority
(Los Angeles County Metropolitan Transportation Authority Sales Tax)
Series 2010A
5.00%, 7/01/21

      2,000       2,148,820  

Series 2017A
5.00%, 7/01/25

      5,750       6,860,727  

Los Angeles Department of Water
Series 2012C
5.00%, 7/01/23

      1,540       1,734,410  

Series 2018A
5.00%, 7/01/31

      1,345       1,614,820  

Los Angeles Department of Water & Power PWR
Series 2013A
5.00%, 7/01/21

      1,505       1,661,595  

Series 2014B
5.00%, 7/01/27

      2,190       2,516,573  

Series 2014C
5.00%, 7/01/26

      11,725       13,645,203  

Los Angeles Unified School District/CA
Series 2014C
5.00%, 7/01/27

      10,365       12,055,842  

Series 2016A
5.00%, 7/01/24-7/01/27

      35,000       41,300,929  

Series 2018B
5.00%, 7/01/29

      9,020       10,950,460  

Mammoth Unified School District/CA
NATL Series 1998
Zero Coupon, 8/01/21-8/01/22

      2,100       1,926,879  

Metropolitan Water District of Southern California
Series 1993
5.75%, 8/10/18

      2,600       2,639,182  

Series 1993A
5.75%, 7/01/21 (Pre-refunded/ETM)

      710       799,893  

5.75%, 7/01/21

      1,775       1,891,422  

Series 2012C
5.00%, 7/01/19

      4,085       4,263,106  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Natomas Unified School District
BAM Series 2014
5.00%, 8/01/22-8/01/23

    $ 4,950     $ 5,609,750  

Northern California Power Agency
Series 2012A
5.00%, 7/01/25-7/01/27

      3,980       4,452,667  

Oakland Unified School District/Alameda County
Series 2015A
5.00%, 8/01/23

      1,575       1,814,337  

Series 2016
5.00%, 8/01/27

      2,405       2,886,433  

Orange County Sanitation District COP
Series 2009A
5.00%, 2/01/19

      4,690       4,825,635  

5.00%, 2/01/20 (Pre-refunded/ETM)

      1,890       1,944,810  

Palm Desert Redevelopment Agency Successor Agency
BAM Series 2017A
5.00%, 10/01/24

      1,000       1,164,640  

Palomar Health
Series 2016
4.00%, 11/01/19

      625       638,625  

Peralta Community College District
Series 2014A
5.00%, 8/01/28

      1,820       2,101,991  

Pittsburg Successor Agency Redevelopment Agency
AGM Series 2016A
5.00%, 9/01/27

      2,785       3,234,471  

Port of Los Angeles
Series 2011B
5.00%, 8/01/23

      2,500       2,754,675  

Series 2014A
5.00%, 8/01/26-8/01/27

      2,565       2,928,581  

Port of Oakland
Series 2012P
5.00%, 5/01/22-5/01/25

      16,945       18,726,237  

Series 2017E
5.00%, 11/01/19

      3,910       4,113,750  

Series 2017F
5.00%, 11/01/18

      5,000       5,099,650  

Riverside County Public Financing Authority
(Riverside County Public Financing Authority Lease)
Series 2015
5.00%, 11/01/28

      3,395       3,924,280  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Riverside County Transportation Commission
(Riverside County Transportation Commission Sales Tax)
Series 2017B
5.00%, 6/01/31-6/01/33

    $ 33,100     $ 39,383,192  

Romoland School District
Series 2015
5.00%, 9/01/23(b)

      955       1,074,595  

Sacramento City Financing Authority
(Sacramento City Financing Authority Lease)
Series 1993B
5.40%, 11/01/20

      1,080       1,137,478  

Sacramento City Unified School District/CA
Series 2011
5.00%, 7/01/24

      4,945       5,438,115  

Sacramento County Sanitation Districts Financing Authority
AMBAC Series 2001
5.50%, 12/01/21

      1,175       1,328,338  

Sacramento Municipal Utility District
Series 2012Y
5.00%, 8/15/25

      4,555       5,137,812  

Sacramento Regional Transit District
Series 2012
5.00%, 3/01/24 (Pre-refunded/ETM)(b)

      370       397,628  

5.00%, 3/01/24

      630       675,184  

San Diego County Water Authority COP
AGM Series 2008A
5.00%, 5/01/19

      1,460       1,463,825  

5.00%, 5/01/24 (Pre-refunded/ETM)

      4,860       4,873,657  

San Diego County Water Authority Financing Corp.
Series 2015
5.00%, 5/01/21

      1,000       1,100,120  

Series 2016S
5.00%, 5/01/21

      10,665       11,689,480  

AGM Series 2008A
5.00%, 5/01/19 (Pre-refunded/ETM)

      1,335       1,338,751  

San Diego Public Facilities Financing Authority Sewer Revenue
Series 2009B
5.00%, 5/15/18

      20,615       20,703,644  

5.00%, 5/15/21 (Pre-refunded/ETM)

      14,905       15,480,333  

Series 2015
5.00%, 5/15/22

      4,785       5,397,958  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

San Diego Public Facilities Financing Authority Water Revenue
Series 2016B
5.00%, 8/01/18

    $ 1,000     $ 1,012,010  

San Francisco City & County Airport Comm-San Francisco International Airport
Series 2011S
5.00%, 5/01/25 (Pre-refunded/ETM)(b)

      855       937,773  

5.00%, 5/01/25

      2,145       2,346,887  

San Francisco City & County Airport Comm-San Francisco International Airport
(San Francisco Intl Airport)
Series 2011
5.25%, 5/01/18

      4,655       4,668,779  

Series 2011C
5.00%, 5/01/21

      3,900       4,240,197  

Series 2016S
5.00%, 5/01/26

      3,810       4,527,232  

San Francisco City & County Redevelopment Agency Successor Agency
(Mission Bay South Public Imp)
Series 2013A
5.00%, 8/01/19-8/01/24(b)

      3,855       4,242,918  

San Francisco City & County Redevelopment Agency Successor Agency
(Successor Agency to the Redev of San Francisco – Mission Bay South)
Series 2016B
5.00%, 8/01/26

      1,070       1,269,951  

San Joaquin Delta Community College District
Series 2015A
5.00%, 8/01/20-8/01/22

      3,685       4,039,448  

Saugus/Hart School Facilities Financing Authority
(Saugus Union School District Community Facilities District No 06-01)
Series 2016
5.00%, 9/01/29-9/01/30(b)

      2,365       2,665,609  

Simi Valley Unified School District
Series 2017
5.00%, 8/01/18-8/01/19

      2,375       2,449,171  

South Placer Wastewater Authority/CA
Series 2011C
5.00%, 11/01/19-11/01/20

      5,520       5,866,684  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Southern California Public Power Authority
(Los Angeles Department of Water & Power PWR)
Series 2010
5.00%, 7/01/22-7/01/25

    $ 12,235     $ 12,991,506  

Series 2014A
5.00%, 7/01/30

      1,000       1,152,410  

Southwestern Community College District
Series 2015
5.00%, 8/01/20-8/01/25

      14,850       17,184,960  

State of California
Series 2013
5.00%, 10/01/20-9/01/28

      29,390       32,265,667  

Series 2014
5.00%, 12/01/22-5/01/29

      23,385       26,726,864  

Series 2015
5.00%, 3/01/21

      17,455       19,063,129  

Series 2015B
5.00%, 9/01/24

      3,330       3,886,809  

Series 2017
5.00%, 11/01/22-8/01/27

      13,545       15,812,581  

State of California Department of Water Resources
Series 2011A
5.00%, 12/01/20 (Pre-refunded/ETM)(b)

      50       54,288  

5.00%, 12/01/20

      1,745       1,897,496  

Series 2014A
4.00%, 12/01/18

      2,715       2,762,160  

5.00%, 12/01/27 (Pre-refunded/ETM)

      5,690       6,649,562  

Series 2016A
5.00%, 12/01/18

      1,140       1,167,269  

State of California Department of Water Resources Power Supply Revenue
Series 2008K
5.00%, 5/01/18

      18,145       18,196,713  

Series 2010L
5.00%, 5/01/20

      13,940       14,913,570  

Series 2011N
5.00%, 5/01/20

      4,210       4,504,026  

Stockton Unified School District
Series 2016
5.00%, 8/01/28

      7,770       9,070,853  

Sweetwater Union High School District
BAM Series 2014
5.00%, 8/01/28-8/01/29

      7,980       9,009,104  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

University of California
Series 2009O
5.25%, 5/15/39 (Pre-refunded/ETM)

    $ 2,785     $ 2,898,600  

Series 2009Q
5.25%, 5/15/22

      155       155,671  

Series 2010U
5.00%, 5/15/24

      4,215       4,503,812  

Series 2012G
5.00%, 5/15/25 (Pre-refunded/ETM)(b)

      4,625       5,188,094  

5.00%, 5/15/25

      5,375       6,038,490  

Series 2013A
5.00%, 5/15/48

      4,685       5,375,054  

Series 2014A
5.00%, 5/15/28

      1,000       1,156,920  

Series 2015A
5.00%, 5/15/20-5/15/24

      4,780       5,355,832  

Series 2015I
5.00%, 5/15/21

      2,900       3,192,030  

Series 2017A
5.00%, 5/15/27-5/15/31

      35,375       43,056,965  

Series 2017M
5.00%, 5/15/30-5/15/32

      7,010       8,415,324  

Vacaville Unified School District
BAM Series 2015C
5.00%, 8/01/20-8/01/22

      2,390       2,626,600  

Vista Unified School District
Series 2015
5.00%, 8/01/20

      2,100       2,263,464  
    

 

 

  
       1,125,842,442  
    

 

 

  

Alabama – 0.7%

     

Black Belt Energy Gas District
(Goldman Sachs Group, Inc. (The))
Series 2018A
4.00%, 12/01/48

      8,000       8,579,200  
    

 

 

  

Arizona – 0.1%

     

Tempe Industrial Development Authority
(Mirabella at ASU, Inc.)
Series 2017B
4.00%, 10/01/23(b)(c)

      1,700       1,705,610  
    

 

 

  

Colorado – 0.5%

     

City & County of Denver CO
(United Airlines, Inc.)
Series 2017
5.00%, 10/01/32

      3,000       3,243,390  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

City & County of Denver CO Airport System Revenue
(Denver Intl Airport)
Series 2011A
5.75%, 11/15/20

    $ 1,700     $ 1,863,523  

Denver Urban Renewal Authority
(Stapleton Development Corp.)
Series 2013A
5.00%, 12/01/20

      1,625       1,753,310  
    

 

 

  
       6,860,223  
    

 

 

  

Connecticut – 1.2%

     

State of Connecticut
Series 2018B
5.00%, 4/15/26-4/15/28(a)

      13,755       15,515,379  
    

 

 

  

Florida – 0.3%

     

County of Miami-Dade FL Aviation Revenue
Series 2009A
5.75%, 10/01/21

      1,055       1,116,496  

Miami-Dade County Expressway Authority
Series 2013A
5.00%, 7/01/21

      1,280       1,400,435  

New River Community Development District
Series 2006B
5.00%, 5/01/13(b)(d)(e)(f)(g)

      405       – 0  – 

Sarasota County Health Facilities Authority
(Village On the Isle)
Series 2017B
2.70%, 1/01/22

      1,100       1,097,250  
    

 

 

  
       3,614,181  
    

 

 

  

Illinois – 4.1%

     

Chicago Board of Education
Series 2017F
5.00%, 12/01/24

      6,000       6,369,120  

Metropolitan Pier & Exposition Authority
Series 2012B
5.00%, 12/15/28

      2,185       2,260,033  

Series 2017B
5.00%, 12/15/26

      3,250       3,543,995  

State of Illinois
Series 2006A
5.00%, 6/01/21

      1,000       1,043,860  

Series 2012
5.00%, 8/01/18-8/01/21

      9,950       10,218,898  

Series 2013
5.00%, 7/01/20-7/01/22

      3,870       4,017,925  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Series 2014
5.00%, 2/01/21

    $ 3,365     $ 3,497,783  

Series 2016
5.00%, 1/01/21-11/01/24

      4,935       5,132,972  

Series 2017D
5.00%, 11/01/23-11/01/24

      13,000       13,587,067  

Village of Bolingbrook IL
(Village of Bolingbrook IL Sales Tax)
Series 2005
6.00%, 1/01/26(b)

      4,450       4,331,541  
    

 

 

  
       54,003,194  
    

 

 

  

Massachusetts – 0.7%

     

Commonwealth of Massachusetts
NATL Series 2000E
2.551%, 12/01/30(h)

      6,075       6,057,261  

NATL Series 2000G
2.476%, 12/01/30(h)

      2,200       2,193,576  

Massachusetts Development Finance Agency
(UMass Memorial Health Care Obligated Group)
Series 2016
5.00%, 7/01/27

      1,055       1,206,403  
    

 

 

  
       9,457,240  
    

 

 

  

New Jersey – 2.9%

     

New Jersey Economic Development Authority
(New Jersey Economic Development Authority State Lease)
Series 2017D
5.00%, 6/15/29

      2,000       2,179,900  

New Jersey Transportation Trust Fund Authority
(New Jersey Transportation Fed Hwy Grant)
Series 2016
5.00%, 6/15/27-6/15/29

      8,070       8,907,383  

New Jersey Transportation Trust Fund Authority
(New Jersey Transportation Trust Fund Authority State Lease)
Series 2012A
5.00%, 6/15/21

      2,870       3,065,504  

Series 2013A
5.00%, 12/15/19-6/15/20

      23,060       24,204,184  
    

 

 

  
       38,356,971  
    

 

 

  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

New York – 0.4%

     

New York State Energy Research & Development Authority
(Consolidated Edison Co. of New York, Inc.)
AMBAC Series 2001B
2.589%, 10/01/36(h)

    $ 5,550     $ 5,327,611  
    

 

 

  

Ohio – 0.2%

     

Ohio Air Quality Development Authority
(FirstEnergy Generation LLC)
Series 2009D
4.25%, 8/01/29

      920       804,770  

Ohio Air Quality Development Authority
(FirstEnergy Nuclear Generation LLC)
Series 2009A
4.375%, 6/01/33

      100       87,457  

Ohio Water Development Authority Water Pollution Control Loan Fund
(FirstEnergy Corp.)
Series 2016B
4.375%, 6/01/33

      1,125       983,891  
    

 

 

  
       1,876,118  
    

 

 

  

Pennsylvania – 0.2%

     

Hospitals & Higher Education Facilities Authority of Philadelphia (The)
(Temple University Health System Obligated Group)
Series 2017
5.00%, 7/01/22-7/01/24

      2,815       3,079,016  
    

 

 

  

Texas – 1.2%

     

City of Houston TX Airport System Revenue
Series 2011A
5.00%, 7/01/19

      10,290       10,686,680  

Mission Economic Development Corp.
(Natgasoline LLC)
Series 2016A
5.75%, 10/01/31(c)

      1,140       1,185,794  

Series 2016B
5.75%, 10/01/31(c)

      1,935       2,012,729  

North Texas Tollway Authority
Series 2015A
5.00%, 1/01/23

      1,915       2,143,325  
    

 

 

  
       16,028,528  
    

 

 

  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

West Virginia – 0.1%

     

West Virginia Hospital Finance Authority
(West Virginia University Health System Obligated Group)
AGM Series 2004C
2.34%, 2/15/34(h)

    $ 1,000     $ 936,390  
    

 

 

  

Wisconsin – 0.5%

     

Wisconsin Public Finance Authority
(Celanese US Holdings LLC)
Series 2016A
5.00%, 1/01/24

      5,335       5,899,870  
    

 

 

  

Total Long-Term Municipal Bonds
(cost $1,280,976,262)

        1,297,081,973  
    

 

 

  

Short-Term Municipal Notes – 1.6%

     

California – 1.6%

     

County of Los Angeles CA
Series 2017
5.00%, 6/29/18

      19,080       19,241,798  

County of Riverside CA
Series 2017
2.00%, 6/29/18

      1,250       1,251,600  
    

 

 

  

Total Short-Term Municipal Notes
(cost $20,519,624)

        20,493,398  
    

 

 

  

Total Municipal Obligations
(cost $1,301,495,886)

        1,317,575,371  
    

 

 

  
    

SHORT-TERM INVESTMENTS – 0.1%

     

Time Deposit – 0.1%

     

State Street Time Deposit
0.28%, 4/02/18
(cost $902,750)

      903       902,750  
    

 

 

  

Total Investments – 101.0%
(cost $1,302,398,636)

        1,318,478,121  

Other assets less liabilities – (1.0)%

        (13,012,748 ) 
    

 

 

  

Net Assets – 100.0%

      $ 1,305,465,373  
    

 

 

  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO

 

CREDIT DEFAULT SWAPS (see Note 3)

 

Swap
Counterparty &
Referenced
Obligation		   Fixed
Rate
(Pay)
Receive		     Payment
Frequency		     Implied
Credit
Spread at
March 31,
2018		     Notional
Amount
(000)		     Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

Sale Contracts

 

  

Credit Suisse International

              

CDX-CMBX.NA.A Series 6, 5/11/63*

     2.00 %      Monthly       3.17 %    USD   1,677     $   (73,397 )    $   (100,840 )    $   27,443  

CDX-CMBX.NA.A Series 6, 5/11/63*

     2.00       Monthly       3.17     USD 779       (34,094 )      (31,903 )      (2,191 ) 

CDX-CMBX.NA.A Series 6, 5/11/63*

     2.00       Monthly       3.17     USD   1,588       (69,413 )      (89,875 )      20,462  

Deutsche Bank AG

              

CDX-CMBX.NA.A Series 6, 5/11/63*

     2.00       Monthly       3.17     USD 1,793       (78,474 )      (108,292 )      29,818  

Goldman Sachs International

              

CDX-CMBX.NA.A Series 6, 5/11/63*

     2.00       Monthly       3.17     USD 669       (29,280 )      (38,804 )      9,524  

CDX-CMBX.NA.A Series 6, 5/11/63*

     2.00       Monthly       3.17     USD 671       (29,367 )      (36,412 )      7,045  

CDX-CMBX.NA.A Series 6, 5/11/63*

     2.00       Monthly       3.17     USD 939       (41,149 )      (37,427 )      (3,722 ) 

Morgan Stanley Capital Services LLC

              

CDX-CMBX.NA.A Series 6, 5/11/63*

     2.00       Monthly       3.17     USD 262       (11,467 )      (10,783 )      (684 ) 
         

 

 

    

 

 

    

 

 

  
          $   (366,641 )    $   (454,336 )    $   87,695  
         

 

 

    

 

 

    

 

 

  

 

* Termination date

 

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INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO

 

 

(a) When-Issued or delayed delivery security.

 

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

 

(c) 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 March 31, 2018, the aggregate market value of these securities amounted to $12,235,738 or 0.9% of net assets.

 

(d) Defaulted matured security.

 

(e) Non-income producing security.

 

(f) Illiquid security.

 

(g) Fair valued by the Adviser.

 

(h) An auction rate security whose interest rate resets at each auction date. Auctions are typically held every week or month. The rate shown is as of March 31, 2018 and the aggregate market value of these securities amounted to $14,514,838 or 1.11% of net assets.

As of March 31, 2018, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 3.9% and 0.5%, respectively.

Glossary:

AGM – Assured Guaranty Municipal

AMBAC – Ambac Assurance Corporation

BAM – Build American Mutual

CDX-CMBX.NA – North American Commercial Mortgage-Backed Index

COP – Certificate of Participation

ETM – Escrowed to Maturity

NATL – National Interstate Corporation

SRF – State Revolving Fund

See notes to financial statements.

 

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PORTFOLIO OF INVESTMENTS

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

March 31, 2018 (unaudited)

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

MUNICIPAL OBLIGATIONS – 99.7%

     

Long-Term Municipal Bonds – 94.2%

     

Alabama – 0.6%

     

Alabama Federal Aid Highway Finance Authority
Series 2012
5.00%, 9/01/24 (Pre-refunded/ETM)

    $ 18,230     $ 20,494,895  

Series 2015
5.00%, 9/01/25

      1,390       1,608,008  

Alabama Public School & College Authority
Series 2014B
5.00%, 1/01/22

      3,200       3,547,008  

Birmingham Airport Authority
(Birmingham-Shuttlesworth Intl Airport)
AGM Series 2010
6.00%, 7/01/21

      5,510       6,008,986  

Water Works Board of the City of Birmingham (The)
Series 2010A
5.00%, 1/01/21-1/01/22

      13,295       14,380,588  
    

 

 

  
       46,039,485  
    

 

 

  

Alaska – 0.8%

 

Municipality of Anchorage AK
Series 2015B
5.00%, 9/01/21-9/01/24

      12,935       14,540,137  

Series 2015C
5.00%, 9/01/22-9/01/24

      7,370       8,372,713  

Series 2015D
5.00%, 9/01/21

      3,565       3,919,611  

State of Alaska
Series 2016A
5.00%, 8/01/22-8/01/27

      26,905       31,042,120  
    

 

 

  
       57,874,581  
    

 

 

  

Arizona – 2.0%

 

Arizona Board of Regents COP
(University of Arizona COP)
Series 2012C
5.00%, 6/01/25

      2,365       2,617,937  

Arizona Department of Transportation State Highway Fund Revenue
Series 2011A
5.00%, 7/01/24-7/01/25

      17,210       18,819,346  

Arizona Health Facilities Authority (HonorHealth) Series 2014A
5.00%, 12/01/23-12/01/24

      2,770       3,157,846  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Arizona Transportation Board
(Arizona Transportation Board Excise Tax)
Series 2016
5.00%, 7/01/20

    $ 3,095     $ 3,318,180  

City of Glendale AZ
(City of Glendale AZ Excise Tax)
Series 2015A
5.00%, 7/01/23-7/01/26

      33,315       38,278,953  

City of Phoenix Civic Improvement Corp.
Series 2010A
5.00%, 7/01/21 (Pre-refunded/ETM)

      4,085       4,375,852  

Series 2017A
5.00%, 7/01/29

      3,945       4,608,904  

City of Phoenix Civic Improvement Corp.
(Phoenix Sky Harbor International Airport)
Series 2010A
5.00%, 7/01/20

      3,140       3,362,124  

Series 2010C
5.00%, 7/01/23-7/01/25

      19,665       20,997,059  

County of Maricopa AZ COP
Series 2015
5.00%, 7/01/18

      3,290       3,317,735  

Salt River Project Agricultural Improvement & Power District
Series 2017A
5.00%, 1/01/29-1/01/31

      22,310       26,896,908  

Salt Verde Financial Corp.
(Citigroup, Inc.)
Series 2007
5.25%, 12/01/21

      1,430       1,577,261  

Tempe Industrial Development Authority
(Mirabella at ASU, Inc.)
Series 2017B
4.00%, 10/01/23(a)

      9,215       9,245,409  
    

 

 

  
       140,573,514  
    

 

 

  

California – 6.9%

 

California Econ Recovery
Series 2009A
5.00%, 7/01/19 (Pre-refunded/ETM)

      16,765       17,481,201  

5.00%, 7/01/20 (Pre-refunded/ETM)

      5,675       5,917,436  

5.25%, 7/01/21 (Pre-refunded/ETM)

      2,735       2,860,208  

California State Public Works Board
(California State Public Works Board Lease)
Series 2014B
5.00%, 10/01/28

      1,225       1,403,580  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Series 2016
5.00%, 4/01/28-11/01/28

    $ 21,990     $ 25,955,547  

City of Los Angeles Department of Airports
(Los Angeles Intl Airport)
Series 2010D
5.00%, 5/15/22-5/15/23

      24,415       26,069,133  

Fresno Unified School District NATL
Series 2002A
6.00%, 2/01/20

      3,255       3,505,147  

Sacramento City Financing Authority (Sacramento City Financing Authority Lease)
Series 1993B
5.40%, 11/01/20

      545       574,005  

San Francisco City & County Airport Comm-San Francisco International Airport
(San Francisco Intl Airport)
Series 2009E
5.25%, 5/01/22-5/01/23

      10,380       10,782,136  

Series 2011C
5.00%, 5/01/22

      5,880       6,413,139  

NATL Series 2006-32F
5.25%, 5/01/18

      3,700       3,711,100  

State of California
Series 2008
5.00%, 4/01/18

      5,000       5,000,000  

Series 2009
5.25%, 10/01/20

      5,085       5,368,082  

Series 2013
5.00%, 11/01/24-11/01/25

      43,465       49,953,989  

Series 2014
5.00%, 5/01/25-5/01/29

      130,465       149,861,753  

Series 2015
5.00%, 8/01/22

      15,765       17,750,917  

State of California Department of Water Resources Power Supply Revenue
Series 2010L
5.00%, 5/01/18-5/01/19

      155,220       159,996,397  
    

 

 

  
       492,603,770  
    

 

 

  

Colorado – 1.0%

 

Centerra Metropolitan District No 1
Series 2017
5.00%, 12/01/29(a)

      12,180       13,170,599  

City & County of Broomfield CO COP
Series 2010
5.00%, 12/01/18 (Pre-refunded/ETM)

      5,215       5,333,485  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

5.00%, 12/01/20 (Pre-refunded/ETM)

    $ 3,820     $ 4,142,370  

City & County of Denver CO Airport System Revenue
Series 2016A
5.00%, 11/15/23

      4,085       4,681,492  

City & County of Denver CO Airport System Revenue
(Denver Intl Airport)
Series 2010A
5.00%, 11/15/21-11/15/22

      14,155       15,260,086  

Series 2011A
5.50%, 11/15/19

      2,290       2,425,110  

Series 2012A
5.00%, 11/15/22

      1,025       1,144,587  

City & County of Denver Co. Airport System Revenue
(Denver Intl Airport)
Series 2010A
5.00%, 11/15/23

      5,530       5,956,639  

Series 2012A
5.00%, 11/15/24

      5,605       6,240,719  

PV Water & Sanitation Metropolitan District
Series 2006
Zero Coupon, 12/15/17(b)(c)(d)

      13,168       2,765,280  

Regional Transportation District
(Denver Transit Partners LLC)
Series 2010
5.00%, 1/15/21

      2,800       2,991,688  

5.25%, 1/15/24-7/15/24

      7,745       8,244,064  

Stapleton Development Corp.
(Denver Urban Renewal Authority)
Series 2015B
5.00%, 12/01/19

      1,185       1,248,552  
    

 

 

  
       73,604,671  
    

 

 

  

Connecticut – 3.2%

 

City of Bridgeport CT
Series 2017A
5.00%, 11/01/23-11/01/28

      2,420       2,662,129  

Series 2017B
5.00%, 8/15/25-8/15/27

      12,950       14,420,045  

Series 2017C
5.00%, 8/15/24-8/15/28

      8,950       9,930,133  

Connecticut State Health & Educational Facilities Authority
(Yale University)
Series 2017B-2
5.00%, 7/01/37

      22,840       24,492,246  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

State of Connecticut
Series 2013A
5.00%, 10/15/21

    $ 3,370     $ 3,657,966  

Series 2014A
5.00%, 3/01/28

      6,360       6,950,462  

Series 2015B
5.00%, 6/15/32

      7,345       8,050,267  

Series 2015F
5.00%, 11/15/27

      1,570       1,754,004  

Series 2016A
5.00%, 3/15/20-3/15/29

      68,735       74,777,463  

Series 2016B
5.00%, 5/15/21

      17,090       18,405,588  

Series 2016E
5.00%, 10/15/24-10/15/25

      20,025       22,429,024  

Series 2016G
5.00%, 11/01/19

      4,845       5,067,240  

Series 2017A
5.00%, 4/15/22

      8,450       9,221,738  

Series 2017B
5.00%, 4/15/28

      2,515       2,861,517  

State of Connecticut Clean Water Fund – State Revolving Fund
Series 2017A
5.00%, 5/01/29-5/01/31

      12,000       14,206,110  

State of Connecticut Special Tax Revenue
Series 2012
5.00%, 1/01/22-1/01/24

      8,575       9,409,858  
    

 

 

  
       228,295,790  
    

 

 

  

Delaware – 0.1%

 

Delaware River & Bay Authority
Series 2014C
5.00%, 1/01/26-1/01/27

      5,470       6,141,177  
    

 

 

  

District of Columbia – 1.3%

 

District of Columbia
Series 2013A
5.00%, 6/01/25-6/01/27

      59,115       66,965,542  

District of Columbia
(District of Columbia Pers Income Tax)
Series 2012C
5.00%, 12/01/26

      5,545       6,234,299  

Metropolitan Washington Airports Authority
Series 2008A
5.50%, 10/01/18

      6,910       7,035,624  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Series 2010F-1
5.00%, 10/01/20

    $ 11,905     $ 12,863,591  
    

 

 

  
       93,099,056  
    

 

 

  

Florida – 6.5%

 

Brevard County School District COP
Series 2013A
5.00%, 7/01/21-7/01/22

      15,275       16,929,062  

Citizens Property Insurance Corp.
Series 2011A
5.00%, 6/01/20

      6,640       7,076,580  

Series 2011A-1
5.00%, 6/01/19

      15,975       16,566,874  

Series 2012A
5.00%, 6/01/22

      27,105       30,140,489  

Series 2012A-1
5.00%, 6/01/20-6/01/21

      20,875       22,399,273  

Series 2015A
5.00%, 6/01/22

      1,795       1,974,805  

City of Tampa FL Water & Wastewater System Revenue
Series 2011
5.00%, 10/01/26

      3,895       4,288,862  

Collier County School Board COP
Series 2015
5.00%, 2/15/19

      8,560       8,802,590  

County of Broward FL Airport System Revenue
(Fort Lauderdale Hollywood Intl Airport)
Series 2012Q
5.00%, 10/01/23

      5,000       5,575,600  

County of Lee FL Airport Revenue
(Southwest Florida Intl Airport)
Series 2011A
5.50%, 10/01/23-10/01/24

      13,095       14,459,049  

5.625%, 10/01/25

      2,550       2,812,624  

County of Miami-Dade FL
Series 2015A
5.00%, 11/01/20-11/01/21

      7,205       7,880,101  

Series 2015B
5.00%, 7/01/22

      3,715       4,151,773  

County of Miami-Dade FL Aviation Revenue
Series 2015A
5.00%, 10/01/22-10/01/24

      4,975       5,606,266  

Durbin Crossing Community Development District
Series 2006-1
5.25%, 11/01/15(b)(c)(d)

      985       93,575  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Duval County School Board COP
Series 2015B
5.00%, 7/01/26

    $ 4,280     $ 4,935,782  

Florida Department of Environmental Protection
Series 2011B
5.00%, 7/01/20

      7,645       8,187,566  

Series 2012A
5.00%, 7/01/22

      10,225       11,436,049  

Florida Department of Management Services
(Florida Department of Management Services State Lease)
Series 2017A
5.00%, 9/01/18

      11,835       12,004,951  

Florida Municipal Power Agency
Series 2015B
5.00%, 10/01/24-10/01/28

      3,765       4,362,602  

Florida State Board of Education
(State of Florida)
Series 2014A
5.00%, 6/01/22

      3,545       3,972,031  

Series 2014B
5.00%, 6/01/18

      1,135       1,141,492  

Series 2017F
5.00%, 6/01/21

      2,775       3,042,121  

Florida’s Turnpike Enterprise
Series 2016B
5.00%, 7/01/21-7/01/22

      11,640       12,856,236  

Greater Orlando Aviation Authority
Series 2017A
5.00%, 10/01/29-10/01/31

      13,335       15,400,368  

Hillsborough County School Board
(Hillsborough County School Board Sales Tax)
AGM Series 2015
5.00%, 10/01/23

      2,650       3,012,917  

Hillsborough County School Board COP
Series 2015
5.00%, 7/01/26

      1,480       1,709,933  

Hollywood Community Redevelopment Agency
Series 2015
5.00%, 3/01/20-3/01/23

      7,245       7,811,793  

JEA Water & Sewer System Revenue
Series 2014A
5.00%, 10/01/25 (Pre-refunded/ETM)

      1,565       1,803,193  

5.00%, 10/01/25

      1,495       1,734,350  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Series 2017A
5.00%, 10/01/26-10/01/27

    $ 43,620     $ 51,914,183  

Manatee County School District COP
Series 2016A
5.00%, 7/01/28-7/01/29

      14,010       15,623,429  

Martin County Industrial Development Authority
(Indiantown Cogeneration LP)
Series 2013
4.20%, 12/15/25(a)

      11,765       11,995,006  

North Broward Hospital District
Series 2017B
5.00%, 1/01/28-1/01/30

      8,410       9,350,770  

Orange County School Board COP
Series 2014A
5.00%, 8/01/28 (Pre-refunded/ETM)

      25,075       29,232,686  

5.00%, 8/01/29 (Pre-refunded/ETM)

      21,280       24,808,437  

Overoaks Community Development District
Series 2004B
5.125%, 5/01/09(b)(c)(d)

      510       43,350  

Series 2010A-1
6.125%, 5/01/35

      210       210,265  

Series 2010A-2
6.125%, 5/01/35

      475       475,599  

Parkway Center Community Development District
Series 2004B
7.00%, 5/01/23

      240       245,194  

Reedy Creek Improvement District
Series 2013A
5.00%, 6/01/21

      1,820       1,993,428  

Sarasota County School Board COP
Series 2010B
5.00%, 7/01/18

      2,350       2,370,280  

South Broward Hospital District
Series 2015
5.00%, 5/01/27

      3,350       3,804,025  

South Miami Health Facilities Authority
(Baptist Health South Florida Obligated Group)
Series 2017
5.00%, 8/15/31

      5,000       5,771,400  

St Lucie County School Board
(St Lucie County School Board Sales Tax)
AGM Series 2015
5.00%, 10/01/22

      3,150       3,504,060  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

State of Florida
Series 2012B
5.00%, 7/01/18

    $ 8,460     $ 8,532,756  

State of Florida Lottery Revenue
Series 2016B
5.00%, 7/01/18

      3,130       3,157,012  

Series 2017A
5.00%, 7/01/25-7/01/26

      33,605       39,881,667  

Tampa Bay Water
Series 2011A
5.00%, 10/01/23

      2,050       2,254,385  

Tampa Sports Authority
(Tampa Sports Authority Sales Tax)
Series 2015
5.00%, 1/01/21

      3,490       3,779,844  

Tohopekaliga Water Authority
Series 2016
5.00%, 10/01/24-10/01/25

      4,750       5,548,985  
    

 

 

  
       466,665,668  
    

 

 

  

Georgia – 1.6%

 

City of Atlanta Department of Aviation
(Hartsfield Jackson Atlanta Intl Airport)
Series 2010B
5.00%, 1/01/20-1/01/22

      22,650       23,894,982  

Series 2010C
5.00%, 1/01/19

      5,000       5,123,300  

5.25%, 1/01/20

      6,500       6,886,685  

5.50%, 1/01/21

      7,500       8,231,100  

5.75%, 1/01/22-1/01/23

      20,000       22,158,060  

5.875%, 1/01/24

      2,925       3,243,503  

Series 2014A
5.00%, 1/01/28

      12,250       13,906,935  

City of Atlanta GA
Series 2015
5.00%, 12/01/18

      2,550       2,607,757  

Forsyth County School District
Series 2013
5.00%, 2/01/21

      1,625       1,769,105  

Glynn County School District
Series 2016
5.00%, 8/01/18

      1,195       1,208,587  

Gwinnett County School District
Series 2016
3.00%, 2/01/19

      12,430       12,580,652  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Main Street Natural Gas, Inc.
(Royal Bank of Canada)
Series 2018A
4.00%, 4/01/48

    $ 10,910     $ 11,613,695  
    

 

 

  
       113,224,361  
    

 

 

  

Hawaii – 0.9%

 

City & County Honolulu HI Wastewater System Revenue
Series 2009A
5.00%, 7/01/21 (Pre-refunded/ETM)

      3,690       3,840,626  

5.00%, 7/01/22 (Pre-refunded/ETM)

      3,210       3,343,054  

Series 2010A
5.00%, 7/01/24

      16,500       17,603,190  

State of Hawaii
Series 2015E
5.00%, 10/01/22-10/01/23

      28,840       32,739,743  

Series 2016F
5.00%, 10/01/20-10/01/25

      9,755       11,081,289  
    

 

 

  
       68,607,902  
    

 

 

  

Idaho – 0.1%

 

Idaho Housing & Finance Association
(State of Idaho Fed Hwy Grant)
Series 2015A
5.00%, 7/15/21-7/15/23

      6,915       7,675,809  
    

 

 

  

Illinois – 4.8%

 

Chicago Board of Education
Series 2017F
5.00%, 12/01/23

      7,000       7,449,610  

Chicago O’Hare International Airport
Series 2016C
5.00%, 1/01/27

      3,020       3,479,584  

Chicago Transit Authority
Series 2017
5.00%, 6/01/22

      7,460       8,195,009  

County of Du Page IL
Series 1993
5.60%, 1/01/21

      3,690       3,929,813  

Illinois Finance Authority
(Adventist Health System/Sunbelt Obligated Group)
NATL Series 1997B
4.663%, 1/01/19(e) CPIYOYX + 2.10%

      3,145       3,190,162  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Illinois Finance Authority
(OSF Healthcare System Obligated Group)
Series 2015A
5.00%, 11/15/20-11/15/28

    $ 4,745     $ 5,230,491  

Illinois Municipal Electric Agency
Series 2015A
5.00%, 2/01/27-2/01/29

      42,820       48,855,237  

Illinois State Toll Highway Authority
Series 2014A
5.00%, 12/01/20-12/01/22

      33,375       36,637,866  

Series 2014D
5.00%, 1/01/23

      1,165       1,306,687  

Metropolitan Pier & Exposition Authority
Series 2012B
5.00%, 12/15/20-12/15/28

      24,425       25,595,977  

5.00%, 6/15/23 (Pre-refunded/ETM)

      565       630,280  

Metropolitan Water Reclamation District of Greater Chicago
Series 2015D
5.00%, 12/01/20

      8,320       8,974,701  

Railsplitter Tobacco Settlement Authority
Series 2017
5.00%, 6/01/22

      9,240       10,158,733  

Regional Transportation Authority
(Regional Transportation Authority Sales Tax)
NATL Series 1994C
7.75%, 6/01/20

      560       598,119  

State of Illinois
Series 2010
5.00%, 1/01/19

      10,000       10,169,500  

Series 2012
5.00%, 8/01/21-8/01/25

      22,260       23,115,357  

Series 2013
5.00%, 7/01/19-7/01/20

      12,290       12,653,131  

5.50%, 7/01/24

      5,405       5,803,294  

Series 2013A
5.00%, 4/01/23

      4,390       4,584,916  

Series 2014
5.00%, 5/01/22-5/01/27

      45,185       47,060,802  

Series 2016
5.00%, 2/01/22-2/01/24

      24,835       25,887,415  

Series 2017A
5.00%, 12/01/24

      8,590       8,970,022  

Series 2017D
5.00%, 11/01/24

      32,725       34,176,681  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

State of Illinois
(State of Illinois Ded Tax)
AMBAC Series 1991
6.25%, 12/15/20

    $ 1,245     $ 1,295,634  

State of Illinois
(State of Illinois Sales Tax)
Series 2016A
4.00%, 6/15/19

      5,090       5,213,636  

Series 2016C
5.00%, 6/15/22

      2,525       2,781,464  

Town of Cortland IL
(Town of Cortland IL Spl Tax)
Series 2006
5.50%, 3/01/17(b)(c)(d)

      5,078       997,827  
    

 

 

  
       346,941,948  
    

 

 

  

Iowa – 0.1%

 

Iowa Finance Authority
(Iowa Finance Authority SRF)
Series 2015
5.00%, 8/01/18

      5,610       5,674,571  
    

 

 

  

Kansas – 0.3%

 

City of Junction City KS
Series 2016A
5.00%, 9/01/20-9/01/23

      14,160       15,610,089  

City of Wichita KS Water & Sewer Utility Revenue
Series 2016B
5.00%, 10/01/18-10/01/19

      5,255       5,405,416  
    

 

 

  
       21,015,505  
    

 

 

  

Kentucky – 2.0%

 

Kentucky Economic Development Finance Authority
(Baptist Healthcare System Obligated Group)
Series 2017B
5.00%, 8/15/29

      1,000       1,121,420  

Kentucky Economic Development Finance Authority
(Owensboro Health, Inc. Obligated Group)
Series 2017A
5.00%, 6/01/28-6/01/30

      8,620       9,576,978  

Kentucky Public Energy Authority
(Morgan Stanley)
Series 2018A
4.00%, 4/01/48

      87,215       92,854,322  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Kentucky Turnpike Authority
Series 2012A
5.00%, 7/01/26 (Pre-refunded/ETM)

    $ 8,490     $ 9,513,894  

Series 2016A
5.00%, 7/01/21-7/01/27

      19,425       22,197,989  

Louisville & Jefferson County Metropolitan Sewer District
Series 2017A
5.00%, 5/15/19

      5,730       5,938,801  
    

 

 

  
       141,203,404  
    

 

 

  

Louisiana – 0.5%

 

Consolidated Government of the City of Baton Rouge & Parish of East Baton Rouge
(City of Baton Rouge/Parish of East Baton Rouge LA Sales Tax)
Series 2015
5.00%, 8/01/27-8/01/28

      8,985       10,313,634  

Louisiana Local Government Environmental Facilities & Community Development Auth
Series 2010
5.00%, 10/01/21 (Pre-refunded/ETM)

      6,415       6,918,449  

5.00%, 10/01/25 (Pre-refunded/ETM)

      2,000       2,156,960  

Series 2010A
5.00%, 10/01/23 (Pre-refunded/ETM)

      7,720       8,325,866  

Orange Grove Community Development District
Series 2006
5.30%, 11/01/21(b)(d)(f)

      1,695       288,150  

St Tammany Parish Finance Authority
(Christwood)
Series 2015
5.25%, 11/15/29

      1,200       1,309,704  

State of Louisiana Gasoline & Fuels Tax Revenue
Series 2015B
5.00%, 5/01/25

      3,250       3,785,470  
    

 

 

  
       33,098,233  
    

 

 

  

Maine – 0.0%

 

Maine Municipal Bond Bank
Series 2014A
5.00%, 9/01/25

      1,000       1,140,230  
    

 

 

  

Maryland – 1.0%

 

City of Baltimore MD
Series 2017B
5.00%, 10/15/24-10/15/27

      26,185       31,072,123  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

City of Baltimore MD
(Baltimore Hotel Corp.)
Series 2017
5.00%, 9/01/25-9/01/26

    $ 2,000     $ 2,297,970  

County of Anne Arundel MD
Series 2013
5.00%, 4/01/20

      4,415       4,701,313  

State of Maryland
Series 2014B
5.00%, 8/01/20

      17,930       19,265,785  

Series 2016E
5.00%, 6/01/19

      10,240       10,638,746  

University System of Maryland
Series 2017A
5.00%, 4/01/21

      1,125       1,229,827  
    

 

 

  
       69,205,764  
    

 

 

  

Massachusetts – 2.4%

 

Commonwealth of Massachusetts
Series 2013A
5.00%, 4/01/18

      2,060       2,060,000  

Series 2013B
5.00%, 8/01/20

      26,465       28,430,555  

Series 2014C
5.00%, 8/01/20

      1,045       1,122,612  

Series 2016B
5.00%, 7/01/23

      3,865       4,412,554  

Series 2017C
5.00%, 10/01/22-10/01/26

      30,895       35,934,074  

AGM Series 2006C
2.951%, 11/01/19(e) CPIYOYX + 0.88%

      1,815       1,831,571  

NATL Series 2000F
2.611%, 12/01/30(g)

      6,700       6,680,436  

NATL Series 2000E
2.551%, 12/01/30(g)

      7,750       7,727,370  

Commonwealth of Massachusetts
(Commonwealth of Massachusetts Fuel Tax)
Series 2013
5.00%, 6/15/20

      1,040       1,112,145  

Series 2014
5.00%, 6/15/20

      7,170       7,667,383  

Massachusetts Development Finance Agency
(Partners Healthcare System, Inc.)
Series 2017S
5.00%, 7/01/25-7/01/31

      49,110       57,721,828  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Massachusetts Health & Educational Facilities Authority
(President & Fellows of Harvard College)
Series 1991N
6.25%, 4/01/20

    $ 2,820     $ 3,072,898  

Massachusetts School Building Authority
(Massachusetts School Building Authority Sales Tax)
Series 2012A
5.00%, 8/15/22-8/15/23

      10,680       12,000,860  
    

 

 

  
       169,774,286  
    

 

 

  

Michigan – 3.2%

 

City of Detroit MI Sewage Disposal System Revenue
(Great Lakes Water Authority Sewage Disposal System)
Series 2012A
5.00%, 7/01/19-7/01/20

      20,980       21,942,790  

Great Lakes Water Authority
(Great Lakes Water Authority Water Supply System)
Series 2016C
5.00%, 7/01/24-7/01/25

      12,505       14,314,261  

Lake Orion Community School District
Series 2016
5.00%, 5/01/24

      2,915       3,339,424  

Michigan Finance Authority
(City of Detroit MI Income Tax)
Series 2015F
3.40%, 10/01/20

      500       508,510  

3.60%, 10/01/21

      500       512,725  

3.80%, 10/01/22

      500       515,000  

3.875%, 10/01/23

      2,000       2,057,360  

4.00%, 10/01/24

      3,000       3,148,710  

4.50%, 10/01/29

      12,065       12,774,784  

Michigan Finance Authority
(Great Lakes Water Authority Sewage Disposal System)
AGM Series 2014C
5.00%, 7/01/25-7/01/27

      39,940       45,110,683  

Michigan Finance Authority
(Great Lakes Water Authority Water Supply System)
AGM Series 2014D2
5.00%, 7/01/24-7/01/27

      54,330       61,448,750  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Michigan Finance Authority
(Public Lighting Authority)
Series 2014B
5.00%, 7/01/27

    $ 4,990     $ 5,485,607  

Michigan Finance Authority
(Trinity Health Credit Group)
Series 2015
5.00%, 12/01/23-12/01/25

      13,075       15,043,271  

5.50%, 12/01/26-12/01/27

      7,220       8,588,813  

South Lyon Community Schools
Series 2016
5.00%, 5/01/22

      3,060       3,402,475  

State of Michigan Trunk Line Revenue
Series 2009
5.00%, 11/01/19-11/01/23

      11,510       12,092,789  

University of Michigan
Series 2017A
5.00%, 4/01/20

      1,670       1,779,318  

Walled Lake Consolidated School District
Series 2015
5.00%, 5/01/20

      4,635       4,929,230  

Wayne State University
Series 2009A
5.00%, 11/15/21 (Pre-refunded/ETM)

      1,190       1,251,166  

5.00%, 11/15/21-11/15/23

      6,125       6,412,476  

5.00%, 11/15/22 (Pre-refunded/ETM)

      4,380       4,605,132  

5.00%, 11/15/23 (Pre-refunded/ETM)

      2,405       2,528,617  
    

 

 

  
       231,791,891  
    

 

 

  

Minnesota – 0.4%

 

City of Minneapolis MN
Series 2017
4.00%, 12/01/19

      7,710       8,004,213  

State of Minnesota
Series 2015B
5.00%, 8/01/22

      3,745       4,210,129  

Series 2016B
5.00%, 8/01/19

      10,000       10,439,300  

Stillwater Independent School District No. 834
Series 2015A
5.00%, 2/01/24

      4,190       4,811,000  
    

 

 

  
       27,464,642  
    

 

 

  

Missouri – 0.2%

 

Cape Girardeau County Industrial Development Authority
(SoutheastHEALTH Obligated Group)
Series 2017A
5.00%, 3/01/25-3/01/28

      2,820       3,140,463  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

City of Springfield MO Public Utility Revenue
Series 2012
5.00%, 12/01/18-12/01/19

    $ 7,290     $ 7,494,598  

Missouri Joint Municipal Electric Utility Commission
Series 2014
5.00%, 1/01/25

      2,630       3,018,056  
    

 

 

  
       13,653,117  
    

 

 

  

Montana – 0.2%

 

Montana Facility Finance Authority
(Benefis Health System Obligated Group)
Series 2016
5.00%, 2/15/25-2/15/28

      15,015       17,398,819  
    

 

 

  

Nevada – 3.6%

 

City of Las Vegas NV
Series 2015C
5.00%, 9/01/20-9/01/26

      18,625       20,809,582  

Clark County School District
Series 2008A
5.00%, 6/15/21 (Pre-refunded/ETM)

      5,000       5,035,000  

Series 2015A
5.00%, 6/15/18

      70,485       70,959,364  

Series 2015B
5.00%, 6/15/22

      17,785       19,741,528  

Series 2016D
5.00%, 6/15/24

      26,915       30,590,782  

County of Clark Department of Aviation
(Las Vegas-McCarran International Airport)
AGM Series 2009C
5.00%, 7/01/24

      9,175       9,543,743  

County of Clark NV
Series 2015A
5.00%, 7/01/18

      8,955       9,031,565  

Series 2016A
5.00%, 11/01/24

      7,080       8,221,863  

Series 2016B
5.00%, 11/01/18-11/01/23

      26,280       28,763,908  

Series 2017
5.00%, 6/01/24

      6,500       7,502,625  

County of Clark NV
(County of Clark NV Fuel Tax)
Series 2011
5.00%, 7/01/19

      8,390       8,734,577  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Las Vegas Valley Water District
Series 2015B
4.00%, 12/01/18

    $ 4,240     $ 4,308,561  

Series 2016B
5.00%, 6/01/28

      4,590       5,413,676  

State of Nevada
Series 2014A
5.00%, 4/01/21

      15,245       16,628,331  

Series 2015D
5.00%, 4/01/23

      10,205       11,544,304  
    

 

 

  
       256,829,409  
    

 

 

  

New Jersey – 5.8%

 

New Jersey Economic Development Authority
Series 2011EE
5.00%, 9/01/20 (Pre-refunded/ETM)

      4,640       4,992,176  

5.50%, 9/01/21 (Pre-refunded/ETM)

      990       1,088,970  

Series 2011G
5.00%, 9/01/20 (Pre-refunded/ETM)

      2,605       2,796,311  

Series 2013NN
5.00%, 3/01/20 (Pre-refunded/ETM)

      1,530       1,623,330  

New Jersey Economic Development Authority
(College Avenue Redevelopment Associates LLC)
Series 2013
5.00%, 6/15/25-6/15/26

      4,500       5,087,145  

New Jersey Economic Development Authority
(New Jersey Economic Development Authority State Lease)
Series 2011EE
5.00%, 9/01/20

      1,720       1,817,077  

5.50%, 9/01/21

      370       397,410  

Series 2011G
5.00%, 9/01/20

      290       306,368  

Series 2013
5.00%, 3/01/20

      13,965       14,596,218  

Series 2014P
5.00%, 6/15/20

      1,425       1,499,499  

Series 2014U
5.00%, 6/15/20-6/15/21

      14,200       15,078,824  

Series 2015X
5.00%, 6/15/19

      10,585       10,931,235  

Series 2017B
5.00%, 11/01/20-11/01/21

      33,960       36,336,634  

Series 2018A
5.00%, 6/15/32-6/15/33

      11,055       11,956,443  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Series 2018C
5.00%, 6/15/32-6/15/33

    $ 4,995     $ 5,406,233  

AMBAC Series 2005K
5.25%, 12/15/20

      2,340       2,505,649  

New Jersey Economic Development Authority
(NYNJ Link Borrower LLC)
Series 2013
5.00%, 1/01/22

      1,075       1,172,470  

5.50%, 1/01/26-1/01/27

      2,000       2,276,560  

New Jersey Economic Development Authority
(Port Newark Container Terminal LLC)
Series 2017
5.00%, 10/01/21-10/01/25

      9,515       10,495,190  

New Jersey Environmental Infrastructure Trust
Series 2015
5.00%, 9/01/20-9/01/22

      23,625       26,005,948  

New Jersey Health Care Facilities Financing Authority
(New Jersey Health Care Facilities Financing Authority State Lease)
Series 2017
5.00%, 10/01/24-10/01/26

      11,055       12,107,013  

New Jersey Health Care Facilities Financing Authority
(Trinitas Regional Medical Center Obligated Group)
Series 2017A
5.00%, 7/01/20-7/01/21

      3,750       4,018,747  

New Jersey Transit Corp.
Series 2014A
5.00%, 9/15/19-9/15/21

      44,100       46,446,871  

New Jersey Transportation Trust Fund Authority
(New Jersey Transportation Trust Fund Authority State Lease)
Series 2006A
5.25%, 12/15/20

      3,730       3,985,990  

5.50%, 12/15/21

      6,155       6,730,431  

Series 2011B
5.00%, 6/15/20

      1,310       1,378,487  

Series 2013A
5.00%, 6/15/20

      3,960       4,167,029  

New Jersey Turnpike Authority
Series 2012B
5.00%, 1/01/26-1/01/27

      12,700       14,087,032  

Series 2014A
5.00%, 1/01/27-1/01/29

      75,940       86,160,143  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Series 2014C
5.00%, 1/01/24

    $ 14,720     $ 16,778,739  

Series 2017B
5.00%, 1/01/29-1/01/31

      39,985       47,102,940  

AGM Series 2005D-3
5.25%, 1/01/26

      14,770       17,421,363  
    

 

 

  
       416,754,475  
    

 

 

  

New York – 12.7%

 

City of New York NY
Series 2009C
5.00%, 8/01/20-8/01/22

      15,190       15,841,013  

Series 2010B
5.00%, 8/01/19

      12,225       12,757,154  

Series 2013B
5.00%, 8/01/19

      34,575       36,080,050  

Series 2013I
5.00%, 8/01/19

      7,260       7,576,028  

Series 2013J
5.00%, 8/01/19-8/01/20

      16,575       17,342,673  

Series 2014A
5.00%, 8/01/27

      1,130       1,295,771  

Series 2015A
5.00%, 8/01/22-8/01/23

      12,040       13,520,116  

Series 2015B
5.00%, 8/01/23

      6,370       7,251,544  

County of Nassau NY
Series 2017C
5.00%, 10/01/26

      8,840       10,352,170  

Metropolitan Transportation Authority
Series 2012D
5.00%, 11/15/28

      6,890       7,655,548  

Series 2012E
5.00%, 11/15/24 (Pre-refunded/ETM)

      6,055       6,857,832  

Series 2012F
5.00%, 11/15/22-11/15/26

      55,610       62,051,184  

Series 2012H
5.00%, 11/15/26 (Pre-refunded/ETM)

      3,335       3,777,188  

5.00%, 11/15/26

      2,730       3,053,587  

Series 2013B
5.00%, 11/15/26 (Pre-refunded/ETM)

      9,505       10,963,447  

Series 2014A
5.00%, 11/15/26 (Pre-refunded/ETM)

      4,205       4,850,215  

5.00%, 11/15/27 (Pre-refunded/ETM)

      4,040       4,659,898  

Series 2014C
5.00%, 11/15/27 (Pre-refunded/ETM)

      5,000       5,864,300  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Series 2017C
5.00%, 11/15/30-11/15/31

    $ 79,840     $ 93,741,987  

AGC Series 2003B
5.25%, 11/15/20

      8,415       9,144,581  

Metropolitan Transportation Authority
(Metropolitan Transportation Authority Ded Tax)
Series 2012A
5.00%, 11/15/27

      4,505       5,053,664  

New York City Transitional Finance Authority Future Tax Secured Revenue
Series 2011A
5.00%, 11/01/22-11/01/25

      34,430       38,090,336  

Series 2011C
5.00%, 11/01/19-11/01/25

      23,420       25,591,808  

Series 2012A
5.00%, 8/01/25

      12,345       13,774,921  

Series 2012B
5.00%, 11/01/23-11/01/26

      55,535       62,365,410  

Series 2012E
5.00%, 11/01/21

      8,545       9,456,922  

Series 2015C
5.00%, 11/01/18

      2,090       2,131,654  

Series 2017
5.00%, 11/01/26

      5,570       6,629,525  

Series 2017B
5.00%, 8/01/30-8/01/31

      18,535       21,866,665  

New York State Dormitory Authority
Series 2009G
5.00%, 3/15/19 (Pre-refunded/ETM)

      2,900       2,993,699  

5.00%, 3/15/20 (Pre-refunded/ETM)

      8,465       8,738,504  

5.00%, 3/15/21 (Pre-refunded/ETM)

      2,500       2,580,775  

New York State Dormitory Authority
(New York State Dormitory Authority Lease)
Series 2009A
5.00%, 7/01/19-7/01/24

      25,150       26,183,899  

New York State Dormitory Authority
(New York University)
NATL Series 1998A
6.00%, 7/01/18

      2,865       2,896,458  

New York State Dormitory Authority
(State of New York Pers Income Tax)
Series 2011E
5.00%, 8/15/21

      3,880       4,275,721  

Series 2012A
5.00%, 12/15/22

      20,745       23,453,260  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Series 2012B
5.00%, 3/15/22

    $ 21,800     $ 24,280,622  

Series 2013A
5.00%, 2/15/20

      4,635       4,913,007  

Series 2014C
5.00%, 3/15/27

      2,015       2,302,641  

Series 2017A
5.00%, 2/15/21

      70,310       76,526,107  

Series 2017B
5.00%, 2/15/29

      17,975       21,343,155  

New York State Energy Research & Development Authority
(Consolidated Edison Co. of New York, Inc.)
AMBAC Series 2001A
2.215%, 5/01/34(g)

      6,800       6,527,728  

AMBAC Series 2001B
2.451%, 10/01/36(g)

      11,000       10,559,230  

2.589%, 10/01/36(g)

      11,425       10,967,200  

XLCA Series 2004A
2.187%, 1/01/39(g)

      10,000       9,599,400  

New York State Thruway Authority
(New York State Thruway Authority Ded Tax)
Series 2012A
5.00%, 4/01/23

      17,940       20,032,880  

New York State Thruway Authority
(New York State Thruway Authority Gen Toll Road)
Series 2013A
5.00%, 5/01/19

      3,055       3,163,178  

New York State Thruway Authority
(New York State Thruway Authority Service Contract)
Series 2009
5.00%, 4/01/18

      10,000       10,000,000  

New York State Urban Development Corp.
(State of New York Pers Income Tax)
Series 2013C
5.00%, 3/15/25-3/15/26

      63,625       71,750,681  

Series 2013D
5.00%, 3/15/23

      32,000       36,244,480  

Series 2016A
5.00%, 3/15/24

      4,010       4,616,031  

New York Transportation Development Corp.
(American Airlines, Inc.)
Series 2016
5.00%, 8/01/19

      4,100       4,236,161  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Port Authority of New York & New Jersey
Series 2013-178
5.00%, 12/01/28

    $ 3,335     $ 3,722,060  
    

 

 

  
       911,504,068  
    

 

 

  

North Carolina – 0.2%

 

North Carolina Eastern Municipal Power Agency
Series 1988A
6.00%, 1/01/26 (Pre-refunded/ETM)

      1,720       1,971,653  

Series 2012B
5.00%, 1/01/21 (Pre-refunded/ETM)

      13,270       14,409,230  
    

 

 

  
       16,380,883  
    

 

 

  

North Dakota – 0.1%

 

County of Ward ND
(Trinity Health Obligated Group)
Series 2017C
5.00%, 6/01/28-6/01/30

      5,000       5,600,170  
    

 

 

  

Ohio – 3.5%

 

City of Columbus OH
Series 2013-1
5.00%, 7/01/20

      4,580       4,907,149  

County of Allen OH Hospital Facilities Revenue
(Mercy Health/OH)
Series 2017A
5.00%, 8/01/26-8/01/28

      20,420       23,937,051  

County of Cuyahoga OH
(County of Cuyahoga OH Lease)
Series 2010F
5.00%, 12/01/19-12/01/24

      93,725       101,051,529  

County of Cuyahoga OH
(MetroHealth System (The))
Series 2017
5.00%, 2/15/26-2/15/27

      5,455       6,048,755  

County of Franklin OH
(Nationwide Children’s Hospital, Inc.)
Series 2017A
5.00%, 11/01/29-11/01/31

      3,100       3,665,656  

Hamilton County Convention Facilities Authority
(Hamilton County Convention Facilities Authority Lease)
Series 2014
5.00%, 12/01/22-12/01/23

      3,440       3,832,535  

Ohio Air Quality Development Authority
(FirstEnergy Nuclear Generation LLC)
Series 2009A
4.375%, 6/01/33

      2,330       2,037,748  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Ohio Water Development Authority Water Pollution Control Loan Fund
(FirstEnergy Corp.)
Series 2016B
4.375%, 6/01/33

    $ 6,325     $ 5,531,655  

State of Ohio
Series 2011A
5.00%, 8/01/20-8/01/21

      57,430       62,226,052  

State of Ohio Major New State Infrastrucure Project
Series 20181
4.00%, 12/15/19(h)

      19,880       20,603,831  

5.00%, 12/15/20(h)

      8,675       9,379,063  

University of Cincinnati
Series 2010F
5.00%, 6/01/20-6/01/21

      6,795       7,270,573  

University of Toledo
Series 2010
5.00%, 6/01/21

      2,610       2,774,169  
    

 

 

  
       253,265,766  
    

 

 

  

Oklahoma – 0.2%

 

Comanche County Memorial Hospital
Series 2015
5.00%, 7/01/20-7/01/28

      9,270       9,769,175  

McGee Creek Authority
NATL Series 1992
6.00%, 1/01/23

      2,280       2,483,969  
    

 

 

  
       12,253,144  
    

 

 

  

Oregon – 0.5%

 

City of Portland OR Sewer System Revenue
Series 2013A
5.00%, 8/01/22

      8,685       9,755,947  

Hospital Facilities Authority of Multnomah County Oregon
(Mirabella at South Waterfront)
Series 2014A
5.00%, 10/01/24

      1,000       1,099,260  

Port of Portland OR
(Portland Intl Airport)
Series 2010-20C
5.00%, 7/01/23

      1,405       1,495,426  

State of Oregon Department of Administrative Services
Series 2009D
5.00%, 11/01/21 (Pre-refunded/ETM)

      4,025       4,226,974  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

5.00%, 11/01/22 (Pre-refunded/ETM)

    $ 3,120     $ 3,276,562  

5.00%, 11/01/23 (Pre-refunded/ETM)

      1,115       1,170,951  

State of Oregon Department of Administrative Services COP
Series 2009D
5.00%, 11/01/21-11/01/23

      10,275       10,788,472  

Tri-County Metropolitan Transportation District of Oregon
Series 2018A
5.00%, 10/01/28

      2,335       2,755,580  
    

 

 

  
       34,569,172  
    

 

 

  

Pennsylvania – 7.2%

 

Allegheny County Sanitary Authority
Series 2015
5.00%, 12/01/23

      3,500       3,982,895  

Beaver County Industrial Development Authority
(FirstEnergy Nuclear Generation LLC)
Series 2016A
4.375%, 1/01/35

      2,120       1,854,025  

City of Philadelphia PA
Series 2013A
5.00%, 7/15/19-7/15/21

      4,495       4,816,180  

AGM Series 2017A
5.00%, 8/01/27-8/01/32

      46,290       53,470,620  

City of Philadelphia PA Airport Revenue
(Philadelphia Intl Airport)
Series 2010A
5.00%, 6/15/21

      6,225       6,624,832  

Series 2010D
5.00%, 6/15/19-6/15/20

      18,065       18,940,470  

Series 2011A
5.00%, 6/15/19

      4,025       4,176,139  

City of Philadelphia PA Water & Wastewater Revenue
Series 2016
5.00%, 10/01/24-10/01/26

      17,425       20,289,218  

Commonwealth of Pennsylvania
Series 2016
5.00%, 9/15/24

      9,575       10,888,690  

Series 2017
5.00%, 1/01/25-1/01/27

      135,480       154,555,616  

Hospitals & Higher Education Facilities Authority of Philadelphia (The)
(Temple University Health System Obligated Group)
Series 2017
5.00%, 7/01/25

      6,000       6,648,120  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Montgomery County Higher Education & Health Authority
(Philadelphia Presbytery Homes Obligated Group)
Series 2017
5.00%, 12/01/27-12/01/32

    $ 5,000     $ 5,586,912  

Pennsylvania Economic Development Financing Authority
(Commonwealth of Pennsylvania Unemployment)
Series 2012A
5.00%, 7/01/18-7/01/19

      27,985       28,958,744  

Pennsylvania Economic Development Financing Authority
(PA Bridges Finco LP)
Series 2015
5.00%, 6/30/26-12/31/28

      51,190       57,443,375  

Pennsylvania Turnpike Commission
Series 2009B
5.00%, 6/01/18-6/01/19

      23,775       24,213,945  

5.00%, 6/01/20 (Pre-refunded/ETM)

      5,425       5,632,398  

Series 2017B
5.00%, 6/01/28-6/01/30

      13,255       15,033,342  

Philadelphia Parking Authority (The)
(Philadelphia Airport Parking)
Series 2009
5.00%, 9/01/18-9/01/20

      24,730       26,069,053  

5.125%, 9/01/22

      9,080       9,693,536  

Southeastern Pennsylvania Transportation Authority
Series 2010
5.00%, 3/01/23 (Pre-refunded/ETM)

      3,870       4,098,562  

5.00%, 3/01/23-3/01/24

      2,830       2,995,719  

5.00%, 3/01/24 (Pre-refunded/ETM)

      5,545       5,872,488  

State Public School Building Authority
(School District of Philadelphia (The))
Series 2016D
5.00%, 9/01/24

      8,360       9,395,804  

Series 2016F
5.00%, 9/01/23-9/01/24

      29,155       32,715,054  
    

 

 

  
       513,955,737  
    

 

 

  

Puerto Rico – 0.1%

 

Puerto Rico Sales Tax Financing Corp.
Series 2009A
5.375%, 8/01/20 (Pre-refunded/ETM)

      10,315       10,810,326  
    

 

 

  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Rhode Island – 0.5%

 

Rhode Island Commerce Corp.
Series 2016B
5.00%, 6/15/27

    $ 10,565     $ 12,392,217  

Rhode Island Depositors Economic Protection Corp.
Series 1993A
6.375%, 8/01/22 (Pre-refunded/ETM)

      5,780       6,802,135  

AGM Series 1993A
5.50%, 8/01/20 (Pre-refunded/ETM)

      1,500       1,610,430  

Tobacco Settlement Financing Corp./RI
Series 2015A
5.00%, 6/01/21-6/01/23

      14,635       16,262,858  
    

 

 

  
       37,067,640  
    

 

 

  

South Carolina – 0.1%

 

Kershaw County School District/SC
Series 2015
5.00%, 12/01/21

      1,185       1,293,641  

SCAGO Educational Facilities Corp. for Pickens School District
(SCAGO Educational Facilities Corp. for Pickens School District Lease)
Series 2015
5.00%, 12/01/22-12/01/27

      7,000       7,965,350  
    

 

 

  
       9,258,991  
    

 

 

  

South Dakota – 0.1%

 

South Dakota Health & Educational Facilities Authority
(Regional Health System Obligated Group/SD)
Series 2017
5.00%, 9/01/29-9/01/30

      7,025       8,112,717  
    

 

 

  

Tennessee – 0.9%

 

Tennessee Energy Acquisition Corp.
Series 2017A
4.00%, 5/01/48

      57,130       61,050,832  

Tennessee Energy Acquisition Corp.
(Goldman Sachs Group, Inc. (The))
Series 2006A
5.25%, 9/01/21

      2,115       2,323,645  
    

 

 

  
       63,374,477  
    

 

 

  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Texas – 7.6%

 

Austin Independent School District
Series 2014B
5.00%, 8/01/20-8/01/21

    $ 6,700     $ 7,241,000  

Bell County Health Facility Development Corp.
Series 1989
6.50%, 7/01/19 (Pre-refunded/ETM)

      535       553,324  

Brownsville Independent School District
Series 2013A
5.00%, 2/15/19

      4,000       4,116,880  

Central Texas Turnpike System
Series 2015A
5.00%, 8/15/42

      19,480       20,577,698  

Series 2015C
5.00%, 8/15/23-8/15/25

      4,860       5,479,000  

City of Dallas TX
Series 2014
5.00%, 2/15/21

      7,500       8,101,875  

Series 2015
5.00%, 2/15/21

      3,240       3,500,010  

City of Garland TX
Series 2010
5.00%, 2/15/24

      3,800       4,019,260  

City of Houston TX
Series 2017A
5.00%, 3/01/25

      16,370       18,963,663  

City of Houston TX
(City of Houston TX Hotel Occupancy Tax)
Series 2015
5.00%, 9/01/23-9/01/25

      3,800       4,291,096  

City of Houston TX Airport System Revenue
Series 2009A
5.00%, 7/01/21

      2,090       2,106,845  

AGM Series 2000P
3.161%, 7/01/30(g)

      1,200       1,156,704  

City of Houston TX Airport System Revenue
(United Airlines, Inc.)
5.00%, 7/15/28

      9,135       10,275,779  

Series 2015B
5.00%, 7/15/20

      6,400       6,762,944  

City of Houston TX Combined Utility System Revenue
Series 2014C
5.00%, 5/15/23-5/15/28

      24,850       28,239,081  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

City of San Antonio TX
Series 2014
5.00%, 2/01/21

    $ 3,905     $ 4,246,805  

City of San Antonio TX Electric & Gas Systems Revenue
Series 2009D
5.00%, 2/01/20

      47,315       48,663,477  

City of Waco TX
Series 2015
5.00%, 2/01/21

      5,505       5,975,733  

County of Harris TX
Series 2010A
5.00%, 10/01/23-10/01/25

      17,725       19,096,167  

Dallas Independent School District
Series 2011
5.00%, 2/15/22

      5,165       5,609,552  

Dallas/Fort Worth International Airport
Series 2012F
5.00%, 11/01/21-11/01/25

      17,905       19,151,618  

Series 2014A
5.25%, 11/01/28

      11,550       13,027,129  

Harris County Hospital District
Series 2016
5.00%, 2/15/20-2/15/27

      7,155       7,884,841  

Houston Independent School District
Series 2016A
5.00%, 2/15/23

      5,070       5,719,163  

Irving Hospital Authority
(Baylor Medical Center at Irving)
Series 2017A
5.00%, 10/15/26-10/15/31

      3,220       3,583,273  

Mission Economic Development Corp.
(Natgasoline LLC)
Series 2016B
5.75%, 10/01/31(a)

      8,580       8,924,659  

New Hope Cultural Education Facilities Finance Corp.
(CHF-Collegiate Housing Corpus Christi I LLC)
Series 2017A
5.00%, 4/01/28

      1,130       1,266,301  

New Hope Cultural Education Facilities Finance Corp.
(Children’s Health System of Texas Obligated Group)
Series 2017A
5.00%, 8/15/25-8/15/28

      7,250       8,484,055  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

North Texas Tollway Authority
Series 2011D
5.00%, 9/01/24 (Pre-refunded/ETM)

    $ 5,000     $ 5,504,300  

5.25%, 9/01/25 (Pre-refunded/ETM)

      18,130       20,107,439  

5.25%, 9/01/26 (Pre-refunded/ETM)

      17,810       19,752,537  

Series 2014A
5.00%, 1/01/21-1/01/24

      16,745       18,564,382  

Series 2015B
5.00%, 1/01/23-1/01/28

      12,275       13,974,654  

Plano Independent School District
Series 2017
5.00%, 2/15/20

      4,855       5,166,545  

San Antonio Water System
Series 2011A
5.00%, 5/15/23-5/15/26

      21,200       22,633,735  

Series 2013E
5.00%, 5/15/25

      3,000       3,390,360  

Spring Branch Independent School District
Series 2015A
5.00%, 2/01/23-2/01/24

      6,715       7,648,542  

Series 2015B
5.00%, 2/01/23-2/01/24

      10,435       11,882,906  

Spring Independent School District
Series 2011
5.00%, 8/15/20-8/15/21

      8,365       8,991,169  

State of Texas
Series 2011
5.00%, 10/01/22-10/01/25

      33,370       36,717,909  

5.00%, 10/01/23 (Pre-refunded/ETM)

      5,500       6,046,425  

5.00%, 10/01/24 (Pre-refunded/ETM)

      5,440       5,980,464  

5.00%, 10/01/25 (Pre-refunded/ETM)

      3,025       3,325,534  

Series 2014A
5.00%, 10/01/23

      13,680       15,682,615  

Series 2015A
5.00%, 10/01/23

      10,615       12,168,930  

Texas A&M University
Series 2009D
5.00%, 5/15/18

      2,000       2,008,140  

Texas Transportation Commission State Highway Fund
Series 2015
5.00%, 10/01/23

      16,920       19,340,406  

University of Houston System
Series 2017A
5.00%, 2/15/19-2/15/21

      19,955       21,224,511  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

University of Texas System (The)
Series 2016D
5.00%, 8/15/25

    $ 5,580     $ 6,574,747  
    

 

 

  
       543,704,182  
    

 

 

  

Utah – 0.2%

 

Alpine School District/UT
Series 2017
5.00%, 3/15/20

      6,985       7,416,883  

Davis School District
Series 2017
5.00%, 6/01/22

      1,000       1,120,460  

Utah Transit Authority
(Utah Transit Authority Sales Tax)
Series 2015A
5.00%, 6/15/26-6/15/28

      5,455       6,249,304  
    

 

 

  
       14,786,647  
    

 

 

  

Virginia – 2.2%

 

Virginia College Building Authority
Series 2017E
5.00%, 2/01/27

      36,590       43,858,969  

Virginia College Building Authority
(Virginia College Building Authority State Lease)
Series 2015A
5.00%, 2/01/23

      4,345       4,907,721  

Series 2015B
5.00%, 9/01/20-9/01/22

      35,675       39,219,609  

Series 2017E
5.00%, 2/01/26

      28,280       33,475,884  

Virginia Commonwealth Transportation Board
(Virginia Commonwealth Transportation Board State Lease)
Series 2017
5.00%, 5/15/19-5/15/21

      17,285       18,394,843  

Series 2017B
5.00%, 5/15/19

      6,860       7,117,799  

Virginia Public School Authority
(Virginia Public School Authority State Lease)
Series 2017V
5.00%, 4/15/19

      9,855       10,199,038  
    

 

 

  
       157,173,863  
    

 

 

  

Washington – 8.0%

 

Chelan County Public Utility District No. 1
Series 2011A
5.00%, 7/01/20

      3,110       3,317,935  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Series 2011B
5.00%, 7/01/21

    $ 5,000     $ 5,444,100  

5.25%, 7/01/22

      3,670       4,024,559  

City of Seattle WA Drainage & Wastewater Revenue
Series 2016
5.00%, 4/01/20

      3,910       4,163,564  

City of Seattle WA Municipal Light & Power Revenue
Series 2016C
5.00%, 10/01/21

      11,130       12,295,200  

City of Seattle WA Water System Revenue
Series 2017
5.00%, 8/01/20-8/01/22

      9,440       10,345,924  

County of Cowlitz WA
(County of Cowlitz WA Spl Swr)
NATL Series 2002
5.50%, 11/01/19

      985       1,017,791  

County of King WA
Series 2015
5.00%, 7/01/23

      2,485       2,837,050  

County of King WA Sewer Revenue
Series 2011B
5.00%, 1/01/23 (Pre-refunded/ETM)

      1,160       1,254,714  

5.00%, 1/01/23

      3,255       3,518,037  

Energy Northwest
(Bonneville Power Administration)
Series 2012A
5.00%, 7/01/18-7/01/21

      96,445       99,675,186  

Series 2016A
5.00%, 7/01/25-7/01/27

      50,640       59,769,106  

Series 2017A
5.00%, 7/01/28-7/01/29

      29,545       35,323,138  

Franklin County School District No. 1 Pasco
Series 2015
5.00%, 12/01/23

      4,750       5,437,848  

Grant County Public Utility District No. 2
Series 2011I
5.00%, 1/01/20 (Pre-refunded/ETM)

      1,780       1,881,442  

5.00%, 1/01/21 (Pre-refunded/ETM)

      6,570       7,134,034  

5.00%, 1/01/23 (Pre-refunded/ETM)

      5,375       5,836,444  

King County School District No. 45 Bellevue
Series 2014
5.00%, 12/01/18

      2,415       2,469,700  

King County School District No. 49 Tahoma
Series 2015
5.00%, 12/01/22

      2,710       3,064,875  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Pierce County School District No 320 Sumner
Series 2017
5.00%, 12/01/21

    $ 3,305     $ 3,659,428  

Port of Seattle WA
Series 2010B
5.00%, 6/01/22

      1,995       2,123,099  

Series 2015C
5.00%, 4/01/21-4/01/23

      3,570       3,933,175  

Snohomish County School District No. 2 Everett
Series 2014
5.00%, 12/01/21

      3,600       3,986,064  

State of Washington
Series 2012
5.00%, 7/01/22-7/01/23

      27,935       31,232,124  

Series 2012R
5.00%, 7/01/23-7/01/24

      22,715       25,360,249  

Series 20152
5.00%, 7/01/20-7/01/23

      51,080       56,206,438  

Series 2015A-1
5.00%, 8/01/22-8/01/23

      27,765       31,433,413  

Series 2015B
5.00%, 2/01/22

      4,480       4,971,008  

Series 2017R
5.00%, 8/01/22

      7,700       8,632,547  

State of Washington
(State of Washington Fed Hwy Grant)
Series 2012F-1
5.00%, 9/01/21-9/01/23

      36,690       40,529,311  

Series 2013C
5.00%, 9/01/19

      6,060       6,333,245  

State of Washington COP
Series 2015
5.00%, 7/01/18

      3,565       3,595,409  

Series 2015C
5.00%, 7/01/21-7/01/23

      26,825       30,074,429  

Washington Health Care Facilities Authority
(MultiCare Health System)
Series 2015B
5.00%, 8/15/28-8/15/30

      31,550       36,177,037  

Washington Health Care Facilities Authority
(Virginia Mason Medical Center Obligated Group)

     

Series 2017
5.00%, 8/15/25-8/15/30

      15,880       18,093,653  
    

 

 

  
       575,151,276  
    

 

 

  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

West Virginia – 0.3%

 

West Virginia Economic Development Authority
Series 2017
5.00%, 6/15/19-6/15/22

    $ 16,360     $ 17,666,662  

West Virginia Hospital Finance Authority
(West Virginia University Health System Obligated Group)
AGM Series 2004C
2.34%, 2/15/34(g)

      3,200       2,996,448  
    

 

 

  
       20,663,110  
    

 

 

  

Wisconsin – 0.3%

 

State of Wisconsin Environmental Improvement Fund Revenue
Series 2017A
5.00%, 6/01/19

      15,550       16,149,919  

Wisconsin Public Finance Authority
(Celanese US Holdings LLC)
Series 2016A
5.00%, 1/01/24

      1,000       1,105,880  

Wisconsin Public Finance Authority
(Mary’s Woods at Marylhurst, Inc.)
Series 2017B-3
3.00%, 11/15/22(a)

      1,200       1,202,316  

WPPI Energy
Series 2014A
5.00%, 7/01/29

      1,000       1,131,930  
    

 

 

  
       19,590,045  
    

 

 

  

Total Long-Term Municipal Bonds
(cost $6,702,480,557)

        6,753,574,292  
    

 

 

  
    

Short-Term Municipal Notes – 5.5%

 

Arizona – 0.4%

 

Industrial Development Authority of the City of Phoenix (The)
(Mayo Clinic Arizona)
Series 2014B
1.68%, 11/15/52(i)

      26,700       26,700,000  
    

 

 

  

California – 0.9%

 

California Public Finance Authority
(Sharp Healthcare Obligated Group)
Series 2017C
1.50%, 8/01/52(i)

      16,600       16,600,000  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

California Statewide Communities Development Authority
(Irvine Apartment Communities LP)
Series 2008W
1.63%, 8/01/34(i)

    $ 19,000     $ 19,000,000  

Irvine Ranch Water District
Series 2009B
1.47%, 10/01/41(i)

      10,805       10,805,000  

Southern California Public Power Authority
Series 2017
1.45%, 7/01/36(i)

      20,225       20,225,000  
    

 

 

  
       66,630,000  
    

 

 

  

Connecticut – 0.7%

 

Connecticut State Health & Educational Facilities Authority
(Yale University)
Series 2001V-1
1.40%, 7/01/36(i)

      37,370       37,370,000  

Series 2001V-2
1.45%, 7/01/36(i)

      12,415       12,415,000  
    

 

 

  
       49,785,000  
    

 

 

  

Kentucky – 0.2%

 

Louisville Regional Airport Authority
(United Parcel Service, Inc.)
Series 1999B
1.80%, 1/01/29(i)

      15,000       15,000,000  
    

 

 

  

Massachusetts – 0.4%

 

Massachusetts Development Finance Agency
(Boston University)
Series 2013U
1.38%, 10/01/42(i)

      9,110       9,110,000  

Massachusetts Health & Educational Facilities Authority
(Baystate Medical Obligated Group)
Series 2017G
1.70%, 7/01/26(i)

      20,000       20,000,000  
    

 

 

  
       29,110,000  
    

 

 

  

Mississippi – 0.2%

 

Mississippi Business Finance Corp.
(Chevron USA, Inc.)
Series 2010H
1.70%, 11/01/35(i)

      14,000       14,000,000  
    

 

 

  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Missouri – 0.3%

 

St Joseph Industrial Development Authority
(Heartland Regional Medical Center/MO)
Series 2009A
1.69%, 11/15/43(i)

    $ 20,585     $ 20,585,000  
    

 

 

  

New Jersey – 0.3%

 

New Jersey Health Care Facilities Financing Authority
(Virtua Health Obligated Group)
Series 2009B
1.53%, 7/01/43(i)

      23,450       23,450,000  
    

 

 

  

New York – 0.3%

 

City of New York NY
Series 2012G
1.77%, 4/01/42(i)

      10,000       10,000,000  

Series 2013I
1.70%, 4/01/36(i)

      6,000       6,000,000  

New York City Municipal Water Finance Authority
Series 2015F
1.38%, 6/15/35(i)

      10,050       10,050,000  
    

 

 

  
       26,050,000  
    

 

 

  

Oregon – 0.2%

 

Oregon Health & Science University
Series 2015B
1.38%, 7/01/42(i)

      13,120       13,120,000  
    

 

 

  

Texas – 1.2%

 

Lower Neches Valley Authority Industrial Development Corp.
(Exxon Capital Ventures, Inc.)
Series 2004B
1.73%, 12/01/39(i)

      22,780       22,780,000  

Lower Neches Valley Authority Industrial Development Corp.
(Exxon Mobil Corp.)
Series 2001B
1.73%, 11/01/29(i)

      39,000       39,000,000  

Tarrant County Cultural Education Facilities Finance Corp.
(Methodist Hospitals of Dallas Obligated Group)
Series 2008A
1.70%, 10/01/41(i)

      26,530       26,530,000  
    

 

 

  
       88,310,000  
    

 

 

  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Virginia – 0.4%

 

Virginia Commonwealth Transportation Board
(Virginia Commonwealth Transportation Board State Lease)
Series 2017
5.00%, 5/15/18

    $ 4,110     $ 4,126,769  

Series 2017B
5.00%, 5/15/18

      10,520       10,562,922  

Virginia Public School Authority
(Virginia Public School Authority State Lease)
Series 2017V
5.00%, 4/15/18

      12,235       12,249,192  
    

 

 

  
       26,938,883  
    

 

 

  

Total Short-Term Municipal Notes
(cost $399,694,559)

        399,678,883  
    

 

 

  

Total Municipal Obligations
(cost $7,102,175,116)

        7,153,253,175  
    

 

 

  
    

GOVERNMENTS - TREASURIES – 0.1%

 

United States – 0.1%

 

U.S. Treasury Notes
2.125%, 11/30/23(j)
(cost $3,948,665)

      4,000       3,896,250  
    

 

 

  
    

SHORT-TERM INVESTMENTS – 0.0%

     

Time Deposit – 0.0%

     

State Street Time Deposit
0.28%, 4/02/18
(cost $734,763)

      735       734,763  
    

 

 

  

Total Investments – 99.8%
(cost $7,106,858,544)

        7,157,884,188  

Other assets less liabilities – 0.2%

        11,486,951  
    

 

 

  

Net Assets – 100.0%

      $ 7,169,371,139  
    

 

 

  

 

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PORTFOLIO OF INVESTMENTS (continued)

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CREDIT DEFAULT SWAPS (see Note 3)

 

Swap
Counterparty &
Referenced
Obligation		   Fixed
Rate
(Pay)
Receive		     Payment
Frequency		     Implied
Credit
Spread at
March 31,
2018		     Notional
Amount
(000)		     Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

Sale Contracts

 

Credit Suisse International

              

CDX-CMBX.NA.A Series 6, 5/11/63*

     2.00 %      Monthly       3.17 %    USD   9,322     $ (407,993 )    $ (560,542 )    $ 152,549  

CDX-CMBX.NA.A Series 6, 5/11/63*

     2.00       Monthly       3.17     USD 4,325       (189,291 )      (177,128 )      (12,163 ) 

Deutsche Bank AG

              

CDX-CMBX.NA.A Series 6, 5/11/63*

     2.00       Monthly       3.17     USD 9,971       (436,398 )      (602,220 )      165,822  

Goldman Sachs International

              

CDX-CMBX.NA.A Series 6, 5/11/63*

     2.00       Monthly       3.17     USD 3,729       (163,205 )      (216,291 )      53,086  

CDX-CMBX.NA.A Series 6, 5/11/63*

     2.00       Monthly       3.17     USD 3,729       (163,206 )      (202,358 )      39,152  

CDX-CMBX.NA.A Series 6, 5/11/63*

     2.00       Monthly       3.17     USD 5,222       (228,840 )      (208,138 )      (20,702 ) 

Morgan Stanley Capital Services LLC

              

CDX-CMBX.NA.A Series 6, 5/11/63*

     2.00       Monthly       3.17     USD 1,452       (63,549 )      (59,757 )      (3,792 ) 
         

 

 

    

 

 

    

 

 

  
          $   (1,652,482 )    $   (2,026,434 )    $   373,952  
         

 

 

    

 

 

    

 

 

  

 

* 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 March 31, 2018, the aggregate market value of these securities amounted to $44,537,989 or 0.6% of net assets.

 

(b) Non-income producing security.

 

(c) Defaulted matured security.

 

(d) Illiquid security.

 

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(e) Floating Rate Security. Stated interest/floor/ceiling rate was in effect at March 31, 2018.

 

(f) Defaulted.

 

(g) An auction rate security whose interest rate resets at each auction date. Auctions are typically held every week or month. The rate shown is as of March 31, 2018 and the aggregate market value of these securities amounted to $56,214,516 or 0.78% of net assets.

 

(h) When-Issued or delayed delivery security.

 

(i) Variable Rate Demand Notes are instruments whose interest rates change on a specific date (such as coupon date or interest payment date) or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). This instrument is payable on demand and is secured by letters of credit or other credit support agreements from major banks.

 

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

As of March 31, 2018, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 4.1% and 0.0%, respectively.

Glossary:

AGC – Assured Guaranty Corporation

AGM – Assured Guaranty Municipal

AMBAC – Ambac Assurance Corporation

CDX-CMBX.NA – North American Commercial Mortgage-Backed Index

COP – Certificate of Participation

CPIYOYX – Consumer Price Index Year Over Year Change

ETM – Escrowed to Maturity

NATL – National Interstate Corporation

OSF – Order of St. Francis

SRF – State Revolving Fund

XLCA – XL Capital Assurance Inc.

See notes to financial statements.

 

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PORTFOLIO OF INVESTMENTS

INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO

March 31, 2018 (unaudited)

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

MUNICIPAL OBLIGATIONS – 100.5%

     

Long-Term Municipal Bonds – 98.9%

     

New York – 83.6%

     

Albany County Airport Authority
AGM Series 2010A
5.00%, 12/15/21-12/15/22

    $ 6,135     $ 6,523,981  

Battery Park City Authority
Series 2013A
5.00%, 11/01/22

      4,325       4,904,031  

Buffalo & Erie County Industrial Land Development Corp.
(Catholic Health System Obligated Group)
Series 2015
5.00%, 7/01/22-7/01/23

      2,000       2,235,540  

Build NYC Resource Corp.
(Metropolitan College of New York)
Series 2014
5.00%, 11/01/23-11/01/25

      3,335       3,582,401  

5.25%, 11/01/29

      1,900       2,033,836  

City of New York NY
Series 1993E-3
5.00%, 8/01/23

      6,855       7,525,350  

Series 2011A
5.00%, 8/01/26

      14,275       15,632,267  

Series 2011D-1
5.00%, 10/01/24

      2,860       3,147,173  

Series 2012I
5.00%, 8/01/22

      2,320       2,597,890  

Series 2013B
5.00%, 8/01/20

      10,000       10,728,400  

Series 2013E
5.00%, 8/01/20

      1,730       1,856,013  

Series 2013I
5.00%, 8/01/20

      18,775       20,142,571  

Series 2016-1
5.00%, 8/01/20

      8,480       9,097,683  

Series 2016E
5.00%, 8/01/20

      9,360       10,041,782  

Series 2017-1
5.00%, 8/01/29-8/01/31

      5,925       6,993,426  

Series 2017C
5.00%, 8/01/20-8/01/26

      31,840       36,517,816  

Series 2018E
5.00%, 8/01/24

      6,335       7,320,536  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

County of Monroe NY
Series 2015
5.00%, 6/01/21-6/01/22

    $ 10,660     $ 11,667,452  

BAM Series 2015
5.00%, 6/01/21-6/01/22

      5,860       6,427,531  

County of Nassau NY
Series 2011A
5.00%, 4/01/21-4/01/22

      5,915       6,416,178  

Series 2013A
5.00%, 4/01/18-4/01/20

      8,660       8,918,803  

Series 2014A
5.00%, 4/01/25

      10,190       11,612,218  

Series 2017C
5.00%, 10/01/26-10/01/27

      22,095       25,986,644  

Dutchess County Local Development Corp.
(Health QuestSystems Obligated Group)
Series 2016B
5.00%, 7/01/32

      4,890       5,568,781  

Erie County Fiscal Stability Authority
Series 2011C
5.00%, 12/01/23 (Pre-refunded/ETM)

      5,925       6,584,808  

Erie County Industrial Development Agency (The)
(Buffalo City School District)
Series 2011B
5.00%, 5/01/22

      5,800       6,334,934  

Housing Development Corp./NY
Series 2013A
5.00%, 7/01/25

      2,000       2,255,800  

Hudson Yards Infrastructure Corp.
Series 2017A
5.00%, 2/15/31-2/15/32

      22,650       26,470,520  

Jefferson County Industrial Development Agency
(ReEnergy Black River LLC)
Series 2014
4.75%, 1/01/20(a)

      890       877,807  

5.25%, 1/01/24(a)

      1,250       1,188,575  

Metropolitan Transportation Authority
Series 2010D
5.25%, 11/15/24 (Pre-refunded/ETM)

      10,755       11,724,993  

Series 2010G
5.00%, 11/15/21 (Pre-refunded/ETM)

      9,305       10,084,945  

5.25%, 11/15/22 (Pre-refunded/ETM)

      5,000       5,450,950  

5.25%, 11/15/23 (Pre-refunded/ETM)

      20,075       21,885,564  

5.25%, 11/15/26 (Pre-refunded/ETM)

      8,805       9,599,123  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Series 2011
5.00%, 11/15/24 (Pre-refunded/ETM)

    $ 925     $ 1,027,490  

Series 2011C
5.00%, 11/15/24

      1,965       2,168,928  

Series 2011D
5.00%, 11/15/22 (Pre-refunded/ETM)

      5,000       5,554,000  

5.00%, 11/15/23 (Pre-refunded/ETM)

      4,275       4,748,670  

5.00%, 11/15/25 (Pre-refunded/ETM)

      2,500       2,777,000  

Series 2012F
5.00%, 11/15/22

      3,470       3,900,731  

Series 2016C
5.00%, 11/15/34

      4,480       4,724,966  

Series 2016D
5.00%, 11/15/27

      1,160       1,358,024  

Series 2017A
5.00%, 11/15/31

      2,025       2,379,416  

Series 2017B
5.00%, 11/15/26-11/15/27

      7,460       8,813,920  

Series 2017C
5.00%, 11/15/25-11/15/31

      77,145       90,460,767  

Metropolitan Transportation Authority
(Metropolitan Transportation Authority Ded Tax)
Series 2012A
5.00%, 11/15/24

      14,130       15,910,380  

Nassau County Local Economic Assistance Corp.
(Catholic Health Services of Long Island Obligated Group)
Series 2014
5.00%, 7/01/24

      4,550       5,139,088  

New York City Municipal Water Finance Authority
Series 2008AA
5.00%, 6/15/19 (Pre-refunded/ETM)

      11,675       11,756,958  

5.00%, 6/15/21 (Pre-refunded/ETM)

      3,095       3,116,727  

5.00%, 6/15/21

      3,810       3,836,670  

5.00%, 6/15/22 (Pre-refunded/ETM)

      2,905       2,925,393  

Series 2010FF
5.00%, 6/15/25

      24,730       26,489,787  

Series 2011HH
5.00%, 6/15/26

      9,055       9,907,438  

Series 2014D
5.00%, 6/15/22-6/15/29

      14,350       16,181,928  

Series 2015F
5.00%, 6/15/27-6/15/28

      7,830       9,130,577  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Series 2015G
5.00%, 6/15/28

    $ 11,465     $ 13,293,324  

New York City Transitional Finance Authority Building Aid Revenue
Series 2018S
5.00%, 7/15/31-7/15/32

      4,905       5,822,865  

New York City Transitional Finance Authority Building Aid Revenue
(New York City Transitional Finance Authority Building Aid Revenue State Lease)
Series 2011S-1A
5.00%, 7/15/25

      4,420       4,848,077  

Series 2012S
5.00%, 7/15/25

      7,390       8,237,559  

New York City Transitional Finance Authority Future Tax Secured Revenue
Series 2011A
5.00%, 11/01/20

      1,160       1,254,296  

Series 2011A-1
5.00%, 11/01/23

      15,315       16,943,903  

Series 2011B
5.00%, 2/01/20-2/01/24

      15,135       16,330,074  

Series 2011C
5.00%, 11/01/20

      9,480       10,250,629  

Series 2012B
5.00%, 11/01/22-11/01/24

      13,105       14,758,439  

Series 2012D
5.00%, 11/01/20-11/01/23

      29,575       32,704,169  

Series 2012E
5.00%, 2/01/21-2/01/26

      11,600       12,699,034  

Series 2014A
5.00%, 8/01/27-8/01/29

      6,655       7,639,674  

Series 2014C
5.00%, 11/01/26

      6,345       7,323,082  

Series 2014D-1
5.00%, 2/01/28-2/01/29

      9,535       10,854,476  

Series 2015C
5.00%, 11/01/18-11/01/26

      24,005       27,521,700  

Series 2016B
5.00%, 8/01/31

      2,150       2,502,579  

Series 2017
5.00%, 11/01/26

      4,175       4,969,169  

Series 2017A
5.00%, 8/01/21

      1,740       1,914,870  

Series 2017B
5.00%, 8/01/32

      5,890       6,920,632  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

New York City Trust for Cultural Resources
(Lincoln Center for the Performing Arts, Inc.)
Series 2016A
5.00%, 12/01/26

    $ 7,175     $ 8,539,254  

New York City Trust for Cultural Resources
(Whitney Museum of American Art)
Series 2011
5.00%, 7/01/21

      4,745       5,145,715  

New York Local Government Assistance Corp.
(New York Local Government Assistance Corp. Sales Tax)
Series 2008A
5.00%, 4/01/20

      12,120       12,143,755  

New York State Dormitory Authority
Series 2009D
5.00%, 6/15/20 (Pre-refunded/ETM)

      2,230       2,320,114  

Series 2011A
5.00%, 7/01/24 (Pre-refunded/ETM)

      3,125       3,434,531  

Series 2012D
5.00%, 2/15/22 (Pre-refunded/ETM)

      1,290       1,425,166  

5.00%, 2/15/23 (Pre-refunded/ETM)

      865       955,635  

5.00%, 2/15/24 (Pre-refunded/ETM)

      815       900,396  

5.00%, 2/15/25 (Pre-refunded/ETM)

      880       972,206  

New York State Dormitory Authority
(Icahn School of Medicine at Mount Sinai)
Series 2010A
5.00%, 7/01/19

      4,390       4,562,000  

Series 2015A
5.00%, 7/01/22-7/01/26

      6,415       7,233,260  

New York State Dormitory Authority
(Mount Sinai Hospitals Group, Inc.)
Series 2010A
5.00%, 7/01/18

      1,360       1,371,220  

New York State Dormitory Authority
(New York State Dormitory Authority Lease)
Series 2009A
5.00%, 7/01/22

      6,050       6,298,473  

New York State Dormitory Authority
(New York State Sales Tax)
Series 2015-2
5.00%, 3/15/19-3/15/22

      43,385       47,255,987  

Series 2015A
5.00%, 3/15/19-3/15/23

      34,200       36,231,770  

Series 2017A
5.00%, 3/15/23-3/15/29

      7,695       9,064,475  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

New York State Dormitory Authority
(New York University)
Series 2015A
5.00%, 7/01/23

    $ 2,040     $ 2,331,190  

NATL Series 1998A
6.00%, 7/01/18

      1,000       1,010,980  

New York State Dormitory Authority
(Orange Regional Medical Center Obligated Group)
Series 2017
5.00%, 12/01/23-12/01/26(b)

      4,600       5,125,124  

New York State Dormitory Authority
(St John’s University/NY)
Series 2015A
5.00%, 7/01/24

      1,130       1,293,748  

New York State Dormitory Authority
(State of New York Pers Income Tax)
Series 2012A
5.00%, 12/15/20-12/15/21

      8,920       9,826,490  

Series 2012B
5.00%, 3/15/22

      3,905       4,349,350  

Series 2012D
5.00%, 2/15/22-2/15/25

      18,285       20,254,327  

Series 2014A
5.00%, 2/15/28-2/15/29

      13,825       15,701,467  

Series 2014C
5.00%, 3/15/28-3/15/29

      14,485       16,509,959  

Series 2015B
5.00%, 2/15/23

      1,160       1,311,960  

Series 2015E
5.00%, 3/15/21-3/15/23

      5,380       6,051,583  

Series 2016D
5.00%, 2/15/21

      5,970       6,497,808  

AMBAC Series 2005B
5.50%, 3/15/23

      5,000       5,779,950  

New York State Dormitory Authority
(State University of New York Dormitory Fees)
Series 2015A
5.00%, 7/01/19

      2,720       2,830,677  

New York State Dormitory Authority
(Wyckoff Heights Medical Center State Lease)
Series 2015
5.00%, 2/15/21

      3,870       4,208,741  

New York State Energy Research & Development Authority
(Consolidated Edison Co. of New York, Inc.)
AMBAC Series 2001A
2.173%, 5/01/34(c)

      1,900       1,823,924  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

2.215%, 5/01/34(c)

    $ 2,425     $ 2,327,903  

2.423%, 5/01/34(c)

      2,300       2,207,908  

XLCA Series 2004B
2.27%, 10/01/35(c)

      3,000       2,880,120  

New York State Energy Research & Development Authority
(Rochester Gas & Electric Corp.)
NATL Series 1997A
2.534%, 8/01/32(c)

      2,000       1,870,080  

New York State Environmental Facilities Corp.
(New York City Municipal Water Finance Authority)
Series 2009A
5.25%, 6/15/24

      7,300       7,615,287  

New York State Environmental Facilities Corp.
(State of New York SRF)
Series 2015D
5.00%, 3/15/22-9/15/22

      9,320       10,509,332  

New York State Thruway Authority
(New York State Thruway Authority Ded Tax)
Series 2012A
5.00%, 4/01/21-4/01/25

      26,175       28,995,604  

AMBAC Series 2005B
5.50%, 4/01/20

      9,215       9,906,401  

New York State Thruway Authority
(New York State Thruway Authority Gen Toll Road)
Series 2012I
5.00%, 1/01/25

      5,155       5,678,748  

Series 2013A
5.00%, 5/01/19

      27,610       28,587,670  

Series 2014
5.00%, 1/01/26-1/01/28

      4,345       5,007,652  

Series 2014J
5.00%, 1/01/26-1/01/27

      33,900       38,362,419  

Series 2018L
5.00%, 1/01/20

      3,780       3,992,738  

New York State Thruway Authority
(State of New York Pers Income Tax)
Series 2010A
5.00%, 3/15/25

      5,425       5,847,336  

Series 2011A
5.00%, 3/15/19

      2,060       2,126,950  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

New York State Urban Development Corp.
(New York State Urban Development Corp. Lease)
Series 2008B
5.00%, 1/01/19

    $ 3,525     $ 3,555,245  

New York State Urban Development Corp.
(State of New York Pers Income Tax)
Series 2010A
5.00%, 3/15/19

      10,000       10,325,000  

Series 2013C
5.00%, 3/15/20

      9,945       10,565,866  

Series 2016A
5.00%, 3/15/21-3/15/28

      26,935       30,555,055  

Series 2017C
5.00%, 3/15/26

      9,095       10,739,376  

New York Transportation Development Corp.
(American Airlines, Inc.)
5.00%, 8/01/21

      1,415       1,523,941  

Series 2016
5.00%, 8/01/19-8/01/31

      25,655       27,096,123  

New York Transportation Development Corp.
(Terminal One Group Association LP)
Series 2015
5.00%, 1/01/21

      3,690       3,965,643  

Niagara Falls City School District
Series 2016
5.00%, 6/15/22-6/15/25

      11,580       13,058,888  

Port Authority of New York & New Jersey
Series 2011
5.00%, 9/15/24

      2,000       2,151,960  

Series 2011O
5.00%, 10/15/21

      5,215       5,727,374  

Series 2013-178
5.00%, 12/01/23

      10,480       11,842,924  

Series 2014
5.00%, 9/01/23-9/01/27

      12,470       14,127,827  

Series 2014-1
5.00%, 10/15/23

      3,455       3,896,825  

Series 2014-186
5.00%, 10/15/21-10/15/22

      12,575       13,894,944  

Series 2015E
5.00%, 10/15/22-10/15/26

      16,390       18,625,761  

Series 2017
3.00%, 10/15/18

      1,000       1,007,510  

5.00%, 10/15/28

      6,925       8,079,328  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Series 20182
5.00%, 9/15/27

    $ 9,310     $ 10,957,870  

Sales Tax Asset Receivable Corp.
Series 2014A
5.00%, 10/15/19-10/15/26

      20,810       23,385,494  

Town of Oyster Bay NY
5.00%, 2/15/22-2/15/23(d)

      11,660       12,669,436  

Series 2016C
4.00%, 6/01/18

      4,175       4,187,984  

Triborough Bridge & Tunnel Authority
Series 2008A
5.00%, 11/15/19 (Pre-refunded/ETM)

      2,150       2,158,815  

Series 2011A
5.00%, 1/01/27 (Pre-refunded/ETM)

      7,000       7,780,500  

Series 2012B
5.00%, 11/15/21-11/15/23

      25,760       28,972,588  

Series 2013A
5.00%, 11/15/28

      5,000       5,622,300  

Series 2013B
5.00%, 11/15/20-11/15/22

      10,970       12,241,423  

Series 2016A
5.00%, 11/15/24

      8,120       9,507,221  

Troy Capital Resource Corp.
(Rensselaer Polytechnic Institute)
Series 2010B
5.00%, 9/01/18-9/01/21

      3,370       3,468,221  

TSASC, Inc./NY
Series 2017A
5.00%, 6/01/20-6/01/23

      3,000       3,283,960  

Utility Debt Securitization Authority
Series 2013T
5.00%, 6/15/26-12/15/29

      34,825       39,730,444  
    

 

 

  
       1,532,416,960  
    

 

 

  

Alabama – 1.0%

     

Alabama Public School & College Authority
Series 2009B
5.00%, 5/01/18

      11,145       11,175,314  

Black Belt Energy Gas District
(Goldman Sachs Group, Inc. (The))
Series 2018A
4.00%, 12/01/48

      5,935       6,364,694  
    

 

 

  
       17,540,008  
    

 

 

  

Arizona – 0.1%

     

Tempe Industrial Development Authority
(Mirabella at ASU, Inc.)
Series 2017B
4.00%, 10/01/23(b)

      2,400       2,407,920  
    

 

 

  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

California – 0.4%

     

California Econ Recovery
Series 2009A
5.25%, 7/01/21 (Pre-refunded/ETM)

    $ 5,000     $ 5,228,900  

Golden State Tobacco Securitization Corp.
(Golden State Tobacco Securitization Corp. Lease)
Series 2013A
5.00%, 6/01/19

      1,225       1,272,701  

San Francisco City & County Airport Comm-San Francisco International Airport
(San Francisco Intl Airport)
Series 2009E
5.00%, 5/01/21

      1,280       1,325,888  
    

 

 

  
       7,827,489  
    

 

 

  

Colorado – 0.2%

     

City & County of Denver CO
(United Airlines, Inc.)
Series 2017
5.00%, 10/01/32

      2,425       2,621,740  
    

 

 

  

Connecticut – 0.9%

     

State of Connecticut
Series 2018B
5.00%, 4/15/25(d)

      14,565       16,316,296  
    

 

 

  

District of Columbia – 0.3%

     

Metropolitan Washington Airports Authority
Series 2010B
5.00%, 10/01/19-10/01/21

      5,795       6,099,749  
    

 

 

  

Florida – 1.1%

     

County of Miami-Dade FL Aviation Revenue
Series 2009A
5.75%, 10/01/20

      1,680       1,778,700  

Durbin Crossing Community Development District
Series 2006-1
5.25%, 11/01/15(e)(f)(g)

      2,060       195,700  

Overoaks Community Development District
Series 2004B
5.125%, 5/01/09(e)(f)(g)

      185       15,725  

Series 2010A-1
6.125%, 5/01/35

      70       70,088  

Series 2010A-2
6.125%, 5/01/35

      175       175,221  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Parkway Center Community Development District
Series 2004B
7.00%, 5/01/23

    $ 110     $ 112,380  

State of Florida Lottery Revenue
Series 2010C
5.00%, 7/01/18

      16,355       16,496,144  

Volusia County School Board COP
Series 2014B
5.00%, 8/01/26

      1,000       1,154,940  
    

 

 

  
       19,998,898  
    

 

 

  

Guam – 0.6%

     

Guam Department of Education COP
Series 2010A
6.00%, 12/01/20

      1,185       1,206,804  

Guam Government Waterworks Authority
Series 2017
5.00%, 7/01/28-7/01/31

      4,250       4,688,038  

Guam Power Authority
Series 2017A
5.00%, 10/01/25-10/01/27

      3,945       4,344,684  
    

 

 

  
       10,239,526  
    

 

 

  

Illinois – 3.0%

     

Chicago Board of Education
Series 2017C 5.00%, 12/01/23

      8,160       8,684,117  

Metropolitan Pier & Exposition Authority
Series 2012B
5.00%, 12/15/28

      5,090       5,264,791  

Series 2017B
5.00%, 12/15/28

      2,000       2,189,680  

State of Illinois
Series 2012
5.00%, 3/01/21-8/01/25

      13,135       13,646,719  

Series 2013
5.50%, 7/01/25

      7,435       7,921,249  

Series 2014
5.00%, 5/01/24

      2,540       2,649,296  

Series 2016
5.00%, 2/01/24

      4,200       4,380,684  

Series 2017A
5.00%, 12/01/24

      2,060       2,151,134  

Series 2017D
5.00%, 11/01/23

      7,505       7,846,102  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Town of Cortland IL
(Town of Cortland IL Spl Tax)
Series 2006
5.50%, 3/01/17(e)(f)(g)

    $ 1,307     $ 256,826  
    

 

 

  
       54,990,598  
    

 

 

  

Indiana – 0.6%

     

Indiana Bond Bank
(JPMorgan Chase & Co.)
Series 2007A
5.25%, 10/15/18-10/15/21

      10,780       11,474,527  
    

 

 

  

Louisiana – 0.0%

     

Juban Parc Community Development District
Series 2006
5.15%, 10/01/14(e)(f)(g)

      1,155       323,400  
    

 

 

  

Massachusetts – 0.6%

     

Commonwealth of Massachusetts
NATL Series 2000D
2.551%, 12/01/30(c)

      275       274,197  

NATL Series 2000E
2.551%, 12/01/30(c)

      2,300       2,293,284  

NATL Series 2000F
2.611%, 12/01/30(c)

      8,475       8,450,253  
    

 

 

  
       11,017,734  
    

 

 

  

Michigan – 0.2%

     

City of Detroit MI Sewage Disposal System Revenue
(Great Lakes Water Authority Sewage Disposal System)
Series 2012A
5.00%, 7/01/22

      3,055       3,354,176  
    

 

 

  

Nevada – 0.4%

     

County of Clark Department of Aviation
(Las Vegas-McCarran International Airport)
AGM Series 2009C
5.00%, 7/01/23

      7,400       7,699,256  
    

 

 

  

New Jersey – 2.7%

     

New Jersey Economic Development Authority
(New Jersey Economic Development Authority State Lease)
Series 2011G
5.00%, 9/01/21

      3,295       3,493,392  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Series 2013
5.00%, 3/01/21-3/01/28

    $ 3,945     $ 4,182,672  

Series 2015X
5.00%, 6/15/19-6/15/21

      23,895       25,399,861  

Series 2017D
5.00%, 6/15/30

      2,000       2,171,820  

New Jersey Transportation Trust Fund Authority
Series 2012A
5.00%, 6/15/22

      1,000       1,076,280  

New Jersey Transportation Trust Fund Authority
(New Jersey Transportation Fed Hwy Grant)
Series 2016
5.00%, 6/15/27

      5,000       5,552,950  

New Jersey Transportation Trust Fund Authority
(New Jersey Transportation Trust Fund Authority State Lease)
Series 2011A
5.00%, 6/15/21

      2,195       2,344,524  

AMBAC Series 2005B
5.25%, 12/15/23

      4,700       5,281,484  
    

 

 

  
       49,502,983  
    

 

 

  

Ohio – 0.1%

     

Ohio Air Quality Development Authority
(FirstEnergy Generation LLC)
Series 2009D
4.25%, 8/01/29

      1,305       1,141,549  

Ohio Water Development Authority Water Pollution Control Loan Fund
(FirstEnergy Corp.)
Series 2016B
4.375%, 6/01/33

      1,650       1,443,040  
    

 

 

  
       2,584,589  
    

 

 

  

Pennsylvania – 1.0%

     

Hospitals & Higher Education Facilities Authority of Philadelphia (The)
(Temple University Health System Obligated Group)
Series 2017
5.00%, 7/01/23-7/01/24

      3,775       4,139,654  

Philadelphia Parking Authority (The)
(Philadelphia Airport Parking)
Series 2009
5.00%, 9/01/21

      11,405       12,170,162  

5.25%, 9/01/23

      2,435       2,607,228  
    

 

 

  
       18,917,044  
    

 

 

  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Tennessee – 1.0%

     

Tennessee Energy Acquisition Corp.
(Goldman Sachs Group, Inc. (The))
Series 2006A
5.25%, 9/01/21

    $ 17,375     $ 19,089,044  
    

 

 

  

Texas – 0.4%

     

City of Houston TX Airport System Revenue
(United Airlines, Inc.)
5.00%, 7/15/28

      1,750       1,968,540  

Mission Economic Development Corp.
(Natgasoline LLC)
Series 2016B
5.75%, 10/01/31(b)

      4,300       4,472,731  
    

 

 

  
       6,441,271  
    

 

 

  

Washington – 0.7%

     

Port of Seattle WA
Series 2010C
5.00%, 2/01/21

      11,085       11,975,458  
    

 

 

  

Total Long-Term Municipal Bonds
(cost $1,792,246,821)

        1,812,838,666  
    

 

 

  

Short-Term Municipal Notes – 1.6%

     

New York – 1.3%

     

City of New York NY
Series 2013I
1.70%, 4/01/36(h)

      10,000       10,000,000  

Metropolitan Transportation Authority
Series 2017A
1.70%, 11/01/31(h)

      4,000       4,000,000  

State of New York
Series 2018A
5.00%, 2/15/19

      5,560       5,728,801  

Town of Oyster Bay NY
Series 2017C
2.50%, 6/01/18

      3,500       3,502,345  

Triborough Bridge & Tunnel Authority
Series 2018B
1.66%, 1/01/32(h)

      1,300       1,300,000  
    

 

 

  
       24,531,146  
    

 

 

  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO

 

     Principal
Amount
(000)		     U.S. $ Value  

 

  

Texas – 0.3%

     

State of Texas
Series 2017
4.00%, 8/30/18

    $ 5,000     $ 5,050,350  
    

 

 

  

Total Short-Term Municipal Notes
(cost $29,600,663)

        29,581,496  
    

 

 

  

Total Municipal Obligations
(cost $1,821,847,484)

        1,842,420,162  
    

 

 

  
    

SHORT-TERM INVESTMENTS – 0.1%

     

Time Deposit – 0.1%

     

State Street Time Deposit
0.28%, 4/02/18
(cost $1,936,404)

      1,936       1,936,404  
    

 

 

  

Total Investments – 100.6%
(cost $1,823,783,888)

        1,844,356,566  

Other assets less liabilities – (0.6)%

        (11,011,793 ) 
    

 

 

  

Net Assets – 100.0%

      $ 1,833,344,773  
    

 

 

  

CREDIT DEFAULT SWAPS (see Note 3)

 

Swap
Counterparty &
Referenced
Obligation		   Fixed
Rate
(Pay)
Receive		     Payment
Frequency		     Implied
Credit
Spread at
March 31,
2018		     Notional
Amount
(000)		     Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

Sale Contracts

              

Credit Suisse International

              

CDX-CMBX.NA.A Series 6, 5/11/63*

     2.00 %      Monthly       3.17 %    USD   2,388     $   (104,515 )    $   (143,593 )    $   39,078  

CDX-CMBX.NA.A Series 6, 5/11/63*

     2.00       Monthly       3.17     USD 1,108       (48,494 )      (45,378 )      (3,116 ) 

CDX-CMBX.NA.A Series 6, 5/11/63*

     2.00       Monthly       3.17     USD 2,253       (98,481 )      (127,512 )      29,031  

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO

 

Swap
Counterparty &
Referenced
Obligation		   Fixed
Rate
(Pay)
Receive		     Payment
Frequency		     Implied
Credit
Spread at
March 31,
2018		     Notional
Amount
(000)		     Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

Deutsche Bank AG

              

CDX-CMBX.NA.A Series 6, 5/11/63*

     2.00 %      Monthly       3.17 %    USD 2,554     $ (111,780 )    $ (154,254 )    $ 42,474  

Goldman Sachs International

              

CDX-CMBX.NA.A Series 6, 5/11/63*

     2.00       Monthly       3.17     USD 955       (41,797 )      (55,392 )      13,595  

CDX-CMBX.NA.A Series 6, 5/11/63*

     2.00       Monthly       3.17     USD   955       (41,797 )      (51,824 )      10,027  

CDX-CMBX.NA.A Series 6, 5/11/63*

     2.00       Monthly       3.17     USD 1,338       (58,634 )      (53,330 )      (5,304 ) 

Morgan Stanley Capital Services LLC

              

CDX-CMBX.NA.A Series 6, 5/11/63*

     2.00       Monthly       3.17     USD 372       (16,281 )      (15,310 )      (971 ) 
         

 

 

    

 

 

    

 

 

  
          $   (521,779 )    $   (646,593 )    $   124,814  
         

 

 

    

 

 

    

 

 

  

 

* Termination date

 

(a) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.11% of net assets as of March 31, 2018, are considered illiquid and restricted. Additional information regarding such securities follows:

 

144A/Restricted & Illiquid
Securities		    Acquisition
Date		      Cost      Market
Value		      Percentage of
Net Assets		  

Jefferson County Industrial Development Agency
(ReEnergy Black River LLC)

            

Series 2014

5.25%, 1/01/24

      11/13/14      $     1,250,000      $     1,188,575        0.06 % 

Jefferson County Industrial Development Agency
(ReEnergy Black River LLC)

            

Series 2014

4.75%, 1/01/20

      11/13/14        890,000        877,807        0.05 % 

 

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PORTFOLIO OF INVESTMENTS (continued)

INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO

 

 

(b) 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 March 31, 2018, the aggregate market value of these securities amounted to $12,005,775 or 0.7% of net assets.

 

(c) An auction rate security whose interest rate resets at each auction date. Auctions are typically held every week or month. The rate shown is as of March 31, 2018 and the aggregate market value of these securities amounted to $22,127,669 or 1.21% of net assets.

 

(d) When-Issued or delayed delivery security.

 

(e) Defaulted matured security.

 

(f) Non-income producing security.

 

(g) Illiquid security.

 

(h) Variable Rate Demand Notes are instruments whose interest rates change on a specific date (such as coupon date or interest payment date) or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). This instrument is payable on demand and is secured by letters of credit or other credit support agreements from major banks.

As of March 31, 2018, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 3.5% and 0.0%, respectively.

Glossary:

AGM – Assured Guaranty Municipal

AMBAC – Ambac Assurance Corporation

BAM – Build American Mutual

CDX-CMBX.NA – North American Commercial Mortgage- Backed Index

COP – Certificate of Participation

ETM – Escrowed to Maturity

NATL – National Interstate Corporation

SRF – State Revolving Fund

XLCA – XL Capital Assurance Inc.

See notes to financial statements.

 

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STATEMENT OF ASSETS AND LIABILITIES

March 31, 2018 (unaudited)

 

    California
Municipal
Portfolio		     Diversified
Municipal
Portfolio		     New York
Municipal
Portfolio		  
Assets      

Investments in securities, at value

   $ 1,318,478,121     $ 7,157,884,188     $ 1,844,356,566  

Cash

     – 0  –      – 0  –      3,973  

Cash collateral due from broker

     – 0  –      – 0  –      270,000  

Due from custodian

     1,465       – 0  –      – 0  – 

Receivables:

      

Interest

     18,390,260       83,020,736       21,484,253  

Investment securities sold

     9,302,282       425,000       195,000  

Capital shares sold

     1,320,682       7,347,371       530,122  

Unrealized appreciation of credit default swaps

     94,292       410,609       134,205  
 

 

 

    

 

 

    

 

 

  

Total assets

     1,347,587,102       7,249,087,904       1,866,974,119  
 

 

 

    

 

 

    

 

 

  
Liabilities      

Due to custodian

     5,118,678       29,007,308       – 0  – 

Payables:

      

Dividends to shareholders

     964,822       5,222,984       1,346,946  

Investment securities purchased

     32,374,968       29,985,037       28,976,212  

Capital shares redeemed

     2,541,276       10,421,347       1,720,833  

Management fee

     473,749       2,111,321       646,994  

Shareholder servicing fee

     104,260       487,987       143,078  

Distribution fee

     31,113       120,534       62,589  

Transfer Agent fee

     6,500       40,118       11,291  

Accrued expenses

     45,430       257,038       65,419  

Unrealized depreciation of credit default swaps

     6,597       36,657       9,391  

Upfront premiums received on credit default swaps

     454,336       2,026,434       646,593  
 

 

 

    

 

 

    

 

 

  

Total liabilities

     42,121,729       79,716,765       33,629,346  
 

 

 

    

 

 

    

 

 

  

Net Assets

   $     1,305,465,373     $     7,169,371,139     $     1,833,344,773  
 

 

 

    

 

 

    

 

 

  

Cost of investments

   $ 1,302,398,636     $ 7,106,858,544     $ 1,823,783,888  
 

 

 

    

 

 

    

 

 

  
Net Assets Consist of:      

Capital stock, at par

   $ 92,986     $ 507,967     $ 133,179  

Additional paid-in capital

     1,310,160,175       7,166,232,199       1,833,083,941  

Distributions in excess of net investment income

     (251,394 )      (933,966 )      (108,120 ) 

Accumulated net realized loss on investment transactions

     (20,703,574 )      (47,834,657 )      (20,461,719 ) 

Net unrealized appreciation of investments and swap transactions

     16,167,180       51,399,596       20,697,492  
 

 

 

    

 

 

    

 

 

  
  $ 1,305,465,373     $ 7,169,371,139     $ 1,833,344,773  
 

 

 

    

 

 

    

 

 

  

See notes to financial statements.

 

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STATEMENT OF ASSETS AND LIABILITIES (continued)

 

    California
Municipal
Portfolio		     Diversified
Municipal
Portfolio		     New York
Municipal
Portfolio		  
Calculation of Maximum Offering Price  
Municipal Class Shares  

Net Assets

   $     1,186,984,598     $     5,544,463,782     $     1,632,623,525  

Shares of capital stock outstanding

     84,546,752       392,792,658       118,593,574  
 

 

 

    

 

 

    

 

 

  

Net asset value, offering and redemption price per share

   $ 14.04     $ 14.12     $ 13.77  
 

 

 

    

 

 

    

 

 

  
Class A Shares      

Net Assets

   $ 86,496,684     $ 289,123,833     $ 130,303,884  

Shares of capital stock outstanding

     6,160,855       20,468,216       9,468,021  
 

 

 

    

 

 

    

 

 

  

Net asset value and redemption price per share

   $ 14.04     $ 14.13     $ 13.76  

Sales charge – 3.00% of public offering price

     0.43       0.44       0.43  
 

 

 

    

 

 

    

 

 

  

Maximum offering price

   $ 14.47     $ 14.57     $ 14.19  
 

 

 

    

 

 

    

 

 

  
Class B Shares      

Net Assets

     $ 28,597     $ 3,040  

Shares of capital stock outstanding

       2,025       221  
   

 

 

    

 

 

  

Net asset value and offering price per share

     $ 14.12     $ 13.76  
   

 

 

    

 

 

  
Class C Shares      

Net Assets

   $ 13,713,960     $ 63,942,794     $ 37,806,543  

Shares of capital stock outstanding

     976,977       4,528,478       2,746,780  
 

 

 

    

 

 

    

 

 

  

Net asset value and offering price per share

   $ 14.04     $ 14.12     $ 13.76  
 

 

 

    

 

 

    

 

 

  
Advisor Class Shares      

Net Assets

   $ 18,270,131     $ 1,271,812,133     $ 32,607,781  

Shares of capital stock outstanding

     1,301,312       90,175,676       2,370,170  
 

 

 

    

 

 

    

 

 

  

Net asset value and offering price per share

   $ 14.04     $ 14.10     $ 13.76  
 

 

 

    

 

 

    

 

 

  

See notes to financial statements.

 

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STATEMENT OF OPERATIONS

For The Six Months Ended March 31, 2018 (unaudited)

 

    California
Municipal
Portfolio		     Diversified
Municipal
Portfolio		     New York
Municipal
Portfolio		  
Investment Income      

Income:

      

Interest

   $ 17,533,847     $ 92,386,711     $ 25,223,400  

Other income

     1,242       6,896       – 0  – 
 

 

 

    

 

 

    

 

 

  

Total income

     17,535,089       92,393,607       25,223,400  
 

 

 

    

 

 

    

 

 

  
Expenses:      

Management fee (see Note 2A)

     2,667,905       12,000,169       3,668,036  

Shareholder servicing fee (see Note 2B)

     585,152       2,761,356       807,611  

Custodian fee

     98,510       158,613       106,390  

Transfer Agent fee – Non-Retail Class

     12,945       59,625       18,213  

Transfer Agent fee – Class A

     14,153       160,872       26,239  

Transfer Agent fee – Class B

     – 0  –      31       7  

Transfer Agent fee – Class C

     2,532       35,478       8,018  

Transfer Agent fee – Advisor Class

     2,488       606,073       5,864  

Distribution fees – Class A

     109,899       395,294       170,394  

Distribution fees – Class B

     – 0  –      148       17  

Distribution fees – Class C

     77,460       346,726       203,641  

Directors’ fees and expenses

     21,305       117,676       30,397  

Registration fees

     10,377       113,206       28,422  

Printing fees

     14,736       119,210       17,412  

Auditing and tax fees

     21,194       98,655       28,124  

Legal fees

     12,700       51,498       16,751  

Miscellaneous

     25,380       77,479       39,415  
 

 

 

    

 

 

    

 

 

  

Total expenses

     3,676,736       17,102,109       5,174,951  
 

 

 

    

 

 

    

 

 

  

Net investment income

     13,858,353       75,291,498       20,048,449  
 

 

 

    

 

 

    

 

 

  
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions      

Net realized gain (loss) on:

      

Investment transactions

     (1,367,356 )      (1,371,981 )      (1,430,400 ) 

Swaps

     48,554       247,456       69,133  
 

 

 

    

 

 

    

 

 

  

Net realized loss on investment transactions

     (1,318,802 )      (1,124,525 )      (1,361,267 ) 
 

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation/depreciation of:

      

Investments

     (24,513,334 )      (155,873,211 )      (38,995,373 ) 

Swaps

     87,695       373,952       124,814  
 

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation/depreciation of investments

     (24,425,639 )      (155,499,259 )      (38,870,559 ) 
 

 

 

    

 

 

    

 

 

  

Net realized and unrealized loss on investment transactions

         (25,744,441 )          (156,623,784 )          (40,231,826 ) 
 

 

 

    

 

 

    

 

 

  

Net Decrease in Net Assets Resulting from Operations

   $ (11,886,088 )    $ (81,332,286 )    $ (20,183,377 ) 
 

 

 

    

 

 

    

 

 

  

See notes to financial statements.

 

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STATEMENT OF CHANGES IN NET ASSETS

 

     California Municipal Portfolio  
     Six Months Ended
3/31/18
(unaudited)		     Year Ended
9/30/17		  
Increase (Decrease) in Net Assets from Operations:     

Net investment income

    $ 13,858,353     $ 25,527,975  

Net realized loss on investment transactions

      (1,318,802 )      (2,827,036 ) 

Net change in unrealized appreciation/depreciation of investments

      (24,425,639 )      (20,083,145 ) 
  

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

      (11,886,088 )      2,617,794  
Dividends to shareholders:     

Dividends from net investment income

     

Municipal Class

      (12,773,103 )      (23,441,848 ) 

Class A

      (869,057 )      (1,625,269 ) 

Class B

      – 0  –      – 0  – 

Class C

      (95,120 )      (236,025 ) 

Advisor Class

      (172,456 )      (198,549 ) 
  

 

 

    

 

 

  

Total dividends to shareholders

      (13,909,736 )      (25,501,691 ) 
  

 

 

    

 

 

  
Capital-share transactions:     

Net proceeds from sales of shares

      184,871,830       271,327,369  

Net proceeds from sales of shares issued to shareholders on reinvestment of dividends and distributions

      10,949,882       19,959,923  
  

 

 

    

 

 

  

Total proceeds from shares sold

      195,821,712       291,287,292  

Cost of shares redeemed

      (128,372,865 )      (241,903,758 ) 
  

 

 

    

 

 

  

Net increase in net assets from capital-share transactions

      67,448,847       49,383,534  
  

 

 

    

 

 

  

Net increase in net assets

      41,653,023       26,499,637  
Net Assets:     

Beginning of period

      1,263,812,350       1,237,312,713  
  

 

 

    

 

 

  

End of period(b)

    $     1,305,465,373     $     1,263,812,350  
  

 

 

    

 

 

  

(b) Includes distributions in excess of net investment income of:

    $ (251,394 )    $ (200,011 ) 
  

 

 

    

 

 

  

See notes to financial statements.

 

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STATEMENT OF CHANGES IN NET ASSETS (continued)

 

     Diversified Municipal Portfolio  
     Six Months  Ended
3/31/18
(unaudited)		     Year Ended
9/30/17		  
Increase (Decrease) in Net Assets from Operations:     

Net investment income

    $ 75,291,498     $ 136,544,593  

Net realized loss on investment transactions

      (1,124,525 )      (12,149,103 ) 

Net change in unrealized appreciation/depreciation of investments

      (155,499,259 )      (102,321,848 ) 

Contributions from affiliates (see Note 2A)

      – 0  –      1,199  
  

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

      (81,332,286 )      22,074,841  
Dividends to shareholders:     

Dividends from net investment income

     

Municipal Class

      (59,391,905 )      (106,556,662 ) 

Class A

      (2,975,285 )      (6,628,548 ) 

Class B

      (155 )      (581 ) 

Class C

      (393,612 )      (900,980 ) 

Advisor Class

      (12,774,072 )      (22,331,430 ) 
  

 

 

    

 

 

  

Total dividends to shareholders

      (75,535,029 )      (136,418,201 ) 
  

 

 

    

 

 

  
Capital-share transactions:     

Net proceeds from sales of shares

      1,003,396,105       1,504,757,972  

Net proceeds from sales of shares issued to shareholders on reinvestment of dividends and distributions

      61,641,865       111,236,436  
  

 

 

    

 

 

  

Total proceeds from shares sold

      1,065,037,970       1,615,994,408  

Cost of shares redeemed

      (695,685,804 )      (1,508,626,543 ) 
  

 

 

    

 

 

  

Net increase in net assets from capital-share transactions

      369,352,166       107,367,865  
  

 

 

    

 

 

  

Net increase (decrease) in net assets

      212,484,851       (6,975,495 ) 
Net Assets:     

Beginning of period

      6,956,886,288       6,963,861,783  
  

 

 

    

 

 

  

End of period(a)

    $     7,169,371,139     $     6,956,886,288  
  

 

 

    

 

 

  

(a) Includes distributions in excess of net investment income of:

    $ (933,966 )    $ (690,435 ) 
  

 

 

    

 

 

  

See notes to financial statements.

 

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STATEMENT OF CHANGES IN NET ASSETS (continued)

 

     New York Municipal Portfolio  
     Six Months Ended
3/31/18
(unaudited)		     Year Ended
9/30/17		  
Increase (Decrease) in Net Assets from Operations:     

Net investment income

    $ 20,048,449     $ 36,944,369  

Net realized loss on investment transactions

      (1,361,267 )      (4,421,371 ) 

Net change in unrealized appreciation/depreciation of investments

      (38,870,559 )      (28,267,490 ) 
  

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

      (20,183,377 )      4,255,508  
Dividends to shareholders:     

Dividends from net investment income

     

Municipal Class

      (18,087,431 )      (32,912,729 ) 

Class A

      (1,389,736 )      (2,976,844 ) 

Class B

      (15 )      (24 ) 

Class C

      (262,324 )      (573,310 ) 

Advisor Class

      (348,184 )      (344,630 ) 
  

 

 

    

 

 

  

Total dividends to shareholders

      (20,087,690 )      (36,807,537 ) 
  

 

 

    

 

 

  
Capital-share transactions:     

Net proceeds from sales of shares

      203,586,880       339,506,060  

Net proceeds from sales of shares issued to shareholders on reinvestment of dividends and distributions

      15,771,262       28,990,168  
  

 

 

    

 

 

  

Total proceeds from shares sold

      219,358,142       368,496,228  

Cost of shares redeemed

      (151,695,370 )      (332,118,956 ) 
  

 

 

    

 

 

  

Net increase in net assets from capital-share transactions

      67,662,772       36,377,272  
  

 

 

    

 

 

  

Net increase in net assets

      27,391,705       3,825,243  
Net Assets:     

Beginning of period

      1,805,953,068       1,802,127,825  
  

 

 

    

 

 

  

End of period(a)

    $     1,833,344,773     $     1,805,953,068  
  

 

 

    

 

 

  

(a) Includes distributions in excess of net investment income of:

    $ (108,120 )    $ (68,879 ) 
  

 

 

    

 

 

  

See notes to financial statements.

 

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NOTES TO FINANCIAL STATEMENTS

March 31, 2018 (unaudited)

 

NOTE 1.

Organization and Significant Accounting Policies

The AB Intermediate Municipal Class A, B, C and Advisor Class shares are (collectively, the “Intermediate Municipal Retail Classes”) shares of three Portfolios of the Sanford C. Bernstein Fund, Inc. (the “Fund”): California Municipal Portfolio, Diversified Municipal Portfolio and New York Municipal Portfolio (collectively, “Intermediate Municipal Portfolios” or “Portfolios”). The Fund is a managed open-end registered investment company, incorporated in Maryland on May 4, 1988. The Fund is currently comprised of 15 series each with its own investment objective. Effective July 25, 2016, California Municipal Portfolio and New York Municipal Portfolio commenced offering of Advisor Class Shares. Effective June 26, 2015, Diversified Municipal Portfolio commenced offering of Advisor Class Shares. Class T shares have been authorized but currently are not offered. Class A shares of the Portfolios are sold with a front-end sales charge of up to 3% for purchases up to $500,000. With respect to purchases of $500,000 or more, Class A shares redeemed within one year of purchase may be subject to a contingent deferred sales charge of 1%. Class B shares are currently sold with a contingent deferred sales charge that declines from 3% to zero depending on the period of time the shares are held. Effective January 31, 2009, sales of Class B shares of the Fund to new investors were suspended. Effective October 4, 2016 sales of Class B shares of California Municipal Portfolio to new and existing investors were suspended. Class B shares will only be issued (i) upon the exchange of Class B shares from another AB Mutual Fund, (ii) for purposes of dividend reinvestment, (iii) through the Fund’s Automatic Investment Program (the “Program”) for accounts that established the Program prior to January 31, 2009, and (iv) for purchases of additional shares by Class B shareholders as of January 31, 2009. The ability to establish a new Program for accounts containing Class B shares was suspended as of January 31, 2009. Class B shares will automatically convert to Class A shares six years after the end of the calendar month of purchase. Class C shares are subject to a contingent deferred sales charge of 1% on redemptions made within the first year after purchase, and 0% after the first year of purchase. Effective April 10, 2017, Class C shares will automatically convert to Class A shares ten years after the end of the calendar month of purchase. These financial statements include only the Intermediate Municipal Portfolios. The financial highlights of the Municipal Class shares are presented in a separate financial report. All classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan, as applicable. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and

 

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amounts of income and expenses during the reporting period. Actual results could differ from those estimates. Each Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Portfolios.

A. Portfolio Valuation

Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Fund’s Board of Directors (the “Board”).

In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the “Adviser”) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Such factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market

 

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yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.

Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Portfolios may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Portfolios value their securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of securities trading in such markets. To account for this, the Portfolios generally value many of their foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.

B. Fair Value Measurements

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolios would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolios. Unobservable inputs reflect the Portfolios’ 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 Portfolios’ own assumptions in determining the fair value of investments)

 

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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 are then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.

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

The following tables summarize the valuation of the Portfolios’ investments by the above fair value hierarchy levels as of March 31, 2018:

 

California Municipal Portfolio              
Investment in
Securities:		   Level 1     Level 2     Level 3     Total  

Assets:

        

Long-Term Municipal Bonds

   $ – 0  –    $ 1,266,641,589     $ 30,440,384 (a)    $ 1,297,081,973  

Short-Term Municipal Notes

     – 0  –      20,493,398       – 0  –      20,493,398  

Short-Term Investments

     – 0  –      902,750       – 0  –      902,750  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

     – 0  –      1,288,037,737       30,440,384       1,318,478,121  

Other Financial Instruments(b):

        

Assets

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

Liabilities:

        

Credit Default Swaps

     – 0  –      (366,641 )      – 0  –      (366,641 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Total(c)

   $     – 0  –    $     1,287,671,096     $     30,440,384     $     1,318,111,480  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

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Diversified Municipal Portfolio              
Investment in
Securities:		   Level 1     Level 2     Level 3     Total  

Assets:

        

Long-Term Municipal Bonds

   $ – 0  –    $ 6,650,305,197     $ 103,269,095     $ 6,753,574,292  

Short-Term Municipal Notes

     – 0  –      399,678,883       – 0  –      399,678,883  

Governments – Treasuries

     – 0  –      3,896,250       – 0  –      3,896,250  

Short-Term Investments

     – 0  –      734,763       – 0  –      734,763  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

     – 0  –      7,054,615,093       103,269,095       7,157,884,188  

Other Financial Instruments(b):

        

Assets

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

Liabilities:

        

Credit Default Swaps

     – 0  –      (1,652,482 )      – 0  –      (1,652,482 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Total(c)

   $   – 0  –    $   7,052,962,611     $   103,269,095     $   7,156,231,706  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

New York Municipal Portfolio

              
Investment in
Securities:		   Level 1     Level 2     Level 3     Total  

Assets:

        

Long-Term Municipal Bonds

   $ – 0  –    $ 1,779,605,546     $ 33,233,120     $ 1,812,838,666  

Short-Term Municipal Notes

     – 0  –      26,079,151       3,502,345       29,581,496  

Short-Term Investments

     – 0  –      1,936,404       – 0  –      1,936,404  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

     – 0  –      1,807,621,101       36,735,465       1,844,356,566  

Other Financial Instruments(b):

        

Assets

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

Liabilities:

        

Credit Default Swaps

     – 0  –      (521,779 )      – 0  –      (521,779 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Total(c)

   $   – 0  –    $   1,807,099,322     $   36,735,465     $   1,843,834,787  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) The Portfolio held securities with zero market value at period end.

 

(b) 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.

 

(c) There were no transfers between any levels during the reporting period.

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

 

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

 

California Municipal

Portfolio

    Long-Term
Municipal
Bonds(a) 		    Total        

Balance as of 9/30/17

    $ 23,859,247     $ 23,859,247    

Accrued discounts/(premiums)

      (116,219 )      (116,219 )   

Realized gain (loss)

      – 0  –      – 0  –   

Change in unrealized appreciation/depreciation

      (138,763 )      (138,763 )   

Purchases

      6,836,119       6,836,119    

Sales

      – 0  –      – 0  –   

Transfers in to Level 3

      – 0  –      – 0  –   

Transfers out of Level 3

      – 0  –      – 0  –   
  

 

 

    

 

 

    

Balance as of 3/31/18

    $ 30,440,384     $ 30,440,384    
  

 

 

    

 

 

    

Net change in unrealized appreciation/depreciation from investments held as of 3/31/18(b)

    $ (138,763 )    $ (138,763 )   
  

 

 

    

 

 

    

Diversified Municipal

Portfolio

    Long-Term
Municipal
Bonds		     Total        

Balance as of 9/30/17

    $ 71,131,365     $ 71,131,365    

Accrued discounts/(premiums)

      (394,225 )      (394,225 )   

Realized gain (loss)

      (16,218 )      (16,218 )   

Change in unrealized appreciation/depreciation

      (750,810 )      (750,810 )   

Purchases

      36,779,468       36,779,468    

Sales

      (3,480,485 )      (3,480,485 )   

Transfers in to Level 3

      – 0  –      – 0  –   

Transfers out of Level 3

      – 0  –      – 0  –   
  

 

 

    

 

 

    

Balance as of 3/31/18

    $     103,269,095     $     103,269,095    
  

 

 

    

 

 

    

Net change in unrealized appreciation/depreciation from investments held as of 3/31/18(b)

    $ (739,003 )    $ (739,003 )   
  

 

 

    

 

 

    

 

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New York Municipal

Portfolio

    Long-Term
Municipal
Bonds		     Short-Term
Municipal
Notes		     Total  

Balance as of 9/30/17

    $ 27,083,617     $ 4,820,287     $ 31,903,904  

Accrued discounts/(premiums)

      (163,503 )      (14,651 )      (178,154 ) 

Realized gain (loss)

      (1,525,609 )      – 0  –      (1,525,609 ) 

Change in unrealized appreciation/depreciation

      988,566       (3,291 )      985,275  

Purchases

      20,196,743       – 0  –      20,196,743  

Sales

          (13,346,694 )          (1,300,000 )          (14,646,694 ) 

Transfers in to Level 3

      – 0  –      – 0  –      – 0  – 

Transfers out of Level 3

      – 0  –      – 0  –      – 0  – 
  

 

 

    

 

 

    

 

 

  

Balance as of 3/31/18

    $ 33,233,120     $ 3,502,345     $ 36,735,465  
  

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation/depreciation from investments held as of 3/31/18(b)

    $ (60,961 )    $ 133     $ (60,828 ) 
  

 

 

    

 

 

    

 

 

  

 

(a) The Portfolio held securities with zero market value at period end.

 

(b) The unrealized appreciation/depreciation is included in net change in unrealized appreciation/depreciation on investments and other financial instruments in the accompanying statement of operations.

The following presents information about significant unobservable inputs related to the Portfolio’s Level 3 investments at March 31, 2018. Securities priced by third party vendors are excluded from the following table:

Quantitative Information about Level 3 Fair Value Measurements

 

California Municipal Portfolio

 

        
      Fair Value at
3/31/18		     Valuation
Technique		      Unobservable
Input		      Input  

Long-Term Municipal Bonds

    $     – 0  –     
 Qualitative
Assessment		  
 		         $    – 0  – 

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

 

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

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

C. Taxes

Each Portfolio is treated as a separate entity for federal income tax purposes. Each Portfolio intends to continue to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986 as they apply to regulated investment companies. By so complying, each Portfolio will not be subject to federal and state income taxes to the extent that all of its income is distributed. The Portfolios may be subject to taxes imposed by countries in which they invest. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned based on management’s understanding of applicable local tax law.

In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Portfolios’ tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Portfolios’ financial statements. As of March 31, 2018, the Portfolios did not have any unrecognized tax benefits.

D. Security Transactions and Related Investment Income

Security transactions are accounted for on the trade date (the date the buy or sell order is executed). Securities gains and losses are calculated on the identified cost basis. Interest income is recorded on the accrual basis and

 

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dividend income is recorded on the ex-dividend date or as soon as the Portfolios are informed of the dividend. The Portfolios amortize premiums and accrete discounts as adjustments to interest income.

E. Securities Transactions on a When-Issued or Delayed-Delivery Basis

Each Portfolio may purchase securities on a when-issued basis or purchase or sell securities on a delayed-delivery basis. At the time a Portfolio commits to purchase a security on a when-issued or delayed-delivery basis, the Portfolio will record the transaction and use the security’s value in determining the Portfolio’s net asset value. At the time a Portfolio commits to sell a security on a delayed-delivery basis, the Portfolio will record the transaction and exclude the security’s value in determining the Portfolio’s net asset value.

F. Class Allocations

All income earned and expenses incurred by the Portfolios are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in each Portfolios represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Fund are charged proportionately to each Portfolio or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.

G. Distribution of Income and Gains

Net investment income of each Portfolio is declared and recorded as a dividend to shareholders daily and is payable to shareholders monthly. Distributions of net realized gains, less any available loss carryforwards, if any, for all the Portfolios will be paid to shareholders at least once a year, and recorded on the ex-dividend date.

Elements of realized gains and net investment income may be recorded in different accounting periods for financial reporting (book) and federal income tax (tax) purposes (temporary differences). To the extent that such distributions required for tax purposes exceed income and gains recorded for book purposes as a result of such temporary differences, “excess distributions” are reflected in the accompanying statement of assets and liabilities. To the extent distributions exceed income and gains for tax purposes, such distributions would be shown as “return of capital” on the statement of changes in net assets. Certain other differences—permanent differences—arise because treatment of elements of income and gains is different between book and tax accounting. Permanent differences are reclassified in the year they arise.

 

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NOTE 2.

Investment Management and Transactions with Affiliated Persons

A. Management Fee

Under the Investment Management Agreement between the Fund and the Adviser, the Adviser manages the investment of each Portfolio’s assets, places purchase and sale orders, and bears various expenses, including the salaries and expenses of all personnel except those of outside directors. In addition, the Adviser agrees to permit its directors, officers and employees who may be elected directors or officers of the Fund to serve in the capacities to which they are elected. The Adviser renders these services subject to the general oversight of the Board.

Effective January 27, 2017, the California Municipal and New York Municipal Portfolios pay the Adviser an investment management fee at an annual rate of .425% of the first $1 billion, .375% of the next $2 billion, .325% of the next $2 billion and .275% in excess of $5 billion of the average daily net assets of the Portfolios. The Diversified Municipal Portfolio pays the Adviser an investment management fee at an annual rate of .425% of the first $1 billion, .375% of the next $2 billion, .325% of the next $2 billion, .275% of the next $2 billion and .225% in excess of $7 billion of the average daily net assets of the Portfolio. Prior to January 27, 2017, the California Municipal and New York Municipal Portfolios paid the Adviser an investment management fee at an annual rate of .50% of the first $1 billion, .45% of the next $2 billion, .40% of the next $2 billion and .35% in excess of $5 billion of the average daily net assets of the Portfolios. The Diversified Municipal Portfolio paid the Adviser an investment management fee at an annual rate of .50% of the first $1 billion, .45% of the next $2 billion, .40% of the next $2 billion, .35% of the next $2 billion and .30% in excess of $7 billion of the average daily net assets of the Portfolio. The fee is accrued daily and paid monthly.

During the year ended September 30, 2017, the Adviser reimbursed the Diversified Municipal Portfolio $1,199 for trading losses incurred due to trade entry errors.

B. Transfer Agency Agreement; Shareholder Servicing Fee

Under a Transfer Agency Agreement between the Fund, on behalf of the Intermediate Municipal Retail Classes, and AllianceBernstein Investor Services, Inc. (“ABIS”), the Intermediate Municipal Retail Classes compensate ABIS, a wholly-owned subsidiary of the Adviser, for providing personnel and facilities to perform transfer agency services. ABIS may make payments to intermediaries that provide omnibus account services, sub-accounting services and/or networking services. For the six months ended March 31, 2018, the compensation retained by ABIS amounted to: California Municipal Portfolio, $9,029; Diversified Municipal Portfolio, $178,703; and New York Municipal Portfolio, $12,345.

 

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Under the Shareholder Servicing Agreement between the Fund and the Adviser, the Adviser pays expenses it incurs in providing shareholder services to individual shareholders of the Portfolios (except the Retail Classes). Such services include, but are not limited to, providing information to shareholders concerning their fund investments, systematic withdrawal plans, fund dividend payments and reinvestments, shareholder account or transactions status, net asset value of shares, fund performance, fund services, plans and options, fund investment policies, portfolio holdings and tax consequences of fund investments; dealing with shareholder complaints and other correspondence relating to fund matters; and communications with shareholders when proxies are being solicited from them with respect to voting their fund shares. This agreement applies only to the Municipal Class shares of the Portfolios. Under the agreement, the fee paid by each of the Municipal Class shares to the Adviser for services under this agreement is at an annual rate of 0.10% of the average daily net assets of each Portfolio attributable to the respective class during the month.

C. Distribution Arrangements—Municipal Class Shares

Under the Distribution Agreement between the Fund, on behalf of the Municipal Class shares of each Portfolio and Sanford C. Bernstein & Co., LLC (the “Distributor”), the Distributor agrees to act as agent to sell Municipal Class shares of the Portfolios. This agreement does not apply to the Intermediate Municipal Retail Classes of the Portfolios. The Distributor receives no fee for this service, and furthermore agrees to pay all expenses arising from the performance of its obligations under this agreement. The Distributor is a wholly owned subsidiary of the Adviser.

D. Distribution Arrangements—Intermediate Municipal Retail Classes

The Intermediate Municipal Retail Class shares of the Portfolios have adopted a Distribution Services Agreement (the “Agreement”), including a distribution plan pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement, each of the Retail Classes pays distribution services fees to AllianceBernstein Investments, Inc., (the “Retail Distributor”), a wholly owned subsidiary of the Adviser, at an annual rate of up to 0.30% of each Portfolio’s average daily net assets attributable to the Intermediate Municipal Class A shares and 1% of each Intermediate Municipal Portfolio’s average daily net assets attributable to both Class B and Class C shares. Effective January 30, 2015, payments under the Agreement in respect of Class A shares are limited to an annual rate of 0.25% of Class A shares’ average daily net assets. The fees are accrued daily and paid monthly. There are no distribution and servicing fees on the Advisor Class shares. The Agreement provides that the Retail Distributor will use such payments in their entirety for distribution assistance and promotional activities. Since commencement of the Portfolios’ operations,

 

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the Retail Distributor has incurred expenses in excess of the distribution costs reimbursed by each Portfolio as follows:

 

Portfolio    Class B      Class C  

California Municipal

    $     507,022      $     1,312,530  

Diversified Municipal

      455,452        3,174,275  

New York Municipal

      743,241        2,364,684  

There are no distribution and servicing fees on the Advisor Class Shares.

While such costs may be recovered from each Portfolio in future periods so long as the Agreement is in effect, the rate of the distribution and servicing fees payable under the Agreement may not be increased without a shareholder vote. In accordance with the Agreement, there is no provision for recovery of unreimbursed distribution costs incurred by the Retail Distributor beyond the current fiscal year for Class A shares. The Agreement also provides that the Adviser may use its own resources to finance the distribution of each Portfolio’s shares.

E. Other Transactions with Affiliates

The Retail Distributor has advised the Fund that it has retained front-end sales charges from sales of Class A shares and received contingent deferred sales charges imposed upon redemptions by shareholders of Class A, Class B and Class C shares for the six months ended March 31, 2018, as follows:

 

     Front-End Sales
Charges		     Contingent Deferred Sales
Charges		  
Portfolio    Class A     Class A     Class B     Class C  

California Municipal

    $ 15     $ 67     $ – 0  –    $ 316  

Diversified Municipal

      – 0  –          1,186           – 0  –          550  

New York Municipal

          49       – 0  –      – 0  –      – 0  – 

NOTE 3.

Investment Security Transactions

A. Purchases and Sales

For the six months ended March 31, 2018, the Portfolios had purchases and sales transactions, excluding transactions in short-term instruments, as follows:

 

Portfolio  

Purchases
Excluding

U.S. Government

Securities

    

Purchases of

U.S.
Government

Securities

    

Sales Excluding

U.S.
Government

Securities

    

Sales of

U.S.
Government

Securities

  

California Municipal

   $ 271,930,367     $ – 0  –    $ 100,929,683     $ 60,835,921  

Diversified Municipal

         1,216,384,749           5,004,492           530,618,892           341,967,042  

New York Municipal

     318,099,593       – 0  –      134,237,509       87,685,523  

 

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The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation are as follows:

 

     Gross Unrealized     Net
Unrealized
Appreciation		  

Portfolio

    Appreciation      (Depreciation)    

California Municipal

    $ 23,009,156      $ (6,841,976 )    $ 16,167,180  

Diversified Municipal

          114,826,095            (63,426,499 )          51,399,596  

New York Municipal

      30,958,214        (10,260,722 )      20,697,492  

B. Derivative Financial Instruments

Each Portfolio may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.

The principal types of derivatives utilized by the Portfolios, as well as the methods in which they may be used are:

 

  •  

Swaps

Each Portfolio may enter into swaps to hedge its exposure to interest rates, credit risk, or currencies and for other purposes discussed below. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Portfolios in accordance with the terms of the respective swaps to provide value and recourse to the Portfolios or their counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.

Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Portfolio, and/or the termination value at the end of the contract. Therefore, the Portfolio considers the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Portfolio and the counterparty and by the posting of collateral by the counterparty to the Portfolio to cover the Portfolios’ exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Portfolio accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the

 

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statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received are recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the statement of operations.

Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (“FCMs”) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.

At the time the Portfolio enters into a centrally cleared swap, the Portfolio deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Portfolio as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.

Credit Default Swaps:

The Portfolios may enter into credit default swaps for multiple reasons, including to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults by corporate and sovereign issuers held by the Portfolios, or to create

 

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exposure to corporate or sovereign issuers to which they are not otherwise exposed. The Portfolios may purchase credit protection (“Buy Contract”) or provide credit protection (“Sale Contract”) on the referenced obligation of the credit default swap. During the term of the swap, the Portfolios receive/(pay) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Portfolio is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Portfolios will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap (the “Maximum Payout Amount”) and deliver/(take delivery of) the referenced obligation or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront premium received upon entering into the agreement, or net amounts received from settlement of buy protection credit default swaps entered into by the Portfolios for the same referenced obligations with the same counterparty. As of March 31, 2018, the Portfolios did not have Buy Contracts outstanding with respect to the same referenced obligation and same counterparty for its Sale Contracts outstanding.

Credit default swaps may involve greater risks than if a Portfolio had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If a Portfolio is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If a Portfolio is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Portfolio coupled with the periodic payments previously received, may be less than the Maximum Payout Amount it pays to the buyer, resulting in a net loss to the Portfolio. Implied credit spreads over U.S. Treasuries of comparable maturity utilized in determining the market value of credit default swaps on issuers as of period end are disclosed in the schedule of investments. The implied spreads serve as an indicator of the current status of the payment/performance risk and typically reflect the market’s assessment of the likelihood of default by the issuer of the referenced obligation. The implied credit spread of a particular reference obligation also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Widening credit spreads typically represent a deterioration of the referenced obligation’s credit soundness and greater likelihood of default or other credit event occurring as defined

 

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under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced obligation.

During the six months ended March 31, 2018, the Portfolios held credit default swaps for hedging and non-hedging purposes.

The Portfolios typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Portfolios typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Portfolios’ net liability, held by the defaulting party, may be delayed or denied.

The Portfolios’ ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Portfolios decline below specific levels (“net asset contingent features”). If these levels are triggered, the Portfolios’ OTC counterparty has the right to terminate such transaction and require the Portfolios to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty tables below for additional details.

During the six months ended March 31, 2018, the Portfolios had entered into the following derivatives:

 

California Municipal Portfolio  
   

Asset Derivatives

    

Liability Derivatives

  
Derivative Type   Statement of
Assets and
Liabilities
Location		   Fair Value    

Statement of

Assets and

Liabilities

Location

   Fair Value  

Credit contracts

   Unrealized appreciation on credit default swap contracts   $ 94,292     Unrealized depreciation on credit default swap contracts   $ 6,597  
   

 

 

      

 

 

  

Total

     $     94,292       $     6,597  
   

 

 

      

 

 

  

 

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Derivative Type

   

Location of
Gain or (Loss)
on Derivatives
Within Statement of
Operations

   Realized Gain
or (Loss) on
Derivatives		      Change in
Unrealized
Appreciation or
(Depreciation)		  

Credit contracts

    Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps   $ 48,554      $ 87,695  
    

 

 

     

 

 

  

Total

      $     48,554      $     87,695  
    

 

 

     

 

 

  

 

Diversified Municipal Portfolio  
   

Asset Derivatives

    

Liability Derivatives

  
Derivative Type   Statement of
Assets and
Liabilities
Location		   Fair Value    

Statement of

Assets and

Liabilities

Location

   Fair Value  

Credit contracts

   Unrealized appreciation on credit default swap contracts   $ 410,609     Unrealized depreciation on credit default swap contracts   $ 36,657  
   

 

 

      

 

 

  

Total

     $     410,609       $     36,657  
   

 

 

      

 

 

  

 

Derivative Type

   

Location of
Gain or (Loss)

on Derivatives
Within Statement of
Operations

   Realized Gain
or (Loss) on
Derivatives		      Change in
Unrealized
Appreciation or
(Depreciation)		  

Credit contracts

    Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps   $ 247,456      $ 373,952  
    

 

 

     

 

 

  

Total

      $     247,456      $     373,952  
    

 

 

     

 

 

  

 

New York Municipal Portfolio              
    

Asset Derivatives

     

Liability Derivatives

  
Derivative Type    Statement of
Assets and
Liabilities
Location		    Fair Value      Statement of
Assets and
Liabilities
Location		    Fair Value  

Credit contracts

    Unrealized appreciation on credit default swap contracts    $ 134,205      Unrealized depreciation on credit default swap contracts    $ 9,391  
     

 

 

        

 

 

  

Total

       $     134,205         $     9,391  
     

 

 

        

 

 

  

 

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Derivative Type

   

Location of
Gain or (Loss) on
Derivatives
Within Statement of
Operations

    Realized Gain
or (Loss) on
Derivatives		      Change in
Unrealized
Appreciation or
(Depreciation)		  

Credit contracts

    Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps    $     69,133      $ 124,814  
     

 

 

     

 

 

  

Total

       $     69,133      $     124,814  
     

 

 

     

 

 

  

 

California Municipal Portfolio

   

Credit Default Swaps:

   

Average notional amount of sale contracts

    $ 6,633,200 (a) 

 

(a) Positions were open for five months during the period.

 

Diversified Municipal Portfolio

   

Credit Default Swaps:

   

Average notional amount of sale contracts

    $ 33,350,400 (a) 

 

(a) Positions were open for five months during the period.

 

New York Municipal Portfolio

   

Credit Default Swaps:

   

Average notional amount of sale contracts

    $ 9,444,000 (a) 

 

(a) Positions were open for five months during the period.

For financial reporting purposes, the Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.

 

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All OTC derivatives held at period end were subject to netting arrangements. The following tables present the Portfolios’ derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements and net of the related collateral received/pledged by the Portfolios as of March 31, 2018. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the tables.

 

California Municipal Portfolio                    

Counterparty

   Derivative
Liabilities
Subject
to a MA		     Derivative
Available
for Offset		     Cash
Collateral
Pledged*		     Security
Collateral
Pledged*		     Net Amount of
Derivatives
Liabilities		  

Credit Suisse International

   $ 176,904     $ – 0  –    $ – 0  –    $ – 0  –    $ 176,904  

Deutsche Bank AG

     78,474       – 0  –      – 0  –      – 0  –      78,474  

Goldman Sachs International

     99,796       – 0  –      – 0  –      – 0  –      99,796  

Morgan Stanley Capital Services LLC

     11,467       – 0  –      – 0  –      – 0  –      11,467  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $     366,641     $     – 0  –    $     – 0  –    $     – 0  –    $     366,641 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

* The actual collateral received/pledged may be more than the amount reported due to over-collateralization.

 

^ Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty.

 

Diversified Municipal Portfolio                    

Counterparty

   Derivative
Liabilities
Subject
to a MA		     Derivative
Available
for Offset		     Cash
Collateral
Pledged*		     Security
Collateral
Pledged*		     Net Amount of
Derivatives
Liabilities		  

Credit Suisse International

   $ 597,284     $ – 0  –    $ – 0  –    $ (597,284 )    $ – 0  – 

Deutsche Bank AG

     436,398       – 0  –      – 0  –      (436,398 )      – 0  – 

Goldman Sachs International

     555,251       – 0  –      – 0  –      (555,251 )      – 0  – 

Morgan Stanley Capital Services LLC

     63,549       – 0  –      – 0  –      – 0  –      63,549  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $     1,652,482     $     – 0  –    $     – 0  –    $     (1,588,933 )    $     63,549 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

* The actual collateral received/pledged may be more than the amount reported due to over-collateralization.

 

^ Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty.

 

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New York Municipal Portfolio                    

Counterparty

   Derivative
Liabilities
Subject
to a MA		     Derivative
Available
for Offset		     Cash
Collateral
Pledged*		     Security
Collateral
Pledged*		     Net Amount of
Derivatives
Liabilities		  

Credit Suisse International

   $ 251,490     $ – 0  –    $ (251,490 )    $ – 0  –    $ – 0  – 

Deutsche Bank AG

     111,780       – 0  –      – 0  –      – 0  –      111,780  

Goldman Sachs International

     142,228       – 0  –      – 0  –      – 0  –      142,228  

Morgan Stanley Capital Services LLC

     16,281       – 0  –      – 0  –      – 0  –      16,281  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $     521,779     $     – 0  –    $     (251,490 )    $     – 0  –    $     270,289 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

* The actual collateral received/pledged may be more than the amount reported due to over-collateralization.

 

^ Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty.

NOTE 4.

Distributions to Shareholders

The tax character of distributions to be paid for the year ending September 30, 2018 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended September 30, 2017 and September 30, 2016 and were as follows:

 

California Municipal Portfolio    2017     2016  

Distributions paid from:

     

Ordinary income

    $ 1,112,617     $ 412,433  

Long-term capital gains

      – 0  –      – 0  – 
  

 

 

    

 

 

  

Total taxable distributions paid

      1,112,617       412,433  

Tax exempt distributions

      24,389,074       24,154,507  
  

 

 

    

 

 

  

Total distributions paid

    $ 25,501,691     $ 24,566,940  
  

 

 

    

 

 

  
    

Diversified Municipal Portfolio

     

Distributions paid from:

     

Ordinary income

    $ 6,527,462     $ 3,460,879  

Long-term capital gains

      – 0  –      – 0  – 
  

 

 

    

 

 

  

Total taxable distributions paid

      6,527,462       3,460,879  

Tax exempt distributions

      129,890,739       127,335,748  
  

 

 

    

 

 

  

Total distributions paid

    $     136,418,201     $     130,796,627  
  

 

 

    

 

 

  
    

New York Municipal Portfolio

     

Distributions paid from:

     

Ordinary income

    $ 1,619,735     $ 588,980  

Long-term capital gains

      – 0  –      – 0  – 
  

 

 

    

 

 

  

Total taxable distributions

      1,619,735       588,980  

Tax exempt distributions

      35,187,802       37,012,114  
  

 

 

    

 

 

  

Total distributions paid

    $ 36,807,537     $ 37,601,094  
  

 

 

    

 

 

  

 

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As of September 30, 2017, the components of accumulated earnings/(deficit) on a tax basis were as follows:

 

Portfolio  

Undistributed
Ordinary

Income(a)

    

Accumulated

Capital and
Other

Losses

    

Unrealized

Appreciation

    

Total

Accumulated

Earnings/

(Deficit)(b)

  

California Municipal

   $ 525,441     $ (19,384,772 )    $ 40,592,819     $ 21,733,488  

Diversified Municipal

       3,217,667         (46,710,133 )        206,898,855         163,406,389  

New York Municipal

     987,475       (19,100,452 )      59,568,051       41,455,074  

 

(a) Includes tax-exempt income as shown below:

 

California Municipal

    $ 525,441  

Diversified Municipal

          3,217,667  

New York Municipal

      987,475  

 

(b) The differences between book-basis and tax-basis components of accumulated earnings/(deficit) are attributable primarily to the tax treatment of interest on defaulted securities and dividends payable to shareholders.

For tax purposes, net capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an indefinite period. These post-December 22, 2010 capital losses must be utilized prior to the earlier capital losses, which are subject to expiration. Post-December 22, 2010 capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered short-term as under previous regulation.

As of September 30, 2017, the following Portfolios had net capital loss carryforwards which will expire as follows:

 

Portfolio   

Short-Term

Amount

     

Long-Term

Amount

      Expiration  

California Municipal

    $     2,406,179        n/a        2019  

California Municipal

      802,943      $     16,175,650        No expiration  

Diversified Municipal

      5,545,006        41,165,127        No expiration  

New York Municipal

      2,260,090        16,840,362        No expiration  

NOTE 5.

Risks Involved in Investing in the Portfolios

Interest Rate Risk—This is the risk that changes in interest rates will affect the value of the Portfolios’ investments in fixed-income debt securities such as bonds and notes. The Portfolios may be subject to a greater risk of rising interest rates due to the current period of historically low rates and the effect of potential government policy initiatives and market reaction to those initiatives. Increases in interest rates may cause the value of the Portfolios’ investments to decline and this decrease in value may not be offset by higher income from new investments. The Portfolios will experience increased interest rate risk to the extent it invests in fixed-income

 

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securities with longer maturities or durations. A general rise in interest rates may cause investors to move out of fixed-income securities on a large scale, which could adversely affect the price and liquidity of fixed-income securities and could also result in increased redemptions from a Portfolio that invests largely in fixed-income securities.

Credit Risk—This is the risk that the issuer or the guarantor of a debt security, or the counterparty to a derivatives or other contract, will be unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. The issuer or guarantor may default, potentially causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. The credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security. Investments in fixed-income securities with lower ratings tend to have a higher probability that an issuer will default or fail to meet its payment obligations. At times when credit risk is perceived to be greater, credit “spreads” (i.e., the difference between the yields on lower quality securities and the yields on higher quality securities) may get larger or “widen”. As a result, the values of the lower quality securities may go down more and they may become harder to sell and less liquid.

Duration Risk—The duration of a fixed-income security may be shorter than or equal to full maturity of the fixed-income security. Fixed-income securities with longer durations have more interest-rate risk and will decrease in price as interest rates rise. For example, a fixed-income security with a duration of three years would be expected to decrease in value by approximately 3% if interest rates increase by 1%. Securities that have final maturities longer than their durations may be affected by increased credit spreads to a far greater degree than their durations would suggest, because they are exposed to credit risk until final maturity.

Municipal Market Risk—This is the risk that special factors may adversely affect the value of municipal securities and have a significant effect on the yield or value of the Portfolios’ investments in municipal securities. These factors include economic conditions, political or legislative changes, uncertainties related to the tax status of municipal securities, or the rights of investors in these securities. The value of municipal securities may also be adversely affected by rising health care costs, increasing unfunded pension liabilities, and by the phasing out of federal programs providing financial support. In recent periods an increasing number of municipal issuers have defaulted on obligations, been downgraded or commenced insolvency proceedings. The New York Municipal Portfolio and California Municipal Portfolios invest primarily in securities issued by the State of New York and California, respectively, and their various political subdivisions, and the performance of each of these Portfolios is closely

 

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tied to economic conditions within the applicable state and the financial condition of that state and its agencies and municipalities. The Portfolios’ investments in certain municipal securities with principal and interest payments that are made from the revenues of a specific project or facility, and not general tax revenues, are subject to the risk that factors affecting the project or facility, such as local business or economic conditions, could have a significant effect on the project’s ability to make payments of principal and interest on these securities.

In addition, recent tax law changes could have a material impact on the value of municipal securities. Changes in tax rates or the treatment of income from certain types of municipal securities, among other things, could negatively affect the municipal securities markets.

The Portfolios may invest in the municipal securities of Puerto Rico or other U.S. territories and their governmental agencies and municipalities, which are exempt from federal, state, and, where applicable, local income taxes. These municipal securities may have more risks than those of other U.S. issuers of municipal securities. Like many U.S. states and municipalities, Puerto Rico experienced a significant downturn during the recent recession. Puerto Rico’s downturn was particularly severe, and Puerto Rico continues to face a very challenging economic and fiscal environment. If the general economic situation in Puerto Rico continues to persist or worsens, the volatility and credit quality of Puerto Rican municipal securities could continue to be adversely affected, and the market for such securities may deteriorate further.

Inflation Risk—This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Portfolios’ assets can decline as can the value of the Portfolios’ distributions. This risk is significantly greater for fixed-income securities with longer maturities.

Non-diversification Risk—Concentration of investments in a small number of securities tends to increase risk. The California Municipal and New York Municipal Portfolios are not “diversified”. This means that the Portfolios can invest more of its assets in a relatively small number of issuers with greater concentration of risk. Matters affecting these issuers can have a more significant effect on the Portfolios’ net asset value.

Liquidity Risk—Liquidity risk exists when particular investments are difficult to purchase or sell, possibly preventing the Portfolios from selling out of these illiquid or relatively less liquid securities at an advantageous price. Over recent years, regulatory changes have led to reduced liquidity in the marketplace, and the capacity of dealers to make markets in fixed-income

 

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securities has been outpaced by the growth in the size of the fixed-income markets. Liquidity risk may be magnified in a rising interest rate environment, where the value and liquidity of fixed-income securities generally go down. Derivatives and securities involving substantial market and credit risk tend to involve greater liquidity risk. The Portfolios are subject to more liquidity risk because the market for municipal securities is generally smaller than many other markets. Illiquid securities and relatively less liquid securities may also be difficult to value.

Redemption Risk—The Portfolios may experience heavy redemptions that could cause the Portfolios to liquidate its assets at inopportune times or at a loss or depressed value, which could cause the value of your investment to decline. Redemption risk is heightened during periods of overall market turmoil.

Derivatives Risk—The Portfolios may use derivatives as direct investments to earn income, enhance return and broaden portfolio diversification, which entail greater risk than if used solely for hedging purposes. In addition to other risks such as the credit risk of the counterparty, derivatives involve the risk that changes in the value of the derivative may not correlate with relevant assets, rates or indices. Derivatives may be illiquid and difficult to price or unwind, and small changes may produce disproportionate losses for the Portfolios. Certain derivatives have the potential for unlimited loss, regardless of the size of the initial investment. Assets required to be set aside or posted to cover or secure derivatives positions may themselves go down in value, and these collateral and other requirements may limit investment flexibility. Some derivatives involve leverage, which can make the Portfolios more volatile and can compound other risks. Use of derivatives may have different tax consequences for the Portfolios than an investment in the underlying security, and such differences may affect the amount, timing and character of income distributed to shareholders, including the proportion of income consisting of exempt-interest dividends. The U.S. Government and foreign governments are in the process of adopting and implementing regulations governing derivatives markets, including mandatory clearing of certain derivatives, margin, reporting and registration requirements. The ultimate impact of the regulations remains unclear. Additional regulation may make derivatives more costly, limit their availability or utility, otherwise adversely affect their performance, or disrupt markets.

Management Risk—The Portfolios are subject to management risk because they are actively managed investment portfolios. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolios, but these techniques, analyses and decisions may not work as intended or may not produce the desired results. In some

 

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cases, derivatives and other investment techniques may be unavailable or the Adviser may determine not to use them, possibly even under market conditions where their use could benefit the Portfolios. In addition, the Adviser may change the Portfolios’ investment strategies or policies from time to time. Those changes may not lead to the results intended by the Adviser and could have an adverse effect on the value or performance of the Portfolios.

Market Risk—The Portfolios are subject to market risk, which is the risk that bond prices in general may decline over short or extended periods. In the past decade, financial markets in the United States and elsewhere have experienced increased volatility, decreased liquidity and heightened uncertainty. These market conditions may continue, worsen, or spread. The U.S. Government and the Federal Reserve, as well as certain foreign governments and central banks, have taken steps to support financial markets, including by keeping interest rates low. The Federal Reserve has reduced its market support activities and has begun raising interest rates. Further Federal Reserve or other U.S. or non-U.S. governmental or central bank actions, including interest rate increases or decreases, could negatively affect financial markets generally, increase market volatility and reduce the value and liquidity of securities in which the Portfolio invests. In addition, policy and legislative changes in the United States and in other countries are affecting many aspects of financial regulation, and may in some instances contribute to decreased liquidity and increased volatility in the financial markets. The impact of these changes, and the practical implications for market participants, may not be fully known for some time.

Tax Risk—There is no guarantee that the income on a Portfolio’s municipal securities will be exempt from regular federal income, and if applicable, state income taxes. Unfavorable legislation, adverse interpretations by federal or state authorities, litigation or noncompliant conduct by the issuer of a municipal security could affect the tax-exempt status of municipal securities. If the Internal Revenue Service or a state authority determines that an issuer of a municipal security has not complied with applicable requirements, interest from the security could become subject to regular federal income tax and/or state personal income tax, possibly retroactively to the date the security was issued, the value of the security could decline significantly, and a portion of the distributions to Portfolio shareholders could be recharacterized as taxable. The U.S. Congress has considered changes to U.S. federal tax law that would, if enacted, have a negative impact on certain types of municipal securities, such as private activity bonds, or would otherwise make investments in municipal bonds less attractive.

 

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Lower-rated Securities Risk—Lower-rated securities, or junk bonds/high yield securities, are subject to greater risk of loss of principal and interest and greater market risk than higher-rated securities. The capacity of issuers of lower-rated securities to pay interest and repay principal is more likely to weaken than is that of issuers of higher-rated securities in times of deteriorating economic conditions or rising interest rates.

Prepayment and Extension Risk—Prepayment risk is the risk that a loan, bond or other security might be called or otherwise converted, prepaid or redeemed before maturity. If this happens, particularly during a time of declining interest rates or credit spreads, the Portfolios will not benefit from the rise in market price that normally accompanies a decline in interest rates, and may not be able to invest the proceeds in securities providing as much income, resulting in a lower yield to the Portfolios. Conversely, extension risk is the risk that as interest rates rise or spreads widen, payments of securities may occur more slowly than anticipated by the market. If this happens, the values of these securities may go down because their interest rates are lower than current market rates and they remain outstanding longer than anticipated.

Cybersecurity Risk—Cybersecurity incidents may allow an unauthorized party to gain access to Portfolio assets, customer data (including private shareholder information), or proprietary information, or cause the Portfolios, the Adviser, and/or its service providers (including, but not limited to, fund accountants, custodians, sub-custodians, transfer agents and financial intermediaries) to suffer data breaches, data corruption or lose operational functionality.

Indemnification Risk—In the ordinary course of business, the Portfolios enter into contracts that contain a variety of indemnifications. The Portfolios’ maximum exposure under these arrangements is unknown. However, the Portfolios have not had prior claims or losses pursuant to these indemnification provisions and expect the risk of loss thereunder to be remote. Therefore, the Portfolios have not accrued any liability in connection with these indemnification provisions.

 

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NOTE 6.

Capital-Share Transactions

The Fund has authorized 15.5 billion shares of common stock, par value $0.001 per share, of which of which 5.5 billion shares are allocated to the California Municipal Portfolio, Diversified Municipal Portfolio and New York Municipal Portfolio. The allocation is as follows:

 

    Allocation of Shares (in Millions)  
Portfolio   Bernstein
Class
Shares		     Retail
Class A
Shares		     Retail
Class B
Shares		     Retail
Class C
Shares		     Retail
Advisor
Class
Shares		     Retail
Class T
Shares		     Total  

California Municipal

     200       200       200       200       200       300       1,300  

Diversified Municipal

     800       400       400       400       400       300       2,700  

New York Municipal

     400       200       200       200       200       300       1,500  

Share transactions for each Portfolio for the six months ended March 31, 2018 and the year ended September 30, 2017, were as follows:

 

             
     California Municipal Portfolio        
     Shares           Amount        
     Six Months
Ended 3/31/18
(unaudited)		      Year Ended
9/30/17		           Six Months
Ended 3/31/18
(unaudited)		     Year Ended
9/30/17		        
  

 

 

    

Municipal Class Shares

              

Shares sold

      9,822,634        14,133,796       $ 139,204,520     $ 202,035,648    

 

    

Shares issued to shareholders on reinvestment of dividends

      723,535        1,314,669         10,251,108       18,770,778    

 

    

Shares redeemed

      (6,316,204 )       (11,849,010 )        (89,503,425 )      (169,177,542 )   

 

    

Net increase

      4,229,965        3,599,455       $ 59,952,203     $ 51,628,884    

 

    
             
Class A Shares              

Shares sold

      2,009,969        3,145,839       $ 28,507,707     $ 44,748,351    

 

    

Shares issued to shareholders on reinvestment of dividends

      38,425        66,438         544,244       948,442    

 

    

Shares converted from Class C

      41,527        317,574         594,267       4,532,026    

 

    

Shares redeemed

      (1,748,360 )       (4,032,757 )        (24,795,838 )      (57,250,056 )   

 

    

Net increase (decrease)

      341,561        (502,906 )      $ 4,850,380     $ (7,021,237 )   

 

    

 

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     California Municipal Portfolio        
     Shares           Amount        
     Six Months
Ended 3/31/18
(unaudited)		     Year Ended
9/30/17		           Six Months
Ended 3/31/18
(unaudited)		     Year Ended
9/30/17		        
  

 

 

    
Class C Shares             

Shares sold

      140,301       248,462       $ 1,991,332     $ 3,533,756    

 

    

Shares issued to shareholders on reinvestment of dividends

      4,684       10,655         66,416       152,029    

 

    

Shares converted to Class A

      (41,552 )      (317,574 )        (594,267 )      (4,532,026 )   

 

    

Shares redeemed

      (315,351 )      (279,061 )        (4,472,940 )      (3,973,403 )   

 

    

Net decrease

      (211,918 )      (337,518 )      $ (3,009,459 )    $ (4,819,644 )   

 

    
            
Advisor Class Shares             

Shares sold

      1,029,076       1,157,076       $ 14,574,004     $ 16,477,588    

 

    

Shares issued to shareholders on reinvestment of dividends

      6,233       6,212         88,114       88,674    

 

    

Shares redeemed

      (634,816 )      (486,279 )        (9,006,395 )      (6,970,731 )   

 

    

Net increase

      400,493       677,009       $ 5,655,723     $ 9,595,531    

 

    

 

             
     Diversified Municipal Portfolio        
     Shares           Amount        
     Six Months
Ended 3/31/18
(unaudited)		      Year Ended
9/30/17		           Six Months
Ended 3/31/18
(unaudited)		     Year Ended
9/30/17		        
  

 

 

    

Municipal Class Shares

              

Shares sold

      50,344,534        73,074,749       $ 719,503,297     $ 1,050,177,361    

 

    

Shares issued to shareholders on reinvestment of dividends and distributions

      3,352,948        5,954,553         47,831,213       85,589,664    

 

    

Shares redeemed

      (33,541,857 )       (66,104,006 )        (478,313,738 )      (949,455,532 )   

 

    

Net increase

      20,155,625        12,925,296       $ 289,020,772     $ 186,311,493    

 

    

 

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     Diversified Municipal Portfolio        
     Shares           Amount        
     Six Months
Ended 3/31/18
(unaudited)		     Year Ended
9/30/17		           Six Months
Ended 3/31/18
(unaudited)		     Year Ended
9/30/17		        
  

 

 

    
Class A Shares             

Shares sold

      2,254,532       7,682,832       $ 32,179,522     $ 110,171,391    

 

    

Shares issued to shareholders on reinvestment of dividends and distributions

      134,731       303,037         1,924,419       4,356,491    

 

    

Shares converted from Class B

      131       2,531         1,867       36,721    

 

    

Shares converted from Class C

      32,429       641,949         461,416       9,232,031    

 

    

Shares redeemed

      (5,659,021 )      (15,637,557 )        (80,912,915 )      (224,297,017 )   

 

    

Net decrease

      (3,237,198 )      (7,007,208 )      $ (46,345,691 )    $ (100,500,383 )   

 

    
            
Class B Shares             

Shares sold

      21       45       $ 300     $ 641    

 

    

Shares issued to shareholders on reinvestment of dividends and distributions

      11       22         153       321    

 

    

Shares converted to Class A

      (131 )      (2,531 )        (1,867 )      (36,721 )   

 

    

Shares redeemed

      – 0  –      (747 )        – 0  –      (10,893 )   

 

    

Net decrease

      (99 )      (3,211 )      $ (1,414 )    $ (46,652 )   

 

    
            
Class C Shares             

Shares sold

      142,163       453,469       $ 2,036,006     $ 6,489,789    

 

    

Shares issued to shareholders on reinvestment of dividends and distributions

      19,683       44,863         280,982       644,691    

 

    

Shares converted to Class A

      (32,437 )      (641,948 )        (461,416 )      (9,232,031 )   

 

    

Shares redeemed

      (709,472 )      (2,150,804 )        (10,137,853 )      (30,828,313 )   

 

    

Net decrease

      (580,063 )      (2,294,420 )      $ (8,282,281 )    $ (32,925,864 )   

 

    
            
Advisor Class Shares             

Shares sold

      17,527,002       22,895,764       $ 249,213,697     $ 328,650,038    

 

    

Shares issued to shareholders on reinvestment of dividends and distributions

      814,164       1,437,483         11,605,098       20,645,269    

 

    

Shares redeemed

      (8,837,305 )      (20,573,869 )        (125,858,015 )      (294,766,036 )   

 

    

Net increase

      9,503,861       3,759,378       $ 134,960,780     $ 54,529,271    

 

    

 

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     New York Municipal Portfolio        
     Shares           Amount        
    

Six Months

Ended 3/31/18
(unaudited)

     Year Ended
9/30/17		          

Six Months

Ended 3/31/18
(unaudited)

     Year Ended
9/30/17		        
  

 

 

    
Municipal Class Shares             

Shares sold

      12,918,669       19,091,535       $ 179,831,096     $ 267,503,221    

 

    

Shares issued to shareholders on reinvestment of dividends and distributions

      1,036,221       1,873,246         14,418,403       26,272,260    

 

    

Shares redeemed

      (8,724,593 )      (16,463,233 )        (121,456,297 )      (230,874,702 )   

 

    

Net increase

      5,230,297       4,501,548       $ 72,793,202     $ 62,900,779    

 

    
            
Class A Shares             

Shares sold

      736,765       2,035,461       $ 10,269,083     $ 28,533,394    

 

    

Shares issued to shareholders on reinvestment of dividends and distributions

      64,926       145,234         903,635       2,035,945    

 

    

Shares converted from Class B

      50       937         693       13,389    

 

    

Shares converted from Class C

      33,228       278,265         459,041       3,901,274    

 

    

Shares redeemed

      (1,411,095 )      (5,079,985 )        (19,662,064 )      (71,109,393 )   

 

    

Net decrease

      (576,126 )      (2,620,088 )      $ (8,029,612 )    $ (36,625,391 )   

 

    
            
Class B Shares             

Shares sold

      – 0  –      115       $ – 0  –    $ 1,626    

 

    

Shares issued to shareholders on reinvestment of dividends and distributions

      1       2         16       24    

 

    

Shares converted to Class A

      (50 )      (938 )        (693 )      (13,389 )   

 

    

Net decrease

      (49 )      (821 )      $ (677 )    $ (11,739 )   

 

    
            
Class C Shares             

Shares sold

      79,241       318,936       $ 1,106,075     $ 4,452,161    

 

    

Shares issued to shareholders on reinvestment of dividends and distributions

      13,714       31,105         190,904       435,980    

 

    

Shares converted to Class A

      (33,228 )      (278,265 )        (459,041 )      (3,901,274 )   

 

    

Shares redeemed

      (356,000 )      (995,117 )        (4,956,203 )      (13,921,339 )   

 

    

Net decrease

      (296,273 )      (923,341 )      $ (4,118,265 )    $ (12,934,472 )   

 

    

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

             
     New York Municipal Portfolio        
     Shares           Amount        
    

Six Months

Ended 3/31/18

(unaudited)

      Year Ended
9/30/17		          

Six Months

Ended 3/31/18

(unaudited)

     Year Ended
9/30/17		        
  

 

 

    
Advisor Class Shares              

Shares sold

      854,866        2,507,684       $ 11,920,892     $ 35,100,995    

 

    

Shares issued to shareholders on reinvestment of dividends and distributions

      18,587        17,539         258,304       245,959    

 

    

Shares redeemed

      (370,785 )       (882,851 )        (5,161,072 )      (12,298,859 )   

 

    

Net increase

      502,668        1,642,372       $ 7,018,124     $ 23,048,095    

 

    

NOTE 7. Recent Accounting Pronouncements

In March 2017, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (the “ASU”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The ASU does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. The ASU is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. At this time, management is evaluating the implications of these changes on the financial statements.

NOTE 8. Subsequent Events

Effective April 26, 2018, the Fund has authorized an additional 1 billion Class Z shares of Common Stock, par value $0.001 per share, of which 0.2 billion, 0.2 billion and 0.6 billion shares are allocated to New York Municipal, California Municipal Portfolio and Diversified Municipal Portfolio, respectively.

Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no other material events that would require disclosure in the Portfolios’ financial statements through this date.

 

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FINANCIAL HIGHLIGHTS

Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period

 

    California Municipal Portfolio  
    Class A  
   

Six Months
Ended
March 31,
2018

(unaudited)

     Year Ended September 30,  
      2017     2016     2015     2014     2013  
 

 

 

  

Net asset value, beginning of period

     $  14.33       $  14.59       $  14.40       $  14.49       $  14.29       $  14.91  
 

 

 

  

Income From Investment Operations

            

Net investment income†

     .14       .27       .28 ^      .29       .30       .34  

Net realized and unrealized gain (loss) on investment transactions

     (.29 )      (.26 )      .19       (.09 )      .20       (.61 ) 
 

 

 

  

Total from investment operations

     (.15 )      .01       .47       .20       .50       (.27 ) 
 

 

 

  

Less: Dividends

            

Dividends from net investment income

     (.14 )      (.27 )      (.28 )      (.29 )      (.30 )      (.35 ) 
 

 

 

  

Net asset value, end of period

     $  14.04       $  14.33       $  14.59       $  14.40       $  14.49       $  14.29  
 

 

 

  

Total Return

            

Total investment return based on net asset value(a)

     (.98 )%      .04  %      3.24  %^      1.41  %      3.53  %      (1.88 )% 

Ratios/Supplemental Data

            

Net assets, end of period (000 omitted)

     $86,496       $83,361       $92,258       $92,211       $117,157       $120,384  

Average net assets (000 omitted)

     $87,679       $85,429       $92,455       $105,062       $115,483       $127,613  

Ratio to average net assets of:

            

Expenses

     .74  %*      .76  %      .83  %      .83  %+      .87  %      .87  % 

Net investment income

     1.97  %*      1.90  %      1.89  %^      2.02  %+      2.09  %      2.34  % 

Portfolio turnover rate

     13  %      17  %      12  %      16  %      10  %      23  % 

See footnote summary on page 143.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period

 

    California Municipal Portfolio  
    Class C  
   

Six Months
Ended
March 31,
2018

(unaudited)

     Year Ended September 30,  
      2017     2016     2015     2014     2013  
 

 

 

  

Net asset value, beginning of period

     $  14.32       $  14.59       $  14.40       $  14.49       $  14.29       $  14.91  
 

 

 

  

Income From Investment Operations

            

Net investment income†

     .09       .17       .17 ^      .19       .20       .24  

Net realized and unrealized gain (loss) on investment transactions

     (.28 )      (.28 )      .19       (.09 )      .20       (.62 ) 
 

 

 

  

Total from investment operations

     (.19 )      (.11 )      .36       .10       .40       (.38 ) 
 

 

 

  

Less: Dividends

            

Dividends from net investment income

     (.09 )      (.16 )      (.17 )      (.19 )      (.20 )      (.24 ) 
 

 

 

  

Net asset value, end of period

     $  14.04       $  14.32       $  14.59       $  14.40       $  14.49       $  14.29  
 

 

 

  

Total Return

            

Total investment return based on net asset value(a)

     (1.35 )%      (.71 )%      2.48  %^      .67  %      2.81  %      (2.55 )% 

Ratios/Supplemental Data

            

Net assets, end of period (000 omitted)

     $13,714       $17,028       $22,273       $21,901       $23,036       $28,103  

Average net assets (000 omitted)

     $15,450       $20,405       $21,831       $22,305       $25,026       $29,066  

Ratio to average net assets of:

            

Expenses

     1.49  %*      1.52  %      1.58  %      1.57  %+      1.57  %      1.56  % 

Net investment income

     1.22  %*      1.16  %      1.15  %^      1.29  %+      1.39  %      1.66  % 

Portfolio turnover rate

     13  %      17  %      12  %      16  %      10  %      23  % 

See footnote summary on page 143.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period

 

    California Municipal Portfolio  
    Advisor Class  
    Six Months
Ended
March 31,
2018
(unaudited)		     Year Ended
September 30,
2017		     July 25,
2016(b) to
September 30,
2016		  
 

 

 

  

Net asset value, beginning of period

     $  14.32       $  14.59       $  14.65  
 

 

 

  

Income From Investment Operations

      

Net investment income†

     .16       .31       .05 ^ 

Net realized and unrealized loss on investment transactions

     (.28 )      (.27 )      (.06 ) 
 

 

 

  

Total from investment operations

     (.12 )      .04       (.01 ) 
 

 

 

  

Less: Dividends

      

Dividends from net investment income

     (.16 )      (.31 )      (.05 ) 
 

 

 

  

Net asset value, end of period

     $  14.04       $  14.32       $  14.59  
 

 

 

  

Total investment return based on net asset value(a)

     (.86 )%      .30  %      (.04 )%^ 

Ratios/Supplemental Data

      

Net assets, end of period (000 omitted)

     $18,270       $12,903       $3,266  

Average net assets (000 omitted)

     $15,426       $9,154       $204  

Ratio to average net assets of:

      

Expenses

     .49  %*      .49  %      .85  %* 

Net investment income

     2.22  %*      2.17  %      1.77  %^* 

Portfolio turnover rate

     13  %      17  %      12  % 

See footnote summary on page 143.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period

 

    Diversified Municipal Portfolio  
    Class A  
   

Six Months
Ended
March 31,
2018

(unaudited)

     Year Ended September 30,  
      2017     2016     2015     2014     2013  
 

 

 

  

Net asset value, beginning of period

     $  14.44       $  14.68       $  14.48       $  14.54       $  14.36       $  14.92  
 

 

 

  

Income From Investment Operations

            

Net investment income†

     .13       .25       .25 ^      .26       .29       .34  

Net realized and unrealized gain (loss) on investment transactions

     (.31 )      (.24 )      .20       (.06 )      .18       (.53 ) 

Contributions from affiliates

     – 0  –      .00 (c)      – 0  –      – 0  –      – 0  –      – 0  – 
 

 

 

  

Total from investment operations

     (.18 )      .01       .45       .20       .47       (.19 ) 
 

 

 

  

Less: Dividends and Distributions

            

Dividends from net investment income

     (.13 )      (.25 )      (.25 )      (.26 )      (.29 )      (.35 ) 

Distributions from net realized gain on investment transactions

     – 0  –      – 0  –      – 0  –      – 0  –      .00 (c)      (.02 ) 
 

 

 

  

Total dividends and distributions

     (.13 )      (.25 )      (.25 )      (.26 )      (.29 )      (.37 ) 
 

 

 

  

Net asset value, end of period

     $  14.13       $  14.44       $  14.68       $  14.48       $  14.54       $  14.36  
 

 

 

  

Total Return

            

Total investment return based on net asset value(a)

     (1.22 )%      .11  %      3.14  %^      1.40  %      3.33  %      (1.33 )% 

Ratios/Supplemental Data

            

Net assets, end of period (000 omitted)

     $289,124       $342,340       $450,882       $479,736       $1,540,449       $1,108,708  

Average net assets (000 omitted)

     $315,371       $378,242       $462,433       $1,459,820       $1,324,941       $819,476  

Ratio to average net assets of:

            

Expenses

     .72  %*      .75  %      .79  %      .83  %+      .86  %      .78  % 

Net investment income

     1.88  %*      1.75  %      1.73  %^      1.80  %+      1.99  %      2.34  % 

Portfolio turnover rate

     13  %      25  %      11  %      15  %      19  %      19  % 

See footnote summary on page 143.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period

 

    Diversified Municipal Portfolio  
    Class B  
   

Six Months
Ended
March 31,
2018

(unaudited)

     Year Ended September 30,  
      2017     2016     2015     2014     2013  
 

 

 

  

Net asset value, beginning of period

     $  14.44       $  14.68       $  14.48       $  14.54       $  14.37       $  14.93  
 

 

 

  

Income From Investment Operations

            

Net investment income†

     .07       .14       .14 ^      .15       .20       .24  

Net realized and unrealized gain (loss) on investment transactions

     (.32 )      (.24 )      .20       (.06 )      .16       (.54 ) 
 

 

 

  

Total from investment operations

     (.25 )      (.10 )      .34       .09       .36       (.30 ) 
 

 

 

  

Less: Dividends and Distributions

            

Dividends from net investment income

     (.07 )      (.14 )      (.14 )      (.15 )      (.19 )      (.24 ) 

Distributions from net realized gain on investment transactions

     – 0  –      – 0  –      – 0  –      – 0  –      .00 (c)      (.02 ) 
 

 

 

  

Total dividends and distributions

     (.07 )      (.14 )      (.14 )      (.15 )      (.19 )      (.26 ) 
 

 

 

  

Net asset value, end of period

     $  14.12       $  14.44       $  14.68       $  14.48       $  14.54       $  14.37  
 

 

 

  

Total Return

            

Total investment return based on net asset value(a)

     (1.71 )%      (.69 )%      2.34  %^      .64  %      2.52  %      (2.02 )% 

Ratios/Supplemental Data

            

Net assets, end of period (000 omitted)

     $29       $31       $78       $96       $113       $382  

Average net assets (000 omitted)

     $30       $61       $88       $104       $228       $477  

Ratio to average net assets of:

            

Expenses

     1.56  %*      1.56  %      1.57  %      1.59  %+      1.55  %      1.49  % 

Net investment income

     1.04  %*      .95  %      .95  %^      1.05  %+      1.39  %      1.66  % 

Portfolio turnover rate

     13  %      25  %      11  %      15  %      19  %      19  % 

See footnote summary on page 143.

 

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Table of Contents

 

FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period

 

    Diversified Municipal Portfolio  
    Class C  
   

Six Months
Ended
March 31,
2018

(unaudited)

     Year Ended September 30,  
      2017     2016     2015     2014     2013  
 

 

 

  

Net asset value, beginning of period

     $  14.44       $  14.68       $  14.48       $  14.54       $  14.36       $  14.92  
 

 

 

  

Income From Investment Operations

            

Net investment income†

     .08       .14       .14 ^      .16       .19       .24  

Net realized and unrealized gain (loss) on investment transactions

     (.32 )      (.24 )      .20       (.06 )      .18       (.54 ) 

Contributions from affiliates

     – 0  –      .00 (c)      – 0  –      – 0  –      – 0  –      – 0  – 
 

 

 

  

Total from investment operations

     (.24 )      (.10 )      .34       .10       .37       (.30 ) 
 

 

 

  

Less: Dividends and Distributions

            

Dividends from net investment income

     (.08 )      (.14 )      (.14 )      (.16 )      (.19 )      (.24 ) 

Distributions from net realized gain on investment transactions

     – 0  –      – 0  –      – 0  –      – 0  –      .00 (c)      (.02 ) 
 

 

 

  

Total dividends and distributions

     (.08 )      (.14 )      (.14 )      (.16 )      (.19 )      (.26 ) 
 

 

 

  

Net asset value, end of period

     $  14.12       $  14.44       $  14.68       $  14.48       $  14.54       $  14.36  
 

 

 

  

Total Return

            

Total investment return based on net asset value(a)

     (1.66 )%      (.64 )%      2.37  %^      .66  %      2.62  %      (2.02 )% 

Ratios/Supplemental Data

            

Net assets, end of period (000 omitted)

     $63,943       $73,746       $108,640       $116,939       $134,435       $166,410  

Average net assets (000 omitted)

     $69,156       $89,853       $113,511       $125,295       $149,054       $183,114  

Ratio to average net assets of:

            

Expenses

     1.47  %*      1.50  %      1.55  %      1.57  %+      1.55  %      1.48  % 

Net investment income

     1.13  %*      1.00  %      .98  %^      1.07  %+      1.33  %      1.65  % 

Portfolio turnover rate

     13  %      25  %      11  %      15  %      19  %      19  % 

See footnote summary on page 143.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period

 

    Diversified Municipal Portfolio  
    Advisor Class  
   

Six Months
Ended
March 31,
2018

(unaudited)

     Year Ended September 30,    

June 26,
2015(b) to
September 30,

2015

  
      2017     2016    
 

 

 

  

Net asset value, beginning of period

     $  14.42       $  14.66       $  14.47       $  14.35  
 

 

 

  

Income From Investment Operations

        

Net investment income†

     .15       .29       .29 ^      .08  

Net realized and unrealized gain (loss) on investment transactions

     (.32 )      (.24 )      .19       .13 †† 
 

 

 

  

Total from investment operations

     (.17 )      .05       .48       .21  
 

 

 

  

Dividends from net investment income

     (.15 )      (.29 )      (.29 )      (.09 ) 
 

 

 

  

Net asset value, end of period

     $  14.10       $  14.42       $  14.66       $  14.47  
 

 

 

  

Total investment return based on net asset value(a)

     (1.17 )%      .36  %      3.36  %^      1.40  % 

Ratios/Supplemental Data

        

Net assets, end of period (000 omitted)

     $1,271,812       $1,163,196       $1,127,335       $1,071,776  

Average net assets (000 omitted)

     $1,189,937       $1,112,997       $1,108,033       $380,380  

Ratio to average net assets of:

        

Expenses

     .47  %*      .50  %      .56  %      .47  %+* 

Net investment income

     2.13  %*      2.01  %      1.96  %^      2.19  %+* 

Portfolio turnover rate

     13  %      25  %      11  %      15  % 

See footnote summary on page 143.

 

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Table of Contents

 

FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period

 

    New York Municipal Portfolio  
    Class A  
   

Six Months
Ended
March 31,
2018

(unaudited)

     Year Ended September 30,  
      2017     2016     2015     2014     2013  
 

 

 

  

Net asset value, beginning of period

     $  14.07       $  14.33       $  14.10       $  14.16       $  14.04       $  14.66  
 

 

 

  

Income From Investment Operations

            

Net investment income†

     .14       .27       .29 ^      .31       .32       .35  

Net realized and unrealized gain (loss) on investment transactions

     (.31 )      (.26 )      .23       (.06 )      .12       (.61 ) 
 

 

 

  

Total from investment operations

     (.17 )      .01       .52       .25       .44       (.26 ) 
 

 

 

  

Less: Dividends and Distributions

            

Dividends from net investment income

     (.14 )      (.27 )      (.29 )      (.31 )      (.32 )      (.35 ) 

Distributions from net realized gain on investment transactions

     – 0  –      – 0  –      – 0  –      – 0  –      – 0  –      (.01 ) 
 

 

 

  

Total dividends and distributions

     (.14 )      (.27 )      (.29 )      (.31 )      (.32 )      (.36 ) 
 

 

 

  

Net asset value, end of period

     $  13.76       $  14.07       $  14.33       $  14.10       $  14.16       $  14.04  
 

 

 

  

Total Return

            

Total investment return based on net asset value(a)

     (1.20 )%      .08  %      3.68  %^      1.80  %      3.18  %      (1.82 )% 

Ratios/Supplemental Data

            

Net assets, end of period (000 omitted)

     $130,304       $141,325       $181,488       $187,256       $209,558       $217,567  

Average net assets (000 omitted)

     $135,943       $155,464       $182,379       $201,391       $205,590       $251,554  

Ratio to average net assets of:

            

Expenses

     .73  %*      .76  %      .82  %      .82  %+      .85  %      .84  % 

Net investment income

     2.03  %*      1.92  %      2.03  %^      2.21  %+      2.28  %      2.43  % 

Portfolio turnover rate

     12  %      23  %      17  %      17  %      11  %      17  % 

See footnote summary on page 143.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period

 

    New York Municipal Portfolio  
    Class B  
   

Six Months
Ended
March 31,
2018

(unaudited)

     Year Ended September 30,  
      2017     2016     2015     2014     2013  
 

 

 

  

Net asset value, beginning of period

     $  14.06       $  14.32       $  14.09       $  14.16       $  14.04       $  14.65  
 

 

 

  

Income From Investment Operations

            

Net investment income†

     .06       .10       .17 ^      .21       .23       .25  

Net realized and unrealized gain (loss) on investment transactions

     (.29 )      (.25 )      .24       (.07 )      .11       (.60 ) 
 

 

 

  

Total from investment operations

     (.23 )      (.15 )      .41       .14       .34       (.35 ) 
 

 

 

  

Less: Dividends and Distributions

            

Dividends from net investment income

     (.07 )      (.11 )      (.18 )      (.21 )      (.22 )      (.25 ) 

Distributions from net realized gain on investment transactions

     – 0  –      – 0  –      – 0  –      – 0  –      – 0  –      (.01 ) 
 

 

 

  

Total dividends and distributions

     (.07 )      (.11 )      (.18 )      (.21 )      (.22 )      (.26 ) 
 

 

 

  

Net asset value, end of period

     $  13.76       $  14.06       $  14.32       $  14.09       $  14.16       $  14.04  
 

 

 

  

Total Return

            

Total investment return based on net asset value(a)

     (1.67 )%      (1.06 )%      2.91  %^      .98  %      2.45  %      (2.44 )% 

Ratios/Supplemental Data

            

Net assets, end of period (000 omitted)

     $3       $4       $16       $26       $154       $425  

Average net assets (000 omitted)

     $3       $3       $19       $118       $300       $506  

Ratio to average net assets of:

            

Expenses

     1.83  %*      1.93  %      1.63  %      1.57  %+      1.56  %      1.55  % 

Net investment income

     .89  %*      .73  %      1.22  %^      1.47  %+      1.60  %      1.73  % 

Portfolio turnover rate

     12  %      23  %      17  %      17  %      11  %      17  % 

See footnote summary on page 143.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period

 

    New York Municipal Portfolio  
    Class C  
   

Six Months
Ended
March 31,
2018

(unaudited)

     Year Ended September 30,  
      2017     2016     2015     2014     2013  
 

 

 

  

Net asset value, beginning of period

     $  14.07       $  14.33       $  14.10       $  14.17       $  14.05       $  14.66  
 

 

 

  

Income From Investment Operations

            

Net investment income†

     .09       .16       .18 ^      .21       .22       .25  

Net realized and unrealized gain (loss) on investment transactions

     (.31 )      (.26 )      .23       (.07 )      .12       (.60 ) 
 

 

 

  

Total from investment operations

     (.22 )      (.10 )      .41       .14       .34       (.35 ) 
 

 

 

  

Less: Dividends and Distributions

            

Dividends from net investment income

     (.09 )      (.16 )      (.18 )      (.21 )      (.22 )      (.25 ) 

Distributions from net realized gain on investment transactions

     – 0  –      – 0  –      – 0  –      – 0  –      – 0  –      (.01 ) 
 

 

 

  

Total dividends and distributions

     (.09 )      (.16 )      (.18 )      (.21 )      (.22 )      (.26 ) 
 

 

 

  

Net asset value, end of period

     $  13.76       $  14.07       $  14.33       $  14.10       $  14.17       $  14.05  
 

 

 

  

Total Return

            

Total investment return based on net asset value(a)

     (1.57 )%      (.67 )%      2.91  %^      .99  %      2.46  %      (2.44 )% 

Ratios/Supplemental Data

            

Net assets, end of period (000 omitted)

     $37,806       $42,821       $56,849       $58,462       $68,754       $81,041  

Average net assets (000 omitted)

     $40,617       $49,277       $57,855       $63,403       $72,947       $92,988  

Ratio to average net assets of:

            

Expenses

     1.48  %*      1.51  %      1.57  %      1.55  %+      1.56  %      1.55  % 

Net investment income

     1.28  %*      1.17  %      1.28  %^      1.48  %+      1.58  %      1.73  % 

Portfolio turnover rate

     12  %      23  %      17  %      17  %      11  %      17  % 

See footnote summary on page 143.

 

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FINANCIAL HIGHLIGHTS (continued)

Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period

 

    New York Municipal Portfolio  
    Advisor Class  
    Six Months
Ended
March 31,
2018
(unaudited)		     Year Ended
September 30,
2017		     July 25,
2016(b) to
September 30,
2016		  
 

 

 

  

Net asset value, beginning of period

     $  14.07       $  14.33       $  14.37  
 

 

 

  

Income From Investment Operations

      

Net investment income†

     .16       .30       .06^  

Net realized and unrealized loss on investment transactions

     (.31 )      (.26 )      (.04 ) 
 

 

 

  

Total from investment operations

     (.15 )      .04       .02  
 

 

 

  

Dividends from net investment income

     (.16 )      (.30 )      (.06 ) 
 

 

 

  

Net asset value, end of period

     $  13.76       $  14.07       $  14.33  
 

 

 

  

Total investment return based on net asset value(a)

     (1.08 )%      .35  %      .12  %^ 

Ratios/Supplemental Data

      

Net assets, end of period (000 omitted)

     $32,608       $26,267       $3,226  

Average net assets (000 omitted)

     $30,236       $15,836       $205  

Ratio to average net assets of:

      

Expenses

     .48  %*      .50  %      .67  %* 

Net investment income

     2.29  %*      2.18  %      2.38  %^* 

Portfolio turnover rate

     12  %      23  %      17  % 

 

† Based on average shares outstanding.

 

^ For the year ended September 30, 2016 the amount includes a refund for overbilling of prior years’ custody out of pocket fees as follows:

 

Portfolio

    Net Investment
Income Per Share		      Net Investment
Income Ratio		     Total
Return		  

California Municipal

    $ .001        .01 %      .01 % 

Diversified Municipal

      .001        .004 %      .004 % 

New York Municipal

      .001        .01 %      .01 % 

 

* Annualized

 

†† Due to timing of sales and repurchase of capital shares, the net realized and unrealized gain (loss) per share is not in accord with the Fund’s change in net realized and unrealized gain (loss) on investment transactions for the period.

 

(a) Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Total return does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Total investment return calculated for a period of less than one year is not annualized.

 

(b) Commencement of distributions.

 

(c) Amount is less than $.005.

See notes to financial statements.

 

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BOARD OF DIRECTORS

 

Bart Friedman(1)(2), Chairman

Kathleen Fisher, President

R. Jay Gerken(1)

William Kristol(1)

Debra Perry(1)

Donald K. Peterson(1)

OFFICERS

Fred S. Cohen, Vice President(3)

R.B. (“Guy”) Davidson III, Vice President(3)

Terrance T. Hults, Vice President(3)

Matthew J. Norton, Vice President(3)

Andrew Potter, Vice President(3)

Joseph J. Mantineo, Treasurer and Chief Financial Officer

Phyllis J. Clarke, Controller

Emilie D. Wrapp, Secretary

Vincent S. Noto, Chief Compliance Officer

 

Custodian and Accounting Agent

State Street Bank and Trust Company
State Street Corporation CCB/5
1 Iron Street

Boston, MA 02210

 

Distributor†

AllianceBernstein Investments, Inc.
1345 Avenue of the Americas
New York, NY 10105

 

Transfer Agent†

AllianceBernstein Investor
Services, Inc.
P.O. Box 786003
San Antonio, TX 78278-6003
Toll-Free (800) 221-5672

     

Legal Counsel

Willkie Farr & Gallagher LLP
787 Seventh Avenue
New York, NY 10019

 

Independent Registered
Public Accounting Firm

PricewaterhouseCoopers LLP
300 Madison Avenue
New York, NY 10017

 

1 Member of the Audit Committee, the Nominating, Governance and Compensation Committee and the Independent Directors Committee.

 

2 Member of the Fair Value Pricing Committee.

 

3 The day-to-day management of, and investment decisions for, the AB Intermediate Municipal Portfolios are made by the Municipal Bond Investment Team. Messrs. Cohen, Davidson, Hults, Norton and Potter are the investment professionals with the most significant responsibility for the day-to-day management of the Funds’ portfolios.

 

† For the AB Intermediate Municipal Portfolios, Classes A, B and C and Advisor Class shares only.

 

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BOARD’S CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT

 

Tax-Managed International Portfolio

International Portfolio

Emerging Markets Portfolio

Short Duration Diversified Municipal Portfolio

New York Municipal Portfolio

California Municipal Portfolio

Diversified Municipal Portfolio

Short Duration Plus Portfolio

Intermediate Duration Portfolio

Overlay A Portfolio

Tax-Aware Overlay A Portfolio

Overlay B Portfolio

Tax-Aware Overlay B Portfolio

Tax-Aware Overlay C Portfolio

Tax-Aware Overlay N Portfolio

The Fund’s Board of Directors, including the Directors who are not interested persons of the Fund (the “Independent Directors”), unanimously approved the continuation of the Investment Management Agreement between the Sanford C. Bernstein Fund, Inc. (the “Fund”), on behalf of the Tax-Managed International, International, Emerging Markets, Short Duration Diversified Municipal, New York Municipal, California Municipal, Diversified Municipal, Short Duration Plus, Intermediate Duration, Overlay A, Tax-Aware Overlay A, Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios (each, a “Portfolio” and collectively, the “Portfolios”) and AllianceBernstein L.P. (the “Adviser”) (the “Investment Management Agreement”) at a meeting held on October 25-26, 2017. In connection with the process relating to the annual review of the Investment Management Agreement between the Fund and the Adviser, the Adviser received a letter dated August 18, 2017, from counsel to the Independent Directors. The letter contained a list of information requested by the Independent Directors to conduct their annual review. The Board of Directors, including the Independent Directors, met in person in July 2017 and received and reviewed certain information relating to the profitability of the Adviser in 2016 and prior years in relation to its services to the Fund, and received and evaluated extensive additional materials relating to the renewal of the Investment Management Agreement from the Adviser during in-person meetings in September and October 2017. In addition, the Independent Directors received materials prepared by the Senior Officer1 as described below. At the July 27, 2017 meeting, the Independent Directors met separately with independent counsel and the Senior Officer, and met with Seth Bernstein, the Chief Executive Officer of the Adviser, to discuss (among other things) the importance of the Private Client business to the

 

1 Philip Kirstein, the Fund’s Senior Officer, retired effective 12/31/2017.

 

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BOARD’S CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT (continued)

 

Adviser and the role played by the Portfolios, as well as the capabilities the Adviser could provide to clients. On September 28, 2017, the Board of Directors held an in-person meeting to discuss its review of the Investment Management Agreement and the materials the Directors had been provided. Also on September 28, 2017, the Independent Directors met separately with independent counsel and the Senior Officer in executive session. Following the September 28, 2017 meeting, the Independent Directors, through counsel, requested certain additional information which was provided by the Adviser on October 5, 2017. The Independent Directors held a telephonic meeting on October 17, 2017 to discuss the contract renewal materials and supplemental materials. On October 25-26, 2017, the Board of Directors held an in-person meeting to continue their review of the Investment Management Agreement. During this meeting, the Independent Directors met with counsel to the Independent Directors as well as the Fund’s Senior Officer to review the contract renewal materials provided by the Adviser as well as the Senior Officer’s report and conclusions. At the conclusion of this meeting, the Board approved the continuation of the Investment Management Agreement for an additional annual term as described below.

In approving the continuation of the Investment Management Agreement, the Board of Directors, including the Independent Directors, considered all information it deemed reasonably necessary to evaluate the terms of the Agreement and considered whether continuation of the Investment Management Agreement would be in the best interests of each Portfolio.

The Board of Directors also reviewed an independent evaluation prepared by the Fund’s Senior Officer of the reasonableness of the advisory fees in the Investment Management Agreement, wherein the Senior Officer concluded that the contractual fees contained in the Adviser’s proposal were reasonable with respect to all Portfolios and within the range of what would have been negotiated at arms-length in light of the surrounding circumstances.

The matters discussed below were considered separately by the Independent Directors in executive sessions, during which experienced counsel that is independent of the Adviser provided guidance to the Independent Directors. No single factor was considered in isolation or to be determinative to the decision of the Board to approve the continuation of the Investment Management Agreement. Rather, the Board concluded, in light of a weighing and balancing of all factors considered, and in light of the proposal to establish breakpoints for the Overlay A and the Tax-Aware Overlay A Portfolios’ fee schedules, and to reduce fees for the Short Duration Diversified Municipal, Short Duration Plus, Intermediate Duration, Tax-Managed International, International, and Emerging Markets Portfolios,

 

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BOARD’S CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT (continued)

 

effective January 1, 2018, that it was in the best interests of each Portfolio to approve the continuation of the Investment Management Agreement including the fees to be charged for services thereunder, as summarized below.

Fees and Expenses

The Board of Directors, including the Independent Directors, compared the fees and expense ratios of each Portfolio as proposed by the Adviser (before and after any fee waivers and expense reimbursements) against fees and expense ratios of a peer group of funds with similar investment objectives (“peer group”). Both the peer group and the funds within the peer group, with respect to the fee and expense data, were prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data. The Senior Officer also performed analyses of the advisory fees, and compared such analyses to the Portfolios’ peer groups.

The Board also received and considered information about the services rendered, and the fee rates charged, to other clients advised by the Adviser, including information about recent advisory fee changes with respect to other investment companies and non-investment company clients advised by the Adviser.

On the basis of its review and consideration of the fees as described above and the Board’s consideration of the other factors described below, the Board concluded that the contractual advisory fees as proposed are reasonable.

Nature, Extent and Quality of Services

The Board of Directors, including the Independent Directors, considered the nature, quality and extent of services performed by the Adviser and its affiliates gained from their experience as directors of the Fund, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, and the Adviser’s initiative in identifying and raising potential issues with the Directors. The Board also considered the Adviser’s responsiveness, frankness and attention to concerns raised by the Directors from time to time, including the Adviser’s willingness to consider and implement organizational changes designed to improve investment results and the services provided to the Portfolios. The Board also considered the scope and quality of the Adviser’s investment management capabilities, other resources dedicated to performing its services, the quality of its compliance, administrative and other services provided to the Portfolios and the background and experience of the Adviser’s senior management. The Board reviewed the qualifications, backgrounds and responsibilities of the investment staff primarily responsible for day-to-day

 

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BOARD’S CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT (continued)

 

portfolio management services for each Portfolio and noted the Adviser’s commitment to strong research and investment management capabilities throughout changing market environments. The Board reviewed the compliance and administrative services of the Adviser that support the investment advisory services provided to the Portfolios and noted that such staff appeared sufficient to provide a high level of service to the Portfolios. The Board also considered how the organizational capabilities and financial condition of the Adviser may affect the nature and quality of its services. The Board further reviewed information about AXA Financial’s proposed initial public offering (“IPO”) of a minority stake in its US operations, including AXA Group’s interest in the Adviser, and the statements of the Adviser that it will continue to operate as an independent, publicly-traded US asset manager and that the IPO is not anticipated to change the Adviser’s current management structure or strategy.

In considering the nature and quality of the services provided by the Adviser, the Board of Directors, including the Independent Directors, received and considered information about each Portfolio’s investment performance, as well as the performance of its peer group and the performance of an appropriate benchmark index. (The Board recognized that the benchmark indices do not account for fees and expenses incurred by a fund, including the Portfolios.) The Board was provided with performance data versus each Portfolio’s peer group, for the l-year, 3-year, 5-year and 10-year periods, as applicable, ended June 30, 2017 (“relevant periods”) and versus each Portfolio’s benchmark index, for the year to date, l-year, 3-years, 5-years, 10-years and since inception periods, as applicable, ended June 30, 2017. Both the funds included in each Portfolio’s peer group and the comparative performance data were provided to the Directors by Broadridge. The Directors also receive detailed comparative performance information for the Portfolios at each regular Board meeting during the year.

The Directors noted the complexity of the Overlay Portfolios, in particular the complexity of managing the globally diversified set of asset classes and derivatives in which the Overlay Portfolios can invest as well as the complexity of dynamically allocating assets through the Overlay Portfolios among various asset classes as economic and market conditions change in seeking to provide the desired risk/return trade-off for their investors. The Directors also noted the Adviser’s continued efforts to enhance the Overlay Portfolios.

The Board concluded that the Adviser had the experience and resources necessary to provide services of appropriate nature, quality and scope with respect to the Portfolios.

 

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BOARD’S CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT (continued)

 

Profitability

The Board of Directors, including the Independent Directors, considered the level of the Adviser’s profits in respect of its management of the Portfolios. The materials provided to the Independent Directors included information indicating the profitability of the Portfolios to the Adviser for calendar years 2015 and 2016, which had been reviewed by an independent consultant retained by the Senior Officer. The Directors reviewed the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and noted that there are many potentially acceptable allocation methodologies for information of this type. The Directors noted that they received information regarding all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to the Adviser’s subsidiaries that provide transfer agency, distribution and brokerage services to the Portfolios, and that they had focused on profitability before taxes and distribution expenses. The Directors also received a presentation at the July 27, 2017 Board meeting from the independent consultant who reviewed the Adviser’s method of calculating profitability. The Directors recognized that it is difficult to make comparisons of profitability among fund advisory contracts because comparative information is not generally publicly available and is affected by numerous factors including different cost accounting methodologies.

After reviewing all relevant factors, the Board of Directors, including the Independent Directors, concluded that the level of the Adviser’s profits in respect of its management of the Portfolios was not excessive.

Economies of Scale

The Board of Directors, including the Independent Directors, considered whether there have been economies of scale in respect of the management of the Portfolios, whether the Portfolios have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale.

At the October 26, 2017 Board meeting, the Directors received the Senior Officer Report which included a discussion of possible economies of scale. The Directors discussed with the Senior Officer possible ways in which any such economies of scale may be shared with the Portfolios, including by investment in enhanced services.

After reviewing the profitability and economies of scale information provided by the Adviser, the Board concluded that the benefits of any economies of scale were appropriately being shared with Portfolio investors by way of, among other things, breakpoint arrangements as currently in effect as well as the new breakpoints proposed for the Overlay A and Tax-Aware Overlay A Portfolios; proposed fee reductions for the Short

 

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BOARD’S CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT (continued)

 

Duration Diversified Municipal, Short Duration Plus, Intermediate Duration, Tax-Managed International, International, and Emerging Markets Portfolios, effective January 1, 2018; the fact that that the New York Municipal Portfolio, California Municipal Portfolio and Diversified Municipal Portfolio had recently implemented advisory fee reductions in 2017; the fact that in the case of the Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios the fee levels initially established had assumed achievement of significant scale and that these Portfolios are considerably smaller in asset size than the Overlay A and Tax-Aware Overlay A Portfolios; expense caps and waivers on select Portfolios; and the Adviser’s continued reinvestment in the business, including by researching and implementing new product enhancements, although the Adviser decreased its operating expenses and staff in recent years. The Directors also noted that, because of the investment by the Overlay A and Tax-Aware Overlay A Portfolios in affiliated portfolios, there are significant waivers of management fees for the Overlay A and Tax-Aware Overlay A Portfolios to reflect their investment in such affiliated portfolios.

Fall-Out Benefits and Other Revenue

The Board of Directors, including the Independent Directors, also took into account so-called “fall-out benefits” to the Adviser, such as soft dollar arrangements (whereby the Adviser receives the benefit of research services from many of the brokers and dealers that execute purchases and sales of securities on behalf of its clients on an agency basis), Rule 12b-1 fees and sales charges received by the principal underwriter (which is a wholly owned subsidiary of the Adviser) with respect to the retail share classes of certain Portfolios, and transfer agency fees paid by the retail share classes of certain Portfolios to a wholly-owned subsidiary of the Adviser. The Directors recognized that the Adviser’s profitability would be lower without these benefits. They also considered other benefits potentially derived from an increase in the Adviser’s business as a result of its relationship with the Fund. The Directors concluded that these fall-out benefits to the Adviser were acceptable.

Advisory Fee Rate Schedule

On the basis of the information considered, the Board determined to approve the continuation of the Investment Management Agreement for an additional annual term, with the addition of breakpoints to the Overlay A and the Tax-Aware Overlay A Portfolios’ fee schedules, and with the reduction of certain other Portfolios’ contractual fee schedules, as set forth below:

 

      Advisory Fee Schedule
Short Duration Diversified Municipal Portfolio    0.30% of the first $750 million; 0.25% of assets in excess of $750 million

 

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      Advisory Fee Schedule
Short Duration Plus Portfolio    0.35% of the first $750 million; 0.30% of assets in excess of $750 million
  
New York Municipal Portfolio    0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% in excess of $5 billion
  
California Municipal Portfolio    0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% in excess of $5 billion
  
Diversified Municipal Portfolio    0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% in excess of $5 billion up to, but not exceeding $7 billion; 0.225% of assets in excess of $7 billion
  
Intermediate Duration Portfolio    0.45% of the first $2.5 billion; 0.40% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.35% in excess of $5 billion up to, but not exceeding $8 billion; 0.30% of assets in excess of $8 billion
  
Tax-Managed International Portfolio    0.75% of the first $2.5 billion; 0.65% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.60% in excess of $5 billion
  
International Portfolio    0.75% of the first $2.5 billion; 0.65% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.60% in excess of $5 billion
  
Emerging Markets Portfolio    0.95% of the first $2.5 billion; 0.90% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.85% in excess of $5 billion
  
Overlay A Portfolio    0.90% of the first $5 billion; 0.875% in excess of $5 billion
  
Tax-Aware Overlay A Portfolio    0.90% of the first $5 billion; 0.875% in excess of $5 billion
  
Overlay B Portfolio    0.65%
  
Tax-Aware Overlay B Portfolio    0.65%
  
Tax-Aware Overlay C Portfolio    0.65%
  
Tax-Aware Overlay N Portfolio    0.65%

 

abfunds.com   AB INTERMEDIATE MUNICIPAL PORTFOLIOS    |    151

Table of Contents

This page is not part of the Shareholder Report or the Financial Statements.

 

 

AB FAMILY OF FUNDS

 

US EQUITY

US CORE

Core Opportunities Fund

FlexFee™ US Thematic Portfolio

Select US Equity Portfolio

US GROWTH

Concentrated Growth Fund

Discovery Growth Fund

FlexFee™ Large Cap Growth Portfolio

Growth Fund

Large Cap Growth Fund

Small Cap Growth Portfolio

US VALUE

Discovery Value Fund

Equity Income Fund

Relative Value Fund

Small Cap Value Portfolio

Value Fund

INTERNATIONAL/ GLOBAL EQUITY

INTERNATIONAL/ GLOBAL CORE

Global Core Equity Portfolio

International Portfolio

International Strategic Core Portfolio

Sustainable Global Thematic Fund

Tax-Managed International Portfolio

Tax-Managed Wealth Appreciation Strategy

Wealth Appreciation Strategy

INTERNATIONAL/ GLOBAL GROWTH

Concentrated International Growth Portfolio

Sustainable International Thematic Fund1

INTERNATIONAL/ GLOBAL EQUITY (continued)

INTERNATIONAL/ GLOBAL VALUE

International Value Fund

FIXED INCOME

MUNICIPAL

High Income Municipal Portfolio

Intermediate California Municipal Portfolio

Intermediate Diversified Municipal Portfolio

Intermediate New York Municipal Portfolio

Municipal Bond Inflation Strategy

Tax-Aware Fixed Income Portfolio

National Portfolio

Arizona Portfolio

California Portfolio

Massachusetts Portfolio

Minnesota Portfolio

New Jersey Portfolio

New York Portfolio

Ohio Portfolio

Pennsylvania Portfolio

Virginia Portfolio

TAXABLE

Bond Inflation Strategy

FlexFee™ High Yield Portfolio1

FlexFee™ International Bond Portfolio

Global Bond Fund

High Income Fund

Income Fund

Intermediate Bond Portfolio

Limited Duration High Income Portfolio

Short Duration Portfolio

ALTERNATIVES

All Market Real Return Portfolio

Global Real Estate Investment Fund

Select US Long/Short Portfolio

Unconstrained Bond Fund

MULTI-ASSET

All Market Income Portfolio

All Market Total Return Portfolio

Conservative Wealth Strategy

Emerging Markets Multi-Asset Portfolio

Global Risk Allocation Fund

Tax-Managed All Market Income Portfolio

TARGET-DATE

Multi-Manager Select Retirement Allocation Fund

Multi-Manager Select 2010 Fund

Multi-Manager Select 2015 Fund

Multi-Manager Select 2020 Fund

Multi-Manager Select 2025 Fund

Multi-Manager Select 2030 Fund

Multi-Manager Select 2035 Fund

Multi-Manager Select 2040 Fund

Multi-Manager Select 2045 Fund

Multi-Manager Select 2050 Fund

Multi-Manager Select 2055 Fund

CLOSED-END FUNDS

Alliance California Municipal Income Fund

AllianceBernstein Global High Income Fund

AllianceBernstein National Municipal Income Fund

 

We also offer Government Money Market Portfolio1, which serves as the money market fund exchange vehicle for the AB mutual funds. An investment in Government Money Market Portfolio is not a deposit in a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.

Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.

 

1 Prior to November 10, 2017, Government Money Market Portfolio was named Government Exchange Reserves; prior to January 8, 2018, Sustainable International Thematic Fund was named International Growth Fund; prior to February 23, 2018, FlexFee High Yield Portfolio was named High Yield Portfolio.

 

152    |    AB INTERMEDIATE MUNICIPAL PORTFOLIOS   abfunds.com

Table of Contents

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AB INTERMEDIATE MUNICIPAL PORTFOLIOS

1345 Avenue of the Americas

New York, NY 10105

800 221 5672

 

 

IM-0152-0318                 LOGO

Table of Contents

 

SANFORD C. BERNSTEIN FUND, INC.

 

 

Overlay Portfolios

Overlay A Portfolio

Tax-Aware Overlay A Portfolio

Overlay B Portfolio

Tax-Aware Overlay B Portfolio

Tax-Aware Overlay C Portfolio

Tax-Aware Overlay N Portfolio

 

SEMI-ANNUAL REPORT

MARCH 31, 2018

Table of Contents

Table of Contents

 

Portfolio Manager Commentary

     1  
 

Disclosures and Risks

     3  
 

Historical Performance

     9  
 

Expense Example

     12  
 

Portfolio Summary

     13  
 

Schedules of Investments

     14  
 

Statements of Assets and Liabilities

     79  
 

Statements of Operations

     83  
 

Statements of Changes in Net Assets

     85  
 

Financial Highlights

     89  
 

Notes to Financial Statements

     103  
 

Other

     146  

Before investing in any portfolio of the Sanford C. Bernstein Fund, Inc., a prospective investor should consider carefully the portfolio’s investment objectives and policies, charges, expenses and risks. These and other matters of importance to prospective investors are contained in the portfolios’ prospectus, an additional copy of which may be obtained by visiting our website at www.Bernstein.com and clicking on “Investments”, then “Mutual Fund Information—Prospectuses, SAIs and Shareholder Reports” or by calling your financial advisor or by calling Bernstein’s mutual fund shareholder help line at 212.756.4097. Please read the prospectus carefully before investing.

For performance information current to the most recent month-end, please call (collect) 212.486.5800.

You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit www.AllianceBernstein.com or go to the Securities and Exchange Commission’s website at www.sec.gov, or call AllianceBernstein at 800.227.4618.

This shareholder report must be preceded or accompanied by the Sanford C. Bernstein Fund, Inc. prospectus for individuals who are not shareholders of the Fund.

The Fund will file its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the Commission’s website at www.sec.gov. The Fund’s Form N-Q may also be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C.; information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330.

 

Investment Products Offered:    ·  Are Not FDIC Insured  ·  May Lose Value  ·  Are Not Bank Guaranteed

Table of Contents

Portfolio Manager Commentary (Unaudited)

 

To Our Shareholders—May 15, 2018

On the following pages, you will find the 2018 semi-annual report for the Overlay Portfolios1 of the Sanford C. Bernstein Fund, Inc. (collectively, the “Portfolios”, and individually, a “Portfolio”). The semi-annual report covers the six- and 12-month periods ended March 31, 2018, and includes financial statements as well as notes to the financial statements, information about the recent performance of the Portfolios and a listing of each Portfolio’s holdings as of the period end.

Equity market returns decelerated during the six-month period ended March 31, 2018, as volatility resurfaced. Despite this, all regions of the world delivered positive returns for the period, with emerging-market equities remaining the top performer. Reflecting an increase in interest rates, both US taxable and tax-exempt bond returns were slightly negative.

Some slowing of stock returns seemed likely after a very strong 2017, when corporate earnings growth gained momentum and markets responded accordingly. Risk returned in 2018, with a correction in February interrupting the longest and calmest winning streak ever. Concerns about potentially rising inflation and interest rates, as well as risks around tariff wars, spurred heightened volatility, but we believe the global economy is strong enough that markets can withstand increased uncertainty.

Looking ahead, our return expectations remain below long-term averages. In our view, strong 2018 earnings growth has been largely priced in to stocks. We also anticipate that interest rates will climb gradually, potentially leading to subdued bond returns.

If you have any questions about your investments in the Portfolios, please contact your Bernstein Advisor by calling 212.756.4097, or visit www.Bernstein.com. As always, we are firmly dedicated to your investment success. Thank you for your continued interest in the Portfolios.

Sincerely,

Kathleen M. Fisher

President

Sanford C. Bernstein Fund, Inc.

 

1   This performance discussion is intended as a general market commentary. Please note that information for the International, Tax-Managed International, Emerging Markets, New York Municipal, California Municipal, Diversified Municipal, Short Duration Diversified Municipal, Short Duration Plus and Intermediate Duration Portfolios of Sanford C. Bernstein Fund, Inc. may be found in a separate report.

The Portfolios are intended to be used as part of a broader investment program administered directly by Sanford C. Bernstein & Co. LLC. The performance and objectives of the Portfolios should be evaluated only in the context of the investor’s complete investment program. The Portfolios are NOT designed to be used as a stand-alone investment.

Investment Objectives and Policies

The investment objective of the Overlay A and Tax-Aware Overlay A Portfolios is to manage the volatility of an equity-oriented asset allocation over the long term, as part of a Private Client’s overall asset allocation managed by Sanford C. Bernstein & Co. LLC (“Bernstein”). The investment objective of the Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios is to manage the volatility of a fixed-income-oriented asset allocation over the long term, as part of a Private Client’s overall asset allocation managed by Bernstein.

The Portfolios may invest in a diversified portfolio of securities and other financial instruments, including derivative instruments that provide investment exposure to a variety of asset classes. These asset classes may include: equity securities and fixed-income instruments of issuers located within and outside the United States, real estate-related securities, below investment-grade (“high yield”) securities (commonly known as “junk bonds”), currencies and commodities. The Overlay A and Tax-Aware Overlay A Portfolios obtain equity exposure by investing directly in equity securities and through investments in other registered funds, including, but not limited to, other funds managed by AllianceBernstein L.P. (the “Adviser”). By adjusting investment exposure among the various asset classes in the Portfolios, the Adviser seeks to manage the volatility of diversified client portfolios managed by Bernstein that reflect a significant allocation to equity securities, in the case of the Overlay A and Tax-Aware Overlay A Portfolios, and a significant allocation to taxable or municipal fixed-income securities in the case of the Overlay B,

 

(Portfolio Manager Commentary continued on next page)

 

2018 Semi-Annual Report     1  

Table of Contents

Portfolio Manager Commentary (continued)

 

Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios. The Portfolios’ asset class exposures may be implemented and adjusted either through transactions in individual securities or through derivatives.

The Adviser alters asset class exposures as market and economic conditions change. The Adviser employs risk/return tools and fundamental research insights to determine how to adjust the Portfolios’ exposures to various asset classes. These dynamic adjustments to the Portfolios’ asset class exposures are implemented principally through the use of derivatives.

The Adviser also may use exchange-traded funds (“ETFs”), exchange traded notes, structured investments and commodity-linked notes in seeking to carry out the Portfolios’ investment strategies. The Portfolios may enter into foreign currency transactions for hedging and non-hedging purposes on a spot (i.e., cash) basis or through the use of derivatives. An appropriate hedge of currency exposure resulting from the Portfolios’ securities positions may not be available or cost effective, or the Adviser may determine not to hedge the positions, possibly even under market conditions where doing so could benefit the Portfolios. The Portfolios may use options strategies (involving the purchase and/or writing of various combinations of call and/or put options, including on individual securities and stock indexes), futures contracts (including futures contracts on individual securities and stock indexes), swap agreements (including interest rate swaps and currency swaps) or shares of ETFs. These transactions may be used, for example, in an effort to earn extra income, to adjust exposure to individual securities or markets, or to protect all or a portion of the Portfolios from a decline in value, sometimes within certain ranges.

Exposure to certain other asset classes may also be achieved through investments in other AB mutual funds. The Overlay A and Overlay B Portfolios are managed without regard to potential tax consequences to the shareholder. In the case of the Tax-Aware Portfolios, the Adviser will employ tax management strategies in an attempt to reduce the impact of taxes on shareholders in the Portfolios.

 

2   Sanford C. Bernstein Fund, Inc.

Table of Contents

Disclosures and Risks (Unaudited)

 

Benchmark Disclosures

None of the following indices or averages reflects fees and expenses associated with the active management of a mutual fund portfolio. The Standard and Poor’s (“S&P”) 500 Index includes 500 US stocks and is a common representation of the performance of the overall US stock market. The Bloomberg Barclays Global Aggregate Bond Index (USD hedged) represents the performance of the global investment-grade developed fixed-income markets. Bloomberg Barclays 5-Year General Obligation (“GO”) Municipal Bond Index represents the performance of long-term, investment-grade tax-exempt bonds with maturities ranging from four to six years. The Russell 3000 Index measures the performance of the largest 3,000 US public companies representing approximately 98% of the investible US equity market by stock market capitalization. The Morgan Stanley Capital International (“MSCI”) All Country World Index (“ACWI”) ex-USA Investable Markets Index (“IMI”) (net) captures large-, mid- and small-cap representation across 22 of 23 developed-market countries (excluding the US) and 23 emerging-market countries. The MSCI ACWI Commodity Producers Index captures the global opportunity set of commodity producers in the energy, metal and agricultural sectors. Constituents are selected from the equity universe of MSCI ACWI, the parent index, which covers mid- and large-cap securities across 23 developed markets and 23 emerging-markets countries. The Financial Times Stock Exchange® European Public Real Estate Association/National Association of Real Estate Investment Trusts (“FTSE EPRA/NAREIT”) Global Index is a free-float adjusted index designed to track the performance of listed real estate companies and real estate investment trusts (“REITs”) worldwide. The Bloomberg Commodity Index is made up of 22 exchange-traded futures on physical commodities. The Bloomberg Barclays US Aggregate Bond Index represents the performance of securities within the US investment-grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, asset-backed securities, and commercial mortgage-backed securities. The Bloomberg Barclays 1-10 Year US TIPS Index measures the performance of the US Treasury inflation-protected securities market, with maturities between one and ten years. The Bloomberg Barclays 1-10 Year Municipal Bond Index represents the performance of the long-term tax-exempt bond market consisting of investment-grade bonds.

The composite benchmark for a Portfolio is a customized benchmark and uses index returns to represent performance of the asset classes. The Composite Benchmark for Overlay A is 44% Russell 3000, 29.3% MSCI ACWI ex-USA IMI (net), 6.6% MSCI ACWI Commodity Producers (net), 10% Bloomberg Barclays US Aggregate Bond, 10% Bloomberg Barclays Global Aggregate Bond (USD hedged). The Composite Benchmark for Tax-Aware Overlay A is 44.2% Russell 3000, 29.5% MSCI ACWI ex-USA IMI (net), 6.3% MSCI ACWI Commodity Producers (net), 20% Bloomberg Barclays US Aggregate Bond. The Composite Benchmark for Overlay B is 15.8% Russell 3000, 10.8% MSCI ACWI ex-USA IMI (net), 3.3% MSCI ACWI Commodity Producers (net), 24.5% Bloomberg Barclays US Aggregate Bond, 24.5% Bloomberg Barclays Global Aggregate Bond (USD hedged), 21% Bloomberg Barclays 1-10 Year US TIPS. The Composite Benchmark for Tax-Aware Overlay B is 17.9% Russell 3000, 12.1% MSCI ACWI ex-USA IMI (net), 42% Bloomberg Barclays 1-10 Year Municipal Bond, 28% Bloomberg Barclays 1-10 Year US TIPS. The Composite Benchmark for Tax-Aware Overlay C and N is 21% Russell 3000, 9% MSCI ACWI ex-USA IMI (net), 14% Bloomberg Barclays 1-10 Year US TIPS, 56% Bloomberg Barclays 1-10 Year Municipal Bond.

The Russell 3000, MSCI ACWI ex-USA IMI (net) and MSCI ACWI Commodity Producers Index (net) represent the allocation to global stocks. The FTSE EPRA/NAREIT Global Index represents the allocation to real estate. The Bloomberg Commodity, the Bloomberg Barclays US Aggregate Bond,

Bloomberg Barclays 1-10 Year US TIPS, Bloomberg Barclays 1-10 Year Municipal Bond, Bloomberg Barclays Global Aggregate Bond (USD hedged) represent the allocation to bonds.

MSCI makes no express or implied warranties or representations, and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices, any securities or financial products. This report is not approved, reviewed or produced by MSCI. Net returns include the reinvestment of dividends after deduction of non-US withholding tax. Investors cannot invest directly in an index, and their results are not indicative of the performance for any specific investment, including the Portfolios.

Investors cannot invest directly in indices, and their results are not indicative of the performance for any specific investment, including the Portfolios.

 

(Disclosures and Risks continued on next page)

 

2018 Semi-Annual Report     3  

Table of Contents

Disclosures and Risks (continued)

 

A Word About Risk

All Overlay Portfolios:

The share price of the Portfolios will fluctuate and you may lose money. There is no guarantee that the Portfolios will achieve their investment objective.

The Portfolios are intended to be used as part of a broader investment program administered directly by Bernstein. The performance and objectives of the Portfolios should be evaluated only in the context of the Private Client’s complete investment program. Changes in value of the Portfolios may be particularly pronounced because the Portfolios are managed in such a fashion as to affect the investor’s assets subject to that broader investment program. The Portfolios are NOT designed to be used as a stand-alone investment.

Market Risk: The Portfolios are subject to market risk, which is the risk that stock and bond prices in general may decline over short or extended periods. In the past decade, financial markets in the United States, Europe and elsewhere have experienced increased volatility, decreased liquidity and heightened uncertainty. These market conditions may recur from time to time and have an adverse impact on various securities markets. The US government and the Federal Reserve, as well as certain foreign governments and central banks, have taken steps to support financial markets. Other governments have tried to support markets by buying stocks and through other market interventions. Government intervention may not work as intended, particularly if the efforts are perceived by investors as being unlikely to achieve the desired results. The Federal Reserve has reduced its market support activities and has begun raising interest rates. Further Federal Reserve or other US or non-US governmental or central bank actions, including interest rate increases or decreases, could negatively affect financial markets generally, increase market volatility and reduce the value and liquidity of securities in which the Portfolios invest.

Current political uncertainty surrounding the European Union (“EU”) and its membership may increase market volatility. The United Kingdom has voted to withdraw from the EU, and one or more other countries may withdraw from the EU and/or abandon the Euro, the common currency of the EU. The financial instability of some countries in the EU, together with the risk of that financial instability impacting other more stable countries, may increase the risk of investing in companies in Europe and worldwide. In addition, policy and legislative changes in the United States and in other countries are affecting many aspects of financial regulation, and may in some instances contribute to decreased liquidity and increased volatility in the financial markets. The impact of these changes, and the practical implications for market participants, may not be fully known for some time.

Economies and financial markets throughout the world are becoming increasingly interconnected. Economic, financial or political events, trading and tariff arrangements, terrorism, natural disasters and other circumstances in one country or region could have profound impacts on global economies or markets. As a result, whether or not the Portfolios invest in securities of issuers located in or with significant exposure to countries experiencing economic and financial difficulties, the value and liquidity of the Portfolios’ investments may be negatively affected.

Management Risk: The Portfolios are subject to management risk because they are actively managed investment portfolios. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolios, but these techniques, analyses and decisions may not work as intended or may not produce the desired results. The Portfolios do not seek to control risk relative to, or to outperform, a particular securities market benchmark. In some cases, derivatives and other investment techniques may be unavailable or the Adviser may determine not to use them, possibly even under market conditions where their use could benefit the Portfolios. In addition, the Adviser may change the Portfolios’ investment strategies or policies from time to time. Those changes may not lead to the results intended by the Adviser and could have an adverse effect on the value or performance of the Portfolios.

Allocation Risk: The allocation of investments among different global asset classes may have a significant effect on the Portfolios’ net asset value (“NAV”) when one of these asset classes is performing more poorly than others. As direct investments, investments in other funds and derivative positions will be periodically rebalanced to reflect the Adviser’s view of market and economic conditions, there will be transaction costs which may be, over time, significant. In addition, there is a risk that certain asset allocation decisions may not achieve the desired results and, as a result, the Portfolios may incur significant losses.

Derivatives Risk: The Portfolios intend to use derivatives as direct investments to earn income, enhance return and broaden portfolio diversification, which entail greater risk than if used

 

(Disclosures and Risks continued on next page)

 

4   Sanford C. Bernstein Fund, Inc.

Table of Contents

Disclosures and Risks (continued)

 

solely for hedging purposes. In addition to other risks such as the credit risk of the counterparty, derivatives involve the risk that changes in the value of the derivative may not correlate with relevant assets, rates or indices. Derivatives may be illiquid and difficult to price or unwind, and small changes may produce disproportionate losses for the Portfolios. Certain derivatives have the potential for unlimited loss, regardless of the size of the initial investment. Assets required to be set aside or posted to cover or secure derivatives positions may themselves go down in value, and these collateral and other requirements may limit investment flexibility. Some derivatives involve leverage, which can make the Portfolios more volatile and can compound other risks. Use of derivatives may have different tax consequences for the Portfolios than an investment in the underlying security, and such differences may affect the amount, timing and character of income distributed to shareholders. The US government and foreign governments are in the process of adopting and implementing regulations governing derivatives markets, including mandatory clearing of certain derivatives, margin, reporting and registration requirements. The ultimate impact of the regulations remains unclear. Additional regulation may make derivatives more costly, limit their availability or utility, otherwise adversely affect their performance, or disrupt markets.

Leverage Risk: Leverage creates exposure to gains and losses in a greater amount than the dollar amount made in an investment by attempting to enhance return or value without increasing the investment amount. Leverage can magnify the effects of changes in the value of the Portfolios’ investments and make them more volatile. The use of leverage may cause the Portfolios to liquidate portfolio positions when it may not be advantageous to do so.

Liquidity Risk: Liquidity risk exists when particular investments are difficult to purchase or sell, possibly preventing the Portfolios from selling out of these illiquid or relatively less liquid securities at an advantageous price. Over recent years, regulatory changes have led to reduced liquidity in the marketplace, and the capacity of dealers to make markets in fixed-income securities has been outpaced by the growth in the size of the fixed-income markets. Liquidity risk may be magnified in a rising interest rate environment, where the value and liquidity of fixed-income securities generally go down. Derivatives and securities involving substantial market and credit risk tend to involve greater liquidity risk. To the extent the Portfolios invest in municipal securities, the Portfolios are subject to more liquidity risk because the market for municipal securities is generally smaller than many other markets. Illiquid securities and relatively less liquid securities may also be difficult to value.

Redemption Risk: The Portfolios may experience heavy redemptions that could cause the Portfolios to liquidate their assets at inopportune times or at a loss or depressed value, which could cause the value of your investment to decline. Redemption risk is heightened during periods of overall market turmoil.

Foreign (Non-US) Securities Risk: Investments in foreign securities entail significant risks in addition to those customarily associated with investing in US securities. These risks include risks related to adverse market, economic, political and regulatory factors and social instability, all of which could disrupt the financial markets in which the Portfolios invest and adversely affect the value of the Portfolios’ assets.

Emerging-Markets Securities Risk: The risks of investing in foreign (non-US) securities are heightened with respect to issuers in emerging-market countries, because the markets are less developed and less liquid and there may be a greater amount of economic, political and social uncertainty. In addition, the value of the Portfolios’ investments may decline because of factors such as unfavorable or unsuccessful government actions and reduction of government or central bank support.

Foreign Currency Risk: This is the risk that changes in foreign (non-US) currency exchange rates may negatively affect the value of the Portfolios’ investments or reduce the returns of the Portfolios. For example, the value of the Portfolios’ investments in foreign securities and foreign currency positions may decrease if the US dollar is strong (i.e., gaining value relative to other currencies) and other currencies are weak (i.e., losing value relative to the US dollar).

Actions by a Few Major Investors: In certain countries, volatility may be heightened by actions of a few major investors. For example, substantial increases or decreases in cash flows of mutual funds investing in these markets could significantly affect local stock prices and, therefore, share prices of the Portfolios.

Interest Rate Risk: This is the risk that changes in interest rates will affect the value of the Portfolios’ investments in fixed-income debt securities such as bonds and notes. The

 

(Disclosures and Risks continued on next page)

 

2018 Semi-Annual Report     5  

Table of Contents

Disclosures and Risks (continued)

 

Portfolios may be subject to a greater risk of rising interest rates due to the current period of historically low rates and the effect of potential government fiscal policy initiatives and market reaction to those initiatives. Increases in interest rates may cause the value of the Portfolios’ investments to decline and this decrease in value may not be offset by higher income from new investments. The Portfolios may experience increased interest rate risk to the extent it invests in fixed-income securities with longer maturities or durations. A general rise in interest rates may cause investors to move out of fixed-income securities on a large scale, which could adversely affect the price and liquidity of fixed-income securities and could also result in increased redemptions from a Portfolio that invests largely in fixed-income securities.

Credit Risk: This is the risk that the issuer or the guarantor of a debt security, or the counterparty to a derivatives or other contracts, will be unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. The issuer or guarantor may default, potentially causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. The credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security. Investments in fixed-income securities with lower ratings tend to have a higher probability that an issuer will default or fail to meet its payment obligations. At times when credit risk is perceived to be greater, credit “spreads” (i.e., the difference between the yields on lower quality securities and the yields on higher quality securities) may get larger or “widen”. As a result, the values of the lower quality securities may go down more and they may become harder to sell and less liquid.

Duration Risk: Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of the fixed-income security. Fixed-income securities with longer durations have more interest rate risk and will decrease in price as interest rates rise. For example, a fixed-income security with a duration of three years would be expected to decrease in value by approximately 3% if interest rates increase by 1%. Securities that have final maturities longer than their durations may be affected by increased credit spreads to a far greater degree than their durations would suggest, because they are exposed to credit risk until final maturity.

 

Commodity Risk: The value of commodity-linked derivatives, exchange traded notes and exchange traded funds may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.

Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Portfolios’ assets can decline as can the value of the Portfolios’ distributions. This risk is significantly greater for fixed-income securities with longer maturities.

Inflation-Protected Securities Risk: The terms of inflation-protected securities provide for the coupon and/or maturity value to be adjusted based on changes in an inflation index. Decreases in the inflation rate or in investors’ expectations about inflation could cause these securities to underperform non-inflation-adjusted securities on a total-return basis.

Prepayment and Extension Risk: Prepayment risk is the risk that a loan, bond or other security might be called or otherwise converted, prepaid or redeemed before maturity. If this happens, particularly during a time of declining interest rates or credit spreads, the Portfolios will not benefit from the rise in market price that normally accompanies a decline in interest rates, and may not be able to invest the proceeds in securities providing as much income, resulting in a lower yield to the Portfolios. Conversely, extension risk is the risk that as interest rates rise or spreads widen, payments of securities may occur more slowly than anticipated by the market. If this happens, the values of these securities may go down because their interest rates are lower than current market rates and they remain outstanding longer than anticipated.

Lower-rated Securities Risk: Lower-rated securities, or junk bonds/high-yield securities, are subject to greater risk of loss of principal and interest and greater market risk than higher-rated securities. The capacity of issuers of lower-rated securities to pay interest and repay principal is more likely to weaken than is that of issuers of higher-rated securities in times of deteriorating economic conditions or rising interest rates.

Real Estate Related Securities Risk: Investing in real estate related securities includes, among others, the following risks: possible declines in the value of real estate; risks related to general and local economic conditions, including increases in

 

(Disclosures and Risks continued on next page)

 

6   Sanford C. Bernstein Fund, Inc.

Table of Contents

Disclosures and Risks (continued)

 

the rate of inflation; possible lack of availability of mortgage funds; overbuilding; extended vacancies of properties; increases in competition, property taxes and operating expenses; changes in zoning laws; costs resulting from the clean-up of, and liability to third parties for damages resulting from, environmental problems; casualty or condemnation losses; uninsured damages from floods, earthquakes or other natural disasters; limitations on and variations in rents; and changes in interest rates. Investing in REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by changes in the value of the underlying property owned by the REITs, while mortgage REITs may be affected by the quality of any credit extended. REITs are dependent upon management skills, are not diversified, and are subject to heavy cash flow dependency, default by borrowers and self-liquidation. Investing in REITs also involves risks similar to those associated with investing in small-capitalization companies. REITs may have limited financial resources, may trade less frequently and in a limited volume and may be subject to more abrupt or erratic price movements than larger company securities.

Investment in Other Investment Companies Risk: As with other investments, investments in other investment companies, including other AB Mutual Funds and ETFs, are subject to market and selection risk. In addition, if the Portfolios acquire shares of investment companies, shareholders bear both their proportionate share of expenses in the Portfolios (including management and advisory fees) and, indirectly, the expenses of the investment companies.

Portfolio Turnover Risk: Some or all of the strategies utilized by the Portfolios may involve frequent and active trading. This trading may increase the Portfolios’ rate of turnover and the incidence of short-term capital gain taxable as ordinary income. A higher rate of portfolio turnover may increase transaction costs, which must be borne by the Portfolios and their shareholders.

Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios

Municipal Market Risk: This is the risk that special factors may adversely affect the value of municipal securities and have a significant effect on the yield or value of the Portfolios’ investments in municipal securities. These factors include economic conditions, political or legislative changes, uncertainties related to the tax status of municipal securities, or the rights of investors in these securities. The value of municipal securities may also be adversely affected by rising health care costs, increasing unfunded pension liabilities, and by the phasing out of federal programs providing financial support. In recent periods an increasing number of municipal issuers have defaulted on obligations, been downgraded or commenced insolvency proceedings. Financial difficulties of municipal issuers may continue or get worse. To the extent the Portfolios invest in a particular state’s municipal securities, they may be vulnerable to events adversely affecting that state, including economic, political and regulatory occurrences, court decisions, terrorism and catastrophic natural disasters, such as hurricanes and earthquakes. The Portfolios’ investments in certain municipal securities with principal and interest payments that are made from the revenues of a specific project or facility, and not general tax revenues, are subject to the risk that factors affecting the project or facility, such as local business or economic conditions, could have a significant effect on the project’s ability to make payments of principal and interest on these securities.

In addition, recent tax law changes could have a material impact on the value of municipal securities. Changes in tax rates or the treatment of income from certain types of municipal securities, among other things, could negatively affect the municipal securities markets.

The Portfolios may invest in municipal securities of issuers in Puerto Rico or other US territories and their governmental agencies and municipalities, which are exempt from federal, state, and, where applicable, local income taxes. These municipal securities may have more risks than those of other US issuers of municipal securities. Like many US states and municipalities, Puerto Rico experienced a significant downturn during the recent recession. Puerto Rico’s downturn was particularly severe, and Puerto Rico continues to face a very challenging economic and fiscal environment. If the general economic situation in Puerto Rico continues to persist or worsens, the volatility and credit quality of Puerto Rican municipal securities could continue to be adversely affected, and the market for such securities may deteriorate further.

Tax Risk: There is no guarantee that the income on the Portfolios’ municipal securities will be exempt from regular federal income, and if applicable, state income taxes. Unfavorable legislation, adverse interpretations by federal or state authorities, litigation or noncompliant conduct by the issuer of a municipal security could affect the tax-exempt status of municipal securities. If the Internal Revenue Service

 

(Disclosures and Risks continued on next page)

 

2018 Semi-Annual Report     7  

Table of Contents

Disclosures and Risks (continued)

 

or a state authority determines that an issuer of a municipal security has not complied with applicable requirements, interest from the security could become subject to regular federal income tax and/or state personal income tax, possibly retroactively to the date the security was issued, the value of the security could decline significantly, and a portion of the distributions to Portfolio shareholders could be recharacterized as taxable. The US Congress has considered changes to US federal tax law that would, if enacted, have a negative impact on certain types of municipal securities, such as private activity bonds, or would otherwise make investments in municipal bonds less attractive.

Overlay A, Tax-Aware Overlay A, Overlay B and Tax-Aware Overlay B Portfolios

Subordination Risk: The Portfolios may invest in securities that are subordinated to more senior securities of an issuer, or which represent interests in pools of such subordinated securities. Subordinated securities will be disproportionately affected by a default or even a perceived decline in creditworthiness of the issuer. Subordinated securities are more likely to suffer a credit loss than non-subordinated securities of the same issuer, any loss incurred by the subordinated securities is likely to be proportionately greater, and any recovery of interest or principal may take more time.

Overlay B and Tax-Aware Overlay B Portfolios:

Mortgage-Related Securities Risk: Mortgage-related securities represent interests in “pools” of mortgages, including consumer loans or receivables held in trust. Mortgage-related securities are subject to credit, interest rate, prepayment and extension risks. These securities also are subject to risk of default on the underlying mortgage, particularly during periods of economic downturn. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-related securities.

These risks are discussed in further detail in the Portfolios’ prospectus.

An Important Note About Historical Performance

Except as noted, returns do not reflect the deduction of taxes that a shareholder would pay on portfolio distributions or the redemption of portfolio shares. All fees and expenses related to the operation of the Portfolios have been deducted.

The performance shown in this report represents past performance and does not guarantee future results. Performance information is as of the dates shown. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by calling 212.756.4097. The investment return and principal value of an investment in the Portfolios will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance assumes reinvestment of distributions and does not account for taxes.

Investors should consider the investment objectives, risks, charges and expenses of the Portfolios carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit www.Bernstein.com, click on “Investments”, then “Mutual Fund Information—Prospectuses, SAIs and Shareholder Reports”, or call Bernstein’s mutual fund shareholder help line at 212.756.4097 or contact your Bernstein Advisor. Please read the prospectus and/or summary prospectus carefully before investing.

 

8   Sanford C. Bernstein Fund, Inc.

Table of Contents

Historical Performance (Unaudited)

 

Overlay Portfolios vs. Their Benchmarks

 

     TOTAL RETURNS     AVERAGE ANNUAL TOTAL  RETURNS  
THROUGH MARCH 31, 2018    PAST SIX
MONTHS		     PAST 12
MONTHS		     PAST FIVE
YEARS		    

SINCE

INCEPTION 1

  

Overlay A Portfolio Class 1

      4.83 %      12.70 %      6.76 %      7.16 % 

Return after taxes on Distributions2

      4.51       12.35       6.06       6.37  

Return after taxes on Distributions and sale of shares2

      3.00       7.47       5.18       5.56  

Overlay A Portfolio Class 2

      4.91       12.94       6.98       7.37  

Return after taxes on Distributions2

      4.53       12.53       6.23       6.53  

Return after taxes on Distributions and sale of shares2

      3.09       7.66       5.35       5.72  

Composite Benchmark

      4.22       12.73       7.95       9.08  

Prior Composite Benchmark3

      4.28       12.61       8.19       9.35  

S&P 500 Index

      5.84       13.99       13.31       14.28  
                                  

Tax-Aware Overlay A Portfolio Class 1

      4.56       12.29       7.12       6.95  

Return after taxes on Distributions2

      3.84       11.52       6.40       6.40  

Return after taxes on Distributions and sale of shares2

      2.92       7.31       5.48       5.51  

Tax-Aware Overlay A Portfolio Class 2

      4.65       12.61       7.33       7.17  

Return after taxes on Distributions2

      3.86       11.76       6.57       6.58  

Return after taxes on Distributions and sale of shares2

      2.99       7.53       5.65       5.69  

Composite Benchmark

      3.87       12.12       8.02       9.19  

Prior Composite Benchmark3

      3.92       12.00       8.27       9.46  

S&P 500 Index

      5.84       13.99       13.31       14.28  
                                  

Overlay B Portfolio Class 1

      1.75       5.78       3.77       4.79  

Return after taxes on Distributions2

      0.83       4.83       2.29       3.53  

Return after taxes on Distributions and sale of shares2

      1.07       3.36       2.31       3.29  

Overlay B Portfolio Class 2

      1.83       6.06       3.93       4.94  

Return after taxes on Distributions2

      0.84       5.03       2.40       3.64  

Return after taxes on Distributions and sale of shares2

      1.12       3.52       2.41       3.39  

Composite Benchmark

      1.93       6.48       3.61       5.04  

Prior Composite Benchmark3

      1.94       6.44       3.68       5.13  

Bloomberg Barclays Global Aggregate Bond Index (USD hedged)

      0.68       2.46       2.91       3.65  

See Disclosures, Risks and Note about Historical Performance on pages 3–8.

(Historical Performance and footnotes continued on next page)

 

2018 Semi-Annual Report     9  

Table of Contents

Historical Performance (continued from previous page)

 

     TOTAL RETURNS     AVERAGE ANNUAL TOTAL  RETURNS  
THROUGH MARCH 31, 2018    PAST SIX
MONTHS		     PAST 12
MONTHS		     PAST FIVE
YEARS		    

SINCE

INCEPTION 1

  

Tax-Aware Overlay B Portfolio Class 1

      0.96 %      4.88 %      3.56 %      4.45 % 

Return after taxes on Distributions2

      0.01       3.89       2.61       3.74  

Return after taxes on Distributions and sale of shares2

      1.34       3.59       2.64       3.46  

Tax-Aware Overlay B Portfolio Class 2

      1.02       5.03       3.73       4.60  

Return after taxes on Distributions2

      0.05       4.03       2.76       3.88  

Return after taxes on Distributions and sale of shares2

      1.42       3.72       2.78       3.60  

Composite Benchmark

      1.20       5.06       3.86       5.28  

Prior Composite Benchmark3

      1.22       5.02       3.95       5.38  

Bloomberg Barclays 5-Year GO Municipal Bond Index

      -1.39       0.40       1.38       2.32  
                                  

Tax-Aware Overlay C Portfolio Class 1

      1.14       5.07       3.49       4.37  

Return after taxes on Distributions2

      0.21       4.11       2.55       3.65  

Return after taxes on Distributions and sale of shares2

      1.39       3.64       2.55       3.36  

Tax-Aware Overlay C Portfolio Class 2

      1.20       5.22       3.65       4.53  

Return after taxes on Distributions2

      0.26       4.24       2.69       3.79  

Return after taxes on Distributions and sale of shares2

      1.47       3.77       2.69       3.50  

Composite Benchmark

      1.22       5.02       3.95       5.38  

Bloomberg Barclays 5-Year GO Municipal Bond Index

      -1.39       0.40       1.38       2.32  
                                  

Tax-Aware Overlay N Portfolio Class 1

      1.02       4.97       3.61       4.37  

Return after taxes on Distributions2

      0.07       3.99       2.64       3.63  

Return after taxes on Distributions and sale of shares2

      1.33       3.60       2.64       3.36  

Tax-Aware Overlay N Portfolio Class 2

      1.08       5.02       3.75       4.52  

Return after taxes on Distributions2

      0.11       4.02       2.77       3.77  

Return after taxes on Distributions and sale of shares2

      1.41       3.67       2.76       3.50  

Composite Benchmark

      1.22       5.02       3.95       5.38  

Bloomberg Barclays 5-Year GO Municipal Bond Index

      -1.39       0.40       1.38       2.32  

 

     The current prospectus fee table shows the total operating expense ratios for Class 1 and Class 2 shares as 1.44% and 1.24% for Overlay A; 1.43% and 1.23% for Tax-Aware Overlay A; 0.90% and 0.75% for Overlay B; 0.86% and 0.71% for Tax-Aware Overlay B; 0.90% and 0.75% for Tax-Aware Overlay C; and 0.91% and 0.76% for Tax-Aware Overlay N. Contractual fee waivers and/or expense reimbursements limit the Portfolios’ annual operating expense ratios to 1.14% and 0.94% for Overlay A; 1.13% and 0.93% for Tax-Aware Overlay A; 0.87% and 0.72% for Overlay B; 0.84% and 0.69% for Tax-Aware Overlay B; 0.89% and 0.74% for Tax-Aware Overlay C; 0.90% and 0.75% for Tax-Aware Overlay N. These waivers will remain in effect until January 26, 2019. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.

 

     Over both periods, the DAA Overlays added to volatility for both Portfolios. For the 60/40, the Overlays added to the Portfolio performance by 0.04% over the six-month period and by 0.19% over the 12-month period. However, for the 30/70, the Overlays detracted from the Portfolio performance by 0.10% over the six-month period and by 0.05% over the 12-month period.

 

     There are no sales charges associated with an investment in the Bernstein funds. Total returns and average annual returns are therefore the same. The Portfolios are not stand alone Portfolios and are used only in conjunction with globally diversified Private Client portfolios.

 

1   Inception date: 2/8/2010.

 

2   After-tax returns are an estimate, which is based on the highest historical individual federal marginal income-tax rates, and do not reflect the impact of state and local taxes; actual after-tax returns depend on an individual investor’s tax situation and are likely to differ from those shown, and are not relevant to investors who hold Portfolio shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts.

 

3   Prior to March 1, 2018, the Portfolios’ Composite Benchmarks were as follows: Overlay A, 47.7% Russell 3000, 25.7% MSCI ACWI ex-USA IMI, 6.6% MSCI ACWI Commodity Producers, 10% Bloomberg Barclays US Aggregate, 10% Bloomberg Barclays Global Aggregate (USD hedged); Tax-Aware Overlay A, 47.9% Russell 3000, 25. 8% MSCI ACWI ex-USA IMI, 6.3% MSCI ACWI Commodity Producers, 20% Bloomberg Barclays US Aggregate; Overlay B, 17.1% Russell 3000, 9.6% MSCI ACWI ex-USA IMI, 3.3% MSCI ACWI Commodity Producers, 24.5% Bloomberg Barclays US Aggregate, 24.5% Bloomberg Barclays Global Aggregate Bond (USD hedged), 21% Bloomberg Barclays 1-10 Year US TIPS; Tax-Aware Overlay B, 19.3% Russell 3000, 10.7% MSCI ACWI ex-USA IMI, 42% Bloomberg Barclays 1-10 Year Municipal Bond Index, 28% Bloomberg Barclays 1-10 Year US TIPS.

See Disclosures, Risks and Note about Historical Performance on pages 3–8.

(Historical Performance continued on next page)

 

10   Sanford C. Bernstein Fund, Inc.

Table of Contents

Historical Performance (continued from previous page)

 

Overlay A Class 1 Shares       Tax-Aware Overlay A Class 1 Shares

Growth of a $25,000 Investment in the Portfolio

    

Growth of a $25,000 Investment in the Portfolio

LOGO

   

LOGO

   
Overlay B Class 1 Shares       Tax-Aware Overlay B Class 1 Shares

Growth of a $25,000 Investment in the Portfolio

    

Growth of a $25,000 Investment in the Portfolio

LOGO

   

LOGO

   
Tax-Aware Overlay C Class 1 Shares       Tax-Aware Overlay N Class 1 Shares

Growth of a $25,000 Investment in the Portfolio

    

Growth of a $25,000 Investment in the Portfolio

LOGO

   

LOGO

 

 

     Each chart illustrates the total value of an assumed $25,000 investment as compared to the performance of each Portfolio’s respective benchmark and composite benchmark for the period since inception on February 8, 2010 through March 31, 2018.

See Disclosures, Risks and Note about Historical Performance on pages 3–8.

 

2018 Semi-Annual Report     11  

Table of Contents

Expense Example—March 31, 2018 (Unaudited)

 

Fund Expenses—As a shareholder of a Portfolio, you incur various ongoing costs, including management fees and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.

Actual Expenses—The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes—The second line of the table below provides information about hypothetical account values and hypothetical expenses based on a Portfolio’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

      BEGINNING
ACCOUNT VALUE
OCTOBER 1, 2017		      ENDING
ACCOUNT VALUE
MARCH 31, 2018		      EXPENSES
PAID DURING
PERIOD*		      ANNUALIZED
EXPENSE
RATIO*		      TOTAL
EXPENSES
PAID  DURING
PERIOD+		      TOTAL
ANNUALIZED
EXPENSE
RATIO+		  

Overlay A

                  

Class 1

                  

Actual

    $ 1,000      $ 1,048.30      $ 4.09        0.80 %     $ 5.87        1.15 % 

Hypothetical**

    $ 1,000      $ 1,020.94      $ 4.03        0.80 %     $ 5.79        1.15 % 

Class 2

                  

Actual

    $ 1,000      $ 1,049.10      $ 3.07        0.60 %     $ 4.85        0.95 % 

Hypothetical**

    $ 1,000      $ 1,021.94      $ 3.02        0.60 %     $ 4.78        0.95 % 

Tax-Aware Overlay A

                  

Class 1

                  

Actual

    $ 1,000      $ 1,045.60      $ 4.03        0.79 %     $ 5.71        1.12 % 

Hypothetical**

    $ 1,000      $ 1,020.99      $ 3.98        0.79 %     $ 5.64        1.12 % 

Class 2

                  

Actual

    $ 1,000      $ 1,046.50      $ 3.01        0.59 %     $ 4.69        0.92 % 

Hypothetical**

    $ 1,000      $ 1,021.99      $ 2.97        0.59 %     $ 4.64        0.92 % 

Overlay B

                  

Class 1

                  

Actual

    $ 1,000      $ 1,017.50      $ 4.12        0.82 %     $ 4.43        0.88 % 

Hypothetical**

    $ 1,000      $ 1,020.84      $ 4.13        0.82 %     $ 4.43        0.88 % 

Class 2

                  

Actual

    $ 1,000      $ 1,018.30      $ 3.37        0.67 %     $ 3.67        0.73 % 

Hypothetical**

    $ 1,000      $ 1,021.59      $ 3.38        0.67 %     $ 3.68        0.73 % 

Tax-Aware Overlay B

                  

Class 1

                  

Actual

    $ 1,000      $ 1,009.60      $ 4.11        0.82 %     $ 4.26        0.85 % 

Hypothetical**

    $ 1,000      $ 1,020.84      $ 4.13        0.82 %     $ 4.28        0.85 % 

Class 2

                  

Actual

    $ 1,000      $ 1,010.20      $ 3.36        0.67 %     $ 3.51        0.70 % 

Hypothetical**

    $ 1,000      $ 1,021.59      $ 3.38        0.67 %     $ 3.53        0.70 % 

Tax-Aware Overlay C

                  

Class 1

                  

Actual

    $ 1,000      $ 1,011.40      $ 4.26        0.85 %     $ 4.46        0.89 % 

Hypothetical**

    $ 1,000      $ 1,020.69      $ 4.28        0.85 %     $ 4.48        0.89 % 

Class 2

                  

Actual

    $ 1,000      $ 1,012.00      $ 3.51        0.70 %     $ 3.71        0.74 % 

Hypothetical**

    $ 1,000      $ 1,021.44      $ 3.53        0.70 %     $ 3.73        0.74 % 

Tax-Aware Overlay N

                  

Class 1

                  

Actual

    $ 1,000      $ 1,010.20      $ 4.36        0.87 %     $ 4.51        0.90 % 

Hypothetical**

    $ 1,000      $ 1,020.59      $ 4.38        0.87 %     $ 4.53        0.90 % 

Class 2

                  

Actual

    $ 1,000      $ 1,010.80      $ 3.61        0.72 %     $ 3.76        0.75 % 

Hypothetical**

    $ 1,000      $ 1,021.34      $ 3.63        0.72 %     $ 3.78        0.75 % 

 

*   Expenses are equal to each classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the since inception period).

 

**   Assumes 5% annual return before expenses.

 

+   In connection with the Portfolios’ investments in affiliated/unaffiliated underlying portfolios, the Portfolios incur no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated/unaffiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Portfolios in an amount equal to the Portfolios’ pro rata share of certain acquired fund fees and expenses of the affiliated underlying portfolios. The Portfolios’ total expenses are equal to the classes’ annualized expense ratio plus the Portfolios’ pro rata share of the weighted average expense ratio of the affiliated/unaffiliated underlying portfolios in which it invests, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

 

12   Sanford C. Bernstein Fund, Inc.

Table of Contents

Portfolio Summary—March 31, 2018 (Unaudited)

 

PORTFOLIO BREAKDOWN1    OVERLAY A
PORTFOLIO		      TAX-AWARE  OVERLAY A
PORTFOLIO		  

Global Equity

      

US

      36.1 %       36.2 % 

Developed International

      27.2 %       27.2 % 

Emerging Markets

      9.3 %       9.3 % 

Real Assets

      6.7 %       6.4 % 

Global Bond

      

US

      16.6 %       20.7 % 

Developed International

      6.2 %       0.0 % 
PORTFOLIO BREAKDOWN1    OVERLAY B
PORTFOLIO		      TAX-AWARE OVERLAY B
PORTFOLIO		  

Global Equity

      

US

      12.8 %       14.8 % 

Developed International

      9.8 %       10.7 % 

Emerging Markets

      3.4 %       3.7 % 

Global Credit

      

Investment Grade

      8.9 %       0.0 % 

Real Assets

      3.3 %       0.0 % 

Global Bond

      

US

      41.1 %       68.9 % 

Developed International

      15.8 %       0.0 % 

Linkers

      19.8 %       0.0 % 
PORTFOLIO BREAKDOWN1    TAX-AWARE OVERLAY  C
PORTFOLIO		      TAX-AWARE OVERLAY N
PORTFOLIO		  

Global Equity

      

US

      14.8 %       14.9 % 

Developed International

      10.7 %       10.8 % 

Emerging Markets

      3.7 %       3.8 % 

Real Assets

      0.0 %       0.0 % 

Global Bond

      

US

      67.5 %       70.4 % 

 

1   All data are as of March 31, 2018. The Portfolios’ portfolio breakdown includes derivative exposure and is expressed as approximate percentages of the Portfolios’ total net assets, based on the Adviser’s internal classification. The percentages will vary over time, and the total of the percentages may be less than or great than 100% in light of the leveraging effect of the derivative transactions.

 

2018 Semi-Annual Report     13  

Table of Contents

Schedule of Investments

 

Sanford C. Bernstein Fund, Inc.

Schedule of Investments

Overlay A Portfolio

March 31, 2018 (Unaudited)

 

Company   Shares     U.S. $ Value  
INVESTMENT COMPANIES–48.4%  
Funds and Investment Trusts–48.4%(a)  

AB All Market Real Return Portfolio–Class Z(b)

     17,269,994     $ 150,594,344  

Bernstein Fund, Inc.–International Small Cap Portfolio–Class Z(b)

     7,737,014       101,277,519  

Bernstein Fund, Inc.–International Strategic Equities Portfolio–Class Z(b)

     25,254,417       333,105,762  

Bernstein Fund, Inc.–Small Cap Core Portfolio–Class Z(b)

     3,553,085       42,068,526  

Sanford C Bernstein Fund, Inc.–International Portfolio–Class Z(b)

     10,093,633       184,107,870  

Sanford C. Bernstein Fund, Inc.–Emerging Markets Portfolio–Class Z(b)

     1,366,308       45,962,606  

SPDR S&P 500 ETF Trust

     851,543       224,083,541  
   

 

 

  
Total Investment Companies
(cost $942,197,071)		       1,081,200,168  
   

 

 

  
   
 
COMMON STOCKS–44.2%  
Information Technology–11.9%  
Communications Equipment–0.7%    

Arista Networks, Inc.(c)

     1,500       382,950  

Ciena Corp.(c)

     16,800       435,120  

Cisco Systems, Inc.

     245,227       10,517,786  

Finisar Corp.(c)

     17,000       268,770  

Infinera Corp.(c)

     28,560       310,162  

Nokia Oyj (Sponsored ADR)–Class A

     709,901       3,883,158  
   

 

 

  
      15,797,946  
   

 

 

  
Electronic Equipment, Instruments & Components–0.5%  

Anixter International, Inc.(c)

     6,950       526,463  

Avnet, Inc.

     10,830       452,261  

CDW Corp./DE

     113,379       7,971,677  

National Instruments Corp.

     10,640       538,065  

Sanmina Corp.(c)

     9,160       239,534  

VeriFone Systems, Inc.(c)

     24,440       375,887  
   

 

 

  
      10,103,887  
   

 

 

  
Internet Software & Services–3.4%    

2U, Inc.(c)

     6,110       513,423  

Alphabet, Inc.–Class C(c)(d)

     38,499       39,722,883  

Dropbox, Inc.–Class A(c)

     5,851       182,844  

eBay, Inc.(c)

     149,121       6,000,629  

Facebook, Inc.–Class A(c)

     172,267       27,526,544  

GrubHub, Inc.(c)

     5,560       564,173  

LogMeIn, Inc.

     5,260       607,793  

New Relic, Inc.(c)

     6,858       508,315  

Nutanix, Inc.–Class A(c)

     9,150       449,357  

Trade Desk, Inc. (The)–Class A(c)

     9,075       450,301  
   

 

 

  
      76,526,262  
   

 

 

  
IT Services–1.3%    

Amdocs Ltd.

     6,360     $ 424,339  

Booz Allen Hamilton Holding Corp.

     14,360       556,019  

Genpact Ltd.

     14,650       468,654  

Total System Services, Inc.

     81,658       7,043,819  

Visa, Inc.–Class A

     172,630       20,650,001  

Worldpay, Inc.–Class A(c)

     7,514       617,951  
   

 

 

  
      29,760,783  
   

 

 

  
Semiconductors & Semiconductor Equipment–1.6%    

Cypress Semiconductor Corp.

     26,470       448,931  

Intel Corp.

     219,891       11,451,924  

Marvell Technology Group Ltd.

     26,180       549,780  

Mellanox Technologies Ltd.(c)

     5,300       386,105  

Qorvo, Inc.(c)

     3,245       228,610  

Texas Instruments, Inc.

     105,128       10,921,748  

Xilinx, Inc.

     153,725       11,105,094  
   

 

 

  
      35,092,192  
   

 

 

  
Software–2.3%    

Adobe Systems, Inc.(c)

     27,081       5,851,662  

ANSYS, Inc.(c)

     2,620       410,528  

Aspen Technology, Inc.(c)

     6,007       473,892  

Guidewire Software, Inc.(c)

     6,072       490,800  

HubSpot, Inc.(c)

     4,140       448,362  

Microsoft Corp.

     258,165       23,562,719  

Oracle Corp.(d)

     383,712       17,554,824  

Splunk, Inc.(c)

     7,664       754,061  

Take-Two Interactive Software, Inc.(c)

     5,201       508,554  

Tyler Technologies, Inc.(c)

     3,000       632,880  

Verint Systems, Inc.(c)

     12,465       531,009  
   

 

 

  
      51,219,291  
   

 

 

  
Technology Hardware, Storage & Peripherals–2.1%    

Apple, Inc.

     205,868       34,540,533  

HP, Inc.

     286,710       6,284,683  

NCR Corp.(c)

     15,626       492,532  

Pure Storage, Inc.–Class A(c)

     28,900       576,555  

Xerox Corp.

     210,272       6,051,628  
   

 

 

  
      47,945,931  
   

 

 

  
      266,446,292  
   

 

 

  
   
 
Financials–7.2%  
Banks–4.0%  

Associated Banc-Corp.

     19,350       480,848  

Bank of America Corp.

     873,652       26,200,823  

Cadence BanCorp

     13,770       374,957  

Citigroup, Inc.

     213,944       14,441,220  

Comerica, Inc.

     6,010       576,539  

Fulton Financial Corp.

     21,960       389,790  

Huntington Bancshares, Inc./OH

     31,640       477,764  

JPMorgan Chase & Co.

     223,170       24,542,005  

Sterling Bancorp/DE

     14,390       324,495  

SVB Financial Group(c)

     2,937       704,909  

Synovus Financial Corp.

     8,670       432,980  

Texas Capital Bancshares, Inc.(c)

     4,810       432,419  

 

14   Sanford C. Bernstein Fund, Inc.

Table of Contents
     
Company   Shares     U.S. $ Value  

Umpqua Holdings Corp.

     20,380     $ 436,336  

Webster Financial Corp.

     8,771       485,913  

Wells Fargo & Co.(d)

     337,061       17,665,367  

Wintrust Financial Corp.

     4,670       401,854  

Zions Bancorporation

     13,050       688,126  
   

 

 

  
      89,056,345  
   

 

 

  
Capital Markets–1.0%    

Affiliated Managers Group, Inc.

     2,755       522,293  

Goldman Sachs Group, Inc. (The)

     48,705       12,266,841  

Lazard Ltd.–Class A

     11,377       597,975  

S&P Global, Inc.

     48,812       9,326,021  

Stifel Financial Corp.

     9,211       545,568  
   

 

 

  
      23,258,698  
   

 

 

  
Consumer Finance–0.4%    

OneMain Holdings, Inc.(c)

     10,230       306,286  

Synchrony Financial

     232,719       7,803,068  
   

 

 

  
      8,109,354  
   

 

 

  
Insurance–1.8%    

American Financial Group, Inc./OH

     5,412       607,335  

American International Group, Inc.

     172,071       9,364,104  

Everest Re Group Ltd.

     36,754       9,439,162  

First American Financial Corp.

     6,010       352,667  

FNF Group

     117,114       4,686,902  

Hanover Insurance Group, Inc. (The)

     2,550       300,619  

Old Republic International Corp.

     21,180       454,311  

Progressive Corp. (The)

     216,064       13,164,780  

Reinsurance Group of America, Inc.–Class A

     4,710       725,340  

Selective Insurance Group, Inc.

     6,390       387,873  

Validus Holdings Ltd.

     4,920       331,854  
   

 

 

  
      39,814,947  
   

 

 

  
Thrifts & Mortgage Finance–0.0%    

BankUnited, Inc.

     12,210       488,156  

Essent Group Ltd.(c)

     8,989       382,572  
   

 

 

  
      870,728  
   

 

 

  
        161,110,072  
   

 

 

  
   
     
Health Care–7.1%                
Biotechnology–1.1%  

Aimmune Therapeutics, Inc.(c)

     5,840       185,887  

Ascendis Pharma A/S (ADR)(c)

     3,105       203,067  

Avexis, Inc.(c)

     1,990       245,924  

BeiGene Ltd. (ADR)(c)

     1,214       203,952  

Biogen, Inc.(c)

     38,146       10,445,138  

Biohaven Pharmaceutical Holding Co., Ltd.(c)

     6,771       174,421  

Bluebird Bio, Inc.(c)

     1,360       232,220  

Blueprint Medicines Corp.(c)

     3,143       288,213  

Clovis Oncology, Inc.(c)

     4,050       213,840  

Exact Sciences Corp.(c)

     10,876       438,629  

Gilead Sciences, Inc.

     123,724       9,327,552  

Loxo Oncology, Inc.(c)

     2,353       271,466  

Madrigal Pharmaceuticals, Inc.(c)

     1,230       143,652  

Neurocrine Biosciences, Inc.(c)

     5,640       467,725  
Company   Shares     U.S. $ Value  

Prothena Corp. PLC(c)

     4,290     $ 157,486  

Sage Therapeutics, Inc.(c)

     1,778       286,383  

TESARO, Inc.(c)

     1,886       107,766  

Ultragenyx Pharmaceutical, Inc.(c)

     3,513       179,128  
   

 

 

  
      23,572,449  
   

 

 

  
Health Care Equipment & Supplies–1.0%    

Edwards Lifesciences Corp.(c)

     71,442       9,967,588  

Intuitive Surgical, Inc.(c)

     11,578       4,779,746  

Medtronic PLC

     83,078       6,664,517  

Nevro Corp.(c)

     5,524       478,765  

Penumbra, Inc.(c)

     4,393       508,050  
   

 

 

  
      22,398,666  
   

 

 

  
Health Care Providers & Services–2.8%    

Aetna, Inc.

     82,694       13,975,286  

Anthem, Inc.

     37,822       8,309,493  

Cigna Corp.

     42,695       7,161,659  

LifePoint Health, Inc.(c)

     8,150       383,050  

McKesson Corp.

     51,162       7,207,191  

Molina Healthcare, Inc.(c)

     5,350       434,313  

Quest Diagnostics, Inc.

     89,033       8,930,010  

UnitedHealth Group, Inc.

     69,949       14,969,086  

WellCare Health Plans, Inc.(c)

     2,050       396,942  
   

 

 

  
      61,767,030  
   

 

 

  
Health Care Technology–0.3%    

Cerner Corp.(c)

     119,099       6,907,742  

Teladoc, Inc.(c)

     18,420       742,326  
   

 

 

  
      7,650,068  
   

 

 

  
Life Sciences Tools & Services–0.0%    

ICON PLC(c)

     9,277       1,095,985  
   

 

 

  
Pharmaceuticals–1.9%    

GW Pharmaceuticals PLC (ADR)(c)

     1,299       146,358  

Johnson & Johnson

     79,194       10,148,711  

Merck & Co., Inc.

     182,449       9,937,997  

Pfizer, Inc.

     366,522       13,007,866  

Revance Therapeutics, Inc.(c)

     5,156       158,805  

Zoetis, Inc.

     106,955       8,931,812  
   

 

 

  
      42,331,549  
   

 

 

  
        158,815,747  
   

 

 

  
   
     
Consumer Discretionary–4.8%                
Auto Components–0.4%  

Cooper-Standard Holdings, Inc.(c)

     4,383       538,276  

Dana, Inc.

     10,910       281,042  

Lear Corp.

     1,515       281,926  

Magna International, Inc. (New York)–Class A

     147,751       8,325,769  

Tenneco, Inc.

     3,840       210,701  
   

 

 

  
      9,637,714  
   

 

 

  
Diversified Consumer Services–0.1%  

Bright Horizons Family Solutions, Inc.(c)

     6,709       669,021  

Chegg, Inc.(c)

     21,495       444,087  

Grand Canyon Education, Inc.(c)

     6,787       712,092  

 

2018 Semi-Annual Report     15  

Table of Contents

Schedule of Investments (continued)

 

     
Company   Shares     U.S. $ Value  

Houghton Mifflin Harcourt Co.(c)

     27,982     $ 194,475  

Sotheby’s(c)

     9,840       504,890  
   

 

 

  
      2,524,565  
   

 

 

  
Hotels, Restaurants & Leisure–0.4%  

Bloomin’ Brands, Inc.

     22,640       549,699  

Brinker International, Inc.

     7,689       277,573  

Hilton Grand Vacations, Inc.(c)

     14,858       639,191  

McDonald’s Corp.

     37,992       5,941,189  

Norwegian Cruise Line Holdings Ltd.(c)

     6,030       319,409  

Planet Fitness, Inc.(c)

     17,918       676,763  

Vail Resorts, Inc.

     1,460       323,682  
   

 

 

  
      8,727,506  
   

 

 

  
Household Durables–0.0%  

Lennar Corp.–Class A

     9,767       575,667  
   

 

 

  
Internet & Direct Marketing Retail–0.0%  

Wayfair, Inc.–Class A(c)

     4,460       301,184  
   

 

 

  
Media–1.5%  

CBS Corp.–Class B

     128,366       6,596,729  

Comcast Corp.–Class A

     499,746       17,076,321  

Scholastic Corp.

     7,080       274,987  

Walt Disney Co. (The)(d)

     81,073       8,142,972  
   

 

 

  
      32,091,009  
   

 

 

  
Multiline Retail–0.0%  

Ollie’s Bargain Outlet Holdings, Inc.(c)

     8,559       516,108  
   

 

 

  
Specialty Retail–1.8%  

Burlington Stores, Inc.(c)

     6,932       922,996  

Caleres, Inc.

     7,663       257,477  

Five Below, Inc.(c)

     9,238       677,515  

Floor & Decor Holdings, Inc.–Class A(c)

     12,341       643,213  

Home Depot, Inc. (The)

     100,859       17,977,108  

Lithia Motors, Inc.–Class A

     1,077       108,260  

Michaels Cos., Inc. (The)(c)

     17,760       350,049  

Ross Stores, Inc.

     96,950       7,560,161  

Signet Jewelers Ltd.

     8,210       316,249  

TJX Cos., Inc. (The)

     140,498       11,459,017  
   

 

 

  
      40,272,045  
   

 

 

  
Textiles, Apparel & Luxury Goods–0.6%  

Crocs, Inc.(c)

     24,320       395,200  

Deckers Outdoor Corp.(c)

     4,340       390,730  

NIKE, Inc.–Class B

     171,693       11,407,283  
   

 

 

  
      12,193,213  
   

 

 

  
      106,839,011  
   

 

 

  
   
 
Industrials–4.5%  
Aerospace & Defense–1.8%  

Boeing Co. (The)

     45,223       14,827,717  

Hexcel Corp.

     6,891       445,090  

Northrop Grumman Corp.

     37,313       13,026,715  

Raytheon Co.

     61,331       13,236,456  
   

 

 

  
      41,535,978  
   

 

 

  
Company   Shares     U.S. $ Value  
Air Freight & Logistics–0.1%  

Atlas Air Worldwide Holdings, Inc.(c)

     6,790     $ 410,456  

Expeditors International of Washington, Inc.

     5,628       356,252  

XPO Logistics, Inc.(c)

     5,880       598,643  
   

 

 

  
      1,365,351  
   

 

 

  
Airlines–0.4%  

Alaska Air Group, Inc.

     4,110       254,656  

Delta Air Lines, Inc.

     132,431       7,258,543  

Hawaiian Holdings, Inc.

     6,750       261,225  

SkyWest, Inc.

     10,930       594,592  
   

 

 

  
      8,369,016  
   

 

 

  
Building Products–0.1%  

AO Smith Corp.

     9,980       634,628  

Lennox International, Inc.

     2,870       586,542  
   

 

 

  
      1,221,170  
   

 

 

  
Commercial Services & Supplies–0.1%  

ABM Industries, Inc.

     4,620       154,677  

Copart, Inc.(c)

     13,290       676,860  

Steelcase, Inc.–Class A

     34,942       475,211  
   

 

 

  
      1,306,748  
   

 

 

  
Construction & Engineering–0.1%  

AECOM(c)

     11,862       422,643  

Dycom Industries, Inc.(c)

     5,300       570,439  

Granite Construction, Inc.

     6,040       337,394  

Quanta Services, Inc.(c)

     14,222       488,526  

Tutor Perini Corp.(c)

     17,250       380,363  
   

 

 

  
      2,199,365  
   

 

 

  
Electrical Equipment–0.5%  

AMETEK, Inc.

     6,746       512,494  

Eaton Corp. PLC

     116,267       9,290,896  

EnerSys

     7,240       502,239  

Regal Beloit Corp.

     6,710       492,178  
   

 

 

  
      10,797,807  
   

 

 

  
Industrial Conglomerates–0.5%  

Carlisle Cos., Inc.

     3,481       363,451  

Honeywell International, Inc.

     82,830       11,969,764  
   

 

 

  
      12,333,215  
   

 

 

  
Machinery–0.2%  

Gardner Denver Holdings, Inc.(c)

     17,330       531,684  

Gates Industrial Corp. PLC(c)

     15,301       267,921  

IDEX Corp.

     4,838       689,463  

Kennametal, Inc.

     12,040       483,526  

Lincoln Electric Holdings, Inc.

     6,382       574,061  

Nordson Corp,

     4,810       655,795  

Oshkosh Corp.

     5,580       431,167  

SPX FLOW, Inc.(c)

     5,730       281,859  

Terex Corp.

     8,260       309,007  
   

 

 

  
      4,224,483  
   

 

 

  
Professional Services–0.0%  

CoStar Group, Inc.(c)

     1,890       685,465  
   

 

 

  

 

16   Sanford C. Bernstein Fund, Inc.

Table of Contents
     
Company   Shares     U.S. $ Value  
Road & Rail–0.6%  

Knight-Swift Transportation Holdings, Inc.

     12,550     $ 577,425  

Norfolk Southern Corp.

     94,777       12,868,821  

Ryder System, Inc.

     5,510       401,073  

Werner Enterprises, Inc.

     12,710       463,915  
   

 

 

  
      14,311,234  
   

 

 

  
Trading Companies & Distributors–0.1%  

MRC Global, Inc.(c)

     22,770       374,339  

SiteOne Landscape Supply, Inc.(c)

     6,374       491,053  

United Rentals, Inc.(c)

     4,340       749,648  

Watsco, Inc.

     2,886       522,279  
   

 

 

  
      2,137,319  
   

 

 

  
      100,487,151  
   

 

 

  
   
 
Consumer Staples–3.2%  
Beverages–0.6%  

Cott Corp.

     26,532       390,551  

PepsiCo, Inc.

     111,065       12,122,745  
   

 

 

  
      12,513,296  
   

 

 

  
Food & Staples Retailing–1.2%  

Costco Wholesale Corp.

     63,220       11,912,544  

Walmart, Inc.

     155,076       13,797,112  
   

 

 

  
      25,709,656  
   

 

 

  
Food Products–0.3%  

Ingredion, Inc.

     2,194       282,850  

Nomad Foods Ltd.(c)

     17,540       276,080  

Tyson Foods, Inc.–Class A

     81,801       5,987,015  
   

 

 

  
      6,545,945  
   

 

 

  
Household Products–0.5%  

Procter & Gamble Co. (The)

     143,742       11,395,866  
   

 

 

  
Tobacco–0.6%  

Altria Group, Inc.

     233,267       14,537,200  
   

 

 

  
      70,701,963  
   

 

 

  
   
 
Energy–2.4%  
Energy Equipment & Services–0.3%  

Cactus, Inc.–Class A(c)

     11,511       309,991  

Helix Energy Solutions Group, Inc.(c)

     20,140       116,611  

Oceaneering International, Inc.

     15,100       279,954  

Oil States International, Inc.(c)

     15,920       417,104  

RPC, Inc.

     24,160       435,605  

Schlumberger Ltd.(d)

     92,191       5,972,133  
   

 

 

  
      7,531,398  
   

 

 

  
Oil, Gas & Consumable Fuels–2.1%  

Chevron Corp.

     115,056       13,120,986  

Devon Energy Corp.

     65,585       2,084,947  

EOG Resources, Inc.

     94,836       9,983,386  

Exxon Mobil Corp.

     122,288       9,123,908  

HollyFrontier Corp.

     8,970       438,274  

Marathon Petroleum Corp.

     123,619     $ 9,037,785  

Oasis Petroleum, Inc.(c)

     42,850       347,085  

PDC Energy, Inc.(c)

     5,001       245,199  

QEP Resources, Inc.(c)

     50,400       493,416  

SM Energy Co.

     20,020       360,961  

SRC Energy, Inc.(c)

     42,520       400,963  
   

 

 

  
      45,636,910  
   

 

 

  
      53,168,308  
   

 

 

  
   
 
Utilities–1.2%  
Electric Utilities–0.9%  

Alliant Energy Corp.

     9,335       381,428  

American Electric Power Co., Inc.

     173,799       11,920,874  

Edison International

     108,205       6,888,330  

PNM Resources, Inc.

     9,320       356,490  

Portland General Electric Co.

     8,720       353,247  
   

 

 

  
      19,900,369  
   

 

 

  
Gas Utilities–0.0%  

Southwest Gas Holdings, Inc.

     2,830       191,393  
   

 

 

  
Multi-Utilities–0.3%  

Black Hills Corp.

     4,897       265,907  

NiSource, Inc.

     304,579       7,282,484  
   

 

 

  
      7,548,391  
   

 

 

  
      27,640,153  
   

 

 

  
   
 
Real Estate–1.0%  
Equity Real Estate Investment Trusts (REITs)–1.0%  

American Campus Communities, Inc.

     9,530       368,049  

Crown Castle International Corp.

     93,497       10,248,206  

Education Realty Trust, Inc.

     10,270       336,343  

Empire State Realty Trust, Inc.–Class A

     19,704       330,830  

Gramercy Property Trust

     18,678       405,873  

Mid-America Apartment Communities, Inc.

     109,927       10,029,739  

STAG Industrial, Inc.

     15,170       362,866  

Sun Communities, Inc.

     3,460       316,140  
   

 

 

  
      22,398,046  
   

 

 

  
   
 
Materials–0.6%  
Chemicals–0.6%  

DowDuPont, Inc.

     167,190       10,651,675  

Ingevity Corp.(c)

     2,162       159,318  

Orion Engineered Carbons SA

     5,960       161,516  

PolyOne Corp.

     13,154       559,308  

Trinseo SA

     6,610       489,470  
   

 

 

  
      12,021,287  
   

 

 

  
Construction Materials–0.0%    

Martin Marietta Materials, Inc.

     1,992       412,942  
   

 

 

  
Containers & Packaging–0.0%    

Graphic Packaging Holding Co.

     32,810       503,633  
   

 

 

  

 

2018 Semi-Annual Report     17  

Table of Contents

Schedule of Investments (continued)

 

     
Company   Shares     U.S. $ Value  
Metals & Mining–0.0%    

Alcoa Corp.(c)

     12,330     $ 554,357  
   

 

 

  
      13,492,219  
   

 

 

  
   
     
Telecommunication Services–0.3%                
Diversified Telecommunication Services–0.0%  

Vonage Holdings Corp.(c)

     34,435       366,733  
   

 

 

  
Wireless Telecommunication Services–0.3%  

T-Mobile US, Inc.(c)

     85,765       5,235,095  
   

 

 

  
      5,601,828  
   

 

 

  
Total Common Stocks
(cost $747,882,401)		       986,700,790  
   

 

 

  
   
 
SHORT-TERM INVESTMENTS–7.1%  
Investment Companies–6.7%    

AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB, 1.41%(a)(b)(e)
(cost $150,054,423)

     150,054,423       150,054,423  
   

 

 

  
   
U.S. Treasury Bills–0.4%      

U.S. Treasury Bill

      

Zero Coupon, 4/05/18

   $       4,000     $ 3,999,541  

Zero Coupon, 6/28/18(f)

       4,000       3,983,364  
     

 

 

  
Total U.S. Treasury Bills
(cost $7,982,905)		         7,982,905  
     

 

 

  
Total Short-Term Investments
(cost $158,037,328)		         158,037,328  
     

 

 

  
Total Investments—99.7%
(cost $1,848,116,800)		         2,225,938,286 (g) 

Other assets less liabilities—0.3%

         6,267,145  
     

 

 

  
     
Net Assets—100.0%       $ 2,232,205,431  
     

 

 

  

 

 
FUTURES (see Note 3)  
Description   

Number of

Contracts

      Expiration
Month		   

Notional
(000)

     

Original

Value

      Value at
March 31, 2018		      Unrealized Appreciation/
(Depreciation)		  
Purchased Contracts  

10 Yr Canadian Bond Futures

      214      June 2018      CAD        21,400      $ 21,708,482      $ 22,136,671      $ 428,189  

Euro Buxl 30 Yr Bond Futures

      86      June 2018      EUR        8,600        16,895,160        17,500,292        605,132  

Euro STOXX 50 Index Futures

      1,262      June 2018      EUR        13        51,909,252        50,948,270        (960,982 ) 

Euro-BOBL Futures

      291      June 2018      EUR        29,100        46,581,377        46,995,488        414,111  

Euro-Bund Futures

      188      June 2018      EUR        18,800        36,357,968        36,880,072        522,104  

FTSE 100 Index Futures

      496      June 2018      GBP        5        49,536,927        48,666,953        (869,974 ) 

Long Gilt Futures

      89      June 2018      GBP        8,900        15,139,570        15,336,173        196,603  

MSCI Emerging Markets Futures

      119      June 2018      USD        6        7,144,761        7,067,410        (77,351 ) 

TOPIX Index Futures

      1,139      June 2018      JPY        11,390          182,303,156          183,740,755        1,437,599  

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

      1,500      June 2018      USD        150,000        180,267,322        181,710,937        1,443,615  

U.S. Ultra Bond (CBT) Futures

      387      June 2018      USD        38,700        60,247,174        62,101,406        1,854,232  
Sold Contracts  

10 Yr Australian Bond Futures

      84      June 2018      AUD        8,400        8,216,704        8,362,387        (145,683 ) 

Japan 10 Yr Bond (OSE) Futures

      16      June 2018      JPY        1,600,000        22,662,281        22,671,115        (8,834 ) 

Russell 2000 Mini Futures

      218      June 2018      USD        11        17,194,032        16,690,080        503,952  

S&P 500 E-Mini Futures

      3,219      June 2018      USD        161        439,112,073        425,390,850        13,721,223  

S&P Mid 400 E-Mini Futures

      41      June 2018      USD        4        7,880,548        7,720,710        159,838  

S&P TSX 60 Index Futures

      937      June 2018      CAD        187        132,451,244        131,784,375        666,869  

SPI 200 Futures

      90      June 2018      AUD        2        10,325,289        9,912,450        412,839  
                    

 

 

  
                     $   20,303,482  
                    

 

 

  

 

 

18   Sanford C. Bernstein Fund, Inc.

Table of Contents
 
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3)  
Counterparty    Contracts to
Deliver
(000)		    In Exchange
For
(000)		      Settlement
Date		      Unrealized
Appreciation/
(Depreciation)		  

Bank of America, NA

      GBP      41,359      USD        57,222        5/15/18      $ (903,288 ) 

Bank of America, NA

      USD      14,428      GBP        10,388        5/15/18        171,929  

Barclays Bank PLC

      SEK      81,225      USD        10,088        5/15/18        331,048  

BNP Paribas SA

      AUD      29,011      USD        22,579        5/15/18        296,457  

BNP Paribas SA

      USD      11,519      AUD        14,535        5/15/18        (354,821 ) 

BNP Paribas SA

      USD      19,957      EUR        15,994        5/15/18        (219,503 ) 

BNP Paribas SA

      USD      5,545      GBP        3,930        5/15/18        (21,881 ) 

BNP Paribas SA

      USD      41,237      NOK        320,643        5/15/18        (281,623 ) 

Citibank, NA

      JPY      10,526,475      USD        99,883        5/15/18        709,807  

Citibank, NA

      USD      51,922      EUR        41,366        5/15/18        (874,371 ) 

Credit Suisse International

      CHF      16,615      USD        17,817        5/15/18        379,323  

Credit Suisse International

      NOK      89,150      USD        11,176        5/15/18        (211,429 ) 

Credit Suisse International

      USD      10,831      CHF        9,942        5/15/18        (397,132 ) 

Credit Suisse International

      USD      38,310      GBP        27,098        5/15/18        (227,128 ) 

Credit Suisse International

      USD      43,027      JPY        4,632,847        5/15/18        620,623  

Credit Suisse International

      USD      10,608      NOK        81,533        5/15/18        (194,309 ) 

Deutsche Bank AG

      CAD      23,276      USD        18,498        5/15/18        417,142  

Deutsche Bank AG

      CHF      28,582      USD        30,697        5/15/18        699,270  

Goldman Sachs Bank USA

      CAD      22,400      USD        18,177        5/15/18        776,053  

Goldman Sachs Bank USA

      EUR      11,389      USD        14,176        5/15/18        120,667  

JPMorgan Chase Bank, NA

      GBP      46,332      USD        62,934        5/15/18        (2,179,474 ) 

JPMorgan Chase Bank, NA

      SEK      102,697      USD        12,720        5/15/18        384,601  

JPMorgan Chase Bank, NA

      USD      13,178      SEK        108,105        5/15/18        (193,288 ) 

Morgan Stanley & Co., Inc.

      EUR      34,662      USD        42,612        5/15/18        (163,100 ) 

Morgan Stanley & Co., Inc.

      USD      28,895      GBP        20,761        5/15/18        281,124  

Royal Bank of Scotland PLC

      CAD      35,015      USD        27,773        5/15/18        572,921  

Royal Bank of Scotland PLC

      USD      16,319      CAD        20,433        5/15/18        (446,916 ) 

Standard Chartered Bank

      AUD      34,660      USD        27,043        5/15/18        421,603  

Standard Chartered Bank

      USD      63,271      JPY        6,834,761        5/15/18        1,121,826  

State Street Bank & Trust Co.

      EUR      2,576      USD        3,181        5/15/18        1,283  
                 

 

 

  
   $ 637,414  
                 

 

 

  

 

2018 Semi-Annual Report     19  

Table of Contents

Schedule of Investments (continued)

 

 

 

(a)   To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618.
(b)   Affiliated investments.
(c)   Non-income producing security.
(d)   Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts.
(e)   The rate shown represents the 7-day yield as of period end.
(f)   Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.
(g)   On March 30, 2018, the Portfolio and U.S. stock exchanges were closed for business due to a U.S. holiday but the foreign markets remained open for trading. The Portfolio valued its foreign securities using the closing market prices from the respective foreign markets as of March 29, 2018 for financial reporting purposes.

Currency Abbreviations:

AUD—Australian Dollar

CAD—Canadian Dollar

CHF—Swiss Franc

EUR—Euro

GBP—Great British Pound

JPY—Japanese Yen

NOK—Norwegian Krone

SEK—Swedish Krona

USD—United States Dollar

Glossary:

ADR—American Depositary Receipt

BOBL—Bundesobligationen

CBT—Chicago Board of Trade

ETF—Exchange Traded Fund

FTSE—Financial Times Stock Exchange

MSCI—Morgan Stanley Capital International

OSE—Osaka Securities Exchange

REIT—Real Estate Investment Trust

SPDR—Standard & Poor’s Depository Receipt

SPI—Share Price Index

TOPIX—Tokyo Price Index

TSX—Toronto Stock Exchange

See notes to financial statements.

 

20   Sanford C. Bernstein Fund, Inc.

Table of Contents

Schedule of Investments

 

Sanford C. Bernstein Fund, Inc.

Schedule of Investments

Tax-Aware Overlay A Portfolio

March 31, 2018 (Unaudited)

Company   Shares     U.S. $ Value  
INVESTMENT COMPANIES–48.1%  
Funds and Investment Trusts–48.1%(a)  

AB All Market Real Return Portfolio–Class Z(b)

     33,901,878     $ 295,624,377  

Bernstein Fund, Inc.–International Small Cap Portfolio–Class Z(b)

     16,052,682       210,129,601  

Bernstein Fund, Inc.–International Strategic Equities Portfolio–Class Z(b)

     52,453,789       691,865,482  

Bernstein Fund, Inc.–Small Cap Core Portfolio–Class Z(b)

     7,386,975       87,461,784  

Sanford C. Bernstein Fund, Inc.–Emerging Markets Portfolio–Class Z(b)

     2,847,947       95,804,930  

Sanford C. Bernstein Fund, Inc.–Tax-Managed International Portfolio–Class Z(b)

     20,953,983       382,410,191  

SPDR S&P 500 ETF Trust

     1,744,171       458,978,599  
   

 

 

  
Total Investment Companies
(cost $1,939,686,305)		       2,222,274,964  
   

 

 

  
   
 
COMMON STOCKS–44.8%  
Information Technology–12.1%  
Communications Equipment–0.7%  

Arista Networks, Inc.(c)

     3,540       903,762  

Ciena Corp.(c)

     39,570       1,024,863  

Cisco Systems, Inc.

     521,382       22,362,074  

Finisar Corp.(c)

     36,790       581,650  

Infinera Corp.(c)

     58,270       632,812  

Nokia Oyj (Sponsored ADR)–Class A

     1,565,155       8,561,398  
   

 

 

  
      34,066,559  
   

 

 

  
Electronic Equipment, Instruments & Components–0.5%  

Anixter International, Inc.(c)

     15,540       1,177,155  

Avnet, Inc.

     23,280       972,173  

CDW Corp./DE

     272,823       19,182,185  

National Instruments Corp.

     25,060       1,267,284  

Sanmina Corp.(c)

     19,840       518,816  

VeriFone Systems, Inc.(c)

     52,970       814,679  
   

 

 

  
      23,932,292  
   

 

 

  
Internet Software & Services–3.4%  

2U, Inc.(c)

     14,400       1,210,032  

Alphabet, Inc.–Class C(c)(d)

     76,943       79,389,018  

Dropbox, Inc.–Class A(c)

     13,778       430,563  

eBay, Inc.(c)

     320,358       12,891,206  

Facebook, Inc.–Class A(c)(d)

     354,093       56,580,520  

GrubHub, Inc.(c)

     13,090       1,328,242  

LogMeIn, Inc.

     12,330       1,424,731  

New Relic, Inc.(c)

     16,155       1,197,409  

Nutanix, Inc.–Class A(c)

     21,550       1,058,321  

Trade Desk, Inc. (The)–Class A(c)

     21,373     $ 1,060,528  
   

 

 

  
      156,570,570  
   

 

 

  
IT Services–1.3%  

Amdocs Ltd.

     13,440       896,717  

Booz Allen Hamilton Holding Corp.

     31,110       1,204,579  

Genpact Ltd.

     31,720       1,014,723  

Total System Services, Inc.

     143,998       12,421,267  

Visa, Inc.–Class A

     352,861       42,209,233  

Worldpay, Inc.–Class A(c)

     17,690       1,454,826  
   

 

 

  
      59,201,345  
   

 

 

  
Semiconductors & Semiconductor Equipment–1.6%  

Cypress Semiconductor Corp.

     57,300       971,808  

Intel Corp.

     504,180       26,257,694  

Marvell Technology Group Ltd.

     61,710       1,295,910  

Mellanox Technologies Ltd.(c)

     11,300       823,205  

Qorvo, Inc.(c)

     6,613       465,886  

Texas Instruments, Inc.

     208,955       21,708,335  

Xilinx, Inc.

     301,760       21,799,142  
   

 

 

  
      73,321,980  
   

 

 

  
Software–2.4%  

Adobe Systems, Inc.(c)

     53,564       11,574,109  

ANSYS, Inc.(c)

     6,180       968,344  

Aspen Technology, Inc.(c)

     14,105       1,112,743  

Guidewire Software, Inc.(c)

     14,307       1,156,435  

HubSpot, Inc.(c)

     9,752       1,056,142  

Microsoft Corp.

     555,143       50,667,902  

Oracle Corp.

     799,162       36,561,661  

Splunk, Inc.(c)

     18,055       1,776,431  

Take-Two Interactive Software, Inc.(c)

     11,847       1,158,400  

Tyler Technologies, Inc.(c)

     7,060       1,489,378  

Verint Systems, Inc.(c)

     27,860       1,186,836  
   

 

 

  
      108,708,381  
   

 

 

  
Technology Hardware, Storage & Peripherals–2.2%  

Apple, Inc.

     426,400       71,541,392  

HP, Inc.

     743,128       16,289,366  

NCR Corp.(c)

     33,630       1,060,018  

Pure Storage, Inc.–Class A(c)

     68,088       1,358,355  

Xerox Corp.

     407,749       11,735,016  
   

 

 

  
      101,984,147  
   

 

 

  
      557,785,274  
   

 

 

  
   
 
Financials–7.4%  
Banks–4.1%  

Associated Banc-Corp.

     43,050       1,069,792  

Bank of America Corp.

     1,893,045       56,772,420  

Cadence BanCorp

     28,236       768,866  

Citigroup, Inc.

     422,614       28,526,445  

Comerica, Inc.

     13,000       1,247,090  

Fulton Financial Corp.

     46,450       824,488  

Huntington Bancshares, Inc./OH

     68,490       1,034,199  

JPMorgan Chase & Co.

     531,292       58,426,181  

 

2018 Semi-Annual Report     21  

Table of Contents

Schedule of Investments (continued)

 

     
Company   Shares     U.S. $ Value  

Sterling Bancorp/DE

     31,150     $ 702,433  

SVB Financial Group(c)

     6,911       1,658,709  

Synovus Financial Corp.

     18,420       919,895  

Texas Capital Bancshares, Inc.(c)

     10,350       930,465  

Umpqua Holdings Corp.

     44,110       944,395  

Webster Financial Corp.

     18,825       1,042,905  

Wells Fargo & Co.

     632,429       33,145,604  

Wintrust Financial Corp.

     10,990       945,689  

Zions Bancorporation

     28,330       1,493,841  
   

 

 

  
      190,453,417  
   

 

 

  
Capital Markets–1.0%  

Affiliated Managers Group, Inc.

     6,495       1,231,322  

Goldman Sachs Group, Inc. (The)

     95,306       24,003,769  

Lazard Ltd.–Class A

     26,810       1,409,134  

S&P Global, Inc.

     100,338       19,170,578  

Stifel Financial Corp.

     21,711       1,285,943  
   

 

 

  
      47,100,746  
   

 

 

  
Consumer Finance–0.4%  

OneMain Holdings, Inc.(c)

     22,140       662,871  

Synchrony Financial

     483,932       16,226,240  
   

 

 

  
      16,889,111  
   

 

 

  
Insurance–1.8%  

American Financial Group, Inc./OH

     11,734       1,316,790  

American International Group, Inc.

     343,172       18,675,420  

Everest Re Group Ltd.

     76,086       19,540,406  

First American Financial Corp.

     13,500       792,180  

FNF Group

     326,728       13,075,655  

Hanover Insurance Group, Inc. (The)

     5,290       623,638  

Old Republic International Corp.

     45,840       983,268  

Progressive Corp. (The)

     414,097       25,230,930  

Reinsurance Group of America, Inc.–Class A

     10,210       1,572,340  

Selective Insurance Group, Inc.

     14,140       858,298  

Validus Holdings Ltd.

     10,320       696,084  
   

 

 

  
      83,365,009  
   

 

 

  
Thrifts & Mortgage Finance–0.1%  

BankUnited, Inc.

     26,440       1,057,071  

Essent Group Ltd.(c)

     20,183       858,989  
   

 

 

  
      1,916,060  
   

 

 

  
      339,724,343  
   

 

 

  
   
 
Health Care–7.1%  
Biotechnology–1.0%  

Aimmune Therapeutics, Inc.(c)

     13,760       437,981  

Ascendis Pharma A/S (ADR)(c)

     7,317       478,532  

Avexis, Inc.(c)

     4,680       578,354  

BeiGene Ltd. (ADR)(c)

     2,868       481,824  

Biogen, Inc.(c)(d)

     72,266       19,787,876  

Biohaven Pharmaceutical Holding Co., Ltd.(c)

     15,614       402,217  

Bluebird Bio, Inc.(c)

     3,200       546,400  

Blueprint Medicines Corp.(c)

     7,394       678,030  

Clovis Oncology, Inc.(c)

     9,540       503,712  

Exact Sciences Corp.(c)

     25,625       1,033,456  

Gilead Sciences, Inc.

     252,827     $ 19,060,627  

Loxo Oncology, Inc.(c)

     5,537       638,804  

Madrigal Pharmaceuticals, Inc.(c)

     2,890       337,523  

Neurocrine Biosciences, Inc.(c)

     13,274       1,100,813  

Prothena Corp. PLC(c)

     10,100       370,771  

Sage Therapeutics, Inc.(c)

     4,201       676,655  

TESARO, Inc.(c)

     4,439       253,644  

Ultragenyx Pharmaceutical, Inc.(c)

     8,336       425,053  
   

 

 

  
      47,792,272  
   

 

 

  
Health Care Equipment & Supplies–1.0%  

Edwards Lifesciences Corp.(c)

     152,255       21,242,618  

Intuitive Surgical, Inc.(c)

     20,762       8,571,177  

Medtronic PLC

     172,779       13,860,331  

Nevro Corp.(c)

     13,077       1,133,384  

Penumbra, Inc.(c)

     10,333       1,195,011  
   

 

 

  
      46,002,521  
   

 

 

  
Health Care Providers & Services–2.8%  

Aetna, Inc.

     182,108       30,776,252  

Anthem, Inc.

     75,633       16,616,570  

Cigna Corp.

     96,310       16,155,040  

LifePoint Health, Inc.(c)

     17,440       819,680  

McKesson Corp.

     112,705       15,876,753  

Molina Healthcare, Inc.(c)

     11,980       972,536  

Quest Diagnostics, Inc.

     162,265       16,275,180  

UnitedHealth Group, Inc.

     138,516       29,642,424  

WellCare Health Plans, Inc.(c)

     4,367       845,582  
   

 

 

  
      127,980,017  
   

 

 

  
Health Care Technology–0.3%  

Cerner Corp.(c)

     240,564       13,952,712  

Teladoc, Inc.(c)

     43,478       1,752,163  
   

 

 

  
      15,704,875  
   

 

 

  
Life Sciences Tools & Services–0.1%  

ICON PLC(c)

     21,665       2,559,503  
   

 

 

  
Pharmaceuticals–1.9%  

GW Pharmaceuticals PLC (ADR)(c)

     3,061       344,883  

Johnson & Johnson(d)

     165,685       21,232,533  

Merck & Co., Inc.

     416,739       22,699,773  

Pfizer, Inc.

     715,718       25,400,832  

Revance Therapeutics, Inc.(c)

     12,252       377,361  

Zoetis, Inc.

     213,559       17,834,312  
   

 

 

  
      87,889,694  
   

 

 

  
      327,928,882  
   

 

 

  
   
 
Consumer Discretionary–5.1%  
Auto Components–0.4%  

Cooper-Standard Holdings, Inc.(c)

     9,782       1,201,327  

Dana, Inc.

     23,610       608,194  

Lear Corp.

     3,361       625,448  

Magna International, Inc. (New York)–Class A

     296,988       16,735,274  

Tenneco, Inc.

     8,530       468,041  
   

 

 

  
      19,638,284  
   

 

 

  

 

22   Sanford C. Bernstein Fund, Inc.

Table of Contents
     
Company   Shares     U.S. $ Value  
Diversified Consumer Services–0.1%    

Bright Horizons Family Solutions, Inc.(c)

     15,797     $ 1,575,277  

Chegg, Inc.(c)

     50,628       1,045,975  

Grand Canyon Education, Inc.(c)

     16,388       1,719,429  

Houghton Mifflin Harcourt Co.(c)

     57,034       396,386  

Sotheby’s(c)

     21,290       1,092,390  
   

 

 

  
      5,829,457  
   

 

 

  
Hotels, Restaurants & Leisure–0.6%    

Bloomin’ Brands, Inc.

     49,010       1,189,963  

Brinker International, Inc.

     15,671       565,723  

Hilton Grand Vacations, Inc.(c)

     34,997       1,505,571  

McDonald’s Corp.

     124,779       19,512,940  

Norwegian Cruise Line Holdings Ltd.(c)

     14,190       751,644  

Planet Fitness, Inc.(c)

     41,966       1,585,056  

Starbucks Corp.

     45,060       2,608,523  

Vail Resorts, Inc.

     3,450       764,865  
   

 

 

  
      28,484,285  
   

 

 

  
Household Durables–0.0%    

Lennar Corp.–Class A

     21,045       1,240,392  
   

 

 

  
Internet & Direct Marketing Retail–0.2%    

Booking Holdings, Inc.(c)

     2,950       6,137,151  

Wayfair, Inc.–Class A(c)

     10,540       711,766  
   

 

 

  
      6,848,917  
   

 

 

  
Media–1.4%    

CBS Corp.–Class B

     243,056       12,490,648  

Comcast Corp.–Class A

     972,796       33,240,439  

Scholastic Corp.

     14,500       563,180  

Walt Disney Co. (The)

     177,351       17,813,135  
   

 

 

  
      64,107,402  
   

 

 

  
Multiline Retail–0.0%    

Ollie’s Bargain Outlet Holdings, Inc.(c)

     20,230       1,219,869  
   

 

 

  
Specialty Retail–1.9%    

Burlington Stores, Inc.(c)

     15,961       2,125,208  

Caleres, Inc.

     16,583       557,189  

Five Below, Inc.(c)

     21,772       1,596,758  

Floor & Decor Holdings, Inc.–Class A(c)

     29,601       1,542,804  

Home Depot, Inc. (The)

     224,736       40,056,945  

Lithia Motors, Inc.–Class A

     2,622       263,563  

Michaels Cos., Inc. (The)(c)

     38,440       757,652  

Ross Stores, Inc.

     205,279       16,007,656  

Signet Jewelers Ltd.

     18,330       706,072  

TJX Cos., Inc. (The)

     268,984       21,938,335  
   

 

 

  
      85,552,182  
   

 

 

  
Textiles, Apparel & Luxury Goods–0.5%    

Crocs, Inc.(c)

     59,283       963,349  

Deckers Outdoor Corp.(c)

     9,390       845,382  

NIKE, Inc.–Class B

     330,989       21,990,909  
   

 

 

  
      23,799,640  
   

 

 

  
        236,720,428  
   

 

 

  
   
Industrials–4.5%                
Aerospace & Defense–1.9%  

Boeing Co. (The)

     88,238     $ 28,931,475  

Hexcel Corp.

     16,222       1,047,779  

L3 Technologies, Inc.

     11,905       2,476,240  

Northrop Grumman Corp.

     88,142       30,772,135  

Raytheon Co.

     112,851       24,355,503  
   

 

 

  
      87,583,132  
   

 

 

  
Air Freight & Logistics–0.1%    

Atlas Air Worldwide Holdings, Inc.(c)

     14,700       888,615  

Expeditors International of Washington, Inc.

     13,248       838,598  

XPO Logistics, Inc.(c)

     13,860       1,411,087  
   

 

 

  
      3,138,300  
   

 

 

  
Airlines–0.3%    

Alaska Air Group, Inc.

     8,890       550,824  

Delta Air Lines, Inc.

     246,180       13,493,126  

Hawaiian Holdings, Inc.

     15,060       582,822  

SkyWest, Inc.

     24,360       1,325,184  
   

 

 

  
      15,951,956  
   

 

 

  
Building Products–0.1%    

AO Smith Corp.

     23,560       1,498,181  

Lennox International, Inc.

     6,760       1,381,541  
   

 

 

  
      2,879,722  
   

 

 

  
Commercial Services & Supplies–0.1%    

ABM Industries, Inc.

     8,180       273,866  

Copart, Inc.(c)

     31,380       1,598,183  

Steelcase, Inc.–Class A

     75,651       1,028,854  
   

 

 

  
      2,900,903  
   

 

 

  
Construction & Engineering–0.1%    

AECOM(c)

     25,685       915,157  

Dycom Industries, Inc.(c)

     12,490       1,344,299  

Granite Construction, Inc.

     12,730       711,098  

Quanta Services, Inc.(c)

     30,630       1,052,140  

Tutor Perini Corp.(c)

     37,340       823,347  
   

 

 

  
      4,846,041  
   

 

 

  
Electrical Equipment–0.5%    

AMETEK, Inc.

     15,879       1,206,328  

Eaton Corp. PLC

     246,150       19,669,846  

EnerSys

     15,540       1,078,010  

Regal Beloit Corp.

     14,390       1,055,507  
   

 

 

  
      23,009,691  
   

 

 

  
Industrial Conglomerates–0.5%    

Carlisle Cos., Inc.

     8,176       853,656  

Honeywell International, Inc.

     164,184       23,726,230  
   

 

 

  
      24,579,886  
   

 

 

  
Machinery–0.2%    

Gardner Denver Holdings, Inc.(c)

     40,823       1,252,450  

Gates Industrial Corp. PLC(c)

     37,544       657,396  

IDEX Corp.

     11,384       1,622,334  

Kennametal, Inc.

     28,370       1,139,339  

Lincoln Electric Holdings, Inc.

     15,034       1,352,308  

 

2018 Semi-Annual Report     23  

Table of Contents

Schedule of Investments (continued)

 

     
Company   Shares     U.S. $ Value  

Nordson Corp,

     11,330     $ 1,544,732  

Oshkosh Corp.

     11,990       926,467  

SPX FLOW, Inc.(c)

     15,720       773,267  

Terex Corp.

     18,540       693,581  
   

 

 

  
      9,961,874  
   

 

 

  
Professional Services–0.0%    

CoStar Group, Inc.(c)

     4,460       1,617,553  
   

 

 

  
Road & Rail–0.6%    

Knight-Swift Transportation Holdings, Inc.

     29,560       1,360,055  

Norfolk Southern Corp.

     187,987       25,524,875  

Ryder System, Inc.

     11,939       869,040  

Werner Enterprises, Inc.

     27,280       995,720  
   

 

 

  
      28,749,690  
   

 

 

  
Trading Companies & Distributors–0.1%    

MRC Global, Inc.(c)

     48,030       789,613  

SiteOne Landscape Supply, Inc.(c)

     15,058       1,160,068  

United Rentals, Inc.(c)

     10,220       1,765,301  

Watsco, Inc.

     6,805       1,231,501  
   

 

 

  
      4,946,483  
   

 

 

  
        210,165,231  
   

 

 

  
   
     
Consumer Staples–3.1%                
Beverages–0.6%  

Cott Corp.

     57,434       845,429  

PepsiCo, Inc.

     233,335       25,468,515  
   

 

 

  
      26,313,944  
   

 

 

  
Food & Staples Retailing–1.1%    

Costco Wholesale Corp.(d)

     121,504       22,894,998  

Walmart, Inc.

     306,771       27,293,416  
   

 

 

  
      50,188,414  
   

 

 

  
Food Products–0.3%    

Ingredion, Inc.

     4,858       626,293  

Nomad Foods Ltd.(c)

     37,980       597,805  

Tyson Foods, Inc.–Class A

     151,003       11,051,910  
   

 

 

  
      12,276,008  
   

 

 

  
Household Products–0.5%  

Procter & Gamble Co. (The)

     318,612       25,259,559  
   

 

 

  
Tobacco–0.6%  

Altria Group, Inc.

     476,349       29,686,070  
   

 

 

  
      143,723,995  
   

 

 

  
   
 
Energy–2.4%  
Energy Equipment & Services–0.3%  

Cactus, Inc.–Class A(c)

     27,116       730,234  

Helix Energy Solutions Group, Inc.(c)

     43,600       252,444  

Oceaneering International, Inc.

     35,380       655,945  

Oil States International, Inc.(c)

     35,550       931,410  

RPC, Inc.

     52,290       942,789  

Schlumberger Ltd.(d)

     181,239       11,740,662  
   

 

 

  
      15,253,484  
   

 

 

  
Oil, Gas & Consumable Fuels–2.1%  

Chevron Corp.

     239,606     $ 27,324,668  

Devon Energy Corp.

     119,216       3,789,877  

EOG Resources, Inc.

     190,050       20,006,564  

Exxon Mobil Corp.

     257,317       19,198,421  

HollyFrontier Corp.

     19,590       957,167  

Marathon Petroleum Corp.

     312,243       22,828,086  

Oasis Petroleum, Inc.(c)

     96,300       780,030  

PDC Energy, Inc.(c)

     11,774       577,279  

QEP Resources, Inc.(c)

     109,100       1,068,089  

SM Energy Co.

     42,760       770,963  

SRC Energy, Inc.(c)

     88,990       839,176  
   

 

 

  
      98,140,320  
   

 

 

  
      113,393,804  
   

 

 

  
   
 
Utilities–1.2%  
Electric Utilities–0.9%  

Alliant Energy Corp.

     19,766       807,639  

American Electric Power Co., Inc.

     346,326       23,754,501  

Edison International(d)

     228,949       14,574,893  

PNM Resources, Inc.

     19,660       751,995  

Portland General Electric Co.

     18,320       742,143  
   

 

 

  
      40,631,171  
   

 

 

  
Gas Utilities–0.0%  

Southwest Gas Holdings, Inc.

     5,740       388,196  
   

 

 

  
Multi-Utilities–0.3%  

Black Hills Corp.

     9,138       496,193  

NiSource, Inc.

     610,990       14,608,771  
   

 

 

  
      15,104,964  
   

 

 

  
      56,124,331  
   

 

 

  
   
 
Real Estate–1.0%  
Equity Real Estate Investment Trusts (REITs)–1.0%  

American Campus Communities, Inc.

     20,640       797,117  

Crown Castle International Corp.

     188,076       20,615,010  

Education Realty Trust, Inc.

     21,530       705,108  

Empire State Realty Trust, Inc.–Class A

     41,598       698,430  

Gramercy Property Trust

     39,917       867,396  

Mid-America Apartment Communities, Inc.

     229,129       20,905,730  

STAG Industrial, Inc.

     31,830       761,374  

Sun Communities, Inc.

     7,480       683,448  
   

 

 

  
      46,033,613  
   

 

 

  
   
 
Materials–0.6%  
Chemicals–0.5%  

DowDuPont, Inc.

     318,126       20,267,807  

Ingevity Corp.(c)

     5,168       380,830  

Orion Engineered Carbons SA

     12,250       331,975  

PolyOne Corp.

     30,995       1,317,907  

Trinseo SA

     14,750       1,092,238  
   

 

 

  
      23,390,757  
   

 

 

  

 

24   Sanford C. Bernstein Fund, Inc.

Table of Contents
     
Company   Shares     U.S. $ Value  
Construction Materials–0.0%  

Martin Marietta Materials, Inc.

     4,709     $ 976,176  
   

 

 

  
Containers & Packaging–0.0%  

Graphic Packaging Holding Co.

     69,850       1,072,197  
   

 

 

  
Metals & Mining–0.1%  

Alcoa Corp.(c)

     26,610       1,196,386  
   

 

 

  
      26,635,516  
   

 

 

  
   
 
Telecommunication Services–0.3%  
Diversified Telecommunication Services–0.0%  

Vonage Holdings Corp.(c)

     81,100       863,715  
   

 

 

  
Wireless Telecommunication Services–0.3%  

T-Mobile US, Inc.(c)

     188,548       11,508,970  
   

 

 

  
      12,372,685  
   

 

 

  
Total Common Stocks
(cost $1,527,075,346)		       2,070,608,102  
   

 

 

  
   
 
SHORT-TERM INVESTMENTS–6.8%  
Investment Companies–6.6%  

AB Fixed Income Shares, Inc.–
Government Money Market Portfolio–Class AB, 1.41%(a)(b)(e)
(cost $306,612,850)

     306,612,850       306,612,850  
   

 

 

  
   
U.S. Treasury Bills–0.2%  

U.S. Treasury Bill
Zero Coupon, 5/03/18–5/10/18

     $   6,000     $ 5,990,732  

Zero Coupon, 5/17/18(d)(f)

       1,500       1,497,091  
     

 

 

  
Total U.S. Treasury Bills
(cost $7,487,823)		         7,487,823  
     

 

 

  
Total Short-Term Investments
(cost $314,100,673)		         314,100,673  
     

 

 

  
Total Investments—99.7%
(cost $3,780,862,324)		         4,606,983,739 (g) 

Other assets less liabilities—0.3%

 

     11,623,513  
     

 

 

  
Net Assets—100.0%       $   4,618,607,252  
     

 

 

  

 

 
FUTURES (see Note 3)  
Description   

Number of

Contracts

      Expiration
Month		    Notional
(000)		      Original
Value		      Value at
March 31, 2018		      Unrealized Appreciation/
(Depreciation)		  
Purchased Contracts                     

Euro STOXX 50 Index Futures

      2,598      June 2018      EUR        26      $   106,862,313      $   104,883,999      $   (1,978,314 ) 

FTSE 100 Index Futures

      1,024      June 2018      GBP        10        102,269,784        100,473,709        (1,796,075 ) 

MSCI Emerging Markets Futures

      222      June 2018      USD        11        13,328,878        13,184,580        (144,298 ) 

TOPIX Index Futures

      2,350      June 2018      JPY        23,500        376,130,304        379,096,377        2,966,073  

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

      1,505      June 2018      USD        301,000        320,049,432        319,977,111        (72,321 ) 

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

      3,555      June 2018      USD        355,500        427,242,576        430,654,922        3,412,346  

U.S. Ultra Bond (CBT) Futures

      863      June 2018      USD        86,300        134,349,657        138,484,531        4,134,874  
Sold Contracts                     

Russell 2000 Mini Futures

      548      June 2018      USD        27        43,221,696        41,954,880        1,266,816  

S&P 500 E-Mini Futures

      6,641      June 2018      USD        332        905,915,898        877,608,150        28,307,748  

S&P Mid 400 E-Mini Futures

      130      June 2018      USD        13        25,033,126        24,480,300        552,826  

S&P TSX 60 Index Futures

      1,943      June 2018      CAD        389        274,656,102        273,273,256        1,382,846  

SPI 200 Futures

      187      June 2018      AUD        5        21,453,656        20,595,868        857,788  
                    

 

 

  
                     $ 38,890,309  
                    

 

 

  

 

2018 Semi-Annual Report     25  

Table of Contents

Schedule of Investments (continued)

 

 

 
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3)  
Counterparty    Contracts to
Deliver
(000)		      In Exchange
For
(000)		      Settlement
Date		      Unrealized
Appreciation/
(Depreciation)		  

Bank of America, NA

    GBP      86,162        USD        119,207        5/15/18      $ (1,881,770 ) 

Bank of America, NA

    USD      27,283        GBP        19,645        5/15/18        325,123  

Barclays Bank PLC

    SEK      164,618        USD        20,444        5/15/18        670,934  

BNP Paribas SA

    AUD      60,631        USD        47,189        5/15/18        619,574  

BNP Paribas SA

    USD      24,515        AUD        30,934        5/15/18        (755,154 ) 

BNP Paribas SA

    USD      43,204        EUR        34,625        5/15/18        (475,191 ) 

BNP Paribas SA

    USD      10,486        GBP        7,432        5/15/18        (41,378 ) 

BNP Paribas SA

    USD      83,076        NOK        645,964        5/15/18        (567,355 ) 

Citibank, NA

    JPY      22,154,222        USD        210,216        5/15/18        1,493,874  

Citibank, NA

    USD      102,163        EUR        81,393        5/15/18        (1,720,430 ) 

Credit Suisse International

    CHF      34,712        USD        37,224        5/15/18        792,474  

Credit Suisse International

    NOK      169,537        USD        21,253        5/15/18        (402,078 ) 

Credit Suisse International

    USD      21,569        CHF        19,798        5/15/18        (790,843 ) 

Credit Suisse International

    USD      96,068        GBP        67,953        5/15/18        (569,550 ) 

Credit Suisse International

    USD      88,152        JPY        9,491,635        5/15/18        1,271,513  

Credit Suisse International

    USD      22,059        NOK        169,537        5/15/18        (404,042 ) 

Deutsche Bank AG

    CAD      48,099        USD        38,226        5/15/18        862,000  

Deutsche Bank AG

    CHF      50,070        USD        53,775        5/15/18        1,224,980  

Goldman Sachs Bank USA

    CAD      45,715        USD        37,096        5/15/18        1,583,800  

Goldman Sachs Bank USA

    EUR      25,196        USD        31,360        5/15/18        266,943  

JPMorgan Chase Bank, NA

    GBP      105,444        USD        143,228        5/15/18        (4,960,141 ) 

JPMorgan Chase Bank, NA

    SEK      213,658        USD        26,464        5/15/18        800,151  

JPMorgan Chase Bank, NA

    USD      27,009        SEK        221,556        5/15/18        (396,134 ) 

Morgan Stanley & Co., Inc.

    EUR      72,300        USD        88,881        5/15/18        (340,197 ) 

Morgan Stanley & Co., Inc.

    USD      60,521        GBP        43,483        5/15/18        588,813  

Royal Bank of Scotland PLC

    CAD      73,039        USD        57,932        5/15/18        1,195,064  

Royal Bank of Scotland PLC

    USD      35,514        CAD        44,465        5/15/18        (972,577 ) 

Standard Chartered Bank

    AUD      70,596        USD        55,082        5/15/18        858,728  

Standard Chartered Bank

    USD      134,935        JPY        14,576,170        5/15/18        2,392,464  

UBS AG

    CHF      8,149        USD        8,415        5/15/18        (137,909 ) 
                 

 

 

  
                  $ 531,686  
                 

 

 

  

 

 

(a)   To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618.
(b)   Affiliated investments.
(c)   Non-income producing security.
(d)   Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts.
(e)  

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

(f)   Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.
(g)   On March 30, 2018, the Portfolio and U.S. stock exchanges were closed for business due to a U.S. holiday but the foreign markets remained open for trading. The Portfolio valued its foreign securities using the closing market prices from the respective foreign markets as of March 29, 2018 for financial reporting purposes.

 

26   Sanford C. Bernstein Fund, Inc.

Table of Contents

Currency Abbreviations:

AUD—Australian Dollar

CAD—Canadian Dollar

CHF—Swiss Franc

EUR—Euro

GBP—Great British Pound

JPY—Japanese Yen

NOK—Norwegian Krone

SEK—Swedish Krona

USD—United States Dollar

Glossary:

ADR—American Depositary Receipt

CBT—Chicago Board of Trade

ETF—Exchange Traded Fund

FTSE—Financial Times Stock Exchange

MSCI—Morgan Stanley Capital International

REIT—Real Estate Investment Trust

SPDR—Standard & Poor’s Depository Receipt

SPI—Share Price Index

TOPIX—Tokyo Price Index

TSX—Toronto Stock Exchange

See notes to financial statements.

 

2018 Semi-Annual Report     27  

Table of Contents

Schedule of Investments

 

Sanford C. Bernstein Fund, Inc.

Schedule of Investments

Overlay B Portfolio

March 31, 2018 (Unaudited)

 

     Principal Amount (000)     U.S. $ Value  
INFLATION-LINKED SECURITIES–21.3%  
Japan–1.1%  

Japanese Government CPI Linked Bond
Series 21
0.10%, 3/10/26

     JPY       767,527     $ 7,639,064  

Series 22
0.10%, 3/10/27

 

     633,730       6,334,861  
     

 

 

  
        13,973,925  
     

 

 

  
New Zealand–0.1%  

New Zealand Government Bond
Series 925
2.00%, 9/20/25(a)

     NZD       975       733,195  
     

 

 

  
United States–20.1%  

U.S. Treasury Inflation Index 0.125%, 4/15/19
(TIPS)(b)(c)

     U.S.$       17,004       16,990,643  

0.125%, 4/15/20 (TIPS)(b)

 

     30,554       30,434,636  

0.125%, 4/15/21–7/15/26 (TIPS)

 

     63,371       62,075,886  

0.375%, 7/15/23–7/15/27 (TIPS)

 

     42,208       41,700,917  

0.625%, 7/15/21–1/15/26 (TIPS)

 

     47,084       47,271,214  

1.25%, 7/15/20 (TIPS)

       4,075       4,183,740  

1.375%, 1/15/20 (TIPS)

 

     15,105       15,430,721  

1.75%, 1/15/28 (TIPS)

 

     2,544       2,796,186  

2.00%, 1/15/26 (TIPS)

 

     7,462       8,237,149  

2.375%, 1/15/25–1/15/27 (TIPS)

 

     24,542       27,955,558  

2.50%, 1/15/29 (TIPS)

       1,986       2,351,820  
     

 

 

  
        259,428,470  
     

 

 

  
Total Inflation-Linked Securities
(cost $276,551,965)		       274,135,590  
     

 

 

  
     
       
            Shares         
INVESTMENT COMPANIES–19.9%  
Funds and Investment Trusts–19.9%(d)  

AB All Market Real Return Portfolio–Class Z(e)

 

     4,910,542       42,819,929  

iShares Core MSCI EAFE ETF

 

     397,000       26,154,360  

SPDR S&P 500 ETF Trust

 

     680,051       178,955,421  

SPDR S&P MidCap 400 ETF Trust

 

     25,202       8,612,279  
     

 

 

  
Total Investment Companies
(cost $227,155,127)		       256,541,989  
     

 

 

  
     
     
    

Principal Amount (000)

         
GOVERNMENTS—TREASURIES–13.5%  
Australia–0.1%  

Australia Government Bond
Series 142
4.25%, 4/21/26(a)

     AUD       1,036       893,722  
     

 

 

  
     Principal Amount (000)     U.S. $ Value  
Belgium–0.4%  

Kingdom of Belgium Government Bond
Series 72
2.60%, 6/22/24(a)

     EUR       1,489     $ 2,104,083  

Series 81
0.80%, 6/22/27(a)

       2,425       3,027,642  
     

 

 

  
        5,131,725  
     

 

 

  
Canada–0.8%  

Canadian Government Bond
1.00%, 6/01/27

     CAD       14,295       10,090,327  
     

 

 

  
France–0.6%  

French Republic Government Bond OAT
0.75%, 5/25/28(a)

     EUR       734       905,923  

2.00%, 5/25/48(a)

       1,011       1,373,446  

2.50%, 5/25/30(a)

       3,015       4,408,919  

3.50%, 4/25/26(a)

       823       1,263,202  
     

 

 

  
        7,951,490  
     

 

 

  
Germany–0.7%  

Bundesrepublik Deutschland Bundesanleihe
1.00%, 8/15/24(a)

       48       62,685  

2.50%, 7/04/44–8/15/46(a)

       5,501       8,933,587  
     

 

 

  
        8,996,272  
     

 

 

  
Ireland–0.2%  

Ireland Government Bond
1.00%, 5/15/26(a)

       1,772       2,243,673  
     

 

 

  
Italy–1.2%  

Italy Buoni Poliennali Del Tesoro
1.35%, 4/15/22

       3,141       4,014,025  

3.45%, 3/01/48(a)

       520       718,789  

3.75%, 3/01/21–5/01/21

       4,182       5,726,658  

4.00%, 9/01/20

       111       150,323  

4.50%, 5/01/23

       550       806,128  

5.50%, 11/01/22

       2,390       3,601,361  
     

 

 

  
        15,017,284  
     

 

 

  
Japan–1.0%  

Japan Government Ten Year Bond
Series 342
0.10%, 3/20/26

     JPY       117,800       1,119,236  

Japan Government Thirty Year Bond
Series 30
2.30%, 3/20/39

       37,900       478,924  

Series 36
2.00%, 3/20/42

       35,600       436,826  

Japan Government Twenty Year Bond
Series 112
2.10%, 6/20/29

       208,100       2,393,566  

Series 128
1.90%, 6/20/31

       169,750       1,953,325  

Series 143
1.60%, 3/20/33

       176,850       1,988,222  

Series 150
1.40%, 9/20/34

       387,400       4,254,828  

Series 158
0.50%, 9/20/36

       58,200       551,742  
     

 

 

  
        13,176,669  
     

 

 

  

 

28   Sanford C. Bernstein Fund, Inc.

Table of Contents

 

     
     Principal Amount (000)     U.S. $ Value  
Malaysia–0.3%  

Malaysia Government Bond
Series 3/04
5.734%, 7/30/19

     MYR       1,900     $ 506,489  

Series 414
3.654%, 10/31/19

       14,344       3,725,936  

Series 515
3.759%, 3/15/19

       1,361       353,810  
     

 

 

  
        4,586,235  
     

 

 

  
Mexico–0.4%  

Mexican Bonos
Series M
6.50%, 6/10/21

     MXN       15,167       816,706  

8.00%, 6/11/20

       68,325       3,816,187  

Series M 20
10.00%, 12/05/24

       785       49,512  
     

 

 

  
        4,682,405  
     

 

 

  
Russia–0.1%  

Russian Federal Bond–OFZ
Series 6214
6.40%, 5/27/20

     RUB       48,155       843,094  
     

 

 

  
Singapore–0.2%  

Singapore Government Bond
2.75%, 3/01/46

     SGD       3,876       2,941,656  

3.375%, 9/01/33

       341       285,539  
     

 

 

  
        3,227,195  
     

 

 

  
Spain–0.2%  

Spain Government Bond
2.90%, 10/31/46(a)

     EUR       986       1,402,353  

4.70%, 7/30/41(a)

       95       176,060  

Series 30Y
2.70%, 10/31/48(a)

       501       677,898  
     

 

 

  
        2,256,311  
     

 

 

  
United Kingdom–0.6%  

United Kingdom Gilt
1.50%, 7/22/26(a)

     GBP       1,685       2,405,782  

2.00%, 9/07/25(a)

       761       1,130,186  

4.25%, 6/07/32–3/07/36(a)

       2,192       4,203,176  
     

 

 

  
        7,739,144  
     

 

 

  
United States–6.7%  

U.S. Treasury Bonds

 

  

2.25%, 8/15/46

     U.S.$       331       285,125  

2.50%, 2/15/45–5/15/46

       929       846,881  

2.875%, 11/15/46

       4,452       4,366,732  

3.00%, 11/15/44

       1,101       1,107,995  

3.00%, 11/15/45(b)(c)

       3,745       3,766,651  

3.125%, 8/15/44

       3,269       3,366,044  

3.625%, 8/15/43

       2,621       2,933,435  

4.50%, 2/15/36

       1,933       2,388,463  

4.625%, 2/15/40

       239       305,845  

6.25%, 5/15/30

       2,004       2,719,271  

U.S. Treasury Notes
1.125%, 2/28/19

       10,158       10,069,217  

1.625%, 8/31/22–5/15/26

     U.S.$       5,985     $ 5,693,513  

1.75%, 11/30/21

       3,645       3,551,597  

1.875%, 7/31/22

       6,574       6,397,324  

2.00%, 10/31/22–11/15/26

       18,025       17,336,325  

2.125%, 12/31/22

       3,945       3,869,182  

2.25%, 2/15/27

       7,825       7,521,781  

2.375%, 8/15/24–5/15/27

       9,348       9,170,622  

2.75%, 2/15/24

       356       358,326  
     

 

 

  
        86,054,329  
     

 

 

  
Uruguay–0.0%  

Uruguay Government International Bond
8.50%, 3/15/28(a)

     UYU       8,095       262,214  

9.875%, 6/20/22(a)

       6,243       222,600  
     

 

 

  
        484,814  
     

 

 

  
Total Governments—Treasuries
(cost $168,067,933)		         173,374,689  
     

 

 

  
     
 
CORPORATES—INVESTMENT GRADE–11.3%  
Financial Institutions–6.1%  
Banking–5.1%  

ABN AMRO Bank NV
4.75%, 7/28/25(a)

     U.S.$       395       404,816  

Banco Santander SA
3.50%, 4/11/22

       1,400       1,394,022  

5.179%, 11/19/25

       400       417,324  

Bank of America Corp.
2.375%, 6/19/24(a)

     EUR       580       771,767  

2.881%, 4/24/23

     U.S.$       905       885,597  

3.824%, 1/20/28

       2,100       2,079,231  

4.00%, 1/22/25

       105       104,738  

4.20%, 8/26/24

       320       324,352  

Series G

3.593%, 7/21/28

       735       713,516  

Bank of Nova Scotia (The)
2.50%, 1/08/21

       154       151,739  

Bank of Tokyo-Mitsubishi UFJ Ltd. (The)
2.30%, 3/05/20(a)

       360       354,481  

Banque Federative du Credit Mutuel SA
2.75%, 10/15/20(a)

       545       538,144  

Barclays PLC
3.684%, 1/10/23

       745       738,339  

BB&T Corp.
2.625%, 6/29/20

       466       462,099  

BNP Paribas SA
2.375%, 5/21/20

       518       511,359  

3.80%, 1/10/24(a)

       316       315,447  

7.625%, 3/30/21(a)(f)

       281       301,704  

Series E

2.25%, 1/11/27(a)

     EUR       474       597,312  

BPCE SA
5.15%, 7/21/24(a)

     U.S.$       295       308,930  

 

2018 Semi-Annual Report     29  

Table of Contents

Schedule of Investments (continued)

 

     
     Principal Amount (000)     U.S. $ Value  

5.70%, 10/22/23(a)

     U.S.$       1,106     $ 1,185,289  

Capital One Financial Corp.
3.30%, 10/30/24

       1,378       1,328,805  

Citigroup, Inc.
1.375%, 10/27/21(a)

     EUR       344       438,314  

3.668%, 7/24/28

     U.S.$       1,745       1,703,399  

3.875%, 3/26/25

       200       197,608  

Citizens Bank NA/Providence RI
2.25%, 3/02/20

       300       295,203  

Commonwealth Bank of Australia/New York NY
Series G
2.30%, 3/12/20

       250       246,555  

Compass Bank
2.875%, 6/29/22

       1,175       1,140,420  

5.50%, 4/01/20

       549       570,070  

Cooperatieve Rabobank UA
3.95%, 11/09/22

       285       287,559  

4.375%, 8/04/25

       1,197       1,208,598  

Cooperatieve Rabobank UA/NY
2.25%, 1/14/20

       299       295,194  

Credit Agricole SA/London
2.75%, 6/10/20(a)

       553       548,565  

3.375%, 1/10/22(a)

       738       732,915  

Credit Suisse Group Funding Guernsey Ltd.
2.75%, 3/26/20

       390       386,248  

3.80%, 6/09/23

       810       812,024  

Danske Bank A/S
5.875%, 4/06/22(a)(f)

     EUR       320       440,040  

Fifth Third Bancorp
2.30%, 3/01/19

     U.S.$       646       643,158  

Goldman Sachs Group, Inc. (The)
2.00%, 7/27/23(a)

     EUR       601       776,276  

3.75%, 5/22/25

     U.S.$       246       243,267  

3.85%, 1/26/27

       281       277,001  

5.75%, 1/24/22

       2,629       2,843,290  

HSBC Bank USA NA
4.875%, 8/24/20

       530       548,767  

HSBC Holdings PLC
4.00%, 3/30/22

       1,730       1,771,676  

4.041%, 3/13/28

       2,294       2,286,453  

6.00%, 9/29/23(a)(f)

     EUR       650       917,762  

Intesa Sanpaolo SpA
3.125%, 7/14/22(a)

     U.S.$       905       876,728  

3.375%, 1/12/23(a)

       600       584,442  

3.875%, 1/12/28(a)

       705       664,850  

JPMorgan Chase & Co.
1.375%, 9/16/21(a)

     EUR       424       540,028  

2.295%, 8/15/21

     U.S.$       127       123,328  

3.22%, 3/01/25

       1,235       1,202,791  

3.54%, 5/01/28

       545       532,678  

3.782%, 2/01/28

       1,163       1,153,440  

Series X

6.10%, 10/01/24(f)

       430       451,199  

KeyBank NA/Cleveland OH
2.25%, 3/16/20

       550       542,525  

Lloyds Banking Group PLC
4.375%, 3/22/28

     U.S.$       753     $ 760,485  

4.582%, 12/10/25

       473       473,275  

4.65%, 3/24/26

       300       302,136  

Manufacturers & Traders Trust Co.
2.625%, 1/25/21

       933       919,565  

Mitsubishi UFJ Financial Group, Inc.
3.85%, 3/01/26

       230       230,338  

Mizuho Bank Ltd.
2.45%, 4/16/19(a)

       565       562,328  

Morgan Stanley
3.591%, 7/22/28

       1,185       1,147,163  

5.625%, 9/23/19

       1,129       1,171,597  

Series G

1.375%, 10/27/26

     EUR       1,428       1,716,107  

1.75%, 3/11/24

       600       763,622  

3.70%, 10/23/24

     U.S.$       1,075       1,069,550  

National Australia Bank Ltd./New York
Series G
2.625%, 7/23/20

       250       247,783  

Nationwide Building Society
4.00%, 9/14/26(a)

       1,615       1,554,227  

Nordea Bank AB
Series G
3.50%, 3/12/25(a)(f)

     EUR       600       723,504  

PNC Bank NA
2.60%, 7/21/20

     U.S.$       250       247,868  

Rabobank Capital Funding Trust IV
5.556%, 12/31/19(a)(f)

     GBP       85       124,808  

Santander Holdings USA, Inc.
4.40%, 7/13/27

     U.S.$       1,983       1,963,726  

Santander Issuances SAU
3.25%, 4/04/26(a)

     EUR       600       804,227  

Santander UK Group Holdings PLC
2.875%, 8/05/21

     U.S.$       1,353       1,326,996  

Santander UK PLC
5.00%, 11/07/23(a)

       610       632,491  

Skandinaviska Enskilda Banken AB
5.75%, 5/13/20(a)(f)

       730       738,490  

Standard Chartered PLC
5.70%, 1/25/22(a)

       325       343,015  

Sumitomo Mitsui Banking Corp.
1.966%, 1/11/19

       477       474,086  

3.00%, 1/18/23

       384       377,733  

Swedbank AB
5.50%, 3/17/20(a)(f)

       800       808,096  

UBS AG/Stamford CT
7.625%, 8/17/22

       280       314,426  

UBS Group Funding Switzerland AG
4.125%, 9/24/25(a)

       920       925,971  

UniCredit SpA
3.75%, 4/12/22(a)

       502       499,314  

US Bancorp
Series J
5.30%, 4/15/27(f)

       833       850,693  

Wells Fargo & Co.
3.069%, 1/24/23

       953       937,228  

 

30   Sanford C. Bernstein Fund, Inc.

Table of Contents

 

     
     Principal Amount (000)     U.S. $ Value  

4.125%, 8/15/23

     U.S.$       1,680     $ 1,705,301  

Series E
2.625%, 8/16/22(a)

     EUR       211       281,516  
     

 

 

  
        65,169,047  
     

 

 

  
Finance–0.1%  

Synchrony Financial
3.95%, 12/01/27

     U.S.$       1,986       1,878,001  
     

 

 

  
Insurance–0.6%  

Allianz SE
3.099%, 7/06/47(a)

     EUR       100       130,447  

American International Group, Inc.
Series A-9
5.75%, 4/01/48

     U.S.$       340       344,539  

Aquarius & Investments PLC for Swiss Reinsurance Co., Ltd.
6.375%, 9/01/24(a)

       380       390,575  

Assicurazioni Generali SpA
Series E
7.75%, 12/12/42(a)

     EUR       300       463,726  

Aviva PLC
Series E
3.375%, 12/04/45(a)

       592       768,439  

6.125%, 7/05/43(a)

       344       512,158  

CNP Assurances
4.50%, 6/10/47(a)

       300       419,430  

Groupama SA
6.00%, 1/23/27

       300       447,871  

Guardian Life Insurance Co. of America (The)
4.85%, 1/24/77(a)

     U.S.$       513       522,593  

Liberty Mutual Finance Europe DAC
1.75%, 3/27/24(a)

     EUR       245       308,098  

MetLife, Inc.
4.75%, 2/08/21

     U.S.$       1,110       1,156,931  

Nationwide Mutual Insurance Co.
9.375%, 8/15/39(a)

       460       741,543  

New York Life Global Funding
1.95%, 2/11/20(a)

       301       296,040  

Reliance Standard Life Global Funding II
2.50%, 4/24/19(a)

       655       653,043  

XLIT Ltd.
3.25%, 6/29/47

     EUR       398       492,765  
     

 

 

  
        7,648,198  
     

 

 

  
REITS–0.3%  

American Tower Corp.
3.40%, 2/15/19

     U.S.$       206       206,890  

3.50%, 1/31/23

       525       521,840  

DDR Corp.
3.625%, 2/01/25

       280       268,313  

Host Hotels & Resorts LP
Series D
3.75%, 10/15/23

       25       24,691  

Trust F/1401
5.25%, 1/30/26(a)

       760       768,550  

Welltower, Inc.
4.00%, 6/01/25

       1,231       1,229,990  

WPC Eurobond BV
2.125%, 4/15/27

     EUR       601     $ 738,243  
     

 

 

  
        3,758,517  
     

 

 

  
        78,453,763  
     

 

 

  
     
 
Industrial–5.0%  
Basic–0.4%  

Anglo American Capital PLC
3.75%, 4/10/22(a)

     U.S.$       600       599,202  

Braskem Netherlands Finance BV
3.50%, 1/10/23(a)

       289       277,544  

Eastman Chemical Co.
3.80%, 3/15/25

       276       279,017  

Equate Petrochemical BV
3.00%, 3/03/22(a)

       625       603,125  

Glencore Funding LLC
4.00%, 3/27/27(a)

       206       198,926  

4.125%, 5/30/23(a)

       321       322,579  

4.625%, 4/29/24(a)

       154       157,681  

GTL Trade Finance, Inc./Gerdau Holdings, Inc.
5.893%, 4/29/24(a)

       210       223,152  

LyondellBasell Industries NV
5.00%, 4/15/19

       297       301,506  

5.75%, 4/15/24

       685       752,246  

Mosaic Co. (The)
5.625%, 11/15/43

       183       192,254  

Vale Overseas Ltd.
6.875%, 11/21/36

       645       758,649  

Yamana Gold, Inc.
4.95%, 7/15/24

       725       747,823  
     

 

 

  
        5,413,704  
     

 

 

  
Capital Goods–0.1%  

Embraer Netherlands Finance BV
5.40%, 2/01/27

       725       766,035  

General Electric Co.
Series D
5.00%, 1/21/21(f)

       238       235,608  

Holcim Finance Luxembourg SA
Series E
2.25%, 5/26/28(a)

     EUR       675       860,844  
     

 

 

  
        1,862,487  
     

 

 

  
Communications—Media–0.5%  

21st Century Fox America, Inc.
3.00%, 9/15/22

     U.S.$       145       143,161  

Charter Communications Operating LLC/Charter Communications Operating Capital
3.579%, 7/23/20

       320       320,995  

4.908%, 7/23/25

       615       627,257  

Cox Communications, Inc.
2.95%, 6/30/23(a)

       402       387,842  

Myriad International Holdings BV
4.85%, 7/06/27(a)

       369       376,350  

 

2018 Semi-Annual Report     31  

Table of Contents

Schedule of Investments (continued)

 

     
     Principal Amount (000)     U.S. $ Value  

NBCUniversal Enterprise, Inc.
1.974%, 4/15/19(a)

   U.S.$       799     $ 793,175  

Time Warner Cable LLC
4.50%, 9/15/42

       650       569,855  

Time Warner, Inc.
3.55%, 6/01/24

       685       675,184  

3.60%, 7/15/25

       1,100       1,069,970  

4.75%, 3/29/21

       1,000       1,043,130  

4.875%, 3/15/20

       263       271,887  
     

 

 

  
        6,278,806  
     

 

 

  
Communications—Telecommunications–0.6%  

AT&T, Inc.
3.40%, 8/14/24–5/15/25

       1,568       1,530,812  

3.60%, 2/17/23

       69       69,330  

3.80%, 3/15/22

       157       159,275  

3.90%, 8/14/27

       280       281,621  

3.95%, 1/15/25

       181       181,364  

4.125%, 2/17/26

       2,162       2,175,426  

4.90%, 8/14/37

       445       449,441  

5.15%, 2/14/50

       575       580,175  

British Telecommunications PLC
9.125%, 12/15/30(g)

       305       444,397  

Crown Castle Towers LLC
4.883%, 8/15/20(a)

       469       485,589  

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
4.738%, 3/20/25(a)

       1,345       1,350,407  

Verizon Communications, Inc.
5.50%, 3/16/47

       360       397,984  
     

 

 

  
        8,105,821  
     

 

 

  
Consumer Cyclical—Automotive–0.5%  

Ford Motor Co.
4.346%, 12/08/26

       434       429,322  

Ford Motor Credit Co. LLC
2.597%, 11/04/19

       937       929,429  

3.664%, 9/08/24

       483       465,796  

3.81%, 1/09/24

       219       214,865  

4.134%, 8/04/25

       577       568,276  

5.875%, 8/02/21

       1,260       1,344,130  

General Motors Co.
3.50%, 10/02/18

       580       582,593  

4.20%, 10/01/27

       220       215,571  

General Motors Financial Co., Inc.
3.10%, 1/15/19

       675       675,803  

3.25%, 5/15/18

       51       51,037  

3.70%, 5/09/23

       116       115,139  

4.00%, 1/15/25

       335       331,094  

5.25%, 3/01/26

       152       160,576  
     

 

 

  
        6,083,631  
     

 

 

  
Consumer Cyclical—Entertainment–0.1%  

Carnival Corp.
1.625%, 2/22/21

     EUR       1,190       1,526,524  
     

 

 

  
Consumer Non-Cyclical–0.8%  

AbbVie, Inc.
1.375%, 5/17/24

     EUR       209     $ 260,363  

Baxalta, Inc.
3.60%, 6/23/22

     U.S.$       220       219,466  

Bayer US Finance LLC
2.375%, 10/08/19(a)

       448       443,896  

Becton Dickinson and Co.
3.734%, 12/15/24

       159       156,267  

Biogen, Inc.
4.05%, 9/15/25

       663       678,408  

Bunge Ltd. Finance Corp.
8.50%, 6/15/19

       9       9,561  

CVS Health Corp.
4.10%, 3/25/25

       1,260       1,270,407  

4.30%, 3/25/28

       1,260       1,266,829  

Danone SA
1.691%, 10/30/19(a)

       300       294,654  

Gilead Sciences, Inc.
2.55%, 9/01/20

       612       607,018  

Laboratory Corp. of America Holdings
3.20%, 2/01/22

       245       243,697  

3.60%, 2/01/25

       113       111,320  

McKesson Corp.
0.625%, 8/17/21

     EUR       360       447,347  

Medtronic, Inc.
3.50%, 3/15/25

     U.S.$       790       790,632  

Mylan NV
3.125%, 11/22/28(a)

     EUR       446       569,355  

Philip Morris International, Inc.
0.625%, 11/08/24

       640       767,753  

Reynolds American, Inc.
4.45%, 6/12/25

     U.S.$       500       514,235  

6.875%, 5/01/20

       275       295,188  

Sigma Alimentos SA de CV
4.125%, 5/02/26(a)

       207       199,496  

Tyson Foods, Inc.
3.95%, 8/15/24

       760       765,853  

Zimmer Biomet Holdings, Inc.
2.70%, 4/01/20

       556       550,195  

Zoetis, Inc.
3.45%, 11/13/20

       263       265,033  
     

 

 

  
        10,726,973  
     

 

 

  
Energy–0.8%  

Cenovus Energy, Inc.
3.00%, 8/15/22

       54       52,027  

5.70%, 10/15/19

       220       227,546  

Encana Corp.
3.90%, 11/15/21

       410       415,392  

Energy Transfer LP/Regency Energy Finance Corp.
4.50%, 11/01/23

       195       197,254  

Energy Transfer Partners LP
3.60%, 2/01/23

       55       53,814  

4.65%, 6/01/21

       175       179,960  

 

32   Sanford C. Bernstein Fund, Inc.

Table of Contents

 

     
     Principal Amount (000)     U.S. $ Value  

EnLink Midstream Partners LP
4.15%, 6/01/25

     U.S.$       515     $ 501,960  

Enterprise Products Operating LLC
3.70%, 2/15/26

       1,326       1,314,743  

Hess Corp.
4.30%, 4/01/27

       1,055       1,032,434  

Kinder Morgan Energy Partners LP
3.95%, 9/01/22

       255       256,999  

Kinder Morgan, Inc./DE
5.00%, 2/15/21(a)

       169       175,643  

Noble Energy, Inc.
3.90%, 11/15/24

       560       563,858  

4.15%, 12/15/21

       424       433,752  

Plains All American Pipeline LP/PAA Finance Corp.
3.60%, 11/01/24

       1,242       1,181,366  

Sabine Pass Liquefaction LLC
5.00%, 3/15/27

       601       624,090  

Spectra Energy Partners LP
3.50%, 3/15/25

       795       766,523  

Tengizchevroil Finance Co. International Ltd.
4.00%, 8/15/26(a)

       363       347,119  

TransCanada PipeLines Ltd.
9.875%, 1/01/21

       252       295,848  

Williams Partners LP
3.90%, 1/15/25

       245       241,734  

4.125%, 11/15/20

       875       889,280  
     

 

 

  
        9,751,342  
     

 

 

  
Other Industrial–0.1%  

Alfa SAB de CV
5.25%, 3/25/24(a)

       725       753,547  
     

 

 

  
Services–0.2%  

Expedia Group, Inc.
3.80%, 2/15/28

       1,395       1,296,401  

S&P Global, Inc.
4.40%, 2/15/26

       1,218       1,278,547  
     

 

 

  
        2,574,948  
     

 

 

  
Technology–0.7%  

Broadcom Corp./Broadcom Cayman Finance Ltd.
3.625%, 1/15/24

       420       413,242  

3.875%, 1/15/27

       773       752,252  

Dell International LLC/EMC Corp.
4.42%, 6/15/21(a)

       176       180,528  

5.45%, 6/15/23(a)

       1,140       1,208,218  

6.02%, 6/15/26(a)

       314       337,977  

Fidelity National Information Services, Inc.
0.40%, 1/15/21

     EUR       314       387,246  

Hewlett Packard Enterprise Co.
2.10%, 10/04/19(a)

     U.S.$       960       947,021  

4.90%, 10/15/25

       800       830,056  

HP, Inc.
3.75%, 12/01/20

   U.S.$       259     $ 262,750  

KLA-Tencor Corp.
4.65%, 11/01/24

       1,340       1,398,277  

Lam Research Corp.
2.80%, 6/15/21

       405       400,331  

Seagate HDD Cayman
4.75%, 6/01/23–1/01/25

       539       527,104  

4.875%, 3/01/24(a)

       682       676,428  

Tencent Holdings Ltd.
3.375%, 5/02/19(a)

       294       295,605  

VMware, Inc.
2.95%, 8/21/22

       435       418,296  
     

 

 

  
        9,035,331  
     

 

 

  
Transportation—Services–0.2%  

Adani Ports & Special Economic Zone Ltd.
3.95%, 1/19/22(a)

       1,245       1,241,887  

Penske Truck Leasing Co. Lp/PTL Finance Corp.
3.375%, 2/01/22(a)

       695       693,697  
     

 

 

  
        1,935,584  
     

 

 

  
        64,048,698  
     

 

 

  
     
 
Utility–0.2%  
Electric–0.2%  

Berkshire Hathaway Energy Co.
6.125%, 4/01/36

       249       318,135  

Exelon Generation Co. LLC
2.95%, 1/15/20

       778       775,603  

Israel Electric Corp., Ltd.
Series 6
5.00%, 11/12/24(a)

       776       808,010  

Korea Southern Power Co., Ltd.
3.00%, 1/29/21(a)

       324       322,238  

Monongahela Power Co.
4.10%, 4/15/24(a)

       305       315,776  
     

 

 

  
        2,539,762  
     

 

 

  
Total Corporates—Investment Grade
(cost $144,321,158)		         145,042,223  
     

 

 

  
     
 
MORTGAGE PASS-THROUGHS–7.3%  
Agency Fixed Rate 30-Year–6.9%      

Federal Home Loan Mortgage Corp. Gold
Series 2016
4.00%, 2/01/46

       1,573       1,628,286  

Series 2017
4.00%, 7/01/44

       1,215       1,256,532  

Federal National Mortgage Association
Series 2007
5.50%, 8/01/37

       265       295,452  

 

2018 Semi-Annual Report     33  

Table of Contents

Schedule of Investments (continued)

 

     
     Principal Amount (000)     U.S. $ Value  

Series 2010
4.00%, 12/01/40

   U.S.$       721     $ 746,932  

Series 2013
3.50%, 3/01/43

       14       14,050  

4.00%, 10/01/43

       2,078       2,150,607  

Series 2014
5.50%, 9/01/41

       1,031       1,130,351  

Series 2015
3.00%, 5/01/45–8/01/45

       2,563       2,509,980  

Series 2017
3.50%, 1/01/47–1/01/48

       4,027       4,040,455  

Series 2018
3.50%, 2/01/48–4/01/48

       20,178       20,232,048  

3.50%, 4/01/48, TBA

       6,758       6,772,669  

4.00%, 4/01/48, TBA

       15,260       15,658,191  

4.00%, 4/01/48, TBA

       12,375       12,697,911  

4.50%, 4/01/48, TBA

       5,733       6,002,309  

4.50%, 4/01/48, TBA

       11,592       12,137,186  

Government National Mortgage Association
Series 2016
3.00%, 4/20/46–5/20/46

       1,205       1,189,737  
     

 

 

  
        88,462,696  
     

 

 

  
Agency Fixed Rate 15-Year–0.4%      

Federal National Mortgage Association
Series 2013
2.50%, 3/01/28–6/01/28

       109       107,330  

Series 2014
2.50%, 9/01/29

       323       318,595  

Series 2016
2.50%, 11/01/31–1/01/32

       4,740       4,652,025  

Series 2017
2.50%, 2/01/32

       187       183,689  
     

 

 

  
        5,261,639  
     

 

 

  

Total Mortgage Pass-Throughs

(cost $93,950,773)

         93,724,335  
     

 

 

  
     
 
COMMERCIAL MORTGAGE-BACKED SECURITIES–3.6%  
Non-Agency Fixed Rate CMBS–2.8%      

BHMS Commercial Mortgage Trust
Series 2014-ATLS, Class AFX
3.601%, 7/05/33(a)

       1,895       1,870,650  

CCUBS Commercial Mortgage Trust
Series 2017-C1, Class A4
3.544%, 11/15/50

       615       610,077  

CFCRE Commercial Mortgage Trust
Series 2016-C4, Class A4
3.283%, 5/10/58

       1,250       1,220,578  

CGRBS Commercial Mortgage Trust
Series 2013-VN05, Class A
3.369%, 3/13/35(a)

       2,120       2,125,006  

Citigroup Commercial Mortgage Trust
Series 2015-GC27, Class A5
3.137%, 2/10/48

       838       824,456  

Series 2015-GC35, Class A4
3.818%, 11/10/48

   U.S.$       525     $ 535,730  

Series 2016-C1, Class A4
3.209%, 5/10/49

       1,411       1,382,850  

Series 2016-GC36, Class A5
3.616%, 2/10/49

       645       648,724  

Series 2018-B2, Class A4
4.009%, 3/10/51

       450       465,921  

Commercial Mortgage Trust
Series 2010-C1, Class D
6.126%, 7/10/46(a)

       1,070       1,108,154  

Series 2013-CR6, Class A2
2.122%, 3/10/46

       374       373,419  

Series 2014-UBS3, Class A4
3.819%, 6/10/47

       570       586,451  

Series 2014-UBS5, Class A4
3.838%, 9/10/47

       990       1,017,314  

Series 2015-CR24, Class A5
3.696%, 8/10/48

       655       665,096  

Series 2015-DC1, Class A5
3.35%, 2/10/48

       400       396,436  

Series 2015-LC21, Class XA
0.842%, 7/10/48(h)

       6,173       236,429  

CSAIL Commercial Mortgage Trust
Series 2015-C2, Class A4
3.504%, 6/15/57

       486       485,014  

Series 2015-C3, Class A4
3.718%, 8/15/48

       671       678,224  

Series 2015-C4, Class A4
3.808%, 11/15/48

       1,775       1,820,569  

GS Mortgage Securities Corp. II
Series 2018-GS9, Class A4
3.992%, 3/10/51

       1,640       1,699,563  

GS Mortgage Securities Trust
Series 2011-GC5, Class D
5.399%, 8/10/44(a)

       755       736,415  

Series 2013-G1, Class A1
2.059%, 4/10/31(a)

       314       301,875  

Series 2013-G1, Class A2
3.557%, 4/10/31(a)

       1,094       1,062,602  

Series 2014-GC18, Class D
4.944%, 1/10/47(a)

       200       172,139  

JP Morgan Chase Commercial Mortgage Securities Trust
Series 2006-LDP9, Class AM
5.372%, 5/15/47

 

     536       539,288  

Series 2011-C5, Class D
5.408%, 8/15/46(a)

       116       113,544  

Series 2012-C6, Class E
5.137%, 5/15/45(a)

       375       330,883  

Series 2012-CBX, Class E
5.214%, 6/15/45(a)

       305       298,201  

JPMBB Commercial Mortgage Securities Trust
Series 2014-C22, Class XA
0.913%, 9/15/47(h)

 

     16,334       718,826  

Series 2015-C30, Class A5
3.822%, 7/15/48

       655       670,006  

 

34   Sanford C. Bernstein Fund, Inc.

Table of Contents

 

     
     Principal Amount (000)     U.S. $ Value  

Series 2015-C31, Class A3
3.801%, 8/15/48

   U.S.$       1,344     $ 1,369,969  

Series 2015-C32, Class C
4.668%, 11/15/48

       704       699,358  

LB-UBS Commercial Mortgage Trust
Series 2006-C6, Class AJ
5.452%, 9/15/39

       575       455,707  

LSTAR Commercial Mortgage Trust
Series 2015-3, Class A2
2.729%, 4/20/48(a)

 

     649       642,600  

Series 2016-4, Class A2
2.579%, 3/10/49(a)

       1,327       1,286,100  

Morgan Stanley Capital I Trust
Series 2005-IQ9, Class D
5.00%, 7/15/56

 

     464       460,018  

Series 2016-UB12, Class A4
3.596%, 12/15/49

       1,005       1,009,881  

UBS Commercial Mortgage Trust
Series 2018-C8, Class A4
3.983%, 2/15/51

 

     1,020       1,050,788  

Series 2018-C9, Class A4
4.117%, 3/15/51

       1,690       1,749,158  

UBS-Barclays Commercial Mortgage Trust
Series 2012-C4, Class A5
2.85%, 12/10/45

       2,030       2,003,176  

Wells Fargo Commercial Mortgage Trust
Series 2015-SG1, Class C
4.47%, 9/15/48

 

     669       650,355  

Series 2016-LC25, Class C
4.436%, 12/15/59

       125       120,484  

Series 2016-NXS6, Class C
4.311%, 11/15/49

       750       744,445  

Series 2018-C43, Class A4
4.012%, 3/15/51

       450       465,001  
     

 

 

  
        36,401,480  
     

 

 

  
Non-Agency Floating Rate CMBS–0.8%  

BAMLL Commercial Mortgage Securities Trust
Series 2017-SCH, Class AF
2.777% (LIBOR 1 Month + 1.00%), 11/15/33(a)(i)

       1,935       1,939,366  

BX Trust
Series 2017-IMC, Class A
2.827% (LIBOR 1 Month + 1.05%), 10/15/32(a)(i)

 

     1,180       1,180,736  

Credit Suisse Mortgage Trust
Series 2016-MFF, Class D
6.377% (LIBOR 1 Month + 4.60%), 11/15/33(a)(i)

 

     640       644,743  

Great Wolf Trust
Series 2017-WOLF, Class A
2.777% (LIBOR 1 Month + 0.85%), 9/15/34(a)(i)

 

     914       915,253  

H/2 Asset Funding NRE
Series 2015-1A, Class AFL
3.271% (LIBOR 1 Month + 1.65%), 6/24/49(i)(j)

 

     307       307,184  

JP Morgan Chase Commercial Mortgage Securities Trust
Series 2015-SGP, Class A
3.477% (LIBOR 1 Month + 1.70%), 7/15/36(a)(i)

   U.S.$       924     $ 921,656  

Morgan Stanley Capital I Trust
Series 2015-XLF2, Class AFSA
3.61% (LIBOR 1 Month + 1.87%), 8/15/26(a)(i)

       288       287,968  

Series 2015-XLF2, Class SNMA

3.69% (LIBOR 1 Month + 1.95%), 11/15/26(a)(i)

       263       261,841  

RETL
Series 2018-RVP, Class A
2.877% (LIBOR 1 Month + 1.10%), 3/15/33(a)(i)

       963       967,520  

Starwood Retail Property Trust
Series 2014-STAR, Class A
2.997% (LIBOR 1 Month + 1.22%), 11/15/27(a)(i)

       2,350       2,349,636  

Waldorf Astoria Boca Raton Trust
Series 2016-BOCA, Class A
3.127% (LIBOR 1 Month + 1.35%), 6/15/29(a)(i)

       209       209,439  
     

 

 

  
        9,985,342  
     

 

 

  
Total Commercial Mortgage-Backed Securities
(cost $47,303,536)		         46,386,822  
     

 

 

  
     
 
ASSET-BACKED SECURITIES–3.6%  
Autos—Fixed Rate–1.7%      

Ally Auto Receivables Trust
Series 2015-2, Class A3
1.49%, 11/15/19

       222       221,239  

Ally Master Owner Trust
Series 2015-3, Class A
1.63%, 5/15/20

       1,391       1,389,607  

Americredit Automobile Receivables Trust
Series 2016-4, Class A2A
1.34%, 4/08/20

       241       240,862  

AmeriCredit Automobile Receivables Trust
Series 2017-3, Class A2A
1.69%, 12/18/20

       325       323,537  

Avis Budget Rental Car Funding AESOP LLC
Series 2013-2A, Class A
2.97%, 2/20/20(a)

       1,335       1,336,604  

Bank of The West Auto Trust
Series 2015-1, Class A3
1.31%, 10/15/19(a)

       82       82,279  

CarMax Auto Owner Trust
Series 2015-4, Class A3
1.56%, 11/16/20

       525       522,115  

Chrysler Capital Auto Receivables Trust
Series 2015-BA, Class A3
1.91%, 3/16/20(a)

       184       183,790  

 

2018 Semi-Annual Report     35  

Table of Contents

Schedule of Investments (continued)

 

     
     Principal Amount (000)     U.S. $ Value  

CPS Auto Trust
Series 2017-A, Class A
1.68%, 8/17/20(a)

   U.S.$       184     $ 183,493  

DT Auto Owner Trust
Series 2017-3A, Class A
1.73%, 8/17/20(a)

       179       178,226  

Series 2018-1A, Class A
2.59%, 5/17/21(a)

       988       987,421  

Exeter Automobile Receivables Trust
Series 2016-1A, Class D
8.20%, 2/15/23(a)

       390       414,021  

Series 2016-3A, Class A
1.84%, 11/16/20(a)

       123       122,552  

Series 2017-2A, Class A
2.11%, 6/15/21(a)

       288       287,163  

Series 2018-1A, Class A
2.21%, 5/17/21(a)

       780       777,538  

Fifth Third Auto Trust
Series 2014-3, Class A4
1.47%, 5/17/21

       658       656,583  

First Investors Auto Owner Trust
Series 2016-2A, Class A1
1.53%, 11/16/20(a)

       55       55,342  

Flagship Credit Auto Trust
Series 2016-2, Class D
8.56%, 11/15/23(a)

       330       356,441  

Series 2016-4, Class A2
1.96%, 2/16/21(a)

       340       338,730  

Series 2016-4, Class D
3.89%, 11/15/22(a)

       435       436,775  

Series 2017-2, Class A
1.85%, 7/15/21(a)

       439       436,716  

Series 2017-3, Class A
1.88%, 10/15/21(a)

       376       373,290  

Series 2017-4, Class A
2.07%, 4/15/22(a)

       155       153,548  

Ford Credit Auto Owner Trust
Series 2014-2, Class A
2.31%, 4/15/26(a)

       408       405,716  

Ford Credit Auto Owner Trust/Ford Credit
Series 2014-1, Class A
2.26%, 11/15/25(a)

       1,500       1,494,588  

Ford Credit Floorplan Master Owner Trust
Series 2015-2, Class A1
1.98%, 1/15/22

       816       805,826  

Series 2016-1, Class A1
1.76%, 2/15/21

       649       643,768  

Series 2017-1, Class A1
2.07%, 5/15/22

       1,090       1,073,612  

GM Financial Automobile Leasing Trust
Series 2015-3, Class A3
1.69%, 3/20/19

       329       328,809  

GMF Floorplan Owner Revolving Trust
Series 2015-1, Class A1
1.65%, 5/15/20(a)

       651       650,186  

Harley-Davidson Motorcycle Trust
Series 2015-1, Class A3
1.41%, 6/15/20

   U.S.$       163     $ 162,956  

Series 2015-2, Class A3
1.30%, 3/16/20

       194       193,840  

Hertz Vehicle Financing II LP
Series 2015-1A, Class A
2.73%, 3/25/21(a)

       1,975       1,959,681  

Series 2015-1A, Class B
3.52%, 3/25/21(a)

       131       130,932  

Series 2015-2A, Class A
2.02%, 9/25/19(a)

       643       640,542  

Series 2015-3A, Class A
2.67%, 9/25/21(a)

       725       714,948  

Series 2016-1A, Class A
2.32%, 3/25/20(a)

       884       879,281  

Series 2018-1A, Class A
3.29%, 2/25/24(a)

       450       445,175  

Hertz Vehicle Financing LLC
Series 2013-1A, Class B2
2.48%, 8/25/19(a)

       411       409,480  

Santander Drive Auto Receivables Trust
Series 2017-3, Class A2
1.85%, 6/15/20

       292       290,853  

Westlake Automobile Receivables Trust
Series 2016-2A, Class A2
1.57%, 6/17/19(a)

       23       23,456  

Series 2018-1A, Class A1

      

1.75%, 2/15/19(a)

       221       221,464  
     

 

 

  
        21,532,985  
     

 

 

  
Other ABS—Fixed Rate–1.0%  

CLUB Credit Trust
Series 2017-P2, Class A
2.61%, 1/15/24(a)

       951       948,342  

CNH Equipment Trust
Series 2014-B, Class A4
1.61%, 5/17/21

       829       828,623  

Series 2015-A, Class A4
1.85%, 4/15/21

       1,143       1,136,421  

Marlette Funding Trust
Series 2016-1A, Class A
3.06%, 1/17/23(a)

       55       55,226  

Series 2017-1A, Class A
2.827%, 3/15/24(a)

       254       253,772  

Series 2017-2A, Class A
2.39%, 7/15/24(a)

       452       450,648  

Series 2017-3A, Class A
2.36%, 12/15/24(a)

       365       363,347  

Series 2017-3A, Class B
3.01%, 12/15/24(a)

       332       329,071  

Series 2018-1A, Class A
2.61%, 3/15/28(a)

       1,039       1,037,748  

Prosper Marketplace Issuance Trust
Series 2017-2A, Class B
3.48%, 9/15/23(a)

       330       329,019  

 

36   Sanford C. Bernstein Fund, Inc.

Table of Contents

 

     
     Principal Amount (000)     U.S. $ Value  

SBA Tower Trust
3.156%, 10/08/20(a)

   U.S.$       538     $ 528,945  

Series 2014-1A, Class C
2.898%, 10/15/44(a)

       396       393,981  

Series 2014-2A, Class C
3.869%, 10/15/49(a)

       774       785,226  

SoFi Consumer Loan Program LLC
Series 2016-2, Class A
3.09%, 10/27/25(a)

       259       259,525  

Series 2016-3, Class A
3.05%, 12/26/25(a)

       347       346,368  

Series 2017-2, Class A
3.28%, 2/25/26(a)

       1,005       1,007,279  

Series 2017-5, Class A2
2.78%, 9/25/26(a)

       940       925,808  

Series 2017-6, Class A2
2.82%, 11/25/26(a)

       1,125       1,112,570  

SoFi Consumer Loan Program Trust
Series 2018-1, Class A1
2.55%, 2/25/27(a)

       702       700,039  

Series 2018-1, Class B
3.65%, 2/25/27(a)

       277       276,197  

Volvo Financial Equipment LLC
Series 2015-1A, Class A3
1.51%, 6/17/19(a)

       336       335,491  
     

 

 

  
        12,403,646  
     

 

 

  
Credit Cards—Fixed Rate–0.7%  

Barclays Dryrock Issuance Trust
Series 2015-1, Class A
2.20%, 12/15/22

       1,597       1,579,560  

Series 2015-2, Class A
1.56%, 3/15/21

       658       657,468  

Series 2015-4, Class A
1.72%, 8/16/21

       643       640,487  

Capital One Multi-Asset Execution Trust
Series 2015-A5, Class A5
1.60%, 5/17/21

       713       711,339  

GE Capital Credit Card Master Note Trust
Series 2012-2, Class A
2.22%, 1/15/22

       1,664       1,659,735  

Synchrony Credit Card Master Note Trust
Series 2015-3, Class A
1.74%, 9/15/21

       941       937,789  

Series 2016-1, Class A
2.04%, 3/15/22

       626       623,108  

World Financial Network Credit Card Master Trust
Series 2016-B, Class A
1.44%, 6/15/22

       607       604,494  

Series 2017-B, Class A
1.98%, 6/15/23

       570       564,136  

Series 2018-A, Class A
3.07%, 12/16/24

       1,340       1,338,899  
     

 

 

  
        9,317,015  
     

 

 

  
Autos—Floating Rate–0.1%      

BMW Floorplan Master Owner Trust
Series 2015-1A, Class A
2.277% (LIBOR 1 Month + 0.50%), 7/15/20(a)(i)

   U.S.$       1,278     $ 1,279,379  

Ford Credit Floorplan Master Owner Trust
Series 2015-2, Class A2
2.347% (LIBOR 1 Month + 0.57%), 1/15/22(i)

       210       211,230  
     

 

 

  
        1,490,609  
     

 

 

  
Credit Cards—Floating Rate–0.1%  

World Financial Network Credit Card Master Trust
Series 2015-A, Class A
2.257% (LIBOR 1 Month + 0.48%), 2/15/22(i)

       1,132       1,132,163  
     

 

 

  
Total Asset-Backed Securities
(cost $46,017,518)		       45,876,418  
     

 

 

  
     
   
COLLATERALIZED MORTGAGE OBLIGATIONS–3.5%          
Risk Share Floating Rate–2.8%    

Bellemeade Re II Ltd.
Series 2016-1A, Class M2B
8.372% (LIBOR 1 Month + 6.50%), 4/25/26(i)(j)

       257       262,118  

Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
Series 2013-DN2, Class M2
6.122% (LIBOR 1 Month + 4.25%), 11/25/23(i)

       601       668,336  

Series 2014-DN4, Class M3
6.422% (LIBOR 1 Month + 4.55%), 10/25/24(i)

       1,056       1,177,006  

Series 2014-HQ3, Class M3
6.622% (LIBOR 1 Month + 4.75%), 10/25/24(i)

       922         1,025,984  

Series 2015-DNA1, Class M2
3.722% (LIBOR 1 Month + 1.85%), 10/25/27(i)

       360       367,211  

Series 2015-DNA1, Class M3
5.172% (LIBOR 1 Month + 3.30%), 10/25/27(i)

       520       579,859  

Series 2015-DNA2, Class M2
4.472% (LIBOR 1 Month + 2.60%), 12/25/27(i)

       1,163       1,184,714  

Series 2015-DNA3, Class M3
6.572% (LIBOR 1 Month + 4.70%), 4/25/28(i)

       834       996,844  

Series 2015-HQ1, Class M2
4.072% (LIBOR 1 Month + 2.20%), 3/25/25(i)

       153       153,784  

 

2018 Semi-Annual Report     37  

Table of Contents

Schedule of Investments (continued)

 

     
     Principal Amount (000)     U.S. $ Value  

Series 2015-HQA1, Class M2
4.522% (LIBOR 1 Month + 2.65%), 3/25/28(i)

   U.S.$       994     $ 1,014,113  

Series 2015-HQA2, Class M3
6.672% (LIBOR 1 Month + 4.80%), 5/25/28(i)

       539       630,403  

Series 2016-DNA1, Class M2
4.772% (LIBOR 1 Month + 2.90%), 7/25/28(i)

       415       425,463  

Series 2016-DNA1, Class M3
7.422% (LIBOR 1 Month + 5.55%), 7/25/28(i)

       318       385,856  

Series 2016-DNA2, Class M3
6.522% (LIBOR 1 Month + 4.65%), 10/25/28(i)

       342       392,614  

Series 2016-DNA3, Class M2
3.872% (LIBOR 1 Month + 2.00%), 12/25/28(i)

       309       314,026  

Series 2016-DNA4, Class M2
3.172% (LIBOR 1 Month + 1.30%), 3/25/29(i)

       300       303,301  

Series 2016-HQA1, Class M3

      

8.222% (LIBOR 1 Month + 6.35%), 9/25/28(i)

       386       476,353  

Series 2017-DNA2, Class M2
5.322% (LIBOR 1 Month + 3.45%), 10/25/29(i)

       434       471,273  

Series 2018-HQA1, Class M2
4.154% (LIBOR 1 Month + 2.30%), 9/25/30(i)

       70       70,330  

Federal National Mortgage Association Connecticut Avenue Securities

      

Series 2014-C02, Class 1M1
2.822% (LIBOR 1 Month + 0.95%), 5/25/24(i)

       117       116,989  

Series 2014-C03, Class 1M2
4.872% (LIBOR 1 Month + 3.00%), 7/25/24(i)

       480       513,040  

Series 2014-C04, Class 1M2
6.772% (LIBOR 1 Month + 4.90%), 11/25/24(i)

       1,229       1,401,444  

Series 2014-C04, Class 2M2
6.872% (LIBOR 1 Month + 5.00%), 11/25/24(i)

       954       1,072,445  

Series 2015-C01, Class 1M2
6.172% (LIBOR 1 Month + 4.30%), 2/25/25(i)

       1,266         1,389,705  

Series 2015-C01, Class 2M2
6.422% (LIBOR 1 Month + 4.55%), 2/25/25(i)

       738       801,044  

Series 2015-C02, Class 1M2
5.872% (LIBOR 1 Month + 4.00%), 5/25/25(i)

       1,014       1,112,950  

Series 2015-C02, Class 2M2
5.872% (LIBOR 1 Month + 4.00%), 5/25/25(i)

       1,398       1,507,201  
     
     Principal Amount (000)     U.S. $ Value  

Series 2015-C03, Class 1M2
6.872% (LIBOR 1 Month + 5.00%), 7/25/25(i)

   U.S.$       1,338     $ 1,522,623  

Series 2015-C03, Class 2M2
6.872% (LIBOR 1 Month + 5.00%), 7/25/25(i)

       1,478       1,652,440  

Series 2015-C04, Class 1M2
7.572% (LIBOR 1 Month + 5.70%), 4/25/28(i)

       931       1,079,366  

Series 2015-C04, Class 2M2
7.422% (LIBOR 1 Month + 5.55%), 4/25/28(i)

       718       808,352  

Series 2016-C01, Class 1M2
8.622% (LIBOR 1 Month + 6.75%), 8/25/28(i)

       1,355       1,634,378  

Series 2016-C01, Class 2M2
8.822% (LIBOR 1 Month + 6.95%), 8/25/28(i)

       857       1,027,750  

Series 2016-C02, Class 1M2

      

7.872% (LIBOR 1 Month + 6.00%), 9/25/28(i)

       1,393       1,667,373  

Series 2016-C03, Class 1M1

3.872% (LIBOR 1 Month + 2.00%), 10/25/28(i)

       61       61,751  

Series 2016-C03, Class 1M2

7.172% (LIBOR 1 Month + 5.30%), 10/25/28(i)

       134       158,366  

Series 2016-C03, Class 2M1

4.072% (LIBOR 1 Month + 2.20%), 10/25/28(i)

       62       62,639  

Series 2016-C03, Class 2M2

7.772% (LIBOR 1 Month + 5.90%), 10/25/28(i)

       2,002       2,348,343  

Series 2016-C04, Class 1M2

6.122% (LIBOR 1 Month + 4.25%), 1/25/29(i)

       331       373,656  

Series 2016-C05, Class 2M2

6.322% (LIBOR 1 Month + 4.45%), 1/25/29(i)

       1,578       1,760,835  

Series 2016-C07, Class 2M2

6.222% (LIBOR 1 Month + 4.35%), 5/25/29(i)

       275       304,996  

Series 2017-C02, Class 2M2

5.522% (LIBOR 1 Month + 3.65%), 9/25/29(i)

       276       299,348  

Series 2018-C01, Class 1M2

4.122% (LIBOR 1 Month + 2.25%), 7/25/30(i)

       1,255       1,271,174  

JP Morgan Madison Avenue Securities Trust
Series 2014-CH1, Class M2
6.122% (LIBOR 1 Month + 4.25%), 11/25/24(i)(j)

       93       101,234  

Series 2015-CH1, Class M1
3.872% (LIBOR 1 Month + 2.00%), 10/25/25(i)(j)

       162       163,800  

 

38   Sanford C. Bernstein Fund, Inc.

Table of Contents

 

     
     Principal Amount (000)     U.S. $ Value  

Wells Fargo Credit Risk Transfer Securities Trust
Series 2015-WF1, Class 1M2
7.122% (LIBOR 1 Month + 5.25%), 11/25/25(i)(j)

   U.S.$       508     $ 571,864  

Series 2015-WF1, Class 2M2

7.372% (LIBOR 1 Month + 5.50%), 11/25/25(i)(j)

       143       168,024  
     

 

 

  
        35,852,718  
     

 

 

  
Agency Floating Rate–0.5%  

Federal Home Loan Mortgage Corp. REMICs
Series 4116, Class LS 4.423% (6.20%–LIBOR 1 Month), 10/15/42(i)(k)

       1,137       206,777  

Series 4693, Class SL

4.373% (6.15%–LIBOR 1 Month), 6/15/47(i)(k)

       3,383       641,502  

Series 4719, Class JS
4.373% (6.15%–LIBOR 1 Month), 9/15/47(i)(k)

       1,561       263,546  

Series 4727, Class SA

4.423% (6.20%–LIBOR 1 Month), 11/15/47(i)(k)

       3,675       690,585  

Federal National Mortgage Association REMICs
Series 2011-131, Class ST 4.669% (6.54%–LIBOR 1 Month), 12/25/41(i)(k)

       1,599       302,419  

Series 2012-70, Class SA

4.679% (6.55%–LIBOR 1 Month), 7/25/42(i)(k)

       2,133       419,752  

Series 2014-17, Class SA

4.179% (6.05%–LIBOR 1 Month), 4/25/44(i)(k)

       4,354       743,771  

Series 2014-78, Class SE

4.229% (6.10%–LIBOR 1 Month), 12/25/44(i)(k)

       1,536       254,626  

Series 2014-92, Class SX

4.229% (6.10%–LIBOR 1 Month), 1/25/45(i)(k)

       3,842       656,584  

Series 2016-77, Class DS

4.129% (6.00%–LIBOR 1 Month), 10/25/46(i)(k)

       3,244       563,248  

Series 2017-16, Class SG

4.179% (6.05%–LIBOR 1 Month), 3/25/47(i)(k)

       1,598       291,349  

Series 2017-62, Class AS

4.279% (6.15%–LIBOR 1 Month), 8/25/47(i)(k)

       1,580       286,518  

Series 2017-81, Class SA

4.329% (6.20%–LIBOR 1 Month), 10/25/47(i)(k)

       1,336       252,638  

Series 2017-97, Class LS

4.329% (6.20%–LIBOR 1 Month), 12/25/47(i)(k)

       2,437       467,381  

Series 2017-97, Class SW

4.329% (6.20%–LIBOR 1 Month), 12/25/47(i)(k)

       1,333       251,723  

Government National Mortgage Association
Series 2017-122, Class SA 4.378% (6.20%–LIBOR 1 Month), 8/20/47(i)(k)

   U.S.$       1,452     $ 282,952  

Series 2017-134, Class SE

4.378% (6.20%–LIBOR 1 Month), 9/20/47(i)(k)

       1,455       254,196  

Series 2017-65, Class ST

4.328% (6.15%–LIBOR 1 Month), 4/20/47(i)(k)

       1,780       317,538  
     

 

 

  
        7,147,105  
     

 

 

  
Non-Agency Fixed Rate–0.2%  

Alternative Loan Trust
Series 2005-57CB, Class 4A3
5.50%, 12/25/35

       1,074       957,215  

Series 2006-23CB, Class 1A7
6.00%, 8/25/36

       179       182,053  

Series 2006-9T1, Class A1
5.75%, 5/25/36

       292       229,581  

Credit Suisse Mortgage Trust
Series 2010-6R, Class 3A2
5.875%, 1/26/38(a)

       434       353,521  

RBSSP Resecuritization Trust
Series 2009-7, Class 10A3
6.00%, 8/26/37(a)

       660       579,939  
     

 

 

  
        2,302,309  
     

 

 

  
Total Collateralized Mortgage Obligations
(cost $42,184,409)		       45,302,132  
     

 

 

  
     
 
CORPORATES—NON-INVESTMENT GRADE–2.9%  
Financial Institutions–1.4%  
Banking–1.3%  

ABN AMRO Bank NV
4.75%, 9/22/27(a)(f)

     EUR       200       254,644  

5.75%, 9/22/20(a)(f)

       200       268,546  

Banco Bilbao Vizcaya Argentaria SA
5.875%, 5/24/22(a)(f)

       400       533,946  

6.125%, 11/16/27(f)

     U.S.$       800       777,440  

Banco Santander SA
6.25%, 9/11/21(a)(f)

     EUR       500       678,285  

Bank of America Corp.
Series FF
5.875%, 3/15/28(f)

     U.S.$       595       598,927  

Bank of Ireland
7.375%, 6/18/20(a)(f)

     EUR       480       654,107  

Barclays Bank PLC
6.86%, 6/15/32(a)(f)

     U.S.$       205       240,738  

Barclays PLC
8.00%, 12/15/20(f)

     EUR       630       882,081  

CaixaBank SA
6.75%, 6/13/24(a)(f)

       200       278,697  

CIT Group, Inc.
5.25%, 3/07/25

     U.S.$       771       788,340  

 

2018 Semi-Annual Report     39  

Table of Contents

Schedule of Investments (continued)

 

     
     Principal Amount (000)     U.S. $ Value  

Citigroup, Inc.
5.95%, 1/30/23(f)

     U.S.$       300     $ 308,226  

Series P
5.95%, 5/15/25(f)

       555       570,540  

Credit Suisse Group AG
6.25%, 12/18/24(a)(f)

       555       569,585  

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

       200       217,000  

Goldman Sachs Group, Inc. (The)
Series P
5.00%, 11/10/22(f)

       1,119       1,085,822  

Intesa Sanpaolo SpA
7.75%, 1/11/27(a)(f)

     EUR       690       1,036,853  

Series E
3.928%, 9/15/26(a)

     U.S.$       341       451,669  

Lloyds Banking Group PLC
6.375%, 6/27/20(a)(f)

       235       312,288  

7.50%, 6/27/24(f)

       855       926,820  

Royal Bank of Scotland Group PLC
2.001% (EURIBOR 3 Month + 2.33%), 6/30/18(a)(f)(i)

     EUR       250       305,690  

8.625%, 8/15/21(f)

     U.S.$       1,235       1,348,545  

Series U
4.622% (LIBOR 3 Month + 2.32%), 9/30/27(f)(i)

       1,300       1,314,989  

Societe Generale SA
7.375%, 9/13/21(a)(f)

       695       738,660  

Standard Chartered PLC
3.277% (LIBOR 3 Month + 1.51%), 1/30/27(a)(f)(i)

       900       852,408  

7.50%, 4/02/22(a)(f)

       557       589,028  

UBS Group AG
7.125%, 8/10/21(a)(f)

       545       574,283  

UniCredit SpA
6.625%, 6/03/23(a)(f)

     EUR       550       735,117  
     

 

 

  
        17,893,274  
     

 

 

  
Finance–0.1%  

Navient Corp.
6.625%, 7/26/21

     U.S.$       1,140       1,184,426  
     

 

 

  
        19,077,700  
     

 

 

  
     
 
Industrial–1.4%  
Basic–0.1%  

NOVA Chemicals Corp.
5.25%, 8/01/23(a)

       295       296,690  

SPCM SA
4.875%, 9/15/25(a)

       488       474,229  
     

 

 

  
        770,919  
     

 

 

  
Communications—Media–0.1%  

Altice France SA/France
5.375%, 5/15/22(a)

     EUR       105       131,620  

7.375%, 5/01/26(a)

     U.S.$       505       480,725  

CCO Holdings LLC/CCO Holdings Capital Corp.
4.00%, 3/01/23(a)

       725       695,463  

CSC Holdings LLC
6.75%, 11/15/21

     U.S.$       285     $ 297,275  
     

 

 

  
        1,605,083  
     

 

 

  
Communications—Telecommunications–0.2%  

CenturyLink, Inc.
Series S
6.45%, 6/15/21

       249       253,930  

Series T
5.80%, 3/15/22

       250       243,980  

Series Y
7.50%, 4/01/24

       101       101,744  

Sprint Capital Corp.
6.90%, 5/01/19

       1,230       1,270,553  
     

 

 

  
        1,870,207  
     

 

 

  
Consumer Cyclical—Automotive–0.0%  

Adient Global Holdings Ltd.
4.875%, 8/15/26(a)

       340       321,225  

LKQ Italia Bondco SpA
3.875%, 4/01/24(a)

     EUR       156       202,312  
     

 

 

  
        523,537  
     

 

 

  
Consumer Cyclical—Other–0.2%  

International Game Technology PLC
4.75%, 2/15/23(a)

       305       411,199  

6.25%, 2/15/22(a)

     U.S.$       345       361,370  

6.50%, 2/15/25(a)

       885       953,490  

KB Home
4.75%, 5/15/19

       265       267,504  
     

 

 

  
        1,993,563  
     

 

 

  
Consumer Cyclical—Retailers–0.0%  

Dufry Finance SCA
4.50%, 8/01/23(a)

     EUR       153       196,486  
     

 

 

  
Consumer Non-Cyclical–0.2%  

CHS/Community Health Systems, Inc.
6.25%, 3/31/23

     U.S.$       270       248,451  

Hill-Rom Holdings, Inc.
5.75%, 9/01/23(a)

       95       98,296  

Mallinckrodt International Finance SA/Mallinckrodt CB LLC
4.875%, 4/15/20(a)

       213       202,736  

5.75%, 8/01/22(a)

       53       45,980  

Tenet Healthcare Corp.
4.375%, 10/01/21

       174       171,863  

4.50%, 4/01/21

       255       252,835  

Valeant Pharmaceuticals International, Inc.
4.50%, 5/15/23(a)

     EUR       315       343,019  

5.875%, 5/15/23(a)

     U.S.$       118       104,214  

6.125%, 4/15/25(a)

       615       528,482  
     

 

 

  
        1,995,876  
     

 

 

  
Energy–0.4%  

Antero Resources Corp.
5.125%, 12/01/22

       305       307,794  

Cheniere Energy Partners LP
5.25%, 10/01/25(a)

       381       375,754  

 

40   Sanford C. Bernstein Fund, Inc.

Table of Contents

 

     
     Principal Amount (000)     U.S. $ Value  

Diamond Offshore Drilling, Inc.
4.875%, 11/01/43

     U.S.$       501     $ 357,714  

Energy Transfer Equity LP
4.25%, 3/15/23

       450       436,167  

Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp.
5.625%, 2/15/26(a)

       220       216,759  

Nabors Industries, Inc.
5.50%, 1/15/23

       1,244       1,213,398  

PDC Energy, Inc.
5.75%, 5/15/26(a)

       1,050       1,034,250  

Southern Star Central Corp.
5.125%, 7/15/22(a)

       412       420,067  

Sunoco LP/Sunoco Finance Corp.
4.875%, 1/15/23(a)

       1,034       999,660  
     

 

 

  
        5,361,563  
     

 

 

  
Services–0.0%      

Aramark Services, Inc.
5.00%, 2/01/28(a)

       231       225,874  
     

 

 

  
Technology–0.1%      

EMC Corp.
3.375%, 6/01/23

       645       593,316  

Western Digital Corp.
4.75%, 2/15/26

       1,154       1,152,731  
     

 

 

  
        1,746,047  
     

 

 

  
Transportation—Services–0.1%      

Avis Budget Car Rental LLC/Avis Budget Finance, Inc.
5.25%, 3/15/25(a)

       717       685,495  

Europcar Groupe SA
5.75%, 6/15/22(a)

     EUR       173       220,480  

Hertz Corp. (The)
5.50%, 10/15/24(a)

     U.S.$       300       254,799  

Loxam SAS
4.25%, 4/15/24(a)

     EUR       160       207,499  

7.00%, 7/23/22(a)

       280       361,880  
     

 

 

  
        1,730,153  
     

 

 

  
        18,019,308  
     

 

 

  
     
   
Utility–0.1%          
Electric–0.1%      

AES Corp./VA
4.00%, 3/15/21

     U.S.$       985       989,511  
     

 

 

  
        989,511  
     

 

 

  
Total Corporates—Non-Investment Grade
(cost $37,782,584)		       38,086,519  
     

 

 

  
     
   
EMERGING MARKETS—TREASURIES–1.0%          
Argentina–0.2%      

Argentina POM Politica Monetaria
Series POM
27.934% (ARPP7DRR), 6/21/20(i)

     ARS       11,146       585,476  

Argentine Bonos del Tesoro
15.50%, 10/17/26

     ARS       12,288     $ 600,637  

16.00%, 10/17/23

       24,013       1,157,862  
     

 

 

  
        2,343,975  
     

 

 

  
Brazil–0.8%      

Brazil Notas do Tesouro Nacional
Series F
10.00%, 1/01/21–1/01/27

     BRL       33,161       10,394,723  
     

 

 

  
Total Emerging Markets—Treasuries
(cost $12,739,576)		         12,738,698  
     

 

 

  
     
       
COVERED BONDS–0.9%                        

Banco de Sabadell SA
0.875%, 11/12/21(a)

     EUR       500       632,254  

Commonwealth Bank of Australia
Series E
0.75%, 11/04/21(a)

       610       769,496  

Credit Suisse AG/Guernsey
Series E
1.75%, 1/15/21(a)

       560       723,973  

Danske Bank A/S
Series E
1.25%, 6/11/21(a)

       595       762,910  

DNB Boligkreditt AS
Series E
3.875%, 6/16/21(a)

       473       655,242  

National Bank of Canada
1.50%, 3/25/21(a)

       461       593,608  

Nordea Hypotek AB
Series 5531
1.00%, 4/08/22

     SEK       6,200       758,490  

Royal Bank of Canada
1.625%, 8/04/20(a)

     EUR       575       737,252  

Santander UK PLC
Series E
1.625%, 11/26/20(a)

       564       726,223  

Skandinaviska Enskilda Banken AB
Series 574
1.50%, 12/15/21(a)

     SEK       7,000       873,504  

Stadshypotek AB
Series 1585
1.50%, 12/15/21(a)

       11,000       1,372,648  

Swedbank Hypotek AB
Series 190
1.00%, 9/15/21(a)

       12,300       1,510,182  

UBS AG/London
Series E
1.375%, 4/16/21(a)

     EUR       570       732,097  

Westpac Banking Corp.
Series E
1.50%, 3/24/21(a)

     U.S.$       585       753,155  
     

 

 

  
Total Covered Bonds
(cost $10,824,569)		         11,601,034  
     

 

 

  
     

 

2018 Semi-Annual Report     41  

Table of Contents

Schedule of Investments (continued)

 

     
     Principal Amount (000)     U.S. $ Value  
EMERGING MARKETS—CORPORATE BONDS–0.8%  
Industrial–0.7%  
Capital Goods–0.1%      

Odebrecht Finance Ltd.
5.25%, 6/27/29(a)

   U.S.$       415     $ 128,650  

7.125%, 6/26/42(a)

       1,765       573,625  
     

 

 

  
        702,275  
     

 

 

  
Communications—Telecommunications–0.0%    

MTN Mauritius Investment Ltd.
5.373%, 2/13/22(a)

       341       344,410  
     

 

 

  
Consumer Non-Cyclical–0.3%      

BRF GmbH
4.35%, 9/29/26(a)

       200       173,000  

BRF SA
3.95%, 5/22/23(a)

       508       464,643  

Coca-Cola Icecek AS
4.215%, 9/19/24(a)

       248       241,259  

MARB BondCo PLC
6.875%, 1/19/25(a)

       200       183,494  

7.00%, 3/15/24(a)

       669       630,532  

Marfrig Holdings Europe BV
8.00%, 6/08/23(a)

       200       200,500  

Minerva Luxembourg SA
6.50%, 9/20/26(a)

       648       618,840  

Natura Cosmeticos SA
5.375%, 2/01/23(a)

       244       243,973  

Teva Pharmaceutical Finance Netherlands III BV
3.15%, 10/01/26

       1,175       941,469  
     

 

 

  
        3,697,710  
     

 

 

  
Energy–0.2%      

Petrobras Global Finance BV
5.75%, 2/01/29

       830       803,042  

6.125%, 1/17/22

       63       67,143  

6.25%, 3/17/24

       1,155       1,219,102  

8.75%, 5/23/26

       340       398,412  

Ultrapar International SA
5.25%, 10/06/26(a)

       542       538,612  
     

 

 

  
        3,026,311  
     

 

 

  
Transportation—Services–0.1%      

Rumo Luxembourg SARL
5.875%, 1/18/25(a)

       615       607,583  

7.375%, 2/09/24(a)

       510       545,802  
     

 

 

  
        1,153,385  
     

 

 

  
        8,924,091  
     

 

 

  
     
 
Utility–0.1%  
Electric–0.1%      

Genneia SA
8.75%, 1/20/22(a)

       377       405,139  

Terraform Global Operating LLC
6.125%, 3/01/26(a)

     U.S.$       344     $ 346,515  
     

 

 

  
        751,654  
     

 

 

  
     
 
Financial Institutions–0.0%  
Banking–0.0%      

Itau Unibanco Holding SA/Cayman Island
6.125%, 12/12/22(a)(f)

       600       588,168  
     

 

 

  
Total Emerging Markets—Corporate Bonds
(cost $10,787,578)		         10,263,913  
     

 

 

  
     
 
COLLATERALIZED LOAN OBLIGATIONS–0.5%  
CLO—Floating Rate–0.5%      

Dryden CLO Ltd.
Series 2018-57A, Class A
2.90% (LIBOR 3 Month + 1.01%), 5/15/31(a)(i)

       750       750,456  

Goldentree Loan Opportunities Ltd.
Series 2015-11A, Class AR2
2.804% (LIBOR 3 Month + 1.07%), 1/18/31(a)(i)

       354       355,800  

Greywolf CLO V Ltd.
Series 2015-1A, Class A1R
2.905% (LIBOR 3 Month + 1.16%), 1/27/31(a)(i)

       344       346,727  

Greywolf CLO VI Ltd.
Series 2018-1A, Class A1
Zero Coupon, (LIBOR 3 Month + 1.03%), 4/26/31(a)(i)

       250       250,000  

Series 2018-1A, Class A2
Zero Coupon, (LIBOR 3 Month + 1.63%), 4/26/31(a)(i)

       250       250,000  

Marble Point CLO XI Ltd.
Series 2017-2A, Class A
2.793% (LIBOR 3 Month + 1.18%), 12/18/30(a)(i)

       678       682,109  

OZLM Ltd.
Series 2018-18A, Class A
1.00% (LIBOR 3 Month + 1.02%), 4/15/31(a)(i)

       745       745,000  

Series 2018-22A, Class A1
2.785% (LIBOR 3 Month + 1.07%), 1/17/31(a)(i)

       302       302,166  

Rockford Tower CLO Ltd.
Series 2017-3A, Class A
2.859% (LIBOR 3 Month + 1.19%),
10/20/30(a)(i)

       668       671,333  

Sound Point CLO XIX Ltd.
Series 2018-1A, Class A
3.29%, (LIBOR 3 Month + 1.00%),
4/15/31(a)(i)

       1,050       1,050,000  

 

42   Sanford C. Bernstein Fund, Inc.

Table of Contents

 

     
     Principal Amount (000)     U.S. $ Value  

THL Credit Wind River CLO Ltd.
Series 2014-2A, Class AR
2.862% (LIBOR 3 Month + 1.14%),
1/15/31(a)(i)

     U.S.$       722     $ 727,710  
     

 

 

  
Total Collateralized Loan Obligations
(cost $6,113,800)		         6,131,301  
     

 

 

  
     
 
AGENCIES–0.5%  
Agency Debentures–0.5%      

Residual Funding Corp. Principal Strip
Zero Coupon, 7/15/20
(cost $5,941,603)

       6,490       6,124,483  
     

 

 

  
     
 
GOVERNMENTS—SOVEREIGN AGENCIES–0.4%  
Canada–0.4%      

Canada Housing Trust No. 1
1.25%, 6/15/21(a)

     CAD       885       668,701  

1.90%, 9/15/26(a)

       2,900       2,153,520  

2.25%, 12/15/25(a)

       3,140       2,402,715  
     

 

 

  
Total Governments—Sovereign Agencies
(cost $5,183,800)		         5,224,936  
     

 

 

  
     
 
EMERGING MARKETS—SOVEREIGNS–0.4%  
Angola–0.0%      

Republic of Angola Via Northern Lights III BV
7.00%, 8/17/19(a)

     U.S.$       261       265,186  
     

 

 

  
Argentina–0.0%      

Argentine Republic Government International Bond
6.875%, 4/22/21

       220       232,870  
     

 

 

  
Bahrain–0.1%      

Bahrain Government International Bond
7.00%, 10/12/28(a)

       515       495,044  
     

 

 

  
Brazil–0.0%      

Brazilian Government International Bond
4.625%, 1/13/28

       223       218,540  
     

 

 

  
Costa Rica–0.0%      

Costa Rica Government International Bond
4.37%, 5/22/19(a)

       234       233,464  
     

 

 

  
Dominican Republic–0.1%      

Dominican Republic International Bond 5.95%, 1/25/27(a)

       446       468,857  

7.50%, 5/06/21(a)

       380       405,175  
     

 

 

  
        874,032  
     

 

 

  
Egypt–0.2%      

Citigroup Global Markets Holdings, Inc./United States
Series GSNP
Zero Coupon, 10/04/18

     EGP       10,080       525,287  

Egypt Government International Bond
6.125%, 1/31/22(a)

     U.S.$       433     $ 448,696  

7.50%, 1/31/27(a)

       535       579,806  

HSBC Bank PLC
Zero Coupon, 8/02/18(a)

     EGP       10,725       574,484  
     

 

 

  
        2,128,273  
     

 

 

  
Gabon–0.0%      

Gabon Government International Bond
6.375%, 12/12/24(a)

     U.S.$       305       302,712  
     

 

 

  
Ivory Coast–0.0%      

Ivory Coast Government International Bond
5.125%, 6/15/25(a)

     EUR       139       179,157  
     

 

 

  
Total Emerging Markets—Sovereigns
(cost $4,873,914)		         4,929,278  
     

 

 

  
     
   
LOCAL GOVERNMENTS—PROVINCIAL BONDS–0.2%          
Canada–0.2%      

Province of Manitoba Canada
3.85%, 12/01/21

     CAD       1,220       998,651  

Province of Ontario Canada
2.60%, 6/02/27

       3,045       2,334,559  
     

 

 

  
Total Local Governments—Provincial Bonds
(cost $3,680,637)		         3,333,210  
     

 

 

  
     
   
QUASI-SOVEREIGNS–0.2%          
Quasi-Sovereign Bonds–0.2%          
Chile–0.1%      

Corp. Nacional del Cobre de Chile
3.625%, 8/01/27(a)

     U.S.$       533       517,634  

Empresa de Transporte de Pasajeros Metro SA
4.75%, 2/04/24(a)

       465       483,844  
     

 

 

  
        1,001,478  
     

 

 

  
China–0.1%      

State Grid Overseas Investment 2014 Ltd.
4.125%, 5/07/24(a)

       951       967,452  

State Grid Overseas Investment 2016 Ltd.
2.25%, 5/04/20(a)

       700       688,149  
     

 

 

  
        1,655,601  
     

 

 

  
Kazakhstan–0.0%      

KazMunayGas National Co. JSC
6.375%, 4/09/21(a)

       256       275,814  

7.00%, 5/05/20(a)

       225       241,313  
     

 

 

  
        517,127  
     

 

 

  
Total Quasi—Sovereigns
(cost $3,146,373)		         3,174,206  
     

 

 

  
     

 

2018 Semi-Annual Report     43  

Table of Contents

Schedule of Investments (continued)

 

     
     Principal Amount (000)     U.S. $ Value  
LOCAL GOVERNMENTS—REGIONAL BONDS–0.1%          
Argentina–0.1%    

Provincia de Buenos Aires/Argentina
5.75%, 6/15/19(a)

     U.S.$       167     $ 169,923  

9.125%, 3/16/24(a)

       440       486,200  

Provincia de Cordoba
7.125%, 6/10/21(a)

       210       220,762  
     

 

 

  
Total Local Governments—Regional Bonds
(cost $858,954)		         876,885  
     

 

 

  
     
   
GOVERNMENTS—SOVEREIGN BONDS–0.1%          
Mexico–0.1%    

Mexico Government International Bond
3.60%, 1/30/25
(cost $822,257)

       838       827,106  
     

 

 

  
     
       
            Shares         
SHORT-TERM INVESTMENTS–11.3%          
Investment Companies–5.6%    

AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB,
1.41%(d)(e)(l)
(cost $71,724,337)

       71,724,337       71,724,337  
     

 

 

  
     
     
     Principal Amount (000)         
U.S. Treasury Bills–2.9%    

U.S. Treasury Bill
Zero Coupon, 5/24/18–7/05/18
(cost $37,538,145)

     U.S.$       37,643       37,538,145  
     

 

 

  
     
Governments—Treasuries–2.3%                        
Japan–2.3%      

Japan Treasury Discount Bill

      

Series 729

      

Zero Coupon, 4/05/18

     JPY       1,611,100     $ 15,141,440  

Series 743

      

Zero Coupon, 9/10/18

       1,586,500       14,920,202  
     

 

 

  
Total Governments—Treasuries
(cost $29,175,267)		         30,061,642  
     

 

 

  
Agency Discount Note–0.3%      

Federal Home Loan Bank Discount Notes
Zero Coupon, 5/11/18–5/23/18
(cost $3,832,580)

     U.S.$       3,840       3,832,580  
     

 

 

  
Commercial Paper–0.2%      

Bank of Tokyo-Mitsubishi UFJ/NY
Zero Coupon, 4/18/18
(cost $2,847,796)

       2,850       2,847,796  
     

 

 

  
Total Short-Term Investments
(cost $145,118,125)		         146,004,500  
     

 

 

  
Total Investments—103.3%
(cost $1,293,426,189)		         1,329,700,267 (m) 

Other assets less liabilities—(3.3)%

         (42,716,668 ) 
     

 

 

  
     
Net Assets—100.0%       $ 1,286,983,599  
     

 

 

  

 

 
FUTURES (see Note 3)  
Description    Number of
Contracts		     

Expiration

Month

     

Notional
(000)

     Original
Value		     Value at
March 31, 2018		     Unrealized
Appreciation/
(Depreciation)		  
Purchased Contracts                  

10 Yr Canadian Bond Futures

      275        June 2018      CAD      27,500       $  27,896,414       $  28,446,657       $  550,243  

10 Yr Japan Bond (OSE) Futures

      10        June 2018      JPY      1,000,000       14,163,118       14,169,447       6,329  

Euro Buxl 30 Yr Bond Futures

      95        June 2018      EUR      9,500       18,673,638       19,331,718       658,080  

Euro STOXX 50 Index Futures

      976        June 2018      EUR      10       40,145,350       39,402,149       (743,201 ) 

Euro-BOBL Futures

      307        June 2018      EUR      30,700       49,144,748       49,579,432       434,684  

Euro-Bund Futures

      198        June 2018      EUR      19,800       38,288,568       38,841,778       553,210  

FTSE 100 Index Futures

      215        June 2018      GBP      2       21,472,660       21,095,554       (377,106 ) 

Mini MSCI Emerging Markets Futures

      746        June 2018      USD      37       44,779,875       44,304,940       (474,935 ) 

 

44   Sanford C. Bernstein Fund, Inc.

Table of Contents

 

Description    Number of
Contracts		     

Expiration

Month

     

Notional
(000)

     Original
Value		     Value at
March 31, 2018		     Unrealized
Appreciation/
(Depreciation)		  

Russell 2000 E-Mini Futures

      163        June 2018      USD      8       $  12,856,550       $  12,479,280       $  (377,270 ) 

SPI 200 Futures

      46        June 2018      AUD      1       5,278,437       5,066,363       (212,074 ) 

TOPIX Index Futures

      340        June 2018      JPY      3,400       54,418,852       54,847,986       429,134  

U.S. 10 Yr Ultra Futures

      1        June 2018      USD      100       127,954       129,859       1,905  

U.S. Long Bond (CBT) Futures

      25        June 2018      USD      2,500       3,588,121       3,665,625       77,504  

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

      344        June 2018      USD      34,400       39,270,794       39,374,563       103,769  

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

      436        June 2018      USD      43,600       52,397,632       52,817,313       419,681  

U.S. Ultra Bond (CBT) Futures

      229        June 2018      USD      22,900       35,650,361       36,747,344       1,096,983  
Sold Contracts                  

10 Yr Australian Bond Futures

      165        June 2018      AUD      16,500       16,139,955       16,426,117       (286,162 ) 

10 Yr Japan Bond (OSE) Futures

      110        June 2018      JPY      11,000,000       155,795,395       155,863,916       (68,521 ) 

10 Yr Mini Japan Government Bond Futures

      110        June 2018      JPY      1,100,000       15,590,325       15,588,459       1,866  

Euro Buxl 30 Yr Bond Futures

      4        June 2018      EUR      400       785,859       813,967       (28,108)  

Euro-BOBL Futures

      331        June 2018      EUR      33,100       53,038,758       53,455,349       (416,591 ) 

Euro-Bund Futures

      26        June 2018      EUR      2,600       5,017,546       5,100,435       (82,889 ) 

Euro-OAT Futures

      23        June 2018      EUR      2,300       4,293,418       4,374,950       (81,532 ) 

Long Gilt Futures

      20        June 2018      GBP      2,000       3,393,834       3,446,331       (52,497 ) 

S&P 500 E Mini Futures

      259        June 2018      USD      13       35,330,856       34,226,850       1,104,006  

S&P TSX 60 Index Futures

      141        June 2018      CAD      28       19,931,298       19,830,947       100,351  

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

      101        June 2018      USD      20,200       21,468,854       21,473,547       (4,693 ) 

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

      262        June 2018      USD      26,200       31,484,758       31,738,844       (254,086 ) 

U.S. Ultra Bond (CBT) Futures

      2        June 2018      USD      200       311,873       320,938       (9,065 ) 
                 

 

 

  
                    $2,069,015  
                 

 

 

  

 

       
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3)                             
Counterparty    Contracts to
Deliver
(000)		      In Exchange
For
(000)		      Settlement
Date		      Unrealized
Appreciation/
(Depreciation)		  

Australia and New Zealand Banking Group Ltd.

    NZD      6,758        USD        4,885        6/07/18      $ 2,480  

Bank of America, NA

    GBP      8,577        USD        11,866        5/15/18        (187,313 ) 

Bank of America, NA

    EUR      4,673        USD        5,795        5/30/18        21,944  

Bank of America, NA

    USD      4,109        GBP        2,958        5/15/18        48,961  

Bank of America, NA

    USD      12,520        EUR        10,359        5/15/18          263,911  

Bank of America, NA

    USD      4,317        JPY        473,274        4/26/18        136,640  

Barclays Bank PLC

    BRL      14,997        USD        4,528        5/03/18        (3,899 ) 

Barclays Bank PLC

    BRL      14,997        USD        4,512        4/03/18        (30,544 ) 

Barclays Bank PLC

    USD      4,540        BRL        14,997        4/03/18        2,131  

Barclays Bank PLC

    USD      2,365        RUB        135,288        4/17/18        (7,520 ) 

BNP Paribas SA

    ARS      7,591        USD        391        4/05/18        14,017  

BNP Paribas SA

    ARS      7,591        USD        386        4/09/18        10,146  

BNP Paribas SA

    AUD      10,222        USD        7,969        5/15/18        117,889  

BNP Paribas SA

    CAD      3,642        USD        2,823        4/12/18        (4,570 ) 

BNP Paribas SA

    GBP      2,223        USD        3,089        4/13/18        (30,637 ) 

BNP Paribas SA

    GBP      3,266        USD        4,648        4/13/18        64,628  

BNP Paribas SA

    USD      1,579        GBP        1,119        5/15/18        (6,231 ) 

BNP Paribas SA

    USD      2,294        AUD        2,895        5/15/18        (70,676 ) 

 

2018 Semi-Annual Report     45  

Table of Contents

Schedule of Investments (continued)

 

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

BNP Paribas SA

    USD      4,436        EUR        3,555        5/15/18      $ (48,787 ) 

BNP Paribas SA

    USD      368        ARS        7,591        4/09/18        7,730  

BNP Paribas SA

    USD      9,060        NOK        70,445        5/15/18        (61,872 ) 

Citibank, NA

    JPY      3,236,951        USD        30,509        4/16/18        64,409  

Citibank, NA

    JPY      906,568        USD        8,602        5/15/18        61,131  

Citibank, NA

    JPY      678,593        USD        6,409        4/26/18        23,012  

Citibank, NA

    ARS      2,165        USD        106        4/19/18        (762 ) 

Citibank, NA

    CAD      2,061        USD        1,610        4/12/18        10,262  

Citibank, NA

    BRL      2,013        USD        606        4/03/18        (4,101 ) 

Citibank, NA

    USD      4,674        KRW        4,997,829        4/26/18            33,152  

Citibank, NA

    USD      613        BRL        2,013        4/03/18        (3,614 ) 

Citibank, NA

    USD      262        ARS        5,367        4/19/18        2,309  

Citibank, NA

    USD      11,075        EUR        8,823        5/15/18        (186,496 ) 

Citibank, NA

    USD      4,597        TWD        132,780        6/07/18        (5,502 ) 

Citibank, NA

    USD      1,434        JPY        155,526        4/26/18        29,045  

Credit Suisse International

    NOK      19,744        USD        2,475        5/15/18        (46,825 ) 

Credit Suisse International

    CHF      3,722        USD        3,991        5/15/18        84,964  

Credit Suisse International

    USD      897        CHF        823        5/15/18        (32,895 ) 

Credit Suisse International

    AUD      6,728        CAD        6,682        6/07/18        24,931  

Credit Suisse International

    USD      15,792        GBP        11,171        5/15/18        (93,627 ) 

Credit Suisse International

    USD      6,531        AUD        8,288        6/07/18        (165,045 ) 

Credit Suisse International

    USD      2,569        NOK        19,744        5/15/18        (47,053 ) 

Credit Suisse International

    USD      11,788        JPY        1,269,211        5/15/18        170,025  

Deutsche Bank AG

    ILS      20,970        USD        6,156        4/20/18        171,245  

Goldman Sachs Bank USA

    CAD      5,511        USD        4,472        5/15/18        190,942  

Goldman Sachs Bank USA

    USD      2,188        MYR        8,583        7/12/18        31,503  

HSBC Bank USA

    JPY      4,343,644        USD        39,918        4/26/18        (956,906 ) 

HSBC Bank USA

    TWD      43,285        USD        1,491        6/07/18        (6,255 ) 

HSBC Bank USA

    CAD      26,389        USD        21,153        4/12/18        665,916  

HSBC Bank USA

    BRL      17,010        USD        5,235        4/03/18        83,096  

HSBC Bank USA

    USD      1,349        AUD        1,715        6/07/18        (32,083 ) 

HSBC Bank USA

    USD      5,118        BRL        17,010        4/03/18        34,645  

HSBC Bank USA

    USD      4,634        MXN        86,904        4/20/18        133,835  

HSBC Bank USA

    USD      3,060        NOK        23,518        5/25/18        (55,032 ) 

HSBC Bank USA

    USD      2,984        KRW        3,185,901        4/26/18        16,177  

JPMorgan Chase Bank, NA

    MXN      150,906        USD        8,018        4/20/18        (261,300 ) 

JPMorgan Chase Bank, NA

    TWD      216,758        USD        7,466        6/07/18        (29,974 ) 

JPMorgan Chase Bank, NA

    EUR      58,844        USD        73,046        5/30/18        352,264  

JPMorgan Chase Bank, NA

    SEK      27,263        USD        3,377        5/15/18        102,101  

JPMorgan Chase Bank, NA

    AUD      14,324        USD        11,083        6/07/18        80,481  

JPMorgan Chase Bank, NA

    GBP      8,657        USD        11,759        5/15/18        (407,226 ) 

JPMorgan Chase Bank, NA

    GBP      6,540        USD        9,315        4/13/18        135,618  

JPMorgan Chase Bank, NA

    CAD      1,725        USD        1,336        4/12/18        (2,703 ) 

JPMorgan Chase Bank, NA

    USD      5,971        GBP        4,296        4/13/18        58,445  

JPMorgan Chase Bank, NA

    USD      3,324        SEK        27,263        5/15/18        (48,746 ) 

JPMorgan Chase Bank, NA

    USD      5,427        JPY        588,171        4/26/18        108,044  

Morgan Stanley & Co., Inc.

    EUR      3,764        USD        4,627        5/15/18        (17,710 ) 

 

46   Sanford C. Bernstein Fund, Inc.

Table of Contents

 

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

Morgan Stanley & Co., Inc.

    SGD      3,736        USD        2,832        5/17/18      $ (20,562 ) 

Morgan Stanley & Co., Inc.

    GBP      3,776        USD        5,306        4/13/18        5,326  

Morgan Stanley & Co., Inc.

    USD      5,998        GBP        4,309        5/15/18        58,353  

Morgan Stanley & Co., Inc.

    USD      2,937        AUD        3,733        6/07/18        (69,867 ) 

Royal Bank of Scotland PLC

    MXN      21,137        USD        1,112        4/20/18        (47,340 ) 

Royal Bank of Scotland PLC

    CAD      7,628        USD        6,050        5/15/18          124,805  

Royal Bank of Scotland PLC

    CAD      1,824        USD        1,423        4/12/18        6,278  

Royal Bank of Scotland PLC

    USD      8,158        CAD        10,174        5/15/18        (254,736 ) 

Royal Bank of Scotland PLC

    USD      369        ARS        7,591        4/05/18        7,631  

Royal Bank of Scotland PLC

    USD      1,660        JPY        181,994        4/26/18        52,624  

Standard Chartered Bank

    AUD      2,594        USD        2,024        5/15/18        31,555  

Standard Chartered Bank

    USD      2,000        GBP        1,442        4/13/18        23,971  

Standard Chartered Bank

    USD      5,467        INR        358,601        5/17/18        17,330  

Standard Chartered Bank

    USD      5,011        JPY        535,731        4/26/18        30,448  

Standard Chartered Bank

    USD      1,695        JPY        180,106        4/26/18        (576 ) 

Standard Chartered Bank

    USD      14,804        JPY        1,599,201        5/15/18        262,485  

State Street Bank & Trust Co.

    SEK      37,502        USD        4,594        5/25/18        86,226  

State Street Bank & Trust Co.

    EUR      2,743        USD        3,404        5/30/18        14,671  

State Street Bank & Trust Co.

    AUD      816        USD        632        6/07/18        4,580  

State Street Bank & Trust Co.

    ZAR      473        USD        39        4/13/18        (968 ) 

State Street Bank & Trust Co.

    SGD      366        USD        278        5/17/18        (1,924 ) 

State Street Bank & Trust Co.

    CAD      6        USD        5        4/12/18        169  

State Street Bank & Trust Co.

    USD      225        EUR        181        5/30/18        (1,883 ) 

State Street Bank & Trust Co.

    USD      66        GBP        48        4/13/18        1,147  

State Street Bank & Trust Co.

    USD      726        BRL        2,423        5/03/18        6,370  
                 

 

 

  
   $ 838,238  
                 

 

 

  

 

       
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note 3)                        
            Rate Type                       

Notional Amount

(000)

    Termination
Date		      Payments made
by the Fund		    Payments received
by the Fund		    Payment
Frequency Paid/
Received		   Market
Value		     Upfront
Premiums
Paid
(Received)		    

Unrealized

Appreciation/
(Depreciation)

  

USD    1,600

      4/01/20      1.562%    3 Month LIBOR    Semi-Annual/
Quarterly		     $  25,994       $        —       $  25,994  

USD  25,870

      4/03/20      3 Month LIBOR    2.562%    Quarterly/
Semi-Annual		     (8,868 )      —       (8,868 ) 

USD    2,445

      7/02/20      3 Month LIBOR    1.778%    Quarterly/
Semi-Annual		     (43,812 )      —       (43,812 ) 

USD       515

      10/04/21      1.180%    3 Month LIBOR    Semi-Annual/
Quarterly		     24,822       —       24,822  

SEK  41,470

      3/31/22      3 Month STIBOR    0.341%    Quarterly/

Annual

     33,459       (1,156 )      34,615  

NZD    5,665

      3/31/22      3 Month BKBM    2.936%    Quarterly/

Semi-Annual

     108,217       46,235       61,982  

 

2018 Semi-Annual Report     47  

Table of Contents

Schedule of Investments (continued)

 

               Rate Type    Payment
Frequency Paid/
Received		   Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

Notional Amount

(000)

   Termination
Date		      Payments made
by the Fund		    Payments received
by the Fund		         

SEK

  

13,400

     7/26/22      3 Month STIBOR    0.353%    Quarterly/

Annual

     $    4,717       $        168       $    4,549  

NZD

  

3,920

     7/26/22      3 Month BKBM    2.780%    Quarterly/

Semi-Annual

     32,481       —       32,481  

USD

  

610

     4/21/25      1.972%    3 Month LIBOR    Semi-Annual/

Quarterly

     26,673       —       26,673  

USD

  

900

     6/09/25      2.470%    3 Month LIBOR    Semi-Annual/

Quarterly

     (2,993 )      —       (2,993 ) 

USD

  

484

     8/04/25      2.285%    3 Month LIBOR    Semi-Annual/

Quarterly

     14,187       —       14,187  

USD

  

1,990

     4/27/26      1.773%    3 Month LIBOR    Semi-Annual/

Quarterly

     132,512       —       132,512  

USD

  

,230

     6/28/26      1.439%    3 Month LIBOR    Semi-Annual/

Quarterly

     210,280       —       210,280  

USD

  

840

     10/04/26      1.459%    3 Month LIBOR    Semi-Annual/

Quarterly

     80,890       57,534       23,356  

USD

  

1,550

     11/08/26      1.657%    3 Month LIBOR    Semi-Annual/

Quarterly

     125,428       —       125,428  

USD

  

1,550

     11/09/26      1.672%    3 Month LIBOR    Semi-Annual/

Quarterly

     123,610       —       123,610  

USD

  

1,040

     4/04/27      2.436%    3 Month LIBOR    Semi-Annual/

Quarterly

     21,571       (12,988 )      34,559  

USD

  

580

     4/26/27      2.287%    3 Month LIBOR    Semi-Annual/

Quarterly

     19,862       25       19,837  

USD

  

610

     7/12/27      2.355%    3 Month LIBOR    Semi-Annual/

Quarterly

     21,420       (2,995 )      24,415  

USD

  

6,030

     7/20/27      2.227%    3 Month LIBOR    Semi-Annual/

Quarterly

     279,943       36,155       243,788  

USD

  

3,230

     3/28/28      2.920%    3 Month LIBOR    Semi-Annual/

Quarterly

     (31,792)       —       (31,792 ) 

USD

  

1,010

     11/10/35      2.613%    3 Month LIBOR    Semi-Annual/

Quarterly

     24,968       —       24,968  

USD

  

590

     7/20/47      2.534%    3 Month LIBOR    Semi-Annual/

Quarterly

     40,600       4,417       36,183  
              

 

 

    

 

 

    

 

 

  
                 $  1,264,169       $  127,395       $  1,136,774  
              

 

 

    

 

 

    

 

 

  

 

         
CREDIT DEFAULT SWAPS (see Note 3)                                    
Swap Counterparty & Referenced Obligation    Fixed
Rate
(Pay)
Receive		      Payment
Frequency		    Implied
Credit
Spread at
March 31,
2018		      Notional
Amount
(000)		      Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  
Buy Contracts  

Citibank, NA

 

Sprint Communications, Inc.,

7.000%, 8/15/20, 6/20/19*

      (5.00 )%     Quarterly      0.71 %       USD        573      $   (30,722 )    $ (8,566 )    $   (22,156 ) 

Sprint Communications, Inc.,

7.000%, 8/15/20, 6/20/19*

      (5.00 )     Quarterly      0.71        USD        657        (35,226 )        (10,184 )      (25,042 ) 

 

48   Sanford C. Bernstein Fund, Inc.

Table of Contents

 

Swap Counterparty & Referenced Obligation    Fixed
Rate
(Pay)
Receive		      Payment
Frequency		    Implied
Credit
Spread at
March 31,
2018		      Notional
Amount
(000)		      Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  
Citigroup Global Markets, Inc.  

CDX-CMBX.NA.AAA

Series 9, 9/17/58*

      (0.50 )%     Monthly      0.47 %       USD        31      $ 13     $ 394     $ (381 ) 
Credit Suisse International  

CDX-CMBX.NA.AAA

Series 9, 9/17/58*

      (0.50 )     Monthly      0.47        USD        29        12       267       (255 ) 

CDX-CMBX.NA.AAA

Series 9, 9/17/58*

      (0.50 )     Monthly      0.47        USD        2,896        1,209       36,571       (35,362 ) 
Deutsche Bank AG  

CDX-CMBX.NA.AAA

Series 9, 9/17/58*

      (0.50 )     Monthly      0.47        USD        368        154       5,010       (4,856 ) 

CDX-CMBX.NA.AAA

Series 9, 9/17/58*

      (0.50 )     Monthly      0.47        USD        1,209        506       12,804       (12,298 ) 

CDX-CMBX.NA.AAA

Series 9, 9/17/58*

      (0.50 )     Monthly      0.47        USD        4,030        1,684       43,047       (41,363 ) 
Goldman Sachs International  

CDX-CMBX.NA.AAA

Series 9, 9/17/58*

      (0.50 )     Monthly      0.47        USD        263        110       2,517       (2,407 ) 

CDX-CMBX.NA.AAA

Series 9, 9/17/58*

      (0.50 )     Monthly      0.47        USD        404        169       5,455       (5,286 ) 
Morgan Stanley Capital Services LLC  

CDX-CMBX.NA.AAA

Series 9, 9/17/58*

      (0.50 )     Monthly      0.47        USD        226        95       2,971       (2,876 ) 

CDX-CMBX.NA.AAA

Series 9, 9/17/58*

      (0.50 )     Monthly      0.47        USD        433        180       5,691       (5,511 ) 
Sale Contracts  
Citigroup Global Markets, Inc.  

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

      3.00 %     Monthly      7.20        USD        453        (66,504 )      (72,311 )      5,807  

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

      3.00      Monthly      7.20        USD        279        (40,938 )      (43,235 )      2,297  

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

      3.00      Monthly      7.20        USD        63        (9,249 )      (10,552 )      1,303  

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

      3.00      Monthly      7.20        USD        200        (29,362 )      (28,235 )      (1,127 ) 

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

      3.00      Monthly      7.20        USD        273        (40,080 )      (37,648 )      (2,432 ) 
Credit Suisse International  

CDX-CMBX.NA.A
Series 6, 5/11/63*

      2.00      Monthly      3.17        USD        370        (16,193 )      (8,556 )      (7,637 ) 

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

      3.00      Monthly      7.20        USD        570        (83,676 )      (87,752 )      4,076  

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

      3.00      Monthly      7.20        USD        301        (44,163 )      (46,432 )      2,269  

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

      3.00      Monthly      7.20        USD        198        (29,067 )      (14,235 )      (14,832 ) 

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

      3.00      Monthly      7.20        USD        673        (98,799 )      (45,270 )        (53,529 ) 
Deutsche Bank AG  

CDX-CMBX.NA.A
Series 6, 5/11/63*

      2.00      Monthly      3.17        USD        2,400          (104,774 )        (101,986 )      (2,788 ) 

 

2018 Semi-Annual Report     49  

Table of Contents

Schedule of Investments (continued)

 

Swap Counterparty & Referenced Obligation   Fixed
Rate
(Pay)
Receive		     Payment
Frequency		   Implied
Credit
Spread at
March 31,
2018		     Notional
Amount
(000)		     Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

     3.00 %    Monthly     7.20 %      USD       35     $ (5,138 )    $ (4,266 )    $ (872 ) 

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

     3.00     Monthly     7.20       USD       36       (5,285 )      (2,149 )      (3,136 ) 

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

     3.00     Monthly     7.20       USD       218       (32,004 )      (28,564 )      (3,440 ) 

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

     3.00     Monthly     7.20       USD       242       (35,527 )      (28,783 )      (6,744 ) 

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

     3.00     Monthly     7.20       USD       243       (35,676 )      (28,891 )      (6,785 ) 

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

     3.00     Monthly     7.20       USD       357       (52,412 )      (39,991 )      (12,421 ) 

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

     3.00     Monthly     7.20       USD       257       (37,728 )      (18,729 )      (18,999 ) 

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

     3.00     Monthly     7.20       USD       663       (97,336 )      (56,705 )      (40,631 ) 

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

     3.00     Monthly     7.20       USD       2,000         (293,600 )        (213,030 )        (80,570 ) 
Goldman Sachs International  

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

     3.00     Monthly     7.20       USD       483       (70,908 )      (83,267 )      12,359  

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

     3.00     Monthly     7.20       USD       345       (50,649 )      (58,633 )      7,984  

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

     3.00     Monthly     7.20       USD       496       (72,816 )      (79,280 )      6,464  

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

     3.00     Monthly     7.20       USD       20       (2,935 )      (3,159 )      224  

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

     3.00     Monthly     7.20       USD       18       (2,642 )      (1,677 )      (965 ) 

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

     3.00     Monthly     7.20       USD       35       (5,139 )      (3,595 )      (1,544 ) 

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

     3.00     Monthly     7.20       USD       35       (5,139 )      (3,322 )      (1,817 ) 

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

     3.00     Monthly     7.20       USD       353       (51,822 )      (49,954 )      (1,868 ) 

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

     3.00     Monthly     7.20       USD       69       (10,130 )      (7,746 )      (2,384 ) 

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

     3.00     Monthly     7.20       USD       779       (114,367 )      (107,391 )      (6,976 ) 

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

     3.00     Monthly     7.20       USD       239       (35,088 )      (26,477 )      (8,611 ) 

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

     3.00     Monthly     7.20       USD       209       (30,681 )      (18,779 )      (11,902 ) 

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

     3.00     Monthly     7.20       USD       700       (102,760 )      (55,644 )      (47,116 ) 

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

     3.00     Monthly     7.20       USD       940       (137,996 )      (77,813 )      (60,183 ) 

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

     3.00     Monthly     7.20       USD       1,128       (165,590 )      (57,361 )      (108,229 ) 
Morgan Stanley Capital Services LLC  

CDX-CMBX.NA.BBB-
Series 6, 5/11/63*

     3.00     Monthly     7.20       USD       272       (39,930 )      (19,944 )      (19,986 ) 
           

 

 

    

 

 

    

 

 

  
            $   (2,117,919)     $   (1,475,385)     $   (642,534)  
           

 

 

    

 

 

    

 

 

  

* Termination date

 

50   Sanford C. Bernstein Fund, Inc.

Table of Contents

 

 

 
INFLATION (CPI) SWAPS (see Note 3)  
     Notional  Amount
(000)		     

Termination
Date

    Rate Type     Payment
Frequency		     Unrealized
Appreciation/
(Depreciation)		  

Swap Counterparty

          Payments made
by the Fund		     Payments received
by the Fund		      

Bank of America, NA

      USD        6,450      7/15/21      1.765%       CPI#       Maturity       $138,597  

Barclays Bank PLC

      USD        6,180      7/15/20      1.527%       CPI#       Maturity       136,207  

Barclays Bank PLC

      USD        2,350      1/15/21      1.490%       CPI#       Maturity       57,281  
                 

 

 

  
    $  332,085  
                 

 

 

  

# Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).

 

 
VARIANCE SWAPS (see Note 3)  

Swap Counterparty & Referenced Obligation

    Volatility
Strike
Price		      Payment
Frequency		      Notional
Amount
(000)		      Market
Value		     Upfront
Premiums
(Paid)
Received		      Unrealized Appreciation/
(Depreciation)		  
Buy Contracts  

Deutsche Bank AG

 

AUD/JPY, 1/14/20*

      11.12%        Maturity        AUD        71      $ 115     $ – 0 –      $ 115  

AUD/JPY, 3/3/20*

      12.75        Maturity        AUD        36        (105 )      – 0 –        (105 ) 

Goldman Sachs Bank USA

 

AUD/JPY, 3/10/20*

      12.90        Maturity        AUD        16        (54 )      – 0 –        (54 ) 

AUD/JPY, 3/11/20*

      12.80        Maturity        AUD        20        (61 )      – 0 –        (61 ) 
              

 

 

    

 

 

     

 

 

  
               $   (105 )    $   – 0 –      $   (105 ) 
              

 

 

    

 

 

     

 

 

  

* 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 March 31, 2018, the aggregate market value of these securities amounted to $183,103,026 or 14.2% of net assets.
(b)   Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts.
(c)   Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.
(d)   To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618.
(e)   Affiliated investments.
(f)   Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date.
(g)   Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at March 31, 2018.
(h)   IO—Interest Only.
(i)   Floating Rate Security. Stated interest/floor/ceiling rate was in effect at March 31, 2018.
(j)   Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.12% of net assets as of March 31, 2018, are considered illiquid and restricted. Additional information regarding such securities follows:

 

144A/Restricted & Illiquid Securities    Acquisition
Date		      Cost    Market
Value		      Percentage of
Net Assets		  

Bellemeade Re II Ltd.
Series 2016-1A, Class M2B
8.372%, 4/25/26

      4/29/16      $  257,342    $   262,118        0.02 % 

H/2 Asset Funding NRE
Series 2015-1A, Class AFL
3.271%, 6/24/49

      6/19/15      307,184      307,184        0.03 % 

 

2018 Semi-Annual Report     51  

Table of Contents

Schedule of Investments (continued)

 

144A/Restricted & Illiquid Securities    Acquisition
Date		      Cost    Market
Value		      Percentage of
Net Assets		  

JP Morgan Madison Avenue Securities Trust
Series 2015-CH1, Class M1
3.872%, 10/25/25

      9/18/15      $  162,312    $   163,800        0.01 % 

JP Morgan Madison Avenue Securities Trust
Series 2014-CH1, Class M2
6.122%, 11/25/24

      11/06/15      92,013      101,234        0.01 % 

Wells Fargo Credit Risk Transfer Securities Trust
Series 2015-WF1, Class 1M2
7.122%, 11/25/25

      9/28/15      507,980      571,864        0.04 % 

Wells Fargo Credit Risk Transfer Securities Trust
Series 2015-WF1, Class 2M2
7.372%, 11/25/25

      9/28/15      142,741      168,024        0.01 % 

 

(k)   Inverse interest only security.
(l)   The rate shown represents the 7-day yield as of period end.
(m)   On March 30, 2018, the Portfolio and U.S. stock exchanges were closed for business due to a U.S. holiday but the foreign markets remained open for trading. The Porfolio valued its foreign securities using the closing market prices from the respective foreign markets as of March 29, 2018 for financial reporting purposes.

Currency Abbreviations:

ARS—Argentine Peso

AUD—Australian Dollar

BRL—Brazilian Real

CAD—Canadian Dollar

CHF—Swiss Franc

EGP—Egyptian Pound

EUR—Euro

GBP—Great British Pound

ILS—Israeli Shekel

INR—Indian Rupee

JPY—Japanese Yen

KRW—South Korean Won

MXN—Mexican Peso

MYR—Malaysian Ringgit

NOK—Norwegian Krone

NZD—New Zealand Dollar

RUB—Russian Ruble

SEK—Swedish Krona

SGD—Singapore Dollar

TWD—New Taiwan Dollar

USD—United States Dollar

UYU—Uruguayan Peso

ZAR—South African Rand

Glossary:

ABS—Asset-Backed Securities

ARPP7DRR—Argentina Central Bank 7-Day Repo Reference Rate

BKBM—Bank Bill Benchmark (New Zealand)

BOBL—Bundesobligationen

CBT—Chicago Board of Trade

CDX-CMBX.NA—North American Commercial Mortgage-Backed Index

CMBS—Commercial Mortgage-Backed Securities

CPI—Consumer Price Index

EAFE—Europe, Australia, and Far East

ETF—Exchange Traded Fund

EURIBOR—Euro Interbank Offered Rate

FTSE—Financial Times Stock Exchange

JSC—Joint Stock Company

LIBOR—London Interbank Offered Rates

MSCI—Morgan Stanley Capital International

OAT—Obligations Assimilables du Trésor

OSE—Osaka Securities Exchange

REIT—Real Estate Investment Trust

REMICs—Real Estate Mortgage Investment Conduits

SPDR—Standard & Poor’s Depository Receipt

SPI—Share Price Index

STIBOR—Stockholm Interbank Offered Rate

TBA—To Be Announced

TIPS—Treasury Inflation Protected Security

TOPIX—Tokyo Price Index

TSX—Toronto Stock Exchange

See notes to financial statements.

 

52   Sanford C. Bernstein Fund, Inc.

Table of Contents

Schedule of Investments

 

Sanford C. Bernstein Fund, Inc.

Schedule of Investments

Tax-Aware Overlay B Portfolio

March 31, 2018 (Unaudited)

 

     
     Principal Amount (000)     U.S. $ Value  
MUNICIPAL OBLIGATIONS–67.5%  
Long-Term Municipal Bonds–67.5%  
Alabama–0.4%  

Alabama Public School & College Authority
Series 2010A
5.00%, 5/01/19

     $ 3,255     $ 3,371,334  

Water Works Board of the City of Birmingham (The)
Series 2010A
5.00%, 1/01/24

       3,650       3,938,861  
     

 

 

  
        7,310,195  
     

 

 

  
Arizona–2.7%  

City of Phoenix Civic Improvement Corp.
(Phoenix Sky Harbor International Airport) Series 2010C
5.00%, 7/01/24

       5,305       5,664,520  

County of Pima AZ Sewer System Revenue
Series 2011B
5.00%, 7/01/23 (Pre-refunded/ETM)

 

     2,500       2,745,150  

5.00%, 7/01/24 (Pre-refunded/ETM)

 

     4,085       4,485,575  

AGM Series 2010
5.00%, 7/01/18–7/01/19

       10,035       10,283,697  

Pima County Regional Transportation Authority
(Pima County Regional Transportation Authority Excise Tax)
Series 2014
5.00%, 6/01/22

       1,685       1,882,954  

Salt River Project Agricultural Improvement & Power District
Series 2011A
5.00%, 12/01/24

       23,120       25,521,705  

Tempe Industrial Development Authority
(Mirabella at ASU, Inc.)
Series 2017B
4.00%, 10/01/23(a)

       1,800       1,805,940  
     

 

 

  
        52,389,541  
     

 

 

  
California–1.4%  

California Econ Recovery
Series 2009A
5.25%, 7/01/21 (Pre-refunded/ETM)

 

     7,255       7,587,134  

San Francisco City & County Airport Comm-San Francisco International Airport
(San Francisco Intl Airport)
Series 2009C-2
5.00%, 5/01/25

     $ 1,025     $ 1,061,070  

Series 2010C

5.00%, 5/01/19

       730       756,966  

NATL Series 2006-32F
5.25%, 5/01/18

       680       682,040  

State of California
Series 2014
5.00%, 10/01/29

       50       57,418  

Series 2015

5.00%, 8/01/22–3/01/26

       3,500       4,025,879  

State of California Department of Water Resources Power Supply Revenue
Series 2015O
5.00%, 5/01/22

       12,400       13,953,224  
     

 

 

  
        28,123,731  
     

 

 

  
Colorado–1.3%  

Centerra Metropolitan District No 1
Series 2017
5.00%, 12/01/29(a)

       2,375       2,568,159  

City & County of Denver CO Airport System Revenue
(Denver Intl Airport)
Series 2010A
5.00%, 11/15/23

       300       323,145  

Series 2011A

5.25%, 11/15/18

       13,135       13,437,630  

5.50%, 11/15/19

       4,375       4,633,125  

Plaza Metropolitan District No 1
Series 2013
5.00%, 12/01/19(a)

       1,000       1,040,900  

Regional Transportation District
(Denver Transit Partners LLC)
Series 2010
5.00%, 7/15/20

       2,000       2,137,380  

5.125%, 1/15/23

       2,000       2,129,060  
     

 

 

  
        26,269,399  
     

 

 

  
Connecticut–2.4%  

City of Bridgeport CT
Series 2017A
5.00%, 11/01/26–11/01/31

       8,625       9,560,788  

Series 2017C

5.00%, 8/15/25

       1,000       1,104,820  

State of Connecticut
Series 2014C
5.00%, 6/15/22

       5,620       6,150,809  

Series 2016A

5.00%, 3/15/23–3/15/24

       27,430       30,233,599  
     

 

 

  
        47,050,016  
     

 

 

  

 

2018 Semi-Annual Report     53  

Table of Contents

Schedule of Investments (continued)

 

     
     Principal Amount (000)     U.S. $ Value  
District of Columbia–1.5%  

District of Columbia
Series 2017D
5.00%, 6/01/21–6/01/27

     $ 11,535     $ 13,461,170  

Metropolitan Washington Airports Authority
Series 2010B
5.00%, 10/01/18

       7,320       7,435,144  

Washington Metropolitan Area Transit Authority
Series 2017A
5.00%, 7/01/21–7/01/22

       7,715       8,518,155  
     

 

 

  
        29,414,469  
     

 

 

  
Florida–8.1%  

Broward County School Board/FL COP
Series 2011A
5.00%, 7/01/20

       7,250       7,752,932  

Citizens Property Insurance Corp.
Series 2012A
5.00%, 6/01/22

       7,660       8,517,843  

Series 2012A-1
5.00%, 6/01/21

       10,490       11,442,387  

City of Jacksonville FL
Series 2010A
5.00%, 10/01/18–10/01/19

       6,310       6,474,665  

5.00%, 10/01/18 (Pre-refunded/ETM)

 

     6,170       6,272,607  

5.00%, 10/01/19 (Pre-refunded/ETM)

 

     2,690       2,818,394  

City of Jacksonville FL
(City of Jacksonville FL Sales Tax)
Series 2011
5.00%, 10/01/21

       2,500       2,753,700  

County of Broward FL Half-Cent Sales Tax Revenue
Series 2010A
5.00%, 10/01/18–10/01/20

       8,235       8,569,349  

County of Lee FL Airport Revenue
(Southwest Florida Intl Airport)
Series 2011A
5.625%, 10/01/26

       2,470       2,715,987  

AGM Series 2010A
5.50%, 10/01/18–10/01/19

       7,425       7,617,188  

County of Seminole FL Water & Sewer Revenue
Series 2015B
5.00%, 10/01/19

       2,420       2,537,346  

Florida State Board of Education
(State of Florida)
Series 2017F
5.00%, 6/01/22–6/01/23

       5,595       6,296,038  

Florida’s Turnpike Enterprise
Series 2015B
5.00%, 7/01/20–7/01/24

       18,145       19,991,325  

Series 2017A
5.00%, 7/01/19–7/01/20

       29,910       31,861,197  

Martin County Industrial Development Authority
(Indiantown Cogeneration LP)
Series 2013
4.20%, 12/15/25(a)

     $ 2,640     $ 2,691,612  

North Broward Hospital District
Series 2017B
5.00%, 1/01/27–1/01/32

       13,610       15,089,207  

School District of Broward County/FL
Series 2015
5.00%, 7/01/21

       2,210       2,422,315  

South Miami Health Facilities Authority
(Baptist Health South Florida Obligated Group)
Series 2017
5.00%, 8/15/27–8/15/30

       10,925       12,755,817  

St Lucie County School Board
(St Lucie County School Board Sales Tax)
AGM Series 2015
5.00%, 10/01/23

       1,565       1,767,261  
     

 

 

  
        160,347,170  
     

 

 

  
Georgia–0.7%      

Georgia State Road & Tollway Authority
Series 2017B
5.00%, 6/01/21

       3,275       3,578,625  

Main Street Natural Gas, Inc.
(Royal Bank of Canada)
Series 2018A
4.00%, 4/01/48

       6,465       6,881,993  

State of Georgia
Series 2016E
5.00%, 12/01/23

       3,550       4,096,700  
     

 

 

  
        14,557,318  
     

 

 

  
Hawaii–2.0%      

City & County of Honolulu HI
Series 2011A
5.00%, 8/01/24 (Pre-refunded/ETM)

       5,800       6,392,818  

Series 2011B
5.00%, 8/01/24-8/01/25

       10,205       11,197,367  

University of Hawaii
Series 2016
5.00%, 10/01/22–10/01/26

       18,785       21,653,499  
     

 

 

  
        39,243,684  
     

 

 

  
Illinois–5.2%      

Chicago O’Hare International Airport
Series 2010D
5.25%, 1/01/19

       2,285       2,342,788  

Series 2015B
5.00%, 1/01/24–1/01/28

       28,115       31,899,856  

Chicago Transit Authority
AGC Series 2008A
5.00%, 6/01/21 (Pre-refunded/ETM)

       4,685       4,791,443  

 

54   Sanford C. Bernstein Fund, Inc.

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  

Illinois Finance Authority
(Illinois Institute of Technology)
Series 2006A
5.00%, 4/01/20

     $ 1,730     $ 1,731,505  

State of Illinois
Series 2012
5.00%, 8/01/21

       1,665       1,741,673  

Series 2013
5.00%, 7/01/21–7/01/22

       1,805       1,884,865  

Series 2013A
5.00%, 4/01/20–4/01/22

       3,640       3,775,759  

Series 2014
5.00%, 2/01/21–5/01/24

       4,220       4,397,838  

Series 2016
5.00%, 2/01/22–2/01/24

       11,350       11,832,175  

Series 2017D
5.00%, 11/01/24

       9,410       9,827,428  

State of Illinois
(State of Illinois Sales Tax)

      

Series 2010
5.00%, 6/15/18

       9,655       9,716,792  

Series 2016D
5.00%, 6/15/22–6/15/23

       16,965       18,706,761  
     

 

 

  
        102,648,883  
     

 

 

  
Kansas–0.2%      

State of Kansas Department of Transportation
Series 2012C

      

5.00%, 9/01/20

       2,745       2,953,346  
     

 

 

  
Kentucky–0.9%  

Kentucky Economic Development Finance Authority
(Next Generation Kentucky Information Highway)
Series 2015A
5.00%, 7/01/26–7/01/28

       5,825       6,554,900  

Kentucky Economic Development Finance Authority
(Owensboro Health, Inc. Obligated Group)
Series 2017A
5.00%, 6/01/26–6/01/31

       10,460       11,572,501  
     

 

 

  
        18,127,401  
     

 

 

  
Louisiana–0.9%  

Louisiana Local Government Environmental Facilities & Community Development Auth
(St James Place of Baton Rouge)
Series 2015A
6.00%, 11/15/30

       1,550       1,735,535  

Orleans Parish Parishwide School District AGM
Series 2010
5.00%, 9/01/19

       4,230       4,419,504  

State of Louisiana
Series 2017B
5.00%, 10/01/29

     $ 10,025     $ 11,825,089  
     

 

 

  
        17,980,128  
     

 

 

  
Massachusetts–2.7%  

Commonwealth of Massachusetts
Series 2011A
5.00%, 4/01/25 (Pre-refunded/ETM)

       8,750       9,559,987  

Series 2016H
5.00%, 12/01/22

       9,655       10,914,688  

NATL Series 2000F
2.611%, 12/01/30(b)

       5,400       5,384,232  

NATL Series 2000G
2.611%, 12/01/30(b)

       5,600       5,583,648  

Massachusetts Bay Transportation Authority
(Massachusetts Bay Transportation Authority Sales Tax)
Series 2004B
5.25%, 7/01/21

       5,030       5,567,657  

Massachusetts Department of Transportation
Series 2010B
5.00%, 1/01/19–1/01/20

       4,915       5,070,079  

Massachusetts Development Finance Agency
(Partners Healthcare System, Inc.)
Series 2017S
5.00%, 7/01/30

       5,165       6,041,500  

Massachusetts School Building Authority
(Massachusetts School Building Authority Sales Tax)
Series 2012A
5.00%, 8/15/21

       5,385       5,937,932  
     

 

 

  
        54,059,723  
     

 

 

  
Michigan–1.6%  

City of Detroit MI Water Supply System Revenue
(Great Lakes Water Authority Water Supply System)
Series 2011C
5.25%, 7/01/24–7/01/25

       9,390       10,187,088  

Michigan Finance Authority
(Great Lakes Water Authority Sewage Disposal System)
AGM Series 2014C
5.00%, 7/01/24

       10,115       11,561,951  

South Lyon Community Schools
Series 2016
5.00%, 5/01/21–5/01/28

       5,080       5,784,924  

University of Michigan
Series 2017A
5.00%, 4/01/23

       1,955       2,226,471  

 

2018 Semi-Annual Report     55  

Table of Contents

Schedule of Investments (continued)

 

     
     Principal Amount (000)     U.S. $ Value  

Walled Lake Consolidated School District
Series 2015
5.00%, 5/01/22

     $ 2,000     $ 2,223,020  
     

 

 

  
        31,983,454  
     

 

 

  
Mississippi–1.0%  

Mississippi Development Bank
Series 2010C
5.00%, 8/01/22 (Pre-refunded/ETM)

 

     3,870       4,145,466  

5.00%, 8/01/23 (Pre-refunded/ETM)

 

     1,790       1,917,412  

Series 2010D
5.00%, 8/01/23 (Pre-refunded/ETM)

 

     3,835       4,107,975  

Mississippi Development Bank
(Mississippi Development Bank State Lease)
Series 2010C
5.00%, 8/01/22–8/01/23

       5,445       5,815,945  

Series 2010D 5.00%, 8/01/23

       3,695       3,944,930  
     

 

 

  
        19,931,728  
     

 

 

  
Nebraska–0.4%  

Omaha Public Power District
Series 2011C
5.00%, 2/01/24

       6,420       6,946,761  
     

 

 

  
Nevada–0.5%  

County of Clark Department of Aviation
(Las Vegas-McCarran International Airport)
Series 2010D
5.00%, 7/01/21–7/01/22

       1,010       1,062,770  

County of Clark NV
Series 2015
5.00%, 11/01/21

       2,000       2,214,180  

County of Clark NV
(County of Clark NV Fuel Tax)
Series 2016
5.00%, 7/01/19

       6,195       6,449,429  
     

 

 

  
        9,726,379  
     

 

 

  
New Jersey–4.2%  

New Jersey Economic Development Authority
Series 2011EE
5.00%, 9/01/18 (Pre-refunded/ETM)

 

     3,625       3,676,004  

5.25%, 9/01/19 (Pre-refunded/ETM)

 

     2,465       2,586,820  

New Jersey Economic Development Authority
(New Jersey Economic Development Authority State Lease)
Series 2011EE
5.00%, 9/01/18

       1,315       1,330,596  

5.25%, 9/01/19

       915       952,899  

Series 2014U
5.00%, 6/15/23

     $ 1,610     $ 1,749,345  

Series 2017B
5.00%, 11/01/20–11/01/22

       6,280       6,759,336  

Series 2018C
5.00%, 6/15/31

       4,555       4,944,680  

AMBAC Series 2005K
5.50%, 12/15/19

       1,880       1,980,317  

New Jersey Health Care Facilities Financing Authority
(Inspira Health Obligated Group)

      

Series 2017A
5.00%, 7/01/27

       1,325       1,546,818  

New Jersey Health Care Facilities Financing Authority
(New Jersey Health Care Facilities Financing Authority State Lease)

      

Series 2017
5.00%, 10/01/28

       2,000       2,196,280  

New Jersey Transit Corp.

      

Series 2014A
5.00%, 9/15/19

       4,265       4,413,379  

New Jersey Transportation Trust Fund Authority

      

Series 2012A
5.00%, 6/15/24

       2,500       2,685,600  

New Jersey Transportation Trust Fund Authority
(New Jersey Transportation Fed Hwy Grant)

      

Series 2016
5.00%, 6/15/22

       6,710       7,221,839  

New Jersey Transportation Trust Fund Authority
(New Jersey Transportation Trust Fund Authority State Lease)

      

Series 2013A
5.00%, 6/15/18

       7,500       7,543,800  

New Jersey Turnpike Authority

      

Series 2014C
5.00%, 1/01/21–1/01/23

       16,670       18,371,889  

Series 2017B
5.00%, 1/01/30

       1,565       1,845,088  

AGM Series 2005D-3
5.25%, 1/01/26

       11,070       13,057,176  
     

 

 

  
        82,861,866  
     

 

 

  
New York–8.2%  

City of New York NY

      

Series 2013B
5.00%, 8/01/19

       3,860       4,028,026  

Series 2013H
5.00%, 8/01/25

       2,510       2,849,252  

Series 2014J
5.00%, 8/01/22–8/01/28

       11,090       12,657,480  

 

56   Sanford C. Bernstein Fund, Inc.

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  

Series 2015A
5.00%, 8/01/23

     $ 7,220     $ 8,219,176  

Metropolitan Transportation Authority

      

Series 2012D
5.00%, 11/15/20–11/15/26

       17,500       19,008,894  

Series 2012F
5.00%, 11/15/22–11/15/23

       13,835       15,473,799  

Series 2017C
5.00%, 11/15/30

       4,340       5,096,549  

New York City Transitional Finance Authority Future Tax Secured Revenue

      

Series 2014B
5.00%, 2/01/27–11/01/29

       20,280       23,176,428  

Series 2014C
5.00%, 11/01/28

       10,665       12,211,318  

Series 2017
5.00%, 11/01/28

       4,255       5,095,873  

New York State Dormitory Authority

      

Series 2012A
5.00%, 12/15/21 (Pre-refunded/ETM)

 

     5       5,563  

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

      

Series 2012A
5.00%, 12/15/21–12/15/22

       16,005       17,972,431  

Series 2014C
5.00%, 3/15/27–3/15/29

       26,340       30,019,455  

Series 2017B
5.00%, 2/15/30

       1,140       1,350,501  

New York State Energy Research & Development Authority
(Consolidated Edison Co. of New York, Inc.)

      

XLCA Series 2004A
2.187%, 1/01/39(b)

       5,000       4,799,700  
     

 

 

  
        161,964,445  
     

 

 

  
North Carolina–0.4%  

North Carolina Medical Care Commission
(Mission Health System, Inc./NC)

      

Series 2017
5.00%, 10/01/29

       805       832,048  

State of North Carolina
(State of North Carolina Fed Hwy Grant)

      

Series 2015
5.00%, 3/01/23–3/01/26

       5,350       6,092,113  
     

 

 

  
        6,924,161  
     

 

 

  
Ohio–0.6%  

County of Cuyahoga OH
(MetroHealth System (The))

      

Series 2017
5.00%, 2/15/25–2/15/28

       5,500       6,089,325  

County of Hamilton OH Sewer System Revenue
Series 2015A
5.00%, 12/01/20–12/01/21

     $ 4,025     $ 4,406,716  

Ohio Air Quality Development Authority
(FirstEnergy Nuclear Generation LLC)
Series 2009A
4.375%, 6/01/33

       475       415,421  

Ohio Water Development Authority Water Pollution Control Loan Fund
(FirstEnergy Corp.)
Series 2016B
4.375%, 6/01/33

       425       371,692  

State of Ohio Major New State Infrastrucure Project
(State of Ohio Fed Hwy Grant)
Series 2014
5.00%, 12/15/21

       1,105       1,223,047  
     

 

 

  
        12,506,201  
     

 

 

  
Oklahoma–0.2%  

Comanche County Memorial Hospital
Series 2015
5.00%, 7/01/26–7/01/29

       3,000       3,194,940  
     

 

 

  
Oregon–1.1%  

Oregon State Lottery
Series 2011A
5.25%, 4/01/26

       825       903,061  

5.25%, 4/01/26 (Pre-refunded/ETM)

 

     5,105       5,606,770  

State of Oregon
(Washington County School District No 1 West Union)
Series 2017
5.00%, 6/15/27

       2,160       2,603,254  

State of Oregon Department of Transportation
(State of Oregon Department of Transportation Street & Highway)
Series 2017C
5.00%, 11/15/19

       3,725       3,925,666  

Washington County School District No 1 West Union
Series 2017
5.00%, 6/15/26

       7,000       8,335,670  
     

 

 

  
        21,374,421  
     

 

 

  
Pennsylvania–4.5%  

Allegheny County Sanitary Authority
BAM Series 2013
5.00%, 12/01/24–12/01/25

       7,470       8,461,807  

Allentown Neighborhood Improvement Zone Development Authority
Series 2017
5.00%, 5/01/22(a)

       1,750       1,893,132  

 

2018 Semi-Annual Report     57  

Table of Contents

Schedule of Investments (continued)

 

     
     Principal Amount (000)     U.S. $ Value  

Beaver County Industrial Development Authority
(FirstEnergy Nuclear Generation LLC)
Series 2016A
4.375%, 1/01/35

     $ 1,245     $ 1,088,802  

City of Philadelphia PA Water & Wastewater Revenue
AGM Series 2010A
5.00%, 6/15/19

       2,500       2,598,425  

Coatesville School District
AGM Series 2017
5.00%, 8/01/22–8/01/23

       2,375       2,652,741  

Commonwealth of Pennsylvania
Series 2017
5.00%, 1/01/26–1/01/27

       23,375       27,053,747  

Delaware River Port Authority
Series 2012
5.00%, 1/01/21

       2,655       2,856,992  

Montgomery County Industrial Development Authority/PA
Series 2010
5.00%, 8/01/18 (Pre-refunded/ETM)

 

     1,990       2,012,029  

Moon Industrial Development Authority
(Baptist Home Society Obligated Group)
Series 2015
5.125%, 7/01/25

       2,535       2,655,793  

Pennsylvania Turnpike Commission
Series 2011E
5.00%, 12/01/25 (Pre-refunded/ETM)

 

     9,585       10,623,631  

5.00%, 12/01/26 (Pre-refunded/ETM)

 

     4,080       4,522,109  

Series 2017B
5.00%, 6/01/31

       11,050       12,421,968  

Series 2017S
5.00%, 12/01/28–12/01/30

       8,105       9,338,125  

State Public School Building Authority
(School District of Philadelphia (The))
Series 2012
5.00%, 4/01/26

       1,110       1,195,148  
     

 

 

  
        89,374,449  
     

 

 

  
Puerto Rico–0.1%      

Puerto Rico Industrial Tourist Educational Medical & Envirml Ctl Facs Fing Auth
(AES Puerto Rico LP)
Series 2000
6.625%, 6/01/26

       1,855       1,650,950  
     

 

 

  
South Dakota–0.1%      

South Dakota Health & Educational Facilities Authority
(Regional Health System Obligated Group/SD)
Series 2017
5.00%, 9/01/28

     $ 2,000     $ 2,332,940  
     

 

 

  
Texas–7.7%      

Austin Community College District Public Facility Corp.
Series 2015
5.00%, 8/01/20–8/01/22

       2,000       2,180,880  

City of Austin TX Water & Wastewater System Revenue
Series 2011
5.00%, 11/15/25–11/15/26

       11,990       13,243,171  

City of Corpus Christi TX Utility System Revenue

      

Series 2015
5.00%, 7/15/24

       1,290       1,478,830  

Series 2015C
5.00%, 7/15/22–7/15/26

       3,030       3,416,912  

City of Dallas TX
Series 2014

      

5.00%, 2/15/22

       19,045       20,966,259  

City of Houston TX Airport System Revenue
(United Airlines, Inc.)
Series 2015B
5.00%, 7/15/20

       2,900       3,064,459  

City of San Antonio TX
Series 2010
5.00%, 2/01/23

       650       687,583  

Series 2014
5.00%, 2/01/21

       2,000       2,175,060  

County of Fort Bend TX
Series 2015A
5.00%, 3/01/21

       2,000       2,177,120  

Series 2015B
5.00%, 3/01/21–3/01/22

       5,625       6,181,896  

Fort Bend Independent School District
Series 2010
5.00%, 8/15/21

       5,205       5,600,424  

Harris County-Houston Sports Authority
Series 2014A
5.00%, 11/15/20

       1,860       1,997,082  

Hurst-Euless-Bedford Independent School District
Series 2011
5.00%, 8/15/20

       4,015       4,309,340  

5.00%, 8/15/21 (Pre-refunded/ETM)

 

     3,000       3,227,910  

5.00%, 8/15/24 (Pre-refunded/ETM)

 

     3,510       3,776,655  

 

58   Sanford C. Bernstein Fund, Inc.

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  

Irving Hospital Authority
(Baylor Medical Center at Irving)
Series 2017A
5.00%, 10/15/28

     $ 1,100     $ 1,229,712  

New Hope Cultural Education Facilities Finance Corp.
(Children’s Health System of Texas Obligated Group)
Series 2017A
5.00%, 8/15/23

       1,160       1,317,876  

State of Texas
Series 2014
5.00%, 4/01/22

       1,790       1,995,904  

Texas A&M University
Series 2013B
5.00%, 5/15/23

       3,950       4,496,719  

Texas Transportation Commission State Highway Fund
Series 2015
5.00%, 10/01/22

       20,035       22,523,547  

University of Houston System
Series 2017A
5.00%, 2/15/22–2/15/23

       29,400       32,935,830  

University of Texas System (The)
Series 2010A
5.00%, 8/15/22 (Pre-refunded/ETM)

 

     9,755       10,347,519  

Via Metropolitan Transit
(via Metropolitan Transit Sales Tax)
Series 2017
5.00%, 7/15/24

 

     2,580       2,995,122  
     

 

 

  
        152,325,810  
     

 

 

  
Virginia–1.0%  

Greater Richmond Convention Center Authority
(Greater Richmond Convention Center Authority Hotel Occupancy Tax)
Series 2015
5.00%, 6/15/20–6/15/23

       5,815       6,429,503  

Virginia Commonwealth Transportation Board
(Commonwealth of Virginia Fed Hwy Grant)
Series 2017
5.00%, 3/15/24

       11,180       12,896,577  
     

 

 

  
        19,326,080  
     

 

 

  
Washington–5.0%      

Chelan County Public Utility District No 1
Series 2011A
5.25%, 7/01/22

 

     7,835       8,591,939  

Series 2011B
5.50%, 7/01/23

       5,540       6,125,744  

Clark County Public Utility District No 1
Series 2010
5.00%, 1/01/21

 

   $ 7,960     $ 8,372,726  

5.00%, 1/01/21 (Pre-refunded/ETM)

 

     3,875       4,088,977  

Energy Northwest
(Bonneville Power Administration)
Series 2011A
5.00%, 7/01/22–7/01/23

       14,690       16,085,742  

Franklin County School District No 1 Pasco
Series 2015
5.00%, 12/01/25

       8,615       9,980,305  

Port of Seattle WA
Series 2010C
5.00%, 2/01/20–2/01/22

       9,920       10,584,325  

Snohomish County Public Utility District No 1
Series 2010
5.00%, 12/01/19

       5,415       5,710,930  

Series 2012
5.00%, 12/01/26

       6,065       6,761,929  

State of Washington
Series 2013R
5.00%, 7/01/21

       3,880       4,260,473  

Series 20152
5.00%, 7/01/24

       3,755       4,348,553  

Series 2015R
5.00%, 7/01/23

       3,735       4,254,165  

State of Washington COP
Series 2015C
5.00%, 1/01/21–7/01/21

       8,095       8,840,706  
     

 

 

  
        98,006,514  
     

 

 

  
West Virginia–0.1%  

West Virginia Economic Development Authority
(Morgantown Energy Associates)
Series 2016
2.875%, 12/15/26

       1,650       1,614,030  
     

 

 

  
Wisconsin–0.4%  

Wisconsin Public Finance Authority
(Celanese US Holdings LLC)

      

Series 2016A
5.00%, 1/01/24

       3,245       3,588,581  

Series 2016B
5.00%, 12/01/25(a)

       2,510       2,825,607  

Wisconsin Public Finance Authority
(Mary’s Woods at Marylhurst, Inc.)
Series 2017B-3
3.00%, 11/15/22(a)

       1,000       1,001,930  
     

 

 

  
        7,416,118  
     

 

 

  
Total Municipal Obligations
(cost $1,313,205,307)		         1,329,936,251  
     

 

 

  
     

 

2018 Semi-Annual Report     59  

Table of Contents

Schedule of Investments (continued)

 

       
            Shares     U.S. $ Value  
INVESTMENT COMPANIES–24.1%  
Funds and Investment Trusts–24.1%(c)  

iShares Core MSCI EAFE ETF

       921,201     $ 60,688,722  

iShares Core MSCI Emerging Markets ETF

       1,001,289       58,475,278  

SPDR S&P 500 ETF Trust

       1,298,777       341,773,167  

Vanguard Mid-Cap ETF

       90,398       13,940,276  
     

 

 

  
Total Investment Companies
(cost $404,564,016)		         474,877,443  
     

 

 

  
     
     
     Principal Amount (000)         
GOVERNMENTS—TREASURIES–0.1%  
United States–0.1%  
U.S. Treasury Notes
2.125%, 11/30/23(d)
(cost $1,676,208)		     $ 1,698       1,653,958  
     

 

 

  
     
       
            Shares         
SHORT-TERM INVESTMENTS–7.3%  
Investment Companies–5.0%  

AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB, 1.41%(c)(e)(f)
(cost $98,063,585)

       98,063,585       98,063,585  
     

 

 

  
     
U.S. Treasury Bills–2.3%  

U.S. Treasury Bill

      

Zero Coupon, 5/03/18(g)

     $ 24,500     $ 24,469,723  

Zero Coupon, 5/17/18

       22,000       21,957,334  
     

 

 

  
Total U.S. Treasury Bills
(cost $46,427,057)		         46,427,057  
     

 

 

  
Total Short-Term Investments
(cost $144,490,642)		         144,490,642  
     

 

 

  
Total Investments—99.0%
(cost $1,863,936,173)		         1,950,958,294 (h) 

Other assets less liabilities—1.0%

 

       19,524,348  
     

 

 

  
     
Net Assets—100.0%       $ 1,970,482,642  
     

 

 

  

 

 
FUTURES (see Note 3)  
Description    Number of
Contracts		      Expiration
Month		    Notional
(000)		      Original
Value		      Value at
March 31, 2018		      Unrealized Appreciation/
(Depreciation)		  
Purchased Contracts                     

Euro STOXX 50 Index Futures

      1,494      June 2018      EUR        15      $   61,452,000      $   60,314,355      $   (1,137,645 ) 

FTSE 100 Index Futures

      336      June 2018      GBP        3        33,557,273        32,967,936        (589,337 ) 

MSCI Emerging Markets Futures

      275      June 2018      USD        14        16,495,872        16,332,250        (163,622 ) 

Russell 2000 Mini Futures

      285      June 2018      USD        14        22,479,244        21,819,600        (659,644 ) 

SPI 200 Futures

      69      June 2018      AUD        2        7,917,656        7,599,545        (318,111 ) 

TOPIX Index Futures

      526      June 2018      JPY        5,260        84,189,167        84,853,062        663,895  
Sold Contracts                     

S&P 500 E-Mini Futures

      630      June 2018      USD        32        85,939,921        83,254,500        2,685,421  

S&P TSX 60 Index Futures

      243      June 2018      CAD        49        34,349,683        34,176,738        172,945  
                    

 

 

  
                     $ 653,902  
                    

 

 

  

 

 

60   Sanford C. Bernstein Fund, Inc.

Table of Contents
 
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3)  
Counterparty    Contracts to
Deliver
(000)		      In Exchange
For
(000)		      Settlement
Date		      Unrealized
Appreciation/
(Depreciation)		  

Bank of America, NA

    GBP      13,993        USD        19,360        5/15/18      $   (305,616 ) 

Bank of America, NA

    USD      18,945        EUR        15,676        5/15/18        399,340  

Bank of America, NA

    USD      5,918        GBP        4,261        5/15/18        70,520  

BNP Paribas SA

    AUD      9,285        USD        7,227        5/15/18        94,881  

BNP Paribas SA

    USD      4,723        AUD        5,960        5/15/18        (145,493 ) 

BNP Paribas SA

    USD      7,233        EUR        5,797        5/15/18        (79,556 ) 

BNP Paribas SA

    USD      2,274        GBP        1,612        5/15/18        (8,975 ) 

BNP Paribas SA

    USD      13,935        NOK        108,354        5/15/18        (95,168 ) 

Citibank, NA

    JPY      3,348,577        USD        31,774        5/15/18        225,797  

Citibank, NA

    USD      18,930        EUR        15,082        5/15/18        (318,787 ) 

Credit Suisse International

    CHF      6,079        USD        6,519        5/15/18        138,776  

Credit Suisse International

    NOK      30,086        USD        3,772        5/15/18        (71,354 ) 

Credit Suisse International

    USD      4,950        CHF        4,543        5/15/18        (181,476 ) 

Credit Suisse International

    USD      24,829        GBP        17,563        5/15/18        (147,202 ) 

Credit Suisse International

    USD      16,079        JPY        1,731,259        5/15/18        231,922  

Credit Suisse International

    USD      3,915        NOK        30,086        5/15/18        (71,702 ) 

Deutsche Bank AG

    CHF      3,207        USD        3,444        5/15/18        78,458  

Goldman Sachs Bank USA

    CAD      9,205        USD        7,469        5/15/18        318,894  

JPMorgan Chase Bank, NA

    GBP      13,543        USD        18,395        5/15/18        (637,053 ) 

JPMorgan Chase Bank, NA

    SEK      44,550        USD        5,518        5/15/18        166,841  

JPMorgan Chase Bank, NA

    USD      5,431        SEK        44,550        5/15/18        (79,654 ) 

Morgan Stanley & Co., Inc.

    EUR      10,119        USD        12,439        5/15/18        (47,612 ) 

Morgan Stanley & Co., Inc.

    USD      9,952        GBP        7,151        5/15/18        96,828  

Royal Bank of Scotland PLC

    CAD      10,960        USD        8,693        5/15/18        179,334  

Royal Bank of Scotland PLC

    USD      14,697        CAD        18,335        5/15/18        (454,793 ) 

Standard Chartered Bank

    AUD      4,559        USD        3,557        5/15/18        55,458  

Standard Chartered Bank

    USD      40,220        JPY        4,344,748        5/15/18        713,127  

State Street Bank & Trust Co.

    USD      1,601        EUR        1,297        5/15/18        (646 ) 
                 

 

 

  
   $   125,089  
                 

 

 

  

 

   
CREDIT DEFAULT SWAPS (see Note 3)          
Swap Counterparty &Referenced Obligation    Fixed
Rate
(Pay)
Receive		      Payment
Frequency		    Implied
Credit
Spread at
March 31,
2018		      Notional
Amount
(000)		      Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  
Sale Contracts  
Credit Suisse International  

CDX-CMBX.NA.A
Series 6, 5/11/63*

      2.00 %     Monthly      3.17 %       USD        1,796      $   (78,605 )    $   (107,995 )    $   29,390  

CDX-CMBX.NA.A
Series 6, 5/11/63*

      2.00      Monthly      3.17        USD        834        (36,501 )      (34,156 )      (2,345 ) 
Deutsche Bank AG  

CDX-CMBX.NA.A
Series 6, 5/11/63*

      2.00      Monthly      3.17        USD        1,922        (84,119 )      (116,083 )      31,964  
Goldman Sachs International  

CDX-CMBX.NA.A
Series 6, 5/11/63*

      2.00      Monthly      3.17        USD        719        (31,469 )      (41,704 )      10,235  

 

2018 Semi-Annual Report     61  

Table of Contents
Swap Counterparty &Referenced
Obligation		    Fixed
Rate
(Pay)
Receive		      Payment
Frequency		    Implied
Credit
Spread at
March 31,
2018		      Notional
Amount
(000)		      Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

CDX-CMBX.NA.A
Series 6, 5/11/63*

      2.00 %     Monthly      3.17 %       USD        718      $ (31,425 )    $ (38,963 )    $ 7,538  

CDX-CMBX.NA.A
Series 6, 5/11/63*

      2.00      Monthly      3.17        USD        1,006        (44,085 )      (40,097 )      (3,988 ) 
Morgan Stanley Capital Services LLC  

CDX-CMBX.NA.A
Series 6, 5/11/63*

      2.00      Monthly      3.17        USD        280        (12,254 )      (11,523 )      (731 ) 
                 

 

 

    

 

 

    

 

 

  
                  $   (318,458 )    $   (390,521 )    $   72,063  
                 

 

 

    

 

 

    

 

 

  

* Termination date

 

         
INFLATION (CPI) SWAPS (see Note 3)                            
                  

Rate Type

   Payment
Frequency		     Unrealized
  
Swap Counterparty    Notional Amount
(000)		      Termination
Date		      Payments made
by the Fund		    Payments received
by the Fund		   Paid/
Received		     Appreciation/
(Depreciation)		  

Barclays Bank PLC

    USD  12,000        10/23/26      2.310%    CPI#     Maturity       $  (439,917)  

Barclays Bank PLC

    USD  10,000        12/04/27      2.170%    CPI#     Maturity       139,021  

Barclays Bank PLC

    USD  10,000        10/23/29      2.388%    CPI#     Maturity       (462,426)  

Barclays Bank PLC

    USD  13,000        12/04/32      2.233%    CPI#     Maturity       201,608  

Citibank, NA

    USD  25,380        12/14/20      1.548%    CPI#     Maturity       747,560  

Citibank, NA

    USD  28,000        10/23/21      2.039%    CPI#     Maturity       (489,749)  

Citibank, NA

    USD  22,000        11/04/23      1.900%    CPI#     Maturity       581,461  

Citibank, NA

    USD  10,000        7/20/27      2.104%    CPI#     Maturity       207,229  

Deutsche Bank AG

    USD  12,900        7/15/20      1.265%    CPI#     Maturity       588,739  

Deutsche Bank AG

    USD  10,000        9/04/25      1.818%    CPI#     Maturity       326,016  

JPMorgan Chase Bank, NA

    USD  10,000        3/02/24      2.175%    CPI#     Maturity       42,227  

JPMorgan Chase Bank, NA

    USD  33,000        7/20/24      1.995%    CPI#     Maturity       699,088  

JPMorgan Chase Bank, NA

    USD  13,000        11/04/26      2.015%    CPI#     Maturity       368,181  

Morgan Stanley Capital Services LLC

    USD  56,000        7/20/22      1.939%    CPI#     Maturity       969,217  
               

 

 

  
    $  3,478,255  
               

 

 

  

# Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).

 

 

(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 March 31, 2018, the aggregate market value of these securities amounted to $13,827,280 or 0.7% of net assets.
(b)   An auction rate security whose interest rate resets at each auction date. Auctions are typically held every week or month. The rate shown is as of March 31, 2018 and the aggregate market value of these securities amounted to $15,767,580 or 0.80% of net assets.
(c)   To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618.
(d)   Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.
(e)   Affiliated investments.
(f)   The rate shown represents the 7-day yield as of period end.
(g)   Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts.
(h)   On March 30, 2018, the Portfolio and U.S. stock exchanges were closed for business due to a U.S. holiday but the foreign markets remained open for trading. The Portfolio valued its foreign securities using the closing market prices from the respective foreign markets as of March 29, 2018 for financial reporting purposes.

 

62   Sanford C. Bernstein Fund, Inc.

Table of Contents

As of March 31, 2018, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 6.4% and 0.4%, respectively.

Currency Abbreviations:

AUD—Australian Dollar

CAD—Canadian Dollar

CHF—Swiss Franc

EUR—Euro

GBP—Great British Pound

JPY—Japanese Yen

NOK—Norwegian Krone

SEK—Swedish Krona

USD—United States Dollar

Glossary:

AGC—Assured Guaranty Corporation

AGM—Assured Guaranty Municipal

AMBAC—Ambac Assurance Corporation

BAM—Build American Mutual

CDX-CMBX.NA—North American Commercial Mortgage-Backed Index

COP—Certificate of Participation

EAFE—Europe, Australia, and Far East

ETF—Exchange Traded Fund

ETM—Escrowed to Maturity

FTSE—Financial Times Stock Exchange

MSCI—Morgan Stanley Capital International

NATL—National Interstate Corporation

SPDR—Standard & Poor’s Depository Receipt

SPI—Share Price Index

TOPIX—Tokyo Price Index

TSX—Toronto Stock Exchange

XLCA—XL Capital Assurance Inc.

See notes to financial statements.

 

2018 Semi-Annual Report     63  

Table of Contents

Schedule of Investments

 

Sanford C. Bernstein Fund, Inc.

Schedule of Investments

Tax-Aware Overlay C Portfolio

March 31, 2018 (Unaudited)

 

     
     Principal Amount (000)     U.S. $ Value  
MUNICIPAL OBLIGATIONS–66.2%  
Long-Term Municipal Bonds–66.2%  
Arizona–0.1%  

Tempe Industrial Development Authority
(Mirabella at ASU, Inc.)
Series 2017B
4.00%, 10/01/23(a)

     $ 515     $ 516,700  
     

 

 

  
California–57.5%  

Abag Finance Authority for Nonprofit Corps.
(Odd Fellows Home of California)
Series 2012A
5.00%, 4/01/21

       1,000       1,090,430  

Anaheim Public Financing Authority
(Anaheim Electric Utility Fund)
Series 2015B
5.00%, 10/01/26

       1,000       1,182,630  

Anaheim Redevelopment Agency Successor Agency
Series 2018A
5.00%, 2/01/25

       3,405       3,996,823  

Antelope Valley-East Kern Water Agency
Series 2016
5.00%, 6/01/23–6/01/25

       2,000       2,334,910  

Bay Area Toll Authority
Series 2017
5.00%, 4/01/28

       2,700       3,323,214  

California Econ Recovery
Series 2009A
5.00%, 7/01/19 (Pre-refunded/ETM)

 

     6,530       6,808,962  

5.00%, 7/01/20 (Pre-refunded/ETM)

       6,015       6,271,961  

California Educational Facilities Authority
(University of the Pacific)
Series 2015
5.00%, 11/01/27

       2,000       2,301,460  

California Health Facilities Financing Authority
(Kaiser Foundation Hospitals)
Series 2017P
5.00%, 11/01/32

       3,430       3,906,941  

California Health Facilities Financing Authority
(Sutter Health Obligated Group)
Series 2018A
5.00%, 11/15/30(b)

       900       1,061,694  

California Infrastructure & Economic Development Bank
(Broad Collection (The))
Series 2011A
5.00%, 6/01/21

     $ 3,000     $ 3,306,300  

California Municipal Finance Authority
(California Municipal Finance Authority State Lease)
Series 2017A
5.00%, 6/01/29

       2,320       2,792,190  

California Municipal Finance Authority
(Rocketship Education Obligated Group)
Series 2015A
4.25%, 3/01/28(a)

       920       932,190  

California State Public Works Board
Series 2010C-1
5.00%, 3/01/21 (Pre-refunded/ETM)

 

     1,500       1,594,425  

Series 2011G
5.00%, 12/01/23 (Pre-refunded/ETM)

 

     3,215       3,581,478  

California State Public Works Board
(California State Public Works Board Lease)
Series 2013E
5.00%, 6/01/19

       3,975       4,130,701  

Series 2014A
5.00%, 9/01/30

       4,375       4,971,925  

California State University
Series 2011A
5.25%, 11/01/26

       2,035       2,274,927  

Series 2016A
5.00%, 11/01/25

       1,000       1,196,750  

Series 2017A
5.00%, 11/01/25–11/01/30

       3,160       3,787,770  

California Statewide Communities Development Authority
(Enloe Medical Center)
Series 2015
5.00%, 8/15/28

       2,200       2,553,012  

Central Coast Water Authority
Series 2016
5.00%, 10/01/19

       5,685       5,969,307  

Chino Basin Regional Financing Authority
(Inland Empire Utilities Agency)
Series 2010A
5.00%, 8/01/20–8/01/21

       7,430       8,000,186  

City & County of San Francisco CA COP
Series 2015R
5.00%, 9/01/20–9/01/25

       7,440       8,319,162  

City of Hayward CA COP
Series 2015
5.00%, 11/01/22

       3,365       3,815,506  

 

64   Sanford C. Bernstein Fund, Inc.

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  

City of Long Beach CA Harbor Revenue
Series 2010B
5.00%, 5/15/22

     $ 2,000     $ 2,139,200  

Series 2015A
5.00%, 5/15/21

       3,000       3,276,270  

NATL Series 1998A
6.00%, 5/15/18

       3,305       3,322,351  

City of Los Angeles Department of Airports
Series 2017A
5.00%, 5/15/30–5/15/31

       4,860       5,617,528  

Series 2017B
5.00%, 5/15/21

       1,875       2,045,288  

City of Los Angeles Department of Airports
(Los Angeles Intl Airport)
5.00%, 5/15/18

       1,000       1,004,050  

Series 2010A
5.00%, 5/15/25

       1,500       1,600,515  

Series 2010D
5.25%, 5/15/28

       4,145       4,446,880  

City of Oakland CA

      

Series 2015A
5.00%, 1/15/22

       1,380       1,539,169  

City of Roseville CA
Series 2017A
5.00%, 9/01/31

       1,000       1,129,630  

City of Roseville CA
(HP Campus Oaks Community Facilities District No 1)
Series 2016
5.00%, 9/01/31

       360       384,689  

City of San Francisco CA Public Utilities Commission Water Revenue
Series 2011A
5.00%, 11/01/24 (Pre-refunded/ETM)

 

     5,385       5,989,305  

Series 2017D

5.00%, 11/01/26–11/01/27

       7,440       9,083,839  

City of San Jose CA Airport Revenue
Series 2014A
5.00%, 3/01/24

       1,955       2,210,499  

Series 2014B

5.00%, 3/01/26

       2,360       2,704,631  

Contra Costa Transportation Authority
(Contra Costa Transportation Authority Sales Tax)
Series 2015A
5.00%, 3/01/23

       3,500       4,004,630  

Corona-Norco Unified School District
Series 2015
5.00%, 8/01/18

       1,000       1,011,640  

County of Monterey CA COP
Series 2017
5.00%, 10/01/29

       4,870       5,825,104  

County of San Diego CA COP
Series 2014A
5.00%, 10/15/27–10/15/28

     $ 2,550     $ 2,966,180  

East Bay Municipal Utility District Water System Revenue
Series 2017B
5.00%, 6/01/28

       3,500       4,263,560  

Fremont Community Facilities District No 1
Series 2015
5.00%, 9/01/28

       1,505       1,699,386  

Golden State Tobacco Securitization Corp.
Series 2017A
4.00%, 6/01/18

       4,280       4,297,248  

Irvine Unified School District
Series 2017A
5.00%, 9/01/23

       925       1,043,335  

Long Beach Bond Finance Authority
(Aquarium of the Pacific)
Series 2012
5.00%, 11/01/22

       1,460       1,604,642  

Long Beach Unified School District
Series 2016
5.00%, 8/01/24

       4,175       4,896,899  

Los Angeles Community College District/CA
Series 2015A
5.00%, 8/01/25

       1,950       2,283,391  

Los Angeles County Metropolitan Transportation Authority
(Los Angeles County Metropolitan Transportation Authority Sales Tax)
Series 2013C
5.00%, 7/01/19

       1,240       1,293,915  

Los Angeles Department of Water
Series 2013B
5.00%, 7/01/18–7/01/19

       2,000       2,052,220  

Series 2018A

5.00%, 7/01/32

       2,735       3,273,303  

Los Angeles Department of Water & Power Power System Revenue
Series 2018A
5.00%, 7/01/28(b)

       1,660       2,031,458  

Los Angeles Unified School District/CA
Series 2010K
5.00%, 7/01/18

       6,360       6,415,205  

Series 2010KRY
5.25%, 7/01/25

       160       172,600  

Series 2014C
5.00%, 7/01/27

       6,815       7,926,731  

Metropolitan Water District of Southern California
Series 2017B
5.00%, 8/01/20–8/01/21

       12,495       13,661,051  

Oakland Unified School District/Alameda County
Series 2015A
5.00%, 8/01/25–8/01/26

       2,335       2,774,503  

 

2018 Semi-Annual Report     65  

Table of Contents

Schedule of Investments (continued)

 

     
     Principal Amount (000)     U.S. $ Value  

Orange County Sanitation District
Series 2016A
5.00%, 2/01/25

     $ 1,560     $ 1,844,154  

Palomar Health
Series 2016
4.00%, 11/01/19

       550       561,990  

5.00%, 11/01/20

       1,230       1,302,804  

Peralta Community College District
Series 2014A
5.00%, 8/01/27

       5,855       6,780,793  

Port of Los Angeles
Series 2011A
5.00%, 8/01/19

       1,500       1,564,890  

Port of Oakland
Series 2012P
5.00%, 5/01/24–5/01/25

       6,405       7,061,528  

Riverside County Redevelopment Successor Agency
AGM Series 2017B
5.00%, 10/01/29

       1,900       2,255,091  

Romoland School District
Series 2015
5.00%, 9/01/23

       300       337,569  

Sacramento City Unified School District/CA
Series 2011
5.00%, 7/01/25

       2,380       2,615,739  

Sacramento County Sanitation Districts Financing Authority
Series 2014A
5.00%, 12/01/29

       2,000       2,306,000  

San Diego County Water Authority Financing Corp.
Series 2011A
5.00%, 5/01/24–5/01/25

       4,860       5,329,155  

San Diego Public Facilities Financing Authority Sewer Revenue
Series 2009B
5.00%, 5/15/21 (Pre-refunded/ETM)

       1,570       1,630,602  

5.00%, 5/15/22 (Pre-refunded/ETM)

       5,740       5,958,292  

San Francisco Bay Area Rapid Transit District
Series 2010
5.00%, 7/01/27 (Pre-refunded/ETM)

       2,000       2,149,280  

San Francisco City & County Airport Comm-San Francisco International Airport
Series 2011G
5.00%, 5/01/24

       695       760,851  

5.00%, 5/01/24 (Pre-refunded/ETM)

       1,775       1,941,229  

San Francisco City & County Airport Comm-San Francisco International Airport
(San Francisco Intl Airport)
Series 2009C-2
5.00%, 5/01/25

       500       517,595  

Series 2011
5.25%, 5/01/18

       1,015       1,018,004  

Series 2012-2
5.00%, 5/01/27

     $ 1,270     $ 1,412,672  

Series 2016S
5.00%, 5/01/25–5/01/26

       2,730       3,227,448  

NATL Series 2006-32F
5.25%, 5/01/18

       675       677,025  

San Francisco Community College District
Series 2015
5.00%, 6/15/22

       5,000       5,629,200  

Saugus/Hart School Facilities Financing Authority
(Saugus Union School District Community Facilities District No 06-01)
Series 2016
5.00%, 9/01/27

       750       856,620  

Simi Valley Unified School District
Series 2017
5.00%, 8/01/20–8/01/22

       3,900       4,311,901  

South Placer Wastewater Authority/CA
Series 2011C
5.25%, 11/01/22 (Pre-refunded/ETM)

 

     3,000       3,273,030  

5.25%, 11/01/24 (Pre-refunded/ETM)

 

     5,675       6,191,482  

Southern California Public Power Authority
(Los Angeles Department of Water & Power PWR)
Series 2010
5.00%, 7/01/23

       5,190       5,567,832  

State of California
Series 2011
5.00%, 10/01/20

       1,500       1,621,545  

Series 2013
5.00%, 10/01/19–2/01/21

       7,185       7,638,200  

Series 2015
5.00%, 8/01/22–3/01/24

       3,975       4,542,813  

Stockton Redevelopment Agency Successor Agency
AGM Series 2016A
5.00%, 9/01/25

       1,900       2,236,357  

University of California
Series 2010U
5.00%, 5/15/18

       2,555       2,565,757  

series 2012G
5.00%, 5/15/23 (Pre-refunded/ETM)

       2,645       2,967,029  

Series 2012G
5.00%, 5/15/23

       4,755       5,356,032  

Series 2013A
5.00%, 5/15/48

       6,000       6,883,740  

Series 2015A
5.00%, 5/15/21

       5,355       5,902,870  

Series 2017A
5.00%, 5/15/28

       3,035       3,697,055  

 

66   Sanford C. Bernstein Fund, Inc.

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  

Upper Santa Clara Valley Joint Powers Authority
Series 2011A
5.00%, 8/01/25 (Pre-refunded/ETM)

     $ 1,790     $ 1,975,999  

Vista Unified School District
Series 2012
5.00%, 8/01/23–8/01/25

       4,240       4,771,120  

Walnut Energy Center Authority
Series 2014
5.00%, 1/01/26–1/01/28

       2,800       3,247,162  
     

 

 

  
        339,984,154  
     

 

 

  
Colorado–0.7%      

City & County of Denver CO
(United Airlines, Inc.)
Series 2017
5.00%, 10/01/32

       1,000       1,081,130  

Plaza Metropolitan District No 1
Series 2013
5.00%, 12/01/22(a)

       690       747,401  

Regional Transportation District
(Denver Transit Partners LLC)
Series 2010
5.00%, 7/15/22

       1,150       1,223,669  

Sterling Ranch Community Authority Board
Series 2017A
5.00%, 12/01/30

       1,000       1,027,270  
     

 

 

  
        4,079,470  
     

 

 

  
Florida–0.4%      

Citizens Property Insurance Corp.
Series 2011A-1
5.00%, 6/01/19

       2,035       2,110,397  
     

 

 

  
Illinois–2.2%      

Chicago Board of Education
Series 2017F
5.00%, 12/01/24

       2,000       2,123,040  

Illinois Finance Authority
(Illinois Institute of Technology)
Series 2006A
5.00%, 4/01/18

       550       550,000  

Metropolitan Pier & Exposition Authority
Series 2017B
5.00%, 12/15/30

       1,400       1,522,122  

State of Illinois
Series 2012
5.00%, 8/01/21

       350       366,118  

Series 2013A
5.00%, 4/01/20

       1,415       1,462,728  

Series 2014
5.00%, 5/01/25

       2,165       2,260,520  

Series 2016
5.00%, 2/01/22

       1,520       1,578,839  

Series 2017D
5.00%, 11/01/24

       3,190       3,331,508  
     

 

 

  
        13,194,875  
     

 

 

  
Massachusetts–0.7%      

Commonwealth of Massachusetts
NATL Series 2000E
2.551%, 12/01/30(c)

     $ 1,925     $ 1,919,379  

NATL Series 2000F
2.611%, 12/01/30(c)

       2,250       2,243,430  
     

 

 

  
        4,162,809  
     

 

 

  
Michigan–0.4%      

Michigan Finance Authority
(Public Lighting Authority)
Series 2014B
5.00%, 7/01/25

       2,175       2,410,487  
     

 

 

  
New Jersey–2.4%      

New Jersey Economic Development Authority
(New Jersey Economic Development Authority State Lease)
Series 2014P
5.00%, 6/15/20

       1,350       1,420,578  

New Jersey Transportation Trust Fund Authority
(New Jersey Transportation Fed Hwy Grant)
Series 2016
5.00%, 6/15/22

       6,950       7,480,146  

New Jersey Transportation Trust Fund Authority
(New Jersey Transportation Trust Fund Authority State Lease)
Series 2013A
5.00%, 12/15/19

       5,000       5,225,350  
     

 

 

  
        14,126,074  
     

 

 

  
New York–0.2%      

New York State Energy Research & Development Authority
(Consolidated Edison Co. of New York, Inc.)
XLCA Series 2004A
2.187%, 1/01/39(c)

       1,000       959,940  
     

 

 

  
Ohio–0.3%      

Ohio Air Quality Development Authority
(FirstEnergy Nuclear Generation LLC)
Series 2009A
4.375%, 6/01/33

       160       139,931  

Ohio Air Quality Development Authority
(Pratt Paper OH, Inc.)
Series 2017
3.75%, 1/15/28(a)

       1,000       999,140  

Ohio Water Development Authority Water Pollution Control Loan Fund
(FirstEnergy Corp.)
Series 2016B
4.375%, 6/01/33

       350       306,099  

 

2018 Semi-Annual Report     67  

Table of Contents

Schedule of Investments (continued)

 

     
     Principal Amount (000)     U.S. $ Value  

Ohio Water Development Authority Water Pollution Control Loan Fund (FirstEnergy Nuclear Generation LLC)
Series 2016A
4.375%, 6/01/33

     $ 180     $ 157,423  
     

 

 

  
        1,602,593  
     

 

 

  
Pennsylvania–0.2%  

Hospitals & Higher Education Facilities Authority of Philadelphia (The)
(Temple University Health System Obligated Group)

      

Series 2017
5.00%, 7/01/22

       1,000       1,081,590  
     

 

 

  
Puerto Rico–0.2%  

Puerto Rico Industrial Tourist Educational Medical & Envirml Ctl Facs Fing Auth
(AES Puerto Rico LP)

      

Series 2000

6.625%, 6/01/26

       545       485,050  

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

      

Series 2012

5.00%, 10/01/19

       1,000       1,016,360  
     

 

 

  
        1,501,410  
     

 

 

  
Texas–0.7%  

Central Texas Turnpike System

      

Series 2015A

5.00%, 8/15/42

       2,850       3,010,597  

Mission Economic Development Corp.
(Natgasoline LLC)

      

Series 2016B

5.75%, 10/01/31(a)

       1,000       1,040,170  
     

 

 

  
        4,050,767  
     

 

 

  
Wisconsin–0.2%  

Wisconsin Public Finance Authority
(Celanese US Holdings LLC)

      

Series 2016A

5.00%, 1/01/24

       1,135       1,255,174  
     

 

 

  
Total Municipal Obligations
(cost $386,234,934)		       391,036,440  
     

 

 

  
INVESTMENT COMPANIES–25.9%  
Funds and Investment Trusts–25.9%(d)  

iShares Core MSCI EAFE ETF

       236,626     $ 15,588,921  

iShares Core MSCI Emerging Markets ETF

       301,062       17,582,021  

SPDR S&P 500 ETF Trust

       439,816       115,737,580  

Vanguard Mid-Cap ETF

       27,094       4,178,166  
     

 

 

  
Total Investment Companies
(cost $134,164,407)		       153,086,688  
     

 

 

  
     
     
     Principal Amount (000)         
GOVERNMENTS—TREASURIES–0.2%  
United States–0.2%  

U.S. Treasury Notes 2.125%, 11/30/23(e)
(cost $1,187,866)

     $ 1,200       1,168,875  
     

 

 

  
     
 
SHORT-TERM INVESTMENTS–7.2%  
U.S. Treasury Bills–4.3%  

U.S. Treasury Bill

      

Zero Coupon, 4/05/18–5/24/18(f)

       15,200       15,187,159  

Zero Coupon, 6/21/18

       10,200       10,160,753  
     

 

 

  
Total U.S. Treasury Bills
(cost $25,347,912)		       25,347,912  
     

 

 

  
     
     
     Shares         
Investment Companies–2.9%  

AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB, 1.41%(d)(g)(h)
(cost $17,232,192)

       17,232,192       17,232,192  
     

 

 

  
Total Short-Term Investments
(cost $42,580,104)		       42,580,104  
     

 

 

  
Total Investments—99.5%
(cost $564,167,311)		       587,872,107 (i) 

Other assets less liabilities—0.5%

 

     3,095,345  
     

 

 

  
Net Assets—100.0%     $ 590,967,452  
     

 

 

  
 
FUTURES (see Note 3)  
Description    Number of
Contracts		      Expiration
Month		   

Notional
(000)

      Original
Value		      Value at
March 31, 2018		      Unrealized
Appreciation/
(Depreciation)		  
Purchased Contracts  

Euro STOXX 50 Index Futures

      477      June 2018      EUR        5      $   19,620,217      $   19,256,993      $   (363,224 ) 

FTSE 100 Index Futures

      105      June 2018      GBP        1        10,486,648        10,302,480        (184,168 ) 

 

68   Sanford C. Bernstein Fund, Inc.

Table of Contents
Description    Number of
Contracts		      Expiration
Month		   

Notional
(000)

      Original
Value		      Value at
March 31, 2018		      Unrealized
Appreciation/
(Depreciation)		  

MSCI Emerging Markets Futures

      82      June 2018      USD        4      $ 4,918,769      $ 4,869,980      $ (48,789 ) 

Russell 2000 Mini Futures

      86      June 2018      USD        4        6,783,211        6,584,160        (199,051 ) 

SPI 200 Futures

      24      June 2018      AUD        1        2,753,967        2,643,320          (110,647 ) 

TOPIX Index Futures

      162      June 2018      JPY        1,620          25,928,982          26,133,452        204,470  
Sold Contracts  

S&P 500 E-Mini Futures

      290      June 2018      USD        15        39,559,646        38,323,500        1,236,146  

S&P TSX 60 Index Futures

      73      June 2018      CAD        15        10,319,041        10,267,086        51,955  
                    

 

 

  
                     $   586,692  
                    

 

 

  

 

 
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3)  
Counterparty    Contracts to
Deliver
(000)		      In Exchange
For
(000)		      Settlement
Date		      Unrealized
Appreciation/
(Depreciation)		  

Bank of America, NA

    GBP      4,238        USD        5,863        5/15/18      $ (92,553 ) 

Bank of America, NA

    USD      6,439        EUR        5,328        5/15/18        135,723  

Bank of America, NA

    USD      1,764        GBP        1,270        5/15/18        21,023  

BNP Paribas SA

    AUD      2,792        USD        2,173        5/15/18        28,531  

BNP Paribas SA

    USD      1,416        AUD        1,787        5/15/18        (43,616 ) 

BNP Paribas SA

    USD      2,136        EUR        1,712        5/15/18        (23,497 ) 

BNP Paribas SA

    USD      678        GBP        481        5/15/18        (2,676 ) 

BNP Paribas SA

    USD      4,195        NOK        32,617        5/15/18        (28,648 ) 

Citibank, NA

    JPY      1,030,217        USD        9,775        5/15/18        69,468  

Citibank, NA

    USD      5,612        EUR        4,471        5/15/18        (94,513 ) 

Credit Suisse International

    CHF      1,848        USD        1,981        5/15/18        42,180  

Credit Suisse International

    NOK      9,231        USD        1,157        5/15/18        (21,893 ) 

Credit Suisse International

    USD      1,490        CHF        1,367        5/15/18        (54,621 ) 

Credit Suisse International

    USD      7,491        GBP        5,299        5/15/18        (44,413 ) 

Credit Suisse International

    USD      4,894        JPY        526,911        5/15/18        70,586  

Credit Suisse International

    USD      1,201        NOK        9,231        5/15/18        (22,000 ) 

Deutsche Bank AG

    CHF      749        USD        804        5/15/18        18,319  

Goldman Sachs Bank USA

    CAD      2,773        USD        2,250        5/15/18        96,079  

JPMorgan Chase Bank, NA

    GBP      3,730        USD        5,067        5/15/18        (175,469 ) 

JPMorgan Chase Bank, NA

    SEK      12,824        USD        1,588        5/15/18        48,026  

JPMorgan Chase Bank, NA

    USD      1,563        SEK        12,824        5/15/18        (22,929 ) 

Morgan Stanley & Co., Inc.

    EUR      3,097        USD        3,807        5/15/18        (14,571 ) 

Morgan Stanley & Co., Inc.

    USD      2,983        GBP        2,143        5/15/18        29,020  

Royal Bank of Scotland PLC

    CAD      3,307        USD        2,623        5/15/18        54,103  

Royal Bank of Scotland PLC

    USD      4,424        CAD        5,519        5/15/18          (136,907 ) 

Standard Chartered Bank

    AUD      1,146        USD        894        5/15/18        13,945  

Standard Chartered Bank

    USD      12,850        JPY        1,388,068        5/15/18        227,831  

State Street Bank & Trust Co.

    USD      734        EUR        595        5/15/18        (296 ) 
                 

 

 

  
   $ 76,232  
                 

 

 

  

 

2018 Semi-Annual Report     69  

Table of Contents

Schedule of Investments (continued)

 

     
CREDIT DEFAULT SWAPS (see Note 3)                    
Swap Counterparty & Referenced
Obligation		    Fixed
Rate
(Pay)
Receive		    Payment
Frequency		    Implied
Credit
Spread at
March 31,
2018		      Notional
Amount
(000)		      Market
Value		      Upfront
Premiums
Paid
(Received)		      Unrealized
Appreciation/
(Depreciation)		  
Sale Contracts                        

Credit Suisse International

                        

CDX-CMBX.NA.A Series 6, 5/11/63*

    2.00%    Monthly      3.17%        USD        527      $   (23,065 )     $   (31,689 )     $   8,624  

CDX-CMBX.NA.A Series 6, 5/11/63*

    2.00       Monthly      3.17        USD        469        (20,501 )       (26,544 )       6,043  

CDX-CMBX.NA.A Series 6, 5/11/63*

    2.00       Monthly      3.17        USD        245        (10,723 )       (10,034 )       (689 ) 
Deutsche Bank AG                        

CDX-CMBX.NA.A Series 6, 5/11/63*

    2.00       Monthly      3.17        USD        564        (24,685 )       (34,064 )       9,379  
Goldman Sachs International                        

CDX-CMBX.NA.A Series 6, 5/11/63*

    2.00       Monthly      3.17        USD        211        (9,235 )       (12,239 )       3,004  

CDX-CMBX.NA.A Series 6, 5/11/63*

    2.00       Monthly      3.17        USD        211        (9,235 )       (11,450 )       2,215  

CDX-CMBX.NA.A Series 6, 5/11/63*

    2.00       Monthly      3.17        USD        295        (12,927 )       (11,758 )       (1,169 ) 
Morgan Stanley Capital Services LLC                        

CDX-CMBX.NA.A Series 6, 5/11/63*

    2.00       Monthly      3.17        USD        82        (3,589 )       (3,375 )       (214 ) 
                 

 

 

     

 

 

     

 

 

  
                  $   (113,960 )     $   (141,153 )     $   27,193  
                 

 

 

     

 

 

     

 

 

  

* Termination date

 

 
INFLATION (CPI) SWAPS (see Note 3)  
              Rate Type        

Swap Counterparty

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

Barclays Bank PLC

      USD        5,000        10/23/26        2.310%       CPI#     Maturity     $  (183,299)  

Barclays Bank PLC

      USD        5,000        12/04/27        2.170%       CPI#     Maturity     69,511  

Barclays Bank PLC

      USD        1,000        10/23/29        2.388%       CPI#     Maturity     (46,243)  

Citibank, NA

      USD        7,280        12/14/20        1.548%       CPI#     Maturity     214,430  

Citibank, NA

      USD        6,400        10/23/21        2.039%       CPI#     Maturity     (111,943)  

Citibank, NA

      USD        7,000        11/04/23        1.900%       CPI#     Maturity     185,011  

Citibank, NA

      USD        3,000        7/20/27        2.104%       CPI#     Maturity     62,169  

Deutsche Bank AG

      USD        3,700        7/15/20        1.265%       CPI#     Maturity     168,863  

Deutsche Bank AG

      USD        4,000        9/04/25        1.818%       CPI#     Maturity     130,407  

JPMorgan Chase Bank, NA

      USD        3,000        3/02/24        2.175%       CPI#     Maturity     12,668  

JPMorgan Chase Bank, NA

      USD        5,000        7/20/24        1.995%       CPI#     Maturity     105,923  

JPMorgan Chase Bank, NA

      USD        4,000        11/04/26        2.015%       CPI#     Maturity     113,286  

Morgan Stanley Capital Services LLC

      USD        19,000        7/20/22        1.939%       CPI#     Maturity     328,841  

Morgan Stanley Capital Services LLC

      USD        5,000        7/20/32        2.158%       CPI#     Maturity     132,908  
                 

 

 

  
                    $  1,182,532  
                 

 

 

  

# Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).

 

 

(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 March 31, 2018, the aggregate market value of these securities amounted to $4,235,601 or 0.7% of net assets.
(b)   When-Issued or delayed delivery security.
(c)   An auction rate security whose interest rate resets at each auction date. Auctions are typically held every week or month. The rate shown is as of March 31, 2018 and the aggregate market value of these securities amounted to $5,122,749 or 0.87% of net assets.

 

70   Sanford C. Bernstein Fund, Inc.

Table of Contents
(d)   To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618.
(e)   Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.
(f)   Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts.
(g)   Affiliated investments.
(h)   The rate shown represents the 7-day yield as of period end.
(i)   On March 30, 2018, the Portfolio and U.S. stock exchanges were closed for business due to a U.S. holiday but the foreign markets remained open for trading. The Portfolio valued its foreign securities using the closing market prices from the respective foreign markets as of March 29, 2018 for financial reporting purposes.

As of March 31, 2018, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 3.5% and 0.0%, respectively.

Currency Abbreviations:

AUD—Australian Dollar

CAD—Canadian Dollar

CHF—Swiss Franc

EUR—Euro

GBP—Great British Pound

JPY—Japanese Yen

NOK—Norwegian Krone

SEK—Swedish Krona

USD—United States Dollar

Glossary:

AGM—Assured Guaranty Municipal

CD-CMBX.NA—North American Commercial Mortgage-Backed Index

COP—Certificate of Participation

EAFE—Europe, Australia, and Far East

ETF—Exchange Traded Fund

ETM—Escrowed to Maturity

FTSE—Financial Times Stock Exchange

MSCI—Morgan Stanley Capital International

NATL—National Interstate Corporation

SPDR—Standard & Poor’s Depository Receipt

SPI—Share Price Index

TOPIX—Tokyo Price Index

TSX—Toronto Stock Exchange

XLCA—XL Capital Assurance Inc.

See notes to financial statements.

 

2018 Semi-Annual Report     71  

Table of Contents

Schedule of Investments

 

Sanford C. Bernstein Fund, Inc.

Schedule of Investments

Tax-Aware Overlay N Portfolio

March 31, 2018 (Unaudited)

 

     Principal Amount (000)     U.S. $ Value  
MUNICIPAL OBLIGATIONS–68.9%          
Long-Term Municipal Bonds–68.9%          
Alabama–0.2%      

County of Jefferson AL Sewer Revenue
Series 2013D
5.00%, 10/01/22

     $ 1,000     $ 1,090,090  
     

 

 

  
Arizona–0.7%      

City of Phoenix Civic Improvement Corp.
Series 2010A
5.00%, 7/01/22 (Pre-refunded/ETM)

       2,575       2,758,340  

Tempe Industrial Development Authority
(Mirabella at ASU, Inc.)
Series 2017B
4.00%, 10/01/23(a)

       420       421,386  
     

 

 

  
        3,179,726  
     

 

 

  
Colorado–1.4%      

City & County of Denver CO
(United Airlines, Inc.)
Series 2017
5.00%, 10/01/32

       1,000       1,081,130  

City & County of Denver CO Airport System Revenue
(Denver Intl Airport)
Series 2011A
5.75%, 11/15/20

       3,150       3,452,998  

Plaza Metropolitan District No 1
Series 2013
5.00%, 12/01/22(a)

       600       649,914  

Regional Transportation District
(Denver Transit Partners LLC)
Series 2010
5.375%, 7/15/25

       1,100       1,170,224  
     

 

 

  
        6,354,266  
     

 

 

  
District of Columbia–0.5%      

Metropolitan Washington Airports Authority
Series 2010B
5.00%, 10/01/21

       2,100       2,251,494  
     

 

 

  
Florida–1.5%      

Broward County School Board/FL COP
Series 2011A
5.00%, 7/01/18

       3,500       3,530,205  

Citizens Property Insurance Corp.
Series 2012A-1
5.00%, 6/01/21

       2,840       3,097,844  

State of Florida Lottery Revenue
Series 2010C
5.00%, 7/01/18

       170       171,467  
     

 

 

  
        6,799,516  
     

 

 

  
     
     Principal Amount (000)     U.S. $ Value  
Illinois–2.7%      

Chicago Board of Education
Series 2017C
5.00%, 12/01/23

     $ 1,465     $ 1,559,097  

Illinois Finance Authority
(Illinois Institute of Technology)
Series 2006A
5.00%, 4/01/18

       475       475,000  

Metropolitan Pier & Exposition Authority
Series 2017B
5.00%, 12/15/25

       1,000       1,087,760  

State of Illinois
Series 2014
5.00%, 5/01/22–5/01/23

       4,990       5,205,193  

Series 2017D
5.00%, 11/01/24

       2,000       2,088,720  

State of Illinois
(State of Illinois Sales Tax)
Series 2010
5.00%, 6/15/20

       1,685       1,790,970  
     

 

 

  
        12,206,740  
     

 

 

  
Massachusetts–0.3%  

Commonwealth of Massachusetts
NATL Series 2000F
2.611%, 12/01/30(b)

       1,525       1,520,547  
     

 

 

  
Michigan–1.2%  

Michigan Finance Authority
(Great Lakes Water Authority Sewage Disposal System)
AGM Series 2014C
5.00%, 7/01/26

       5,055       5,700,220  
     

 

 

  
New Jersey–2.7%  

New Jersey Economic Development Authority
(New Jersey Economic Development Authority State Lease)
Series 2015X
5.00%, 6/15/21

       4,555       4,859,502  

Series 2018A
5.00%, 6/15/31

       1,985       2,154,817  

New Jersey Transit Corp.
Series 2014A
5.00%, 9/15/21

       2,410       2,584,002  

New Jersey Turnpike Authority
AGM Series 2005D-3
5.25%, 1/01/26

       2,555       3,013,648  
     

 

 

  
        12,611,969  
     

 

 

  
New York–55.4%  

Albany County Airport Authority
AGM Series 2010A
5.00%, 12/15/22-12/15/23

       3,555       3,784,902  

Build NYC Resource Corp.
(Metropolitan College of New York)
Series 2014
5.25%, 11/01/29

       1,000       1,070,440  

 

72   Sanford C. Bernstein Fund, Inc.

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  

Central Islip Union Free School District
Series 2013
5.00%, 7/15/19

     $ 750     $ 782,438  

City of New York NY
Series 2010B
5.00%, 8/01/19

       1,275       1,330,501  

Series 2010H
5.00%, 6/01/19 (Pre-refunded/ETM)

       945       980,683  

5.00%, 6/01/19

       275       285,546  

Series 2014A
5.00%, 8/01/28

       1,285       1,470,271  

Series 2014J
5.00%, 8/01/27

       1,085       1,244,170  

Series 2015F
5.00%, 6/01/21

       1,905       2,085,308  

Series 2017-1
5.00%, 8/01/31

       6,160       7,237,877  

Series 2018E
5.00%, 3/01/31

       1,055       1,250,629  

City of Yonkers NY
AGM Series 2015A
5.00%, 3/15/21

       2,000       2,163,260  

County of Nassau NY
Series 2011A
5.00%, 4/01/20

       2,050       2,179,601  

Series 2014A
5.00%, 4/01/25

       4,775       5,441,447  

Series 2017C
5.00%, 10/01/25

       1,875       2,176,856  

County of Westchester NY
Series 2016A
5.00%, 1/01/21–1/01/23

       10,435       11,603,434  

Hempstead Town Local Development Corp.
(Hofstra University)
Series 2013
5.00%, 7/01/21

       700       765,170  

Hudson Yards Infrastructure Corp.
Series 2017A
5.00%, 2/15/32

       2,320       2,702,382  

Jefferson County Industrial Development Agency
(ReEnergy Black River LLC)
Series 2014
4.75%, 1/01/20(c)

       275       271,233  

Metropolitan Transportation Authority
Series 2011
5.00%, 11/15/25 (Pre-refunded/ETM)

       2,075       2,304,910  

Series 2011C
5.00%, 11/15/25

       4,430       4,888,106  

Series 2012
5.00%, 11/15/22

       2,650       2,978,944  

Series 2012F
5.00%, 11/15/25

       1,000       1,115,270  

Series 2017C
5.00%, 11/15/26–11/15/31

       12,180       14,287,645  

Metropolitan Transportation Authority
(Metropolitan Transportation Authority Ded Tax)
Series 2012A
5.00%, 11/15/23–11/15/26

     $ 9,840     $ 11,081,454  

Series 2016A
5.00%, 11/15/25

       1,375       1,641,475  

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

      

Series 2014
5.00%, 7/01/20

       1,000       1,062,090  

New York City Municipal Water Finance Authority
Series 2010FF
5.00%, 6/15/25

       500       535,580  

Series 2011GG
5.00%, 6/15/26

       8,070       8,829,710  

Series 2015G
5.00%, 6/15/27

       2,885       3,369,853  

New York City Transitional Finance Authority Building Aid Revenue
Series 2018S
5.00%, 7/15/31

       1,460       1,736,597  

New York City Transitional Finance Authority Future Tax Secured Revenue
Series 2009B
5.00%, 11/01/18

       4,525       4,615,183  

Series 2010I-2
5.00%, 11/01/19

       2,000       2,103,260  

Series 2011B
5.00%, 2/01/21

       4,110       4,467,364  

Series 2012D
5.00%, 11/01/22

       1,220       1,375,904  

Series 2012S
5.00%, 5/01/19 (Pre-refunded/ETM)

       1,000       1,036,280  

Series 2013I
5.00%, 5/01/22

       2,270       2,535,363  

Series 2014B
5.00%, 11/01/26

       4,000       4,616,600  

Series 2015C
5.00%, 11/01/28

       2,145       2,474,300  

Series 2017
5.00%, 11/01/26–11/01/28

       4,265       5,093,604  

Series 2017E-1
5.00%, 2/01/30

       1,155       1,359,400  

New York City Trust for Cultural Resources (Lincoln Center for the Performing Arts, Inc.)
Series 2016A
5.00%, 12/01/26

       5,575       6,635,030  

New York State Dormitory Authority
Series 2012A
5.00%, 7/01/26 (Pre-refunded/ETM)

       1,965       2,204,534  

 

2018 Semi-Annual Report     73  

Table of Contents

Schedule of Investments (continued)

 

     
     Principal Amount (000)     U.S. $ Value  

New York State Dormitory Authority
(Mount Sinai Hospitals Group, Inc.)
Series 2010A
5.00%, 7/01/18

     $ 645     $ 650,321  

New York State Dormitory Authority
(New York State Dormitory Authority Lease)
Series 2009A
5.00%, 7/01/24

       3,440       3,581,281  

AGM Series 2015
5.00%, 10/01/22

       2,725       3,063,472  

New York State Dormitory Authority
(New York State Sales Tax)
Series 2015A
5.00%, 3/15/21–3/15/23

       12,235       13,504,177  

New York State Dormitory Authority
(Orange Regional Medical Center Obligated Group)

      

Series 2017
5.00%, 12/01/24(a)

       700       778,568  

New York State Dormitory Authority
(State of New York Pers Income Tax)
Series 2012A
5.00%, 12/15/21–12/15/22

       3,965       4,439,959  

Series 2014A
5.00%, 2/15/28

       2,035       2,318,089  

Series 2014C
5.00%, 3/15/29

       3,000       3,408,660  

New York State Dormitory Authority
(State University of New York Dormitory Fees)
Series 2013A
5.00%, 7/01/21

       1,000       1,097,060  

Series 2015A
5.00%, 7/01/18

       3,440       3,468,724  

New York State Energy Research & Development Authority
(Consolidated Edison Co. of New York, Inc.)
AMBAC Series 2001A
2.215%, 5/01/34(b)

       1,000       959,960  

XLCA Series 2004A
2.187%, 1/01/39(b)

       200       191,988  

XLCA Series 2004B
2.215%, 5/01/32(b)

       925       887,972  

New York State Environmental Facilities Corp.
(New York City Municipal Water Finance Authority)
Series 2012D
5.00%, 6/15/20

       1,745       1,870,361  

New York State Thruway Authority (New York State Thruway Authority Ded Tax)
Series 2011A
5.00%, 4/01/23

       1,590       1,732,814  

Series 2012A
5.00%, 4/01/20

       1,975       2,103,889  
     
     Principal Amount (000)     U.S. $ Value  

AMBAC Series 2005B
5.50%, 4/01/20

     $ 2,400     $ 2,580,072  

New York State Thruway Authority
(New York State Thruway Authority Gen Toll Road)
Series 2013A
5.00%, 5/01/19

       9,000       9,318,690  

New York State Thruway Authority
(State of New York Pers Income Tax)
Series 2010A
5.00%, 3/15/25

       4,500       4,850,325  

New York State Urban Development Corp.
(State of New York Pers Income Tax)
Series 2016A
5.00%, 3/15/22–3/15/24

       6,600       7,449,405  

New York Transportation Development Corp.
(American Airlines, Inc.)
5.00%, 8/01/21

       585       630,039  

Series 2016
5.00%, 8/01/26–8/01/31

       4,170       4,412,367  

New York Transportation Development Corp.
(Terminal One Group Association LP)
Series 2015
5.00%, 1/01/22

       1,755       1,913,459  

Niagara Falls City School District
Series 2016
5.00%, 6/15/18-6/15/19

       3,855       3,956,789  

Niagara Frontier Transportation Authority AGM
Series 2004A2
3.723%, 4/01/24(b)

       875       869,671  

Port Authority of New York & New Jersey
Series 2013-178
5.00%, 12/01/23

       2,515       2,842,076  

Series 2013-180
5.00%, 6/01/21

       2,500       2,743,900  

Series 2014
5.00%, 9/01/23-9/01/28

       5,615       6,337,032  

Series 2015E
5.00%, 10/15/23

       1,000       1,127,880  

Series 2017
5.00%, 11/15/30

       1,735       2,066,090  

Sales Tax Asset Receivable Corp.
Series 2014A
5.00%, 10/15/18-10/15/25

       5,740       6,408,142  

Town of Oyster Bay NY
Series 2016C
4.00%, 6/01/18

       1,550       1,554,821  

Triborough Bridge & Tunnel Authority
Series 2017
5.00%, 11/15/28

       1,820       2,236,198  

Troy Capital Resource Corp.
(Rensselaer Polytechnic Institute)
Series 2010B
5.00%, 9/01/19-9/01/20

       1,540       1,621,512  

 

74   Sanford C. Bernstein Fund, Inc.

Table of Contents
     
     Principal Amount (000)     U.S. $ Value  

Utility Debt Securitization Authority
Series 2015
5.00%, 12/15/24

     $ 1,500     $ 1,697,985  

Series 2016B
5.00%, 12/15/20

       5,185       5,310,062  
     

 

 

  
        255,158,414  
     

 

 

  
Ohio–0.3%  

Ohio Air Quality Development Authority
(FirstEnergy Generation LLC)
Series 2009D
4.25%, 8/01/29

       210       183,698  

Ohio Air Quality Development Authority
(Pratt Paper OH, Inc.)
Series 2017
3.75%, 1/15/28(a)

       1,000       999,140  

Ohio Water Development Authority Water Pollution Control Loan Fund
(FirstEnergy Corp.)
Series 2016B
4.375%, 6/01/33

       300       262,371  
     

 

 

  
        1,445,209  
     

 

 

  
Pennsylvania–1.2%  

Hospitals & Higher Education Facilities Authority of Philadelphia (The)
(Temple University Health System Obligated Group)
Series 2017
5.00%, 7/01/24

       1,000       1,100,510  

Philadelphia Parking Authority (The)
(Philadelphia Airport Parking)
Series 2009
5.25%, 9/01/23

       200       214,146  

Sports & Exhibition Authority of Pittsburgh and Allegheny County
(Sports & Exhibition Authority of Pittsburgh and Allegheny County Hotel Occupancy Tax)
AGM Series 2010
5.00%, 2/01/24

       4,000       4,263,000  
     

 

 

  
        5,577,656  
     

 

 

  
Puerto Rico–0.1%  

Puerto Rico Industrial Tourist Educational Medical & Envirml Ctl Facs Fing Auth
(AES Puerto Rico LP)
Series 2000
6.625%, 6/01/26

       445       396,050  
     

 

 

  
Texas–0.2%  

Mission Economic Development Corp.
(Natgasoline LLC)
Series 2016B
5.75%, 10/01/31(a)

       770       800,931  
     

 

 

  
Washington–0.5%  

Port of Seattle WA
Series 2010C
5.00%, 2/01/21

     $ 2,300     $ 2,484,759  
     

 

 

  
Total Municipal Obligations
(cost $313,667,216)		       317,577,587  
     

 

 

  
     
     
     Shares         
INVESTMENT COMPANIES–23.2%  
Funds and Investment Trusts–23.2%(d)  
iShares Core MSCI EAFE ETF       207,783       13,688,744  

iShares Core MSCI Emerging Markets ETF

       234,572       13,699,005  

SPDR S&P 500 ETF Trust

       289,738       76,244,555  

Vanguard Mid-Cap ETF

       21,255       3,277,733  
     

 

 

  
Total Investment Companies
(cost $91,099,537)		       106,910,037  
     

 

 

  
     
     
     Principal Amount (000)         
GOVERNMENTS—TREASURIES–0.2%  
United States–0.2%  

U.S. Treasury Notes
2.12%, 11/30/23(e)
(cost $989,888)

     $ 1,000       974,062  
     

 

 

  
     
 
SHORT-TERM INVESTMENTS–6.7%  
U.S. Treasury Bills–4.6%  

U.S. Treasury Bill

      

Zero Coupon, 4/05/18–6/21/18

       16,000       15,968,300  

Zero Coupon, 5/24/18(f)

       5,000       4,988,329  
     

 

 

  
Total U.S. Treasury Bills
(cost $20,956,629)		       20,956,629  
     

 

 

  
     
     
     Shares         
Investment Companies–2.1%  

AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB, 1.41%(d)(g)(h)
(cost $9,617,828)

       9,617,828       9,617,828  
     

 

 

  
Total Short-Term Investments
(cost $30,574,457)		         30,574,457  
     

 

 

  
Total Investments—99.0%
(cost $436,331,098)		         456,036,143 (i) 

Other assets less liabilities—1.0%

         4,709,833  
     

 

 

  
Net Assets—100.0%       $ 460,745,976  
     

 

 

  

 

 

2018 Semi-Annual Report     75  

Table of Contents

Schedule of Investments (continued)

 

 
FUTURES (see Note 3)  
Description    Number of
Contracts		      Expiration
Month		    Notional
(000)		      Original
Value		      Value at
March 31, 2018		      Unrealized Appreciation/
(Depreciation)		  
Purchased Contracts  

Euro STOXX 50 Index Futures

      358      June 2018      EUR        4      $ 14,725,445      $ 14,452,837      $ (272,608 ) 

FTSE 100 Index Futures

      80      June 2018      GBP        1        7,989,828        7,849,509        (140,319 ) 

MSCI Emerging Markets Futures

      66      June 2018      USD        3        3,959,009        3,919,740        (39,269 ) 

Russell 2000 Mini Futures

      67      June 2018      USD        3        5,284,594        5,129,520        (155,074 ) 

SPI 200 Futures

      17      June 2018      AUD        0 **       1,950,727        1,872,352        (78,375 ) 

TOPIX Index Futures

      124      June 2018      JPY        1,240        19,846,875        20,003,383        156,508  
Sold Contracts  

S&P 500 E-Mini Futures

      117      June 2018      USD        6        15,960,271        15,461,550        498,721  

S&P TSX 60 Index Futures

      57      June 2018      CAD        11        8,057,333        8,016,766        40,567  
                    

 

 

  
                     $ 10,151  
                    

 

 

  

 

 
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3)  
Counterparty    Contracts to
Deliver
(000)		      In Exchange
For
(000)		      Settlement
Date		      Unrealized
Appreciation/
(Depreciation)		  

Bank of America, NA

    GBP      3,283      USD      4,541        5/15/18      $ (71,685 ) 

Bank of America, NA

    USD      5,003      EUR      4,140        5/15/18        105,466  

Bank of America, NA

    USD      1,376      GBP      991        5/15/18        16,403  

BNP Paribas SA

    AUD      2,175      USD      1,693        5/15/18        22,226  

BNP Paribas SA

    USD      1,103      AUD      1,392        5/15/18        (33,972 ) 

BNP Paribas SA

    USD      1,750      EUR      1,402        5/15/18        (19,248 ) 

BNP Paribas SA

    USD      529      GBP      375        5/15/18        (2,088 ) 

BNP Paribas SA

    USD      3,281      NOK      25,508        5/15/18        (22,404 ) 

Citibank, NA

    JPY      793,800      USD      7,532        5/15/18        53,526  

Citibank, NA

    USD      4,408      EUR      3,511        5/15/18        (74,224 ) 

Credit Suisse International

    CHF      1,428      USD      1,532        5/15/18        32,607  

Credit Suisse International

    NOK      7,087      USD      888        5/15/18        (16,807 ) 

Credit Suisse International

    USD      1,158      CHF      1,063        5/15/18        (42,470 ) 

Credit Suisse International

    USD      5,862      GBP      4,147        5/15/18        (34,755 ) 

Credit Suisse International

    USD      3,860      JPY      415,620        5/15/18        55,677  

Credit Suisse International

    USD      922      NOK      7,087        5/15/18        (16,889 ) 

Deutsche Bank AG

    CHF      708      USD      760        5/15/18        17,316  

Goldman Sachs Bank USA

    CAD      2,170      USD      1,761        5/15/18        75,193  

JPMorgan Chase Bank, NA

    GBP      3,135      USD      4,259        5/15/18        (147,477 ) 

JPMorgan Chase Bank, NA

    SEK      10,322      USD      1,279        5/15/18        38,657  

JPMorgan Chase Bank, NA

    USD      1,258      SEK      10,322        5/15/18        (18,456 ) 

Morgan Stanley & Co., Inc.

    EUR      2,377      USD      2,922        5/15/18        (11,185 ) 

Morgan Stanley & Co., Inc.

    USD      2,347      GBP      1,687        5/15/18        22,837  

Royal Bank of Scotland PLC

    CAD      2,579      USD      2,046        5/15/18        42,205  

Royal Bank of Scotland PLC

    USD      3,454      CAD      4,309        5/15/18          (106,928 ) 

Standard Chartered Bank

    AUD      1,032      USD      805        5/15/18        12,548  

Standard Chartered Bank

    USD      9,571      JPY      1,033,860        5/15/18        169,693  

State Street Bank & Trust Co.

    USD      22      EUR      18        5/15/18        (9 ) 
                 

 

 

  
   $ 45,757  
                 

 

 

  

 

 

76   Sanford C. Bernstein Fund, Inc.

Table of Contents
                 
CREDIT DEFAULT SWAPS (see Note 3)                                                                  
Swap Counterparty & Referenced Obligation    Fixed
Rate
(Pay)
Receive		      Payment
Frequency		    Implied
Credit
Spread at
March 31,
2018		     

Notional
Amount
(000)

      Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  
Sale Contracts                      

Credit Suisse International
CDX-CMBX.NA.A
Series 6, 5/11/63*

      2.00%      Monthly      3.17 %       USD        430      $   (18,819 )    $ (25,856 )    $   7,037  

CDX-CMBX.NA.A
Series 6, 5/11/63*

      2.00      Monthly      3.17        USD        380        (16,611 )      (21,507 )      4,896  

CDX-CMBX.NA.A
Series 6, 5/11/63*

      2.00      Monthly      3.17        USD        198        (8,666 )      (8,109 )      (557 ) 

Deutsche Bank AG
CDX-CMBX.NA.A
Series 6, 5/11/63*

      2.00      Monthly      3.17        USD        460        (20,133 )      (27,783 )      7,650  

Goldman Sachs International
CDX-CMBX.NA.A
Series 6, 5/11/63*

      2.00      Monthly      3.17        USD        172        (7,528 )      (9,976 )      2,448  

CDX-CMBX.NA.A
Series 6, 5/11/63*

      2.00      Monthly      3.17        USD        172        (7,528 )      (9,334 )      1,806  

CDX-CMBX.NA.A
Series 6, 5/11/63*

      2.00      Monthly      3.17        USD        241        (10,561 )      (9,606 )      (955 ) 

Morgan Stanley Capital Services LLC
CDX-CMBX.NA.A
Series 6, 5/11/63*

      2.00      Monthly      3.17        USD        67        (2,932 )      (2,757 )      (175 ) 
                 

 

 

    

 

 

    

 

 

  
                  $   (92,778 )    $   (114,928 )    $   22,150  
                 

 

 

    

 

 

    

 

 

  

* Termination date

 

 
INFLATION (CPI) SWAPS (see Note 3)  
                    Rate Type              

Swap Counterparty

  

Notional Amount

(000)

     Termination
Date		   Payments made
by the Fund		     Payments received
by the Fund		     Payment
Frequency		     Unrealized Appreciation/
(Depreciation)		  

Barclays Bank PLC

     USD       4,000     10/23/26     2.310%       CPI#       Maturity       $  (146,639)  

Barclays Bank PLC

     USD       1,000     10/23/29     2.388%       CPI#       Maturity       (46,243)  

Barclays Bank PLC

     USD       3,000     12/04/32     2.233%       CPI#       Maturity       46,525  

Citibank, NA

     USD       5,700     12/14/20     1.548%       CPI#       Maturity       167,892  

Citibank, NA

     USD       3,800     10/23/21     2.039%       CPI#       Maturity       (66,466)  

Citibank, NA

     USD       7,000     11/04/23     1.900%       CPI#       Maturity       185,011  

Citibank, NA

     USD       3,500     7/20/27     2.104%       CPI#       Maturity       72,530  

Deutsche Bank AG

     USD       2,900     7/15/20     1.265%       CPI#       Maturity       132,352  

Deutsche Bank AG

     USD       4,000     9/04/25     1.818%       CPI#       Maturity       130,407  

JPMorgan Chase Bank, NA

     USD       2,500     3/02/24     2.175%       CPI#       Maturity       10,557  

JPMorgan Chase Bank, NA

     USD       7,000     7/20/24     1.995%       CPI#       Maturity       148,291  

JPMorgan Chase Bank, NA

     USD       3,000     11/04/26     2.015%       CPI#       Maturity       84,965  

Morgan Stanley Capital Services LLC

     USD       8,500     7/20/22     1.939%       CPI#       Maturity       147,113  

Morgan Stanley Capital Services LLC

     USD       1,800     7/20/32     2.158%       CPI#       Maturity       47,847  
             

 

 

  
                $  914,142  
             

 

 

  

# Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).

 

2018 Semi-Annual Report     77  

Table of Contents

Schedule of Investments (continued)

 

 

**   Notional amount less than 500.
(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 March 31, 2018, the aggregate market value of these securities amounted to $3,649,939 or 0.8% of net assets.
(b)   An auction rate security whose interest rate resets at each auction date. Auctions are typically held every week or month. The rate shown is as of March 31, 2018 and the aggregate market value of these securities amounted to $4,430,138 or 0.96% of net assets.
(c)   Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.06% of net assets as of March 31, 2018, are considered illiquid and restricted. Additional information regarding such securities follows:

 

144A/Restricted & Illiquid Securities

   

Acquisition

Date

      Cost   

Market

Value

     

Percentage of

Net Assets

  

Jefferson County Industrial Development Agency
(ReEnergy Black River LLC)
Series 2014
4.75%, 1/01/20

      11/13/14      $  275,000    $   271,233        0.06 % 

 

(d)   To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618.
(e)   Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.
(f)   Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts.
(g)   Affiliated investments.
(h)   The rate shown represents the 7-day yield as of period end.
(i)   On March 30, 2018, the Portfolio and U.S. stock exchanges were closed for business due to a U.S. holiday but the foreign markets remained open for trading. The Portfolio valued its foreign securities using the closing market prices from the respective foreign markets as of March 29, 2018 for financial reporting purposes.

As of March 31, 2018, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 9.1% and 0.0%, respectively.

Currency Abbreviations:

AUD—Australian Dollar

CAD—Canadian Dollar

CHF—Swiss Franc

EUR—Euro

GBP—Great British Pound

JPY—Japanese Yen

NOK—Norwegian Krone

SEK—Swedish Krona

USD—United States Dollar

Glossary:

AGM—Assured Guaranty Municipal

AMBAC—Ambac Assurance Corporation

CDX-CMBX.NA—North American Commercial Mortgage-Backed Index

COP—Certificate of Participation

EAFE—Europe, Australia, and Far East

ETF—Exchange Traded Fund

ETM—Escrowed to Maturity

FTSE—Financial Times Stock Exchange

MSCI—Morgan Stanley Capital International

NATL—National Interstate Corporation

SPDR—Standard & Poor’s Depository Receipt

SPI—Share Price Index

TOPIX—Tokyo Price Index

TSX—Toronto Stock Exchange

XLCA—XL Capital Assurance Inc.

See notes to financial statements.

 

78   Sanford C. Bernstein Fund, Inc.

Table of Contents

Statement of Assets and Liabilities—March 31, 2018 (Unaudited)

 

      OVERLAY A
PORTFOLIO		      TAX-AWARE
OVERLAY A
PORTFOLIO		      OVERLAY B
PORTFOLIO		  
ASSETS         

Investments in securities at value

         

Unaffiliated issuers

    $ 1,218,767,236      $ 2,537,074,524      $ 1,215,156,001  

Affiliated issuers

      1,007,171,050        2,069,909,215        114,544,266  

Foreign currencies, at value (a)

      7,639,664        15,805,308        3,207,571  

Cash

      3,324,470        6,554,590        233,089  

Cash collateral due from broker

      0        0        980,702  

Due from custodian

      0        44,856        3,649  

Receivables:

         

Unaffiliated dividends and interest

      1,657,167        3,427,156        5,551,075  

Affiliated dividends

      157,914        318,460        89,661  

Foreign withholding tax reclaims

      121,317        240,838        0  

Investment securities sold

      72,765        2,041,206        19,669,649  

Capital shares sold

      883,953        552,261        853,749  

Variation margin on futures

      0        0        1,933,392  

Terminated centrally cleared interest rate swaps

      0        0        2,956,899  

Newly entered interest rate swaps

      0        0        99,065  

Unrealized appreciation of forward currency exchange contracts

      7,305,677        14,946,435        4,091,998  

Unrealized appreciation of inflation swaps

      0        0        332,085  

Unrealized appreciation on variance swaps

      0        0        115  

Unrealized appreciation of credit default swaps

      0        0        42,783  

Upfront premiums paid on credit default swaps

      0        0        114,727  
  

 

 

     

 

 

     

 

 

  

Total assets

      2,247,101,213        4,650,914,849        1,369,860,476  
  

 

 

     

 

 

     

 

 

  
LIABILITIES         

Cash collateral due to broker

      793,304        1,627,527        260,000  

Payables:

         

Investment securities purchased

      339,895        698,309        74,914,960  

Variation margin on futures

      3,929,020        8,331,056        0  

Capital shares redeemed

      1,587,573        4,137,151        942,870  

Management fee

      1,117,182        2,328,287        689,779  

Shareholder servicing fee

      321,582        619,016        138,967  

Variation margin on centrally cleared swaps

      0        0        73,528  

Transfer Agent fee

      17,443        25,241        11,601  

Terminated centrally cleared interest rate swaps

      0        0        191,371  

Accrued expenses

      121,520        126,261        124,392  

Unrealized depreciation of forward currency exchange contracts

      6,668,263        14,414,749        3,253,760  

Unrealized depreciation of credit default swaps

      0        0        685,317  

Unrealized depreciation on variance swaps

      0        0        220  

Upfront premiums received on credit default swaps

      0        0        1,590,112  
  

 

 

     

 

 

     

 

 

  

Total liabilities

      14,895,782        32,307,597        82,876,877  
  

 

 

     

 

 

     

 

 

  

NET ASSETS

    $ 2,232,205,431      $ 4,618,607,252      $ 1,286,983,599  
  

 

 

     

 

 

     

 

 

  

Cost of investments

         

Unaffiliated issuers

    $ 985,627,000      $ 2,007,030,273      $ 1,180,416,845  

Affiliated issuers

      862,489,800        1,773,832,051        113,009,344  
NET ASSETS CONSIST OF:         

Capital stock, at par

    $ 163,702      $ 324,099      $ 117,622  

Additional paid-in capital

      1,788,064,401        3,637,192,464        1,222,219,313  

Undistributed net investment income/(distributions in excess of net investment income)

      7,664,611        (17,078,230 )       1,025,048  

Accumulated net realized gain on investment and foreign currency transactions

      37,605,892        132,530,901        23,616,149  

Net unrealized appreciation/depreciation of:

         

Investments, futures and swap transactions

      398,124,968        865,011,724        39,169,313  

Foreign currency denominated assets and liabilities

      581,857        626,294        836,154  
  

 

 

     

 

 

     

 

 

  
   $ 2,232,205,431      $ 4,618,607,252      $ 1,286,983,599  
  

 

 

     

 

 

     

 

 

  

(a) Cost: $7,562,611, $15,570,922 and $3,290,596, respectively. (Note 1)

See Notes to Financial Statements.

 

2018 Semi-Annual Report     79  

Table of Contents

Statement of Assets and Liabilities—March 31, 2018 (Unaudited) (continued)

 

 

      OVERLAY A
PORTFOLIO		      TAX-AWARE
OVERLAY A
PORTFOLIO		      OVERLAY B
PORTFOLIO		  
NET ASSET VALUE PER SHARE         

Class 1 Shares

         

Net Assets

    $ 1,822,121,884      $ 3,508,067,285      $ 1,059,686,172  

Shares of capital stock outstanding

      133,659,223        246,281,546        96,875,815  
  

 

 

     

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 13.63      $ 14.24      $ 10.94  
  

 

 

     

 

 

     

 

 

  

Class 2 Shares

         

Net Assets

    $ 410,083,547      $ 1,110,539,967      $ 227,297,427  

Shares of capital stock outstanding

      30,042,777        77,817,523        20,746,293  
  

 

 

     

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 13.65      $ 14.27      $ 10.96  
  

 

 

     

 

 

     

 

 

  

 

 

 

See Notes to Financial Statements.

 

80   Sanford C. Bernstein Fund, Inc.

Table of Contents
      TAX-AWARE
OVERLAY B
PORTFOLIO		      TAX-AWARE
OVERLAY C
PORTFOLIO		      TAX-AWARE
OVERLAY N
PORTFOLIO		  
ASSETS  

Investments in securities at value

 

Unaffiliated issuers

    $ 1,852,894,709      $ 570,639,915      $ 446,418,315  

Affiliated issuers

      98,063,585        17,232,192        9,617,828  

Foreign currencies, at value (a)

      2,648,678        751,818        584,026  

Cash

      780,962        277,956        171,488  

Receivables:

 

Unaffiliated dividends and interest

      18,216,385        5,711,695        4,376,733  

Affiliated dividends

      113,318        20,656        14,155  

Capital shares sold

      351,524        102,063        17,025  

Variation margin on futures

      708,843        55,817        227,965  

Unrealized appreciation of inflation swaps

      4,870,347        1,524,017        1,173,490  

Unrealized appreciation of forward currency exchange contracts

      2,770,176        854,834        664,354  

Unrealized appreciation of credit default swaps

      79,127        29,265        23,837  
  

 

 

     

 

 

     

 

 

  

Total assets

      1,981,497,654        597,200,228        463,289,216  
  

 

 

     

 

 

     

 

 

  
LIABILITIES  

Cash collateral due to broker

      3,850,000        970,000        730,000  

Payables:

 

Investment securities purchased

      0        3,080,978        0  

Capital shares redeemed

      1,316,965        431,500        414,793  

Management fee

      1,110,566        335,415        262,162  

Shareholder servicing fee

      174,290        48,221        49,571  

Transfer Agent fee

      13,741        4,716        4,801  

Accrued expenses

      114,686        98,634        87,353  

Unrealized depreciation of forward currency exchange contracts

      2,645,087        778,602        618,597  

Unrealized depreciation of inflation swaps

      1,392,092        341,485        259,348  

Unrealized depreciation of credit default swaps

      7,064        2,072        1,687  

Upfront premiums received on credit default swaps

      390,521        141,153        114,928  
  

 

 

     

 

 

     

 

 

  

Total liabilities

      11,015,012        6,232,776        2,543,240  
  

 

 

     

 

 

     

 

 

  

NET ASSETS

    $ 1,970,482,642      $ 590,967,452      $ 460,745,976  
  

 

 

     

 

 

     

 

 

  

Cost of investments

 

Unaffiliated issuers

    $ 1,765,872,588      $ 546,935,119      $ 426,713,270  

Affiliated issuers

      98,063,585        17,232,192        9,617,828  
NET ASSETS CONSIST OF:  

Capital stock, at par

    $ 176,718      $ 52,866      $ 41,525  

Additional paid-in capital

      1,858,298,565        558,853,514        434,828,893  

Undistributed net investment income

      9,420,743        2,197,463        1,730,538  

Accumulated net realized gain on investment and foreign currency transactions

      11,296,769        4,305,448        3,462,448  

Net unrealized appreciation/depreciation of:

 

Investments, futures and swap transactions

      91,226,341        25,501,213        20,651,488  

Foreign currency denominated assets and liabilities

      63,506        56,948        31,084  
  

 

 

     

 

 

     

 

 

  
   $ 1,970,482,642      $ 590,967,452      $ 460,745,976  
  

 

 

     

 

 

     

 

 

  

(a) Cost: $2,513,231, $711,112 and $528,363, respectively. (Note 1)

See Notes to Financial Statements.

 

2018 Semi-Annual Report     81  

Table of Contents

Statement of Assets and Liabilities—March 31, 2018 (Unaudited) (continued)

 

      TAX-AWARE
OVERLAY B
PORTFOLIO		      TAX-AWARE
OVERLAY C
PORTFOLIO		      TAX-AWARE
OVERLAY N
PORTFOLIO		  
NET ASSET VALUE PER SHARE         

Class 1 Shares

         

Net Assets

    $ 1,319,129,209      $ 365,452,322      $ 375,454,637  

Shares of capital stock outstanding

      118,343,952        32,700,147        33,847,310  
  

 

 

     

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 11.15      $ 11.18      $ 11.09  
  

 

 

     

 

 

     

 

 

  

Class 2 Shares

         

Net Assets

    $ 651,353,433      $ 225,515,130      $ 85,291,339  

Shares of capital stock outstanding

      58,373,783        20,166,129        7,677,749  
  

 

 

     

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 11.16      $ 11.18      $ 11.11  
  

 

 

     

 

 

     

 

 

  

 

 

 

See Notes to Financial Statements.

 

82   Sanford C. Bernstein Fund, Inc.

Table of Contents

Statement of Operations—for the six months ended March 31, 2018 (Unaudited)

 

      OVERLAY A
PORTFOLIO		      TAX-AWARE
OVERLAY A
PORTFOLIO		      OVERLAY B
PORTFOLIO		  
INVESTMENT INCOME         

Income:

         

Interest

    $ 0      $ 0      $ 12,380,678  

Dividends

         

Unaffiliated issuers (net of foreign withholding taxes of $29,912, $30,739 and $0, respectively)

      10,444,955        22,198,935        1,826,598  

Affiliated issuers

      17,453,032        35,687,167        2,022,551  

Other income

      2,223        4,577        1,259  
  

 

 

     

 

 

     

 

 

  

Total income

      27,900,210        57,890,679        16,231,086  
  

 

 

     

 

 

     

 

 

  

Expenses:

         

Management fee (see Note 2A)

      10,222,988        21,051,488        4,179,145  

Shareholder servicing fee (see Note 2B)

      1,847,856        3,556,175        794,564  

Custodian fee

      107,467        113,451        186,183  

Transfer Agent fee—Class 1

      35,192        47,309        35,412  

Transfer Agent fee—Class 2

      8,073        14,927        7,572  

Auditing and tax fees

      57,371        50,928        62,288  

Directors’ fees and expenses

      36,766        75,160        20,496  

Legal fees

      20,881        41,841        11,790  

Registration fees

      22,629        24,486        22,051  

Printing fees

      11,205        15,598        11,548  

Miscellaneous

      53,013        73,908        39,252  
  

 

 

     

 

 

     

 

 

  

Total expenses

      12,423,441        25,065,271        5,370,301  

Less: expenses waived and reimbursed by the Adviser (see Note 2A)

      (3,808,993 )       (7,637,839 )       (272,544 ) 
  

 

 

     

 

 

     

 

 

  

Net expenses

      8,614,448        17,427,432        5,097,757  
  

 

 

     

 

 

     

 

 

  

Net investment income

      19,285,762        40,463,247        11,133,329  
  

 

 

     

 

 

     

 

 

  
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		         

Net realized gain (loss) on:

         

Investment transactions

      65,134,015        153,861,823        6,126,480  

Affiliated Underlying Portfolios

      2,736,551        5,493,481        568,756  

Capital gain distributions from underlying funds

      6,091,692        12,414,285        0  

Forward currency exchange contracts

      1,498,915        4,276,836        (13,422 ) 

Futures

      (4,736,715 )       (31,037,222 )       13,244,626  

Swaps

      0        (19,270 )       1,465,342  

Foreign currency transactions

      (726,359 )       (1,438,077 )       (4,940,669 ) 
  

 

 

     

 

 

     

 

 

  

Net realized gain on investment and foreign currency transactions

      69,998,099        143,551,856        16,451,113  
  

 

 

     

 

 

     

 

 

  

Net change in unrealized appreciation/depreciation of:

         

Investments

      (19,346,460 )       (52,635,277 )       (6,270,840 ) 

Affiliated Underlying Portfolios

      17,595,167        35,756,694        (419,296 ) 

Forward currency exchange contracts

      (1,816,753 )       (4,447,451 )       1,468,447  

Futures

      18,797,042        40,127,630        (764,687 ) 

Swaps

      0        0        639,859  

Foreign currency denominated assets and liabilities

      (5,441 )       218,965        (5,262 ) 
  

 

 

     

 

 

     

 

 

  

Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities

      15,223,555        19,020,561        (5,351,779 ) 
  

 

 

     

 

 

     

 

 

  

Net realized and unrealized gain on investment and foreign currency transactions

      85,221,654        162,572,417        11,099,334  
  

 

 

     

 

 

     

 

 

  

Net increase in net assets resulting from operations

    $ 104,507,416      $ 203,035,664      $ 22,232,663  
  

 

 

     

 

 

     

 

 

  

See Notes to Financial Statements.

 

2018 Semi-Annual Report     83  

Table of Contents

Statement of Operations—for the six months ended March 31, 2018 (Unaudited) (continued)

 

      TAX-AWARE
OVERLAY B
PORTFOLIO		      TAX-AWARE
OVERLAY C
PORTFOLIO		      TAX-AWARE
OVERLAY N
PORTFOLIO		  
INVESTMENT INCOME         

Income:

         

Interest

    $ 18,982,130      $ 5,222,823      $ 4,311,240  

Dividends

         

Unaffiliated issuers

      5,080,694        1,534,400        1,151,024  

Affiliated issuers

      586,636        167,909        88,737  

Other income

      1,915        581        453  
  

 

 

     

 

 

     

 

 

  

Total income

      24,651,375        6,925,713        5,551,454  
  

 

 

     

 

 

     

 

 

  

Expenses:

         

Management fee (see Note 2A)

      6,427,446        1,934,072        1,513,477  

Shareholder servicing fee (see Note 2B)

      995,229        274,594        282,848  

Custodian fee

      104,651        72,432        68,576  

Transfer Agent fee—Class 1

      23,235        6,804        9,150  

Transfer Agent fee—Class 2

      11,395        4,255        2,148  

Auditing and tax fees

      50,962        50,928        50,928  

Registration fees

      24,283        16,961        17,017  

Directors’ fees and expenses

      31,525        10,379        7,661  

Legal fees

      18,312        5,695        4,403  

Printing fees

      8,934        2,745        2,912  

Miscellaneous

      45,381        27,584        25,662  
  

 

 

     

 

 

     

 

 

  

Total expenses

      7,741,353        2,406,449        1,984,782  

Less: expenses waived and reimbursed by the Adviser (see Note 2A)

      (130,800 )       (38,146 )       (21,339 ) 
  

 

 

     

 

 

     

 

 

  

Net expenses

      7,610,553        2,368,303        1,963,443  
  

 

 

     

 

 

     

 

 

  

Net investment income

      17,040,822        4,557,410        3,588,011  
  

 

 

     

 

 

     

 

 

  
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		         

Net realized gain (loss) on:

         

Investment transactions

      1,797,552        1,270,750        1,144,476  

Affiliated Underlying Portfolios

      898,563        262,647        215,159  

Forward currency exchange contracts

      2,028,723        617,254        495,588  

Futures

      9,670,142        3,510,019        2,571,463  

Swaps

      3,974,807        1,137,361        979,574  

Foreign currency transactions

      (63,847 )       (9,638 )       (24,610 ) 
  

 

 

     

 

 

     

 

 

  

Net realized gain on investment and foreign currency transactions

      18,305,940        6,788,393        5,381,650  
  

 

 

     

 

 

     

 

 

  

Net change in unrealized appreciation/depreciation of:

         

Investments

      (11,494,149 )       (3,492,889 )       (2,891,173 ) 

Affiliated Underlying Portfolios

      (617,762 )       (180,570 )       (147,922 ) 

Forward currency exchange contracts

      (926,358 )       (232,268 )       (213,591 ) 

Futures

      (5,145,059 )       (1,306,154 )       (1,379,812 ) 

Swaps

      1,302,236        446,600        232,835  

Foreign currency denominated assets and liabilities

      (48,962 )       (16,141 )       (12,147 ) 
  

 

 

     

 

 

     

 

 

  

Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities

      (16,930,054 )       (4,781,422 )       (4,411,810 ) 
  

 

 

     

 

 

     

 

 

  

Net realized and unrealized gain on investment and foreign currency transactions

      1,375,886        2,006,971        969,840  
  

 

 

     

 

 

     

 

 

  

Net increase in net assets resulting from operations

    $ 18,416,708      $ 6,564,381      $ 4,557,851  
  

 

 

     

 

 

     

 

 

  

See Notes to Financial Statements.

 

84   Sanford C. Bernstein Fund, Inc.

Table of Contents

Statement of Changes in Net Assets

 

   

OVERLAY A

PORTFOLIO

          

TAX-AWARE

OVERLAY A PORTFOLIO

  
         
     SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		    

YEAR

ENDED

9/30/17

            SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		    

YEAR

ENDED

9/30/17

  
INCREASE (DECREASE) IN NET ASSETS FROM          

Operations:

          

Net investment income

   $ 19,285,762     $ 17,456,391       $ 40,463,247     $ 38,560,818  

Net realized gain on investment and foreign currency transactions

     69,998,099       82,387,271         143,551,856       194,854,242  

Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities

     15,223,555       178,596,790         19,020,561       333,481,912  

Contributions from affiliates (see Note 2A)

     0       775         0       872  
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase in net assets resulting from operations

     104,507,416       278,441,227         203,035,664       566,897,844  
 

 

 

    

 

 

      

 

 

    

 

 

  

Dividends and distributions to shareholders:

          

Dividends from net investment income (a)

     (30,108,673 )      (11,662,754 )        (99,062,804 )      (23,304,471 ) 

Distributions from net realized gain on investment transactions (a)

     0       0         (11,451,401 )      0  
 

 

 

    

 

 

      

 

 

    

 

 

  

Total dividends and distributions to shareholders

     (30,108,673 )      (11,662,754 )        (110,514,205 )      (23,304,471 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Capital-share transactions

          

Net proceeds from sales of shares

     127,570,096       258,359,970         194,682,034       397,427,994  

Net proceeds from sales of shares issued to shareholders on reinvestment of dividends and distributions

     25,979,035       10,390,797         90,850,197       18,733,821  
 

 

 

    

 

 

      

 

 

    

 

 

  

Total proceeds from shares sold

     153,549,131       268,750,767         285,532,231       416,161,815  

Cost of shares redeemed

     (211,852,719 )      (353,662,902 )        (253,397,006 )      (634,654,543 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase (decrease) in net assets from capital-share transactions

     (58,303,588 )      (84,912,135 )        32,135,225       (218,492,728 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase in net assets

     16,095,155       181,866,338         124,656,684       325,100,645  
NET ASSETS:          

Beginning of period

     2,216,110,276       2,034,243,938         4,493,950,568       4,168,849,923  
 

 

 

    

 

 

      

 

 

    

 

 

  

End of period (b)

   $ 2,232,205,431     $ 2,216,110,276       $ 4,618,607,252     $ 4,493,950,568  
 

 

 

    

 

 

      

 

 

    

 

 

  

(b) Includes undistributed net investment income/(distributions in excess of net investment income) of:

   $ 7,664,611     $ 18,487,522       $ (17,078,230 )    $ 41,521,327  
 

 

 

    

 

 

      

 

 

    

 

 

  

(a) See page 88 for share class information on dividend distributions for the Overlay A and Tax-Aware Overlay A Portfolios.

See Notes to Financial Statements.

 

2018 Semi-Annual Report     85  

Table of Contents

Statement of Changes in Net Assets (continued)

 

   

OVERLAY B

PORTFOLIO

          

TAX-AWARE

OVERLAY B PORTFOLIO

  
         
     SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		    

YEAR

ENDED

9/30/17

            SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		    

YEAR

ENDED

9/30/17

  
INCREASE (DECREASE) IN NET ASSETS FROM          

Operations:

          

Net investment income

   $ 11,133,329     $ 18,416,776       $ 17,040,822     $ 29,261,335  

Net realized gain on investment and foreign currency transactions

     16,451,113       20,092,014         18,305,940       40,749,873  

Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities

     (5,351,779 )      28,370,615         (16,930,054 )      43,624,408  

Contributions from affiliates (see Note 2A)

     0       2,581         0       562  
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase in net assets resulting from operations

     22,232,663       66,881,986         18,416,708       113,636,178  
 

 

 

    

 

 

      

 

 

    

 

 

  

Dividends and distributions to shareholders:

          

Dividends from net investment income (a)

     (27,359,277 )      (28,460,071 )        (31,253,584 )      (29,303,631 ) 

Distributions from net realized gain on investment transactions (a)

     (2,105,358 )      0         (47,135,286 )      (17,668,141 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Total dividends and distributions to shareholders

     (29,464,635 )      (28,460,071 )        (78,388,870 )      (46,971,772 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Capital-share transactions

          

Net proceeds from sales of shares

     114,871,187       197,159,555         139,333,260       212,961,837  

Net proceeds from sales of shares issued to shareholders on reinvestment of dividends and distributions

     24,800,857       23,944,829         70,975,124       41,111,683  
 

 

 

    

 

 

      

 

 

    

 

 

  

Total proceeds from shares sold

     139,672,044       221,104,384         210,308,384       254,073,520  

Cost of shares redeemed

     (100,454,157 )      (218,907,025 )        (112,393,819 )      (293,301,280 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase (decrease) in net assets from capital-share transactions

     39,217,887       2,197,359         97,914,565       (39,227,760 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase in net assets

     31,985,915       40,619,274         37,942,403       27,436,646  
NET ASSETS:          

Beginning of period

     1,254,997,684       1,214,378,410         1,932,540,239       1,905,103,593  
 

 

 

    

 

 

      

 

 

    

 

 

  

End of period (b)

   $ 1,286,983,599     $ 1,254,997,684       $ 1,970,482,642     $ 1,932,540,239  
 

 

 

    

 

 

      

 

 

    

 

 

  

(b) Includes undistributed net investment income of:

   $ 1,025,048     $ 27,391,859       $ 9,420,743     $ 23,633,505  
 

 

 

    

 

 

      

 

 

    

 

 

  

(a) See page 88 for share class information on dividend distributions for the Overlay B and Tax-Aware Overlay B Portfolios.

See Notes to Financial Statements.

 

86   Sanford C. Bernstein Fund, Inc.

Table of Contents
   

TAX-AWARE OVERLAY C

PORTFOLIO

          

TAX-AWARE

OVERLAY N PORTFOLIO

  
         
     SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		    

YEAR

ENDED
9/30/17

            SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		    

YEAR

ENDED
9/30/17

  
INCREASE (DECREASE) IN NET ASSETS FROM          

Operations:

          

Net investment income

   $ 4,557,410     $ 7,524,405       $ 3,588,011     $ 6,060,925  

Net realized gain on investment and foreign currency transactions

     6,788,393       11,891,297         5,381,650       9,940,049  

Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities

     (4,781,422 )      14,004,524         (4,411,810 )      10,992,955  

Contributions from affiliates (see Note 2A)

     0       443         0       408  
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase in net assets resulting from operations

     6,564,381       33,420,669         4,557,851       26,994,337  
 

 

 

    

 

 

      

 

 

    

 

 

  

Dividends and distributions to shareholders:

          

Dividends from net investment income (a)

     (9,295,334 )      (4,893,358 )        (7,318,603 )      (4,402,188 ) 

Distributions from net realized gain on investment transactions (a)

     (13,374,598 )      (5,002,871 )        (10,706,523 )      (4,802,571 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Total dividends and distributions to shareholders

     (22,669,932 )      (9,896,229 )        (18,025,126 )      (9,204,759 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Capital-share transactions

 

Net proceeds from sales of shares

     36,080,690       64,924,898         27,143,022       54,085,608  

Net proceeds from sales of shares issued to shareholders on reinvestment of dividends and distributions

     20,608,264       8,932,240         16,488,106       8,385,438  
 

 

 

    

 

 

      

 

 

    

 

 

  

Total proceeds from shares sold

     56,688,954       73,857,138         43,631,128       62,471,046  

Cost of shares redeemed

     (30,865,375 )      (70,029,299 )        (27,124,626 )      (71,702,097 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase (decrease) in net assets from capital-share transactions

     25,823,579       3,827,839         16,506,502       (9,231,051 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase in net assets

     9,718,028       27,352,279         3,039,227       8,558,527  
NET ASSETS:          

Beginning of period

     581,249,424       553,897,145         457,706,749       449,148,222  
 

 

 

    

 

 

      

 

 

    

 

 

  

End of period (b)

   $ 590,967,452     $ 581,249,424       $ 460,745,976     $ 457,706,749  
 

 

 

    

 

 

      

 

 

    

 

 

  

(b) Includes undistributed net investment income of:

   $ 2,197,463     $ 6,935,387       $ 1,730,538     $ 5,461,130  
 

 

 

    

 

 

      

 

 

    

 

 

  

(a) See page 88 for share class information on dividend distributions for the Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios.

See Notes to Financial Statements.

 

2018 Semi-Annual Report     87  

Table of Contents

Statement of Changes in Net Assets (continued)

 

    OVERLAY A
PORTFOLIO		           TAX-AWARE OVERLAY A
PORTFOLIO		  
         
     SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		            SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		  

Dividends and Distributions to shareholders:

          

Dividends from net investment income

          

Class 1

   $ (23,669,546 )    $ (8,842,979 )      $ (73,375,442 )    $ (16,248,186 ) 

Class 2

     (6,439,127 )      (2,819,775 )        (25,687,362 )      (7,056,285 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
  $ (30,108,673 )    $ (11,662,754 )      $ (99,062,804 )    $ (23,304,471 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Distributions from net realized gain on investment transactions

          

Class 1

   $ 0     $ 0       $ (8,710,907 )    $ 0  

Class 2

     0       0         (2,740,494 )      0  
 

 

 

    

 

 

      

 

 

    

 

 

  
  $ 0     $ 0       $ (11,451,401 )    $ 0  
 

 

 

    

 

 

      

 

 

    

 

 

  
         
    OVERLAY B
PORTFOLIO		           TAX-AWARE OVERLAY B
PORTFOLIO		  
         
     SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		            SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		  

Dividends and Distributions to shareholders:

          

Dividends from net investment income

          

Class 1

   $ (22,152,963 )    $ (22,582,790 )      $ (20,409,256 )    $ (19,179,987 ) 

Class 2

     (5,206,314 )      (5,877,281 )        (10,844,328 )      (10,123,644 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
  $ (27,359,277 )    $ (28,460,071 )      $ (31,253,584 )    $ (29,303,631 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Distributions from net realized gain on investment transactions

          

Class 1

   $ (1,730,257 )    $ 0       $ (31,736,450 )    $ (11,937,514 ) 

Class 2

     (375,101 )      0         (15,398,836 )      (5,730,627 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
  $ (2,105,358 )    $ 0       $ (47,135,286 )    $ (17,668,141 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
         
    TAX-AWARE OVERLAY C
PORTFOLIO		           TAX-AWARE OVERLAY N
PORTFOLIO		  
         
     SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		            SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		  

Dividends and Distributions to shareholders:

          

Dividends from net investment income

          

Class 1

   $ (5,500,115 )    $ (2,869,737 )      $ (5,820,482 )    $ (3,422,606 ) 

Class 2

     (3,795,219 )      (2,023,621 )        (1,498,121 )      (979,582 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
  $ (9,295,334 )    $ (4,893,358 )      $ (7,318,603 )    $ (4,402,188 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Distributions from net realized gain on investment transactions

          

Class 1

   $ (8,208,341 )    $ (3,132,328 )      $ (8,667,773 )    $ (3,849,616 ) 

Class 2

     (5,166,257 )      (1,870,543 )        (2,038,750 )      (952,955 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
  $ (13,374,598 )    $ (5,002,871 )      $ (10,706,523 )    $ (4,802,571 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

See Notes to Financial Statements.

 

88   Sanford C. Bernstein Fund, Inc.

Table of Contents

Financial Highlights

Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:

 

    OVERLAY A
PORTFOLIO		  
           
    CLASS 1  
     SIX  MONTHS
ENDED
3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		     YEAR
ENDED
9/30/16		     YEAR
ENDED
9/30/15		     YEAR
ENDED
9/30/14		     YEAR
ENDED
9/30/13		  

Net asset value, beginning of period

   $ 13.18     $ 11.62     $ 11.80     $ 12.88     $ 11.91     $ 10.37  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income from investment operations:

            

Investment income, net†

     0.11  (a)      0.10  (a)      0.03  ^ (a)      0.04       0.09       0.07  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     0.52       1.52       0.31       (0.43 )      1.05       1.55  

Contributions from affiliates

     0       0.00  (b)      0       0       0       0.00  (b) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     0.63       1.62       0.34       (0.39 )      1.14       1.62  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less dividends and distributions:

            

Dividends from net investment income

     (0.18 )      (0.06 )      (0.05 )      (0.16 )      (0.17 )      (0.08 ) 

Distributions from net realized gain on investment transactions

     0       0       (0.47 )      (0.53 )      0       0  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total dividends and distributions

     (0.18 )      (0.06 )      (0.52 )      (0.69 )      (0.17 )      (0.08 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 13.63     $ 13.18     $ 11.62     $ 11.80     $ 12.88     $ 11.91  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return# (c)

     4.83%       14.04%       2.84%  ^      (3.02)%       9.58%       15.69%  
RATIOS/SUPPLEMENTAL DATA            

Net assets, end of period (000 omitted)

     $1,822,121       $1,784,355       $1,638,587       $1,536,828       $1,513,474       $1,358,991  

Average net assets (000 omitted)

     $1,842,807       $1,687,556       $1,582,586       $1,598,329       $1,462,653       $1,276,696  

Ratio to average net assets of:

            

Expenses, net of waivers/reimbursements (d)(e)

     0.80%  *      0.83%       1.00%       1.15%  +      1.15%       1.15%  

Expenses, before waivers/reimbursements (d)(e)

     1.13%  *      1.13%       1.14%       1.15%  +      1.15%       1.15%  

Net investment income

     1.66%  * (a)      0.79%  (a)      0.22%  ^ (a)      0.31%  +      0.68%       0.65%  

Portfolio turnover rate

     18%       48%       71%       91%       104%       165%  

See Footnote Summary on pages 101-102.

See Notes to Financial Statements.

 

2018 Semi-Annual Report     89  

Table of Contents

Financial Highlights (continued)

Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:

 

    OVERLAY A
PORTFOLIO		  
           
    CLASS 2  
     SIX MONTHS
ENDED
3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		     YEAR
ENDED
9/30/16		     YEAR
ENDED
9/30/15		     YEAR
ENDED
9/30/14		     YEAR
ENDED
9/30/13		  

Net asset value, beginning of period

   $ 13.22     $ 11.65     $ 11.83     $ 12.90     $ 11.94     $ 10.39  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income from investment operations:

            

Investment income, net†

     0.13  (a)      0.12  (a)      0.05  ^ (a)      0.06       0.11       0.10  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     0.51       1.54       0.31       (0.42 )      1.05       1.55  

Contributions from affiliates

     0       0.00  (b)      0       0       0       0.00  (b) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     0.64       1.66       0.36       (0.36 )      1.16       1.65  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less dividends and distributions:

            

Dividends from net investment income

     (0.21 )      (0.09 )      (0.07 )      (0.18 )      (0.20 )      (0.10 ) 

Distributions from net realized gain on investment transactions

     0       0       (0.47 )      (0.53 )      0       0  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total dividends and distributions

     (0.21 )      (0.09 )      (0.54 )      (0.71 )      (0.20 )      (0.10 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 13.65     $ 13.22     $ 11.65     $ 11.83     $ 12.90     $ 11.94  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return# (c)

     4.91%       14.31%       3.14%  ^      (2.78)%       9.82%       15.99%  
RATIOS/SUPPLEMENTAL DATA            

Net assets, end of period (000 omitted)

     $410,084       $431,755       $395,657       $344,343       $367,259       $313,421  

Average net assets (000 omitted)

     $422,761       $408,460       $381,197       $390,069       $352,881       $259,853  

Ratio to average net assets of:

            

Expenses, net of waivers/reimbursements (d)(e)

     0.60%  *      0.63%       0.80%       0.95%  +      0.95%       0.95%  

Expenses, before waivers/reimbursements (d)(e)

     0.93%  *      0.93%       0.94%       0.95%  +      0.95%       0.95%  

Net investment income

     1.87%  * (a)      0.99%  (a)      0.42%  ^ (a)      0.51%  +      0.88%       0.86%  

Portfolio turnover rate

     18%       48%       71%       91%       104%       165%  

See Footnote Summary on pages 101-102.

See Notes to Financial Statements.

 

90   Sanford C. Bernstein Fund, Inc.

Table of Contents

 

 

    TAX-AWARE
OVERLAY A PORTFOLIO		  
           
    CLASS 1  
     SIX MONTHS
ENDED
3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		     YEAR
ENDED
9/30/16		     YEAR
ENDED
9/30/15		     YEAR
ENDED
9/30/14		     YEAR
ENDED
9/30/13		  

Net asset value, beginning of period

   $ 13.95     $ 12.30     $ 12.52     $ 13.64     $ 12.40     $ 10.57  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income from investment operations:

            

Investment income, net†

     0.12  (a)      0.11  (a)      0.03  ^ (a)      0.05       0.08       0.05  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     0.51       1.60       0.27       (0.41 )      1.24       1.82  

Contributions from affiliates

     0       0.00  (b)      0.00  (b)      0       0       0.00  (b) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     0.63       1.71       0.30       (0.36 )      1.32       1.87  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less dividends and distributions:

            

Dividends from net investment income

     (0.30 )      (0.06 )      (0.04 )      (0.08 )      (0.08 )      (0.04 ) 

Distributions from net realized gain on investment transactions

     (0.04 )      0       (0.48 )      (0.68 )      0       0  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total dividends and distributions

     (0.34 )      (0.06 )      (0.52 )      (0.76 )      (0.08 )      (0.04 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 14.24     $ 13.95     $ 12.30     $ 12.52     $ 13.64     $ 12.40  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return# (c)

     4.56%       13.99%       2.37%  ^      (2.60)%       10.63%       17.74%  
RATIOS/SUPPLEMENTAL DATA            

Net assets, end of period (000 omitted)

     $3,508,067       $3,418,084       $3,183,118       $3,057,052       $3,003,685       $2,609,140  

Average net assets (000 omitted)

     $3,546,459       $3,258,122       $3,133,499       $3,177,411       $2,867,927       $2,355,106  

Ratio to average net assets of:

            

Expenses, net of waivers/reimbursements (d)(e)

     0.79%  *      0.82%       0.99%       1.13%  +      1.13%       1.13%  

Expenses, before waivers/reimbursements (d)(e)

     1.12%  *      1.12%       1.13%       1.13%  +      1.13%       1.13%  

Net investment income

     1.68%  * (a)      0.85%  (a)      0.28%  ^ (a)      0.35%  +      0.58%       0.48%  

Portfolio turnover rate

     22%       49%       71%       91%       102%       150%  

See Footnote Summary on pages 101-102.

See Notes to Financial Statements.

 

2018 Semi-Annual Report     91  

Table of Contents

Financial Highlights (continued)

Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:

 

    TAX-AWARE
OVERLAY A PORTFOLIO		  
           
    CLASS 2  
     SIX MONTHS
ENDED
3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		     YEAR
ENDED
9/30/16		     YEAR
ENDED
9/30/15		     YEAR
ENDED
9/30/14		     YEAR
ENDED
9/30/13		  

Net asset value, beginning of period

   $ 14.00     $ 12.34     $ 12.55     $ 13.68     $ 12.43     $ 10.60  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income from investment operations:

            

Investment income, net†

     0.14  (a)      0.14  (a)      0.06  ^ (a)      0.07       0.10       0.08  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     0.50       1.61       0.27       (0.40 )      1.25       1.81  

Contributions from affiliates

     0       0.00  (b)      0.00  (b)      0       0       0.00  (b) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     0.64       1.75       0.33       (0.33 )      1.35       1.89  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less dividends and distributions:

            

Dividends from net investment income

     (0.33 )      (0.09 )      (0.06 )      (0.12 )      (0.10 )      (0.06 ) 

Distributions from net realized gain on investment transactions

     (0.04 )      0       (0.48 )      (0.68 )      0       0  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total dividends and distributions

     (0.37 )      (0.09 )      (0.54 )      (0.80 )      (0.10 )      (0.06 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 14.27     $ 14.00     $ 12.34     $ 12.55     $ 13.68     $ 12.43  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return# (c)

     4.65%       14.25%  *      2.61%  ^      (2.42)%       10.88%       17.94%  
RATIOS/SUPPLEMENTAL DATA            

Net assets, end of period (000 omitted)

     $1,110,540       $1,075,867       $985,732       $921,095       $909,475       $792,791  

Average net assets (000 omitted)

     $1,118,868       $1,020,239       $955,478       $949,274       $861,528       $701,320  

Ratio to average net assets of:

            

Expenses, net of waivers/reimbursements (d)(e)

     0.59%  *      0.62%       0.79%       0.93%  +      0.93%       0.93%  

Expenses, before waivers/reimbursements (d)(e)

     0.92%  *      0.92%       0.93%       0.93%  +      0.93%       0.93%  

Net investment income

     1.89%  * (a)      1.05%  (a)      0.48%  ^ (a)      0.55%  +      0.78%       0.68%  

Portfolio turnover rate

     22%       49%       71%       91%       102%       150%  

See Footnote Summary on pages 101-102.

See Notes to Financial Statements.

 

92   Sanford C. Bernstein Fund, Inc.

Table of Contents

 

 

   

OVERLAY B

PORTFOLIO

  
           
    CLASS 1  
     SIX MONTHS
ENDED
3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		     YEAR
ENDED
9/30/16		     YEAR
ENDED
9/30/15		     YEAR
ENDED
9/30/14		     YEAR
ENDED
9/30/13		  

Net asset value, beginning of period

   $ 11.00     $ 10.67     $ 10.22     $ 10.84     $ 11.13     $ 10.98  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income from investment operations:

            

Investment income, net†

     0.09  (a)      0.16  (a)      0.12  ^ (a)      0.09       0.09       0.06  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     0.10       0.42       0.48       (0.22 )      0.57       0.41  

Contributions from affiliates

     0       0.00  (b)      0       0       0       0.00  (b) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     0.19       0.58       0.60       (0.13 )      0.66       0.47  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less dividends and distributions:

            

Dividends from net investment income

     (0.23 )      (0.25 )      0       (0.29 )      (0.30 )      (0.14 ) 

Distributions from net realized gain on investment transactions

     (0.02 )      0       (0.15 )      (0.20 )      (0.65 )      (0.18 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total dividends and distributions

     (0.25 )      (0.25 )      (0.15 )      (0.49 )      (0.95 )      (0.32 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 10.94     $ 11.00     $ 10.67     $ 10.22     $ 10.84     $ 11.13  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return# (c)

     1.75%       5.59%       5.83%  ^      (1.20)%       6.37%       4.40%  
RATIOS/SUPPLEMENTAL DATA            

Net assets, end of period (000 omitted)

     $1,059,686       $1,037,681       $971,463       $900,438       $918,955       $845,566  

Average net assets (000 omitted)

     $1,056,524       $985,539       $932,575       $911,500       $880,703       $859,978  

Ratio to average net assets of:

            

Expenses, net of waivers/reimbursements (e)

     0.82%  *      0.84%       0.85%       0.87%  +      0.86%       0.86%  

Expenses, before waivers/reimbursements (e)

     0.86%  *      0.87%       0.87%       0.87%  +      0.86%       0.86%  

Net investment income

     1.70%  * (a)      1.49%  (a)      1.19%  ^ (a)      0.84%  +      0.83%       0.53%  

Portfolio turnover rate

     57%       115%       105%       226%       93%       138%  

See Footnote Summary on pages 101-102.

See Notes to Financial Statements.

 

2018 Semi-Annual Report     93  

Table of Contents

Financial Highlights (continued)

Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:

 

    OVERLAY B
PORTFOLIO		  
           
    CLASS 2  
     SIX MONTHS
ENDED
3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		     YEAR
ENDED
9/30/16		     YEAR
ENDED
9/30/15		     YEAR
ENDED
9/30/14		     YEAR
ENDED
9/30/13		  

Net asset value, beginning of period

   $ 11.03     $ 10.69     $ 10.23     $ 10.85     $ 11.13     $ 10.99  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income from investment operations:

            

Investment income, net†

     0.10  (a)      0.18  (a)      0.14  ^ (a)      0.11       0.10       0.07  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     0.10       0.42       0.47       (0.23 )      0.59       0.41  

Contributions from affiliates

     0       0.00  (b)      0       0       0       0.00  (b) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     0.20       0.60       0.61       (0.12 )      0.69       0.48  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less dividends and distributions:

            

Dividends from net investment income

     (0.25 )      (0.26 )      0       (0.30 )      (0.32 )      (0.16 ) 

Distributions from net realized gain on investment transactions

     (0.02 )      0       (0.15 )      (0.20 )      (0.65 )      (0.18 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total dividends and distributions

     (0.27 )      (0.26 )      (0.15 )      (0.50 )      (0.97 )      (0.34 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 10.96     $ 11.03     $ 10.69     $ 10.23     $ 10.85     $ 11.13  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return# (c)

     1.83%       5.83%       5.92%  ^      (1.08)%       6.64%       4.55%  
RATIOS/SUPPLEMENTAL DATA            

Net assets, end of period (000 omitted)

     $227,298       $217,317       $242,915       $227,368       $200,096       $187,416  

Average net assets (000 omitted)

     $225,853       $228,978       $234,250       $199,315       $195,463       $184,611  

Ratio to average net assets of:

            

Expenses, net of waivers/reimbursements (e)

     0.67%  *      0.69%       0.71%       0.72%  +      0.71%       0.71%  

Expenses, before waivers/reimbursements (e)

     0.71%  *      0.71%       0.72%       0.72%  +      0.71%       0.71%  

Net investment income

     1.86%  * (a)      1.65%  (a)      1.34%  ^ (a)      1.03%  +      0.98%       0.67%  

Portfolio turnover rate

     57%       115%       105%       226%       93%       138%  

See Footnote Summary on pages 101-102.

See Notes to Financial Statements.

 

94   Sanford C. Bernstein Fund, Inc.

Table of Contents

 

 

    TAX-AWARE
OVERLAY B PORTFOLIO		  
           
    CLASS 1  
     SIX MONTHS
ENDED
3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		     YEAR
ENDED
9/30/16		     YEAR
ENDED
9/30/15		     YEAR
ENDED
9/30/14		     YEAR
ENDED
9/30/13		  

Net asset value, beginning of period

   $ 11.50     $ 11.10     $ 10.81     $ 11.11     $ 11.37     $ 11.01  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income from investment operations:

            

Investment income, net†

     0.10  (a)      0.17  (a)      0.13  ^ (a)      0.14       0.13       0.12  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     0.01       0.50       0.32       (0.22 )      0.55       0.42  

Contributions from affiliates

     0       0.00  (b)      0       0       0       0  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     0.11       0.67       0.45       (0.08 )      0.68       0.54  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less dividends and distributions:

            

Dividends from net investment income

     (0.18 )      (0.17 )      (0.14 )      (0.09 )      (0.19 )      (0.11 ) 

Distributions from net realized gain on investment transactions

     (0.28 )      (0.10 )      (0.02 )      (0.13 )      (0.75 )      (0.07 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total dividends and distributions

     (0.46 )      (0.27 )      (0.16 )      (0.22 )      (0.94 )      (0.18 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 11.15     $ 11.50     $ 11.10     $ 10.81     $ 11.11     $ 11.37  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return# (c)

     0.96%       6.23%       4.19%  ^      (0.69)%       6.24%       4.96%  
RATIOS/SUPPLEMENTAL DATA            

Net assets, end of period (000 omitted)

     $1,319,129       $1,299,849       $1,284,948       $1,216,063       $1,239,990       $1,147,060  

Average net assets (000 omitted)

     $1,323,346       $1,271,281       $1,256,664       $1,234,170       $1,197,761       $1,138,909  

Ratio to average net assets of:

            

Expenses, net of waivers/reimbursements (e)

     0.82%  *      0.82%       0.82%       0.84%  +      0.84%       0.84%  

Expenses, before waivers/reimbursements (e)

     0.83%  *      0.84%       0.84%       0.84%  +      0.84%       0.84%  

Net investment income

     1.67%  * (a)      1.50%  (a)      1.20%  ^ (a)      1.29%  +      1.14%       1.07%  

Portfolio turnover rate

     12%       20%       41%       39%       21%       67%  

See Footnote Summary on pages 101-102.

See Notes to Financial Statements.

 

2018 Semi-Annual Report     95  

Table of Contents

Financial Highlights (continued)

Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:

 

    TAX-AWARE
OVERLAY B PORTFOLIO		  
           
    CLASS 2  
     SIX MONTHS
ENDED
3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		     YEAR
ENDED
9/30/16		     YEAR
ENDED
9/30/15		     YEAR
ENDED
9/30/14		     YEAR
ENDED
9/30/13		  

Net asset value, beginning of period

   $ 11.52     $ 11.12     $ 10.83     $ 11.13     $ 11.40     $ 11.03  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income from investment operations:

            

Investment income, net†

     0.10  (a)      0.18  (a)      0.15  ^ (a)      0.16       0.14       0.14  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     0.02       0.51       0.32       (0.22 )      0.55       0.42  

Contributions from affiliates

     0       0.00  (b)      0       0       0       0  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     0.12       0.69       0.47       (0.06 )      0.69       0.56  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less dividends and distributions:

            

Dividends from net investment income

     (0.20 )      (0.19 )      (0.16 )      (0.11 )      (0.21 )      (0.12 ) 

Distributions from net realized gain on investment transactions

     (0.28 )      (0.10 )      (0.02 )      (0.13 )      (0.75 )      (0.07 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total dividends and distributions

     (0.48 )      (0.29 )      (0.18 )      (0.24 )      (0.96 )      (0.19 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 11.16     $ 11.52     $ 11.12     $ 10.83     $ 11.13     $ 11.40  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return# (c)

     1.02%       6.38%       4.38%  ^      (0.58)%       6.35%       5.17%  
RATIOS/SUPPLEMENTAL DATA            

Net assets, end of period (000 omitted)

     $651,353       $632,692       $620,156       $547,236       $565,264       $503,579  

Average net assets (000 omitted)

     $648,926       $616,284       $585,731       $546,048       $525,543       $520,827  

Ratio to average net assets of:

            

Expenses, net of waivers/reimbursements (e)

     0.67%  *      0.67%       0.67%       0.69%  +      0.69%       0.69%  

Expenses, before waivers/reimbursements (e)

     0.68%  *      0.69%       0.69%       0.69%  +      0.69%       0.69%  

Net investment income

     1.82%  * (a)      1.65%  (a)      1.35%  ^ (a)      1.44%  +      1.30%       1.22%  

Portfolio turnover rate

     12%       22%       41%       39%       21%       67%  

See Footnote Summary on pages 101-102.

See Notes to Financial Statements.

 

96   Sanford C. Bernstein Fund, Inc.

Table of Contents

 

 

    TAX-AWARE
OVERLAY C  PORTFOLIO		  
           
    CLASS 1  
     SIX MONTHS
ENDED
3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		     YEAR
ENDED
9/30/16		     YEAR
ENDED
9/30/15		     YEAR
ENDED
9/30/14		     YEAR
ENDED
9/30/13		  

Net asset value, beginning of period

   $ 11.49     $ 11.02     $ 10.80     $ 11.09     $ 11.33     $ 10.98  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income from investment operations:

 

Investment income, net†

     0.08  (a)      0.14  (a)      0.11  ^ (a)      0.12       0.09       0.09  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     0.05       0.52       0.31       (0.20 )      0.58       0.41  

Contributions from affiliates

     0       0.00  (b)      0       0       0       0  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     0.13       0.66       0.42       (0.08 )      0.67       0.50  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less dividends and distributions:

 

Dividends from net investment income

     (0.18 )      (0.09 )      (0.15 )      (0.06 )      (0.15 )      (0.09 ) 

Distributions from net realized gain on investment transactions

     (0.26 )      (0.10 )      (0.05 )      (0.15 )      (0.76 )      (0.06 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total dividends and distributions

     (0.44 )      (0.19 )      (0.20 )      (0.21 )      (0.91 )      (0.15 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 11.18     $ 11.49     $ 11.02     $ 10.80     $ 11.09     $ 11.33  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return# (c)

     1.14%       6.13%       3.94%  ^      (0.72)%       6.25%       4.65%  
RATIOS/SUPPLEMENTAL DATA  

Net assets, end of period (000 omitted)

     $365,452       $359,764       $349,358       $331,496       $328,626       $291,548  

Average net assets (000 omitted)

     $365,125       $348,603       $342,317       $335,669       $312,283       $283,838  

Ratio to average net assets of:

 

Expenses, net of waivers/reimbursements (e)

     0.85%  *      0.86%       0.87%       0.88%  +      0.88%       0.88%  

Expenses, before waivers/reimbursements (e)

     0.87%  *      0.87%       0.88%       0.88%  +      0.88%       0.88%  

Net investment income

     1.47%  * (a)      1.29%  (a)      1.02%  ^ (a)      1.10%  +      0.83%       0.81%  

Portfolio turnover rate

     11%       23%       33%       42%       29%       82%  

See Footnote Summary on pages 101-102.

See Notes to Financial Statements.

 

2018 Semi-Annual Report     97  

Table of Contents

Financial Highlights (continued)

Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:

 

    TAX-AWARE
OVERLAY C PORTFOLIO		  
           
    CLASS 2  
     SIX MONTHS
ENDED
3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		     YEAR
ENDED
9/30/16		     YEAR
ENDED
9/30/15		     YEAR
ENDED
9/30/14		     YEAR
ENDED
9/30/13		  

Net asset value, beginning of period

   $ 11.50     $ 11.04     $ 10.82     $ 11.11     $ 11.35     $ 10.99  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income from investment operations:

            

Investment income, net†

     0.09  (a)      0.16  (a)      0.13  ^ (a)      0.14       0.11       0.11  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     0.05       0.51       0.31       (0.21 )      0.58       0.42  

Contributions from affiliates

     0       0.00  (b)      0       0       0       0  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     0.14       0.67       0.44       (0.07 )      0.69       0.53  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less dividends and distributions:

            

Dividends from net investment income

     (0.20 )      (0.11 )      (0.17 )      (0.07 )      (0.17 )      (0.11 ) 

Distributions from net realized gain on investment transactions

     (0.26 )      (0.10 )      (0.05 )      (0.15 )      (0.76 )      (0.06 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total dividends and distributions

     (0.46 )      (0.21 )      (0.22 )      (0.22 )      (0.93 )      (0.17 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 11.18     $ 11.50     $ 11.04     $ 10.82     $ 11.11     $ 11.35  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return# (c)

     1.20%       6.28%       4.13%  ^      (0.61)%       6.44%       4.86%  
RATIOS/SUPPLEMENTAL DATA            

Net assets, end of period (000 omitted)

     $225,515       $221,485       $204,539       $173,955       $177,331       $186,108  

Average net assets (000 omitted)

     $228,349       $207,974       $185,830       $180,717       $186,833       $174,348  

Ratio to average net assets of:

            

Expenses, net of waivers/reimbursements (e)

     0.70%  *      0.71%       0.72%       0.73%  +      0.73%       0.73%  

Expenses, before waivers/reimbursements (e)

     0.72%  *      0.72%       0.73%       0.73%  +      0.73%       0.73%  

Net investment income

     1.62%  * (a)      1.45%  (a)      1.17%  ^ (a)      1.25%  +      0.97%       0.95%  

Portfolio turnover rate

     11%       23%       33%       42%       29%       82%  

See Footnote Summary on pages 101-102.

See Notes to Financial Statements.

 

98   Sanford C. Bernstein Fund, Inc.

Table of Contents

 

 

    TAX-AWARE
OVERLAY N PORTFOLIO
  
           
    CLASS 1  
     SIX MONTHS
ENDED
3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		     YEAR
ENDED
9/30/16		     YEAR
ENDED
9/30/15		     YEAR
ENDED
9/30/14		     YEAR
ENDED
9/30/13		  

Net asset value, beginning of period

   $ 11.43     $ 10.99     $ 10.72     $ 11.03     $ 11.25     $ 10.91  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income from investment operations:

            

Investment income, net†

     0.09  (a)      0.15  (a)      0.12  ^ (a)      0.13       0.11       0.09  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     0.02       0.52       0.34       (0.22 )      0.58       0.41  

Contributions from affiliates

     0       0.00  (b)      0       0       0       0  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     0.11       0.67       0.46       (0.09 )      0.69       0.50  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less dividends and distributions:

            

Dividends from net investment income

     (0.18 )      (0.11 )      (0.16 )      (0.08 )      (0.16 )      (0.08 ) 

Distributions from net realized gain on investment transactions

     (0.27 )      (0.12 )      (0.03 )      (0.14 )      (0.75 )      (0.08 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total dividends and distributions

     (0.45 )      (0.23 )      (0.19 )      (0.22 )      (0.91 )      (0.16 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 11.09     $ 11.43     $ 10.99     $ 10.72     $ 11.03     $ 11.25  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return# (c)

     1.02%       6.17%       4.21%  ^      (0.77)%       6.51%       4.67%  
RATIOS/SUPPLEMENTAL DATA            

Net assets, end of period (000 omitted)

     $375,455       $369,475       $360,981       $340,002       $337,663       $311,105  

Average net assets (000 omitted)

     $376,100       $362,361       $354,792       $343,951       $323,433       $308,859  

Ratio to average net assets of:

            

Expenses, net of waivers/reimbursements (e)

     0.87%  *      0.87%       0.88%       0.89%  +      0.90%       0.89%  

Expenses, before waivers/reimbursements (e)

     0.88%  *      0.88%       0.89%       0.89%  +      0.90%       0.89%  

Net investment income

     1.51%  * (a)      1.32%  (a)      1.08%  ^ (a)      1.22%  +      1.03%       0.85%  

Portfolio turnover rate

     14%       17%       39%       41%       31%       72%  

See Footnote Summary on pages 101-102.

See Notes to Financial Statements.

 

2018 Semi-Annual Report     99  

Table of Contents

Financial Highlights (continued)

Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:

 

    TAX-AWARE
OVERLAY N PORTFOLIO		  
           
    CLASS 2  
     SIX MONTHS
ENDED
3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		     YEAR
ENDED
9/30/16		     YEAR
ENDED
9/30/15		     YEAR
ENDED
9/30/14		     YEAR
ENDED
9/30/13		  

Net asset value, beginning of period

   $ 11.45     $ 11.02     $ 10.75     $ 11.05     $ 11.28     $ 10.93  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income from investment operations:

            

Investment income, net†

     0.09  (a)      0.16  (a)      0.13  ^ (a)      0.15       0.13       0.11  

Net realized and unrealized gain (loss) on investment and foreign currency transactions

     0.04       0.51       0.35       (0.21 )      0.57       0.42  

Contributions from affiliates

     0       0.00  (b)      0       0       0       0  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from investment operations

     0.13       0.67       0.48       (0.06 )      0.70       0.53  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less dividends and distributions:

            

Dividends from net investment income

     (0.20 )      (0.12 )      (0.18 )      (0.10 )      (0.18 )      (0.10 ) 

Distributions from net realized gain on investment transactions

     (0.27 )      (0.12 )      (0.03 )      (0.14 )      (0.75 )      (0.08 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total dividends and distributions

     (0.47 )      (0.24 )      (0.21 )      (0.24 )      (0.93 )      (0.18 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 11.11     $ 11.45     $ 11.02     $ 10.75     $ 11.05     $ 11.28  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total return# (c)

     1.08%       6.23%       4.49%  ^      (0.57)%       6.62%       4.87%  
RATIOS/SUPPLEMENTAL DATA            

Net assets, end of period (000 omitted)

     $85,291       $88,232       $88,167       $64,025       $61,071       $56,146  

Average net assets (000 omitted)

     $88,313       $87,691       $78,704       $60,880       $60,453       $58,420  

Ratio to average net assets of:

            

Expenses, net of waivers/reimbursements (e)

     0.72%  *      0.72%       0.73%       0.74%  +      0.75%       0.74%  

Expenses, before waivers/reimbursements (e)

     0.73%  *      0.73%       0.74%       0.74%  +      0.75%       0.74%  

Net investment income

     1.66%  * (a)      1.47%  (a)      1.23%  ^ (a)      1.37%  +      1.17%       1.00%  

Portfolio turnover rate

     14%       17%       39%       41%       31%       72%  

See Footnote Summary on pages 101-102.

See Notes to Financial Statements.

 

100   Sanford C. Bernstein Fund, Inc.

Table of Contents

 

 

 

†   Based on average shares outstanding.
^   For the year ended September 30, 2016, the amount includes a non-recurring refund for overbilling of prior years’ custody out of pocket fees as follows:

 

PORTFOLIO    NET
INVESTMENT
INCOME  PER
SHARE		      NET
INVESTMENT
INCOME
RATIO		      TOTAL
RETURN		  

Overlay A

      $0.0002        0.002%        0.002%  

Tax Aware Overlay A

      0.0002        0.002%        0.002%  

Overlay B

      0.0003        0.002%        0.002%  

Tax Aware Overlay B

      0.0003        0.002%        0.002%  

Tax Aware Overlay C

      0.0003        0.003%        0.003%  

Tax Aware Overlay N

      0.0003        0.003%        0.003%  

 

#   The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements.
+   The ratio includes expenses attributable to costs of proxy solicitation.
*   Annualized.

See Notes to Financial Statements.

 

(a)   Net of fees waived/reimbursed by the Adviser.
(b)   Amount is less than $.005.
(c)   Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Initial sales charges or contingent deferred sales charges are not reflected in the calculation of total investment return. Total return does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Total investment return calculated for a period of less than one year is not annualized.
(d)   The expense ratios presented below exclude interest expense:

 

     SIX MONTHS
ENDED
3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		     YEAR
ENDED
9/30/16		     YEAR
ENDED
9/30/15		     YEAR
ENDED
9/30/14		     YEAR
ENDED
9/30/13		  

Overlay A Portfolio

            

Class 1

            

Expenses, net of waivers/reimbursements

     N/A       N/A       N/A       N/A       1.15 %      N/A  

Expenses, before waivers/reimbursements

     N/A       N/A       N/A       N/A       1.15 %      N/A  

Class 2

            

Expenses, net of waivers/reimbursements

     N/A       N/A       N/A       N/A       .95 %      N/A  

Expenses, before waivers/reimbursements

     N/A       N/A       N/A       N/A       .95 %      N/A  

Tax-Aware Overlay A Portfolio

            

Class 1

            

Expenses, net of waivers/reimbursements

     N/A       N/A       N/A       N/A       1.13 %      N/A  

Expenses, before waivers/reimbursements

     N/A       N/A       N/A       N/A       1.13 %      N/A  

Class 2

            

Expenses, net of waivers/reimbursements

     N/A       N/A       N/A       N/A       .93 %      N/A  

Expenses, before waivers/reimbursements

     N/A       N/A       N/A       N/A       .93 %      N/A  

 

(e)   In connection with the Portfolios’ investments in affiliated underlying portfolios, the Portfolios incur no direct expenses, but bear proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated and unaffiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Portfolios in an amount equal to the Portfolios’ pro rata share of certain acquired fund fees and expenses, and for the period shown below, such waiver amounted to:

See Notes to Financial Statements.

 

2018 Semi-Annual Report     101  

Table of Contents

Financial Highlights (continued)

Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:

 

 

Acquired Fund Fees and Expenses:

 

   
        
      SIX MONTHS
ENDED
3/31/18
(UNAUDITED)		      YEAR
ENDED
9/30/17		      YEAR
ENDED
9/30/16		  

Overlay A Portfolio

      0.34%        0.31%        0.14%  

Tax-Aware Overlay A Portfolio

      0.33%        0.31%        0.14%  

Overlay B Portfolio

      0.06%        0.02%        N/A  

Tax-Aware Overlay B Portfolio

      0.04%        0.02%        N/A  

Tax-Aware Overlay C Portfolio

      0.01%        0.03%        N/A  

Tax-Aware Overlay N Portfolio

      0.03%        0.02%        N/A  

 

Waiver:

         
        
      SIX MONTHS
ENDED
3/31/18
(UNAUDITED)		      YEAR
ENDED
9/30/17		      YEAR
ENDED
9/30/16		  

Overlay A Portfolio

      0.34%        0.30%        0.14%  

Tax-Aware Overlay A Portfolio

      0.33%        0.30%        0.14%  

Overlay B Portfolio

      0.04%        0.02%        N/A  

Tax-Aware Overlay B Portfolio

      0.01%        0.02%        N/A  

Tax-Aware Overlay C Portfolio

      0.01%        0.01%        N/A  

Tax-Aware Overlay N Portfolio

      0.01%        0.02%        N/A  

 

 

See notes to financial statements.

 

102   Sanford C. Bernstein Fund, Inc.

Table of Contents

Notes to Financial Statements

 

NOTE 1. Organization and Significant Accounting Policies

Sanford C. Bernstein Fund, Inc. (the “Fund”) is a managed open-end registered investment company, incorporated in Maryland on May 4, 1988. The Fund operates as a series company currently comprised of 15 portfolios (hereafter collectively referred to as the “Portfolios” and each individually a “Portfolio”) with the following share classes offered:

 

INTERNATIONAL EQUITY PORTFOLIOS

  

SHARE CLASSES OFFERED

International

  

International Class*, Class A, Class B, Class C and Class Z

Tax-Managed International

  

Tax-Managed International Class*, Class A, Class B, Class C and Class Z

Emerging Markets

  

Emerging Markets Class* and Class Z

FIXED INCOME MUNICIPAL PORTFOLIO

    

Short Duration Diversified Municipal

  

Short Duration Diversified Municipal Class*

INTERMEDIATE MUNICIPAL PORTFOLIOS

    

New York Municipal

  

Municipal Class*, Class A, Class B, Class C and Advisor Class

California Municipal

  

Municipal Class*, Class A, Class C and Advisor Class

Diversified Municipal

  

Municipal Class*, Class A, Class B, Class C and Advisor Class

FIXED INCOME TAXABLE PORTFOLIOS

    

Short Duration Plus

  

Short Duration Plus Class*, Class A, Class B and Class C

Intermediate Duration

  

Intermediate Duration Class*

 

  * Bernstein Class

 

OVERLAY PORTFOLIOS

    

Overlay A

  

Class 1 and Class 2

Tax-Aware Overlay A

  

Class 1 and Class 2

Overlay B

  

Class 1 and Class 2

Tax-Aware Overlay B

  

Class 1 and Class 2

Tax-Aware Overlay C

  

Class 1 and Class 2

Tax-Aware Overlay N

  

Class 1 and Class 2

Each Portfolio has its own investment objectives. Effective January 15, 2016, International, Tax-Managed International and Emerging Markets Portfolios commenced offering of Class Z Shares. Effective July 25, 2016, New York Municipal and California Municipal Portfolios commenced offering of Advisor Class Shares. This report relates only to the Overlay A, Tax-Aware Overlay A, Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios. Each class of shares has identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan, as applicable. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. Each Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Portfolios.

 

A.   Portfolio Valuation

Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Fund’s Board of Directors (the “Board”).

 

2018 Semi-Annual Report     103  

Table of Contents

Notes to Financial Statements (continued)

 

In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the “Adviser”) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Such factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.

Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Portfolios may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Portfolios value their securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolios generally values many of their foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.

 

B.   Fair Value Measurements

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolios would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolios. Unobservable inputs reflect the Portfolios’ 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 Portfolios’ own assumptions in determining the fair value of investments)

 

104   Sanford C. Bernstein Fund, Inc.

Table of Contents

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 are then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.

Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.

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

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

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

 

2018 Semi-Annual Report     105  

Table of Contents

Notes to Financial Statements (continued)

 

The following tables summarize the valuation of the Portfolios’ investments by the above fair value hierarchy levels as of March 31, 2018:

 

OVERLAY A PORTFOLIO

INVESTMENTS IN SECURITIES:

   LEVEL 1      LEVEL 2      LEVEL 3      TOTAL  

Assets:

           

Investment Companies

   $ 1,081,200,168      $ 0        $0      $ 1,081,200,168  

Common Stocks (a)

     986,700,790        0        0        986,700,790  

Short-Term Investments:

           

Investment Companies

     150,054,423        0        0        150,054,423  

U.S. Treasury Bills

     0        7,982,905        0        7,982,905  

Total Investments in Securities

     2,217,955,381        7,982,905        0        2,225,938,286  

Other Financial Instruments (b):

           

Assets:

           

Futures

     20,515,868        1,850,438        0        22,366,306  (c) 

Forward Currency Exchange Contracts

     0        7,305,677        0        7,305,677  

Liabilities:

           

Futures

     (231,868 )       (1,830,956 )       0        (2,062,824 )(c) 

Forward Currency Exchange Contracts

     0        (6,668,263 )       0        (6,668,263 ) 

Total (d)

   $ 2,238,239,381      $ 8,639,801        $0      $ 2,246,879,182  

TAX-AWARE OVERLAY A PORTFOLIO

INVESTMENTS IN SECURITIES:

   LEVEL 1      LEVEL 2      LEVEL 3      TOTAL  

Assets:

           

Investment Companies

   $ 2,222,274,964      $ 0        $0      $ 2,222,274,964  

Common Stocks (a)

     2,070,608,102        0        0        2,070,608,102  

Short-Term Investments:

           

Investment Companies

     306,612,850        0        0        306,612,850  

U.S. Treasury Bills

     0        7,487,823        0        7,487,823  

Total Investments in Securities

     4,599,495,916        7,487,823        0        4,606,983,739  

Other Financial Instruments (b):

           

Assets:

           

Futures

     39,057,456        3,823,861        0        42,881,317  (c) 

Forward Currency Exchange Contracts

     0        14,946,435        0        14,946,435  

Liabilities:

           

Futures

     (216,619 )       (3,774,389 )       0        (3,991,008 )(c) 

Forward Currency Exchange Contracts

     0        (14,414,749 )       0        (14,414,749 ) 

Total (d)

   $ 4,638,336,753      $ 8,068,981        $0      $ 4,646,405,734  

 

106   Sanford C. Bernstein Fund, Inc.

Table of Contents

OVERLAY B PORTFOLIO

INVESTMENTS IN SECURITIES:

   LEVEL 1      LEVEL 2      LEVEL 3      TOTAL  

Assets:

           

Inflation-Linked Securities

   $ 0      $ 274,135,590      $ 0      $ 274,135,590  

Investment Companies

     256,541,989        0        0        256,541,989  

Governments—Treasuries

     0        173,374,689        0        173,374,689  

Corporates—Investment Grade

     0        144,747,569        294,654        145,042,223  

Mortgage Pass-Throughs

     0        93,724,335        0        93,724,335  

Commercial Mortgage-Backed Securities

     0        35,317,380        11,069,442        46,386,822  

Asset-Backed Securities

     0        35,773,307        10,103,111        45,876,418  

Collateralized Mortgage Obligations

     0        45,302,132        0        45,302,132  

Corporates—Non-Investment Grade

     0        38,086,519        0        38,086,519  

Emerging Markets—Treasuries

     0        12,738,698        0        12,738,698  

Covered Bonds

     0        11,601,034        0        11,601,034  

Emerging Markets—Corporate Bonds

     0        10,263,913        0        10,263,913  

Collateralized Loan Obligations

     0        1,550,000        4,581,301        6,131,301  

Agencies

     0        6,124,483        0        6,124,483  

Governments—Sovereign Agencies

     0        5,224,936        0        5,224,936  

Emerging Markets—Sovereigns

     0        4,929,278        0        4,929,278  

Local Governments—Provincial Bonds

     0        3,333,210        0        3,333,210  

Quasi-Sovereigns

     0        3,174,206        0        3,174,206  

Local Governments—Regional Bonds

     0        876,885        0        876,885  

Governments—Sovereign Bonds

     0        827,106        0        827,106  

Short-Term Investments:

           

Investment Companies

     71,724,337        0        0        71,724,337  

U.S. Treasury Bills

     0        37,538,145        0        37,538,145  

Governments—Treasuries

     0        30,061,642        0        30,061,642  

Agency Discount Notes

     0        3,832,580        0        3,832,580  

Commercial Paper

     0        2,847,796        0        2,847,796  

Total Investments in Securities

     328,266,326        975,385,433        26,048,508        1,329,700,267  

Other Financial Instruments (b):

           

Assets:

           

Futures

     5,108,611        429,134        0        5,537,745  (c) 

Forward Currency Exchange Contracts

     0        4,091,998        0        4,091,998  

Centrally Cleared Interest Rate Swaps

     0        1,351,634        0        1,351,634  (c) 

Credit Default Swaps

     0        4,132        0        4,132  

Inflation (CPI) Swaps

     0        332,085        0        332,085  

Variance Swaps

     0        115        0        115  

Liabilities:

           

Futures

     (2,136,349 )       (1,332,381 )       0        (3,468,730 )(c) 

Forward Currency Exchange Contracts

     0        (3,253,760 )       0        (3,253,760 ) 

Centrally Cleared Interest Rate Swaps

     0        (87,465 )       0        (87,465 )(c) 

Credit Default Swaps

     0        (2,122,051 )       0        (2,122,051 ) 

Variance Swaps

     0        (220 )       0        (220 ) 

Total (e)

   $ 331,238,588      $ 974,798,654      $ 26,048,508      $ 1,332,085,750  

 

2018 Semi-Annual Report     107  

Table of Contents

Notes to Financial Statements (continued)

 

 

TAX-AWARE OVERLAY B PORTFOLIO

INVESTMENTS IN SECURITIES:

   LEVEL 1      LEVEL 2      LEVEL 3      TOTAL  

Assets:

           

Long-Term Municipal Bonds

   $ 0      $ 1,282,891,907      $ 47,044,344      $ 1,329,936,251  

Investment Companies

     474,877,443        0        0        474,877,443  

Governments—Treasuries

     0        1,653,958        0        1,653,958  

Short-Term Investments:

           

Investment Companies

     98,063,585        0        0        98,063,585  

U.S. Treasury Bills

     0        46,427,057        0        46,427,057  

Total Investments in Securities

     572,941,028        1,330,972,922        47,044,344        1,950,958,294  

Other Financial Instruments (b):

           

Assets:

           

Futures

     2,858,366        663,895        0        3,522,261  (c) 

Forward Currency Exchange Contracts

     0        2,770,176        0        2,770,176  

Inflation (CPI) Swaps

     0        4,870,347        0        4,870,347  

Liabilities:

           

Futures

     (823,266 )       (2,045,093 )       0        (2,868,359 )(c) 

Forward Currency Exchange Contracts

     0        (2,645,087 )       0        (2,645,087 ) 

Credit Default Swaps

     0        (318,458 )       0        (318,458 ) 

Inflation (CPI) Swaps

     0        (1,392,092 )       0        (1,392,092 ) 

Total (d)

   $ 574,976,128      $ 1,332,876,610      $ 47,044,344      $ 1,954,897,082  

TAX-AWARE OVERLAY C PORTFOLIO

INVESTMENTS IN SECURITIES:

   LEVEL 1      LEVEL 2      LEVEL 3      TOTAL  

Assets:

           

Long-Term Municipal Bonds

   $ 0      $ 376,454,252      $ 14,582,188      $ 391,036,440  

Investment Companies

     153,086,688        0        0        153,086,688  

Governments—Treasuries

     0        1,168,875        0        1,168,875  

Short-Term Investments:

           

U.S. Treasury Bills

     0        25,347,912        0        25,347,912  

Investment Companies

     17,232,192        0        0        17,232,192  

Total Investments in Securities

     170,318,880        402,971,039        14,582,188        587,872,107  

Other Financial Instruments (b):

           

Assets:

           

Futures

     1,288,101        204,470        0        1,492,571  (c) 

Forward Currency Exchange Contracts

     0        854,834        0        854,834  

Inflation (CPI) Swaps

     0        1,524,017        0        1,524,017  

Liabilities:

           

Futures

     (247,840 )       (658,039 )       0        (905,879 )(c) 

Forward Currency Exchange Contracts

     0        (778,602 )       0        (778,602 ) 

Credit Default Swaps

     0        (113,960 )       0        (113,960 ) 

Inflation (CPI) Swaps

     0        (341,485 )       0        (341,485 ) 

Total (d)

   $ 171,359,141      $ 403,662,274      $ 14,582,188      $ 589,603,603  

 

108   Sanford C. Bernstein Fund, Inc.

Table of Contents

TAX-AWARE OVERLAY N PORTFOLIO

INVESTMENTS IN SECURITIES:

   LEVEL 1      LEVEL 2      LEVEL 3      TOTAL  

Assets:

           

Long-Term Municipal Bonds

   $ 0      $ 310,395,500      $ 7,182,087      $ 317,577,587  

Investment Companies

     106,910,037        0        0        106,910,037  

Governments—Treasuries

     0        974,062        0        974,062  

Short-Term Investments:

           

U.S. Treasury Bills

     0        20,956,629        0        20,956,629  

Investment Companies

     9,617,828        0        0        9,617,828  

Total Investments in Securities

     116,527,865        332,326,191        7,182,087        456,036,143  

Other Financial Instruments (b):

           

Assets:

           

Futures

     539,288        156,508        0        695,796  (c) 

Forward Currency Exchange Contracts

     0        664,354        0        664,354  

Inflation (CPI) Swaps

     0        1,173,490        0        1,173,490  

Liabilities:

           

Futures

     (194,343 )       (491,302 )       0        (685,645 )(c) 

Forward Currency Exchange Contracts

     0        (618,597 )       0        (618,597 ) 

Credit Default Swaps

     0        (92,778 )       0        (92,778 ) 

Inflation (CPI) Swaps

     0        (259,348 )       0        (259,348 ) 

Total (d)

   $ 116,872,810      $ 332,858,518      $ 7,182,087      $ 456,913,415  

 

  (a) See schedule of Investments for sector classifications.

 

  (b) 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.

 

  (c) Only variation margin receivable/(payable) at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the schedule of investments. Centrally cleared swaps with upfront premiums are presented here at market value.

 

  (d) There were no transfers between any levels during the reporting period.

 

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

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

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

 

OVERLAY B PORTFOLIO  

CORPORATES -

INVESTMENT

GRADE

     

COMMERCIAL

BACKED

SECURITIES

     

ASSET-
BACKED

SECURITIES

  

Balance as of 9/30/17

   $ 0      $ 9,791,254      $ 6,456,943  

Accrued discounts/(premiums)

     153        (78 )       116  

Realized gain (loss)

     0        (91,347 )       531  

Change in unrealized appreciation/depreciation

     (78 )       39,231        (82,231 ) 

Purchases/Payups

     294,579        3,675,596        5,164,733  

Sales/Paydowns

     0        (2,085,054 )       (1,436,981 ) 

Transfers in to Level 3

     0        0        0  

Transfers out of Level 3

     0        (260,160 )       0  
 

 

 

     

 

 

     

 

 

  

Balance as of 3/31/18

   $ 294,654      $ 11,069,442      $ 10,103,111  
 

 

 

     

 

 

     

 

 

  

Net change in unrealized appreciation/depreciation from investments held as of 3/31/18 (a)

   $ (78 )     $ (56,908 )     $ (82,006 ) 

 

2018 Semi-Annual Report     109  

Table of Contents

Notes to Financial Statements (continued)

 

 

    

COLLATERALIZED

MORTGAGE

OBLIGATIONS

    

COLLATERALIZED

LOAN

OBLIGATIONS

     

EMERGING

MARKETS -

SOVEREIGNS

  

Balance as of 9/30/17

   $ 321,562     $ 0      $ 520,766  

Accrued discounts/(premiums)

     0       0        8,543  

Realized gain (loss)

     0       0        9,898  

Change in unrealized appreciation/depreciation

     0       17,501        (8,861 ) 

Purchases/Payups

     0       4,563,800        0  

Sales/Paydowns

     0       0        (530,346 ) 

Transfers in to Level 3

     0       0        0  

Transfers out of Level 3

     (321,562 )      0        0  
 

 

 

    

 

 

     

 

 

  

Balance as of 3/31/18

   $ 0     $ 4,581,301      $ 0  
 

 

 

    

 

 

     

 

 

  

Net change in unrealized appreciation/depreciation from investments held as of 3/31/18 (a)

   $ 0     $ 17,501      $ 0  
     TOTAL                 

Balance as of 9/30/17

   $ 17,090,525       

Accrued discounts/(premiums)

     8,734       

Realized gain (loss)

     (80,918 )      

Change in unrealized appreciation/depreciation

     (34,438 )      

Purchases/Payups

     13,698,708       

Sales/Paydowns

     (4,052,381 )      

Transfers in to Level 3

     0       

Transfers out of Level 3

     (581,722 ) (b)      
 

 

 

       

Balance as of 3/31/18

   $ 26,048,508       
 

 

 

       

Net change in unrealized appreciation/depreciation from investments held as of 3/31/18 (a)

   $ (121,491 )                  
TAX-AWARE OVERLAY B PORTFOLIO   LONG-TERM
MUNICIPAL
BONDS		     TOTAL          

Balance as of 9/30/17

   $ 46,366,088     $ 46,366,088     

Accrued discounts/(premiums)

     (229,931 )      (229,931 )    

Realized gain (loss)

     0       0     

Change in unrealized appreciation/depreciation

     (894,063 )      (894,063 )    

Purchases/Payups

     1,802,250       1,802,250     

Sales/Paydowns

     0       0     

Transfers in to Level 3

     0       0     

Transfers out of Level 3

     0       0     
 

 

 

    

 

 

     

Balance as of 3/31/18

   $ 47,044,344     $ 47,044,344     
 

 

 

    

 

 

     

Net change in unrealized appreciation/depreciation from investments held as of 3/31/18 (a)

   $ (894,063 )    $ (894,063 )          

 

110   Sanford C. Bernstein Fund, Inc.

Table of Contents
TAX-AWARE OVERLAY C PORTFOLIO   LONG-TERM
MUNICIPAL
BONDS		      TOTAL          

Balance as of 9/30/17

   $ 9,248,064      $ 9,248,064     

Accrued discounts/(premiums)

     (58,078 )       (58,078 )    

Realized gain (loss)

     0        0     

Change in unrealized appreciation/depreciation

     (17,933 )       (17,933 )    

Purchases/Payups

     5,410,135        5,410,135     

Sales/Paydowns

     0        0     

Transfers in to Level 3

     0        0     

Transfers out of Level 3

     0        0     
 

 

 

     

 

 

     

Balance as of 3/31/18

   $ 14,582,188      $ 14,582,188     
 

 

 

     

 

 

     

Net change in unrealized appreciation/depreciation from investments held as of 3/31/18 (a)

   $ (17,933 )     $ (17,933 )          
TAX-AWARE OVERLAY N PORTFOLIO   LONG-TERM
MUNICIPAL
BONDS		      TOTAL          

Balance as of 9/30/17

   $ 6,213,443      $ 6,213,443     

Accrued discounts/(premiums)

     (27,505 )       (27,505 )    

Realized gain (loss)

     0        0     

Change in unrealized appreciation/depreciation

     130,087        130,087     

Purchases/Payups

     3,571,062        3,571,062     

Sales/Paydowns

     (2,705,000 )       (2,705,000 )    

Transfers in to Level 3

     0        0     

Transfers out of Level 3

     0        0     
 

 

 

     

 

 

     

Balance as of 3/31/18

   $ 7,182,087      $ 7,182,087     
 

 

 

     

 

 

     

Net change in unrealized appreciation/depreciation from investments held as of 3/31/18 (a)

   $ 129,349      $ 129,349           

 

  (a) The unrealized appreciation/depreciation is included in net change in unrealized appreciation/depreciation on investments and other financial instruments in the accompanying statement of operations.

 

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

As of March 31, 2018, all Level 3 securities were priced by third party vendors.

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

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and any third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of

 

2018 Semi-Annual Report     111  

Table of Contents

Notes to Financial Statements (continued)

 

prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and processes at vendors, 2) daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

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

 

C.   Foreign Currency Translation

The accounting records of the Portfolios are maintained in U.S. dollars. Prices of securities and other assets and liabilities denominated in non-U.S. currencies are translated into U.S. dollars using the exchange rate at 4:00 p.m., Eastern Time. Amounts related to the purchases and sales of securities, investment income and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions.

Net realized gain or loss on foreign currency transactions represents net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on security transactions and the difference between the amount of dividends, interest and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent amount actually received or paid. Net unrealized currency gains and losses arising from valuing foreign currency denominated assets and liabilities, other than security investments, at the current exchange rate are reflected as part of unrealized appreciation/depreciation on foreign currencies.

The Portfolios do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of securities held at period end. The Portfolios do isolate the effect of changes in foreign exchange rates from changes in market prices of securities sold during the year, as required by the Internal Revenue Code.

The Portfolios may invest in foreign securities and foreign currency transactions that may involve risks not associated with domestic investments as a result of the level of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability, among others.

 

D.   Taxes

Each Portfolio is treated as a separate entity for federal income tax purposes. Each Portfolio intends to continue to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986 as they apply to regulated investment companies. By so complying, each Portfolio will not be subject to federal and state income taxes to the extent that all of its income is distributed. The Portfolios may be subject to taxes imposed by countries in which they invest. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned based on, management’s understanding of applicable local tax law.

In consideration of recent decisions rendered by the European courts, certain Portfolios filed reclaims to recover taxes withheld on dividends earned from certain European Union countries during calendar years 2008 through 2010. These filing are subject to various administrative and judicial proceedings within these countries. No amounts for additional tax reclaims are disclosed in the financial statements due to the uncertainty as to the ultimate resolution of proceedings, the likelihood of receipt of these reclaims, and the potential timing of payment.

In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Portfolios’ tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Portfolios’ financial statements. As of March 31, 2018, the Portfolios did not have any unrecognized tax benefits.

 

E.   Security Transactions and Related Investment Income

Security transactions are accounted for on the trade date (the date the buy or sell order is executed). Securities gains and losses are calculated on the identified cost basis. Interest income is recorded on the accrual basis and dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. The Portfolios amortize premiums and accrete discounts as adjustments to interest income.

 

112   Sanford C. Bernstein Fund, Inc.

Table of Contents
F.   Securities Transactions on a When-Issued or Delayed-Delivery Basis

Each Portfolio may purchase securities on a when-issued basis or purchase or sell securities on a delayed-delivery basis. At the time a Portfolio commits to purchase a security on a when-issued or delayed-delivery basis, the Portfolio will record the transaction and use the security’s value in determining the Portfolio’s net asset value. At the time a Portfolio commits to sell a security on a delayed-delivery basis, the Portfolio will record the transaction and exclude the security’s value in determining the Portfolio’s net asset value.

 

G.   Class Allocations

All income earned and expenses incurred by the Portfolios are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Portfolio represented by the shares of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Fund are charged proportionately to each Portfolio or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.

 

H.   Distribution of Income and Gains

Dividends from net investment income, if any, will be paid to shareholders at least once a year.

Distributions of net realized gains, less any available loss carryforwards, if any, for all the Portfolios will be paid to shareholders at least once a year, and recorded on the ex-dividend date.

Elements of realized gains and net investment income may be recorded in different accounting periods for financial reporting (book) and federal income tax (tax) purposes (temporary differences). To the extent that such distributions required for tax purposes exceed income and gains recorded for book purposes as a result of such temporary differences, “excess distributions” are reflected in the accompanying statement of assets and liabilities. To the extent distributions exceed income and gains for tax purposes, such distributions would be shown as “return of capital” on the statement of changes in net assets. Certain other differences—permanent differences—arise because treatment of elements of income and gains is different between book and tax accounting. Permanent differences are reclassified in the year they arise.

 

NOTE 2. Investment Management and Transactions with Affiliated Persons

 

A.   Management Fee

Under the Investment Management Agreement between the Fund and the Adviser, the Adviser manages the investment of each Portfolio’s assets, places purchase and sale orders, and bears various expenses, including the salaries and expenses of all personnel except those of outside directors. In addition, the Adviser agrees to permit its directors, officers and employees who may be elected directors or officers of the Fund to serve in the capacities to which they are elected. The Adviser renders these services subject to the general oversight of the Board.

The Portfolios pay the Adviser an investment management fee at an annual rate of 0.90% of the first $5 billion and 0.875% in excess of $5 billion for Overlay A and Tax-Aware Overlay A; 0.65% for Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N, of the average daily net assets of each Portfolio. Prior to January 1, 2018, the investment management fee was 0.90% of the average daily net assets of Overlay A and Tax-Aware Overlay A Portfolios.

The Adviser has agreed to waive its fees and bear certain expenses, exclusive of acquired fund fees and other than the advisory fees of any registered funds advised by the Adviser in which a Portfolio may invest, interest expense, taxes, extraordinary expenses, brokerage commission, and other transaction costs, to the extent necessary to limit the total portfolio operating expenses as a percentage of daily average net assets on an annual basis as follows:

 

PORTFOLIO    CLASS 1        CLASS 2  

Overlay A

      1.20 %         1.00 % 

Tax-Aware Overlay A

      1.20 %         1.00 % 

Overlay B

      0.90 %         0.75 % 

Tax-Aware Overlay B

      0.90 %         0.75 % 

Tax-Aware Overlay C

      0.90 %         0.75 % 

Tax-Aware Overlay N

      0.90 %         0.75 % 

 

2018 Semi-Annual Report     113  

Table of Contents

Notes to Financial Statements (continued)

 

This fee waiver and/or expense limitation agreement will remain in effect until January 26, 2019 and then may be extended by the Adviser for additional one year terms. During the six months ended March 31, 2018, there was no such reimbursement.

During the year ended September 30, 2017, the Adviser reimbursed the Overlay A, Tax-Aware Overlay A, Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios $775, $872, $2,581, $562, $443 and $408, respectively, for trading losses incurred due to a trade entry errors.

 

B.   Shareholder Servicing Fee

Under the Shareholder Servicing Agreement between the Sanford C. Bernstein Fund, Inc. and the Adviser, the Adviser pays expenses it incurs in providing shareholder servicing to the Fund, the Portfolios and individual shareholders. Such services include, but are not limited to, providing information to shareholders concerning their Sanford C. Bernstein Fund investments, systematic withdrawal plans, fund dividend payments and reinvestments, shareholder account or transactions status, net asset value of shares, fund performance, fund services, plans and options, fund investment policies, portfolio holdings and tax consequences of fund investments; dealing with shareholder complaints and other correspondence relating to fund matters; and communications with shareholders when proxies are being solicited from them with respect to voting their fund shares. Under the agreement, the fee paid by each Portfolio to the Adviser for services is 0.20 of 1%, annualized, of the average daily net assets of Class 1 Shares of Overlay A and Tax-Aware Overlay A Portfolios during the month, and 0.15 of 1%, annualized, of the average daily net assets of Class 1 Shares of Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios during the month.

 

C.   Distribution Arrangements

Under the Distribution Agreement between the Fund, on behalf of each Portfolio, and Sanford C. Bernstein & Co., LLC (the “Distributor”), the Distributor agrees to act as agent to sell shares of the Portfolios. The Distributor receives no fee for this service, and furthermore agrees to pay all expenses arising from the performance of its obligations under this agreement. The Distributor is a wholly owned subsidiary of the Adviser.

 

D.   Investments in Affiliated Issuers

The Portfolios may invest in other investment companies advised by the Adviser, including AB Government Money Market Portfolio (the “Government Money Market Portfolio”) and AB All-Market Real Return Portfolio—Class Z (“AMRR”) which have contractual annual advisory fee rates of 0.20% and 0.75%, respectively, of the portfolios’ average daily net assets and bear their own expenses. In connection with the investment by the Portfolios in affiliated registered investment companies, the Adviser has contractually agreed to waive its advisory fee from the Portfolios in an amount equal to the Portfolios’ pro rata share of the effective advisory fee of the underlying affiliated registered investment company, as borne indirectly by the Portfolios as an acquired fund fee and expense. For the six months ended March 31, 2018, such waivers amounted to:

 

GOVERNMENT MONEY MARKET PORTFOLIO    AMOUNT  

Overlay A

    $ 234,552  

Tax-Aware Overlay A

      435,453  

Overlay B

      100,514  

Tax-Aware Overlay B

      113,477  

Tax-Aware Overlay C

      33,082  

Tax-Aware Overlay N

      17,191  
AMRR    AMOUNT  

Overlay A

    $ 616,420  

Tax-Aware Overlay A

      1,212,661  

Overlay B

      172,030  

Tax-Aware Overlay B

      17,323  

Tax-Aware Overlay C

      5,064  

Tax-Aware Overlay N

      4,148  

 

114   Sanford C. Bernstein Fund, Inc.

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Overlay A Portfolio and Tax-Aware Overlay A Portfolio currently invest in Bernstein Fund, Inc.—International Small Cap Portfolio—Class Z, Bernstein Fund, Inc.—International Strategic Equities Portfolio—Class Z, Bernstein Fund Inc.—Small Cap Core Portfolio—Class Z, Sanford C. Bernstein Fund, Inc.—Emerging Markets Portfolio—Class Z, open-end management investment companies managed by the Adviser; Overlay A Portfolio and Tax-Aware Overlay A Portfolio currently invest in Sanford C. Bernstein Fund, Inc.—International Portfolio—Class Z and Sanford C. Bernstein Fund, Inc. Tax-Managed International Portfolio—Class Z, respectively. With respect to Overlay A, Tax-Aware Overlay A, Overlay B, Tax-Aware Overlay and Tax-Aware Overlay C, the Adviser has contractually agreed to waive its management fees and/or bear Portfolio expenses through January 26, 2019, in an amount equal to the Portfolios’ proportionate share of all advisory fees and other expenses of the aforementioned funds that are indirectly borne by the Portfolios. For the six months ended March 31, 2018, such waivers amounted to:

 

    
PORTFOLIO    SANFORD C.
BERNSTEIN
FUND, INC. -
TAXMANAGED
INTERNATIONAL
PORTFOLIO -
CLASS Z		     SANFORD C.
BERNSTEIN
FUND, INC. -
INTERNATIONAL
PORTFOLIO -
CLASS Z		     SANFORD C.
BERNSTEIN
FUND, INC.
EMERGING
MARKETS
PORTFOLIO
CLASS Z		     BERNSTEIN
FUND, INC. -
INTERNATIONAL
STRATEGIC
EQUITIES
PORTFOLIO -
CLASS Z		     BERNSTEIN
FUND, INC. -
INTERNATIONAL
SMALL CAP
PORTFOLIO -
CLASS Z		     BERNSTEIN
FUND, INC.
SMALL
CAP CORE
PORTFOLIO
CLASS Z		  

Overlay A

    $ 0     $ 747,818     $ 243,695     $ 1,260,849     $ 518,883     $ 186,776  

Tax-Aware Overlay A

      1,462,468       0       498,436       2,582,797       1,063,423       382,601  

The Portfolios may invest in other investment companies managed by the Adviser. A summary of the Portfolios’ transactions in such holdings for the six months ended March 31, 2018 is as follows:

 

SANFORD C. BERNSTEIN FUND, INC.—OVERLAY A PORTFOLIO  
                                        DISTRIBUTIONS  
FUND   MARKET VALUE
9/30/17
(000)		     PURCHASES
AT COST
(000)		     SALES
PROCEEDS
(000)		     REALIZED
GAIN
(LOSS)
(000)		     CHANGE IN
UNREALIZED
APPR./(DEPR.)
(000)		     MARKET VALUE
3/31/18
(000)		     DIVIDEND
INCOME
(000)		     REALIZED
GAINS
(000)		  

Government Money Market Portfolio

   $ 307,808     $ 309,308     $ 467,063     $ 0     $ 0     $ 150,053     $ 1,189     $ 0  

AB Bond Fund, Inc.:

                

AB All Market Real Return Portfolio

     192,576       5,256       47,949       2,592       (1,881 )      150,594       5,256       0  

Bernstein Fund, Inc.:

                

International Small Cap Portfolio

     88,432       9,897       0       0       2,949       101,278       2,168       1,208  

International Strategic Equities Portfolio

     286,771       34,953       0       0       11,382       333,106       3,996       4,420  

Small Cap Core Portfolio

     42,408       2,612       1,556       145       (1,540 )      42,069       2,148       464  

Sanford C. Bernstein Fund, Inc.:

                

AB Emerging Markets Portfolio

     40,261       2,683       0       0       3,019       45,963       434       0  

AB International Portfolio

     161,987       18,455       0       0       3,666       184,108       2,262       0  

Total

                           $ 2,737     $ 17,595     $ 1,007,171     $ 17,453     $ 6,092  

 

2018 Semi-Annual Report     115  

Table of Contents

Notes to Financial Statements (continued)

 

 

SANFORD C. BERNSTEIN FUND, INC.—TAX-AWARE OVERLAY A PORTFOLIO  
                                        DISTRIBUTIONS  
FUND   MARKET VALUE
9/30/17
(000)		     PURCHASES
AT COST
(000)		     SALES
PROCEEDS
(000)		     REALIZED
GAIN
(LOSS)
(000)		     CHANGE IN
UNREALIZED
APPR./(DEPR.)
(000)		     MARKET VALUE
3/31/18
(000)		     DIVIDEND
INCOME
(000)		     REALIZED
GAINS
(000)		  

Government Money Market Portfolio

   $ 454,158     $ 748,304     $ 895,849     $ 0     $ 0     $ 306,613     $ 2,239     $ 0  

AB Bond Fund, Inc.:

                

AB All Market Real Return Portfolio

     380,487       10,319       96,618       5,222       (3,786 )      295,624       10,318       0  

Bernstein Fund, Inc.:

                

International Small Cap Portfolio

     180,385       23,626       0       0       6,119       210,130       4,422       2,463  

International Strategic Equities Portfolio

     584,254       84,112       0       0       23,499       691,865       8,142       9,005  

Small Cap Core Portfolio

     86,433       5,324       1,488       271       (3,078 )      87,462       4,377       946  

Sanford C. Bernstein Fund, Inc.:

                

AB Emerging Markets Portfolio

     81,751       7,855       0       0       6,199       95,805       881       0  

AB Tax-Managed International Portfolio

     330,305       45,301       0       0       6,804       382,410       5,308       0  

Total

                           $ 5,493     $ 35,757     $ 2,069,909     $ 35,687     $ 12,414  
SANFORD C. BERNSTEIN FUND, INC.—OVERLAY B PORTFOLIO  
                                        DISTRIBUTIONS  
FUND   MARKET VALUE
9/30/17
(000)		     PURCHASES
AT COST
(000)		     SALES
PROCEEDS
(000)		     REALIZED
GAIN
(LOSS)
(000)		     CHANGE IN
UNREALIZED
APPR./(DEPR.)
(000)		     MARKET VALUE
3/31/18
(000)		     DIVIDEND
INCOME
(000)		     REALIZED
GAINS
(000)		  

Government Money Market Portfolio

   $ 77,176     $ 268,733     $ 274,185     $ 0     $ 0     $ 71,724     $ 528     $ 0  

AB Bond Fund, Inc.:

                

AB All Market Real Return Portfolio

     51,698       1,494       10,522       569       (419 )      42,820       1,495       0  

Total

                           $ 569     $ (419 )    $ 114,544     $ 2,023     $ 0  
SANFORD C. BERNSTEIN FUND, INC.—TAX-AWARE OVERLAY B PORTFOLIO  
                                        DISTRIBUTIONS  
FUND   MARKET VALUE
9/30/17
(000)		     PURCHASES
AT COST
(000)		     SALES
PROCEEDS
(000)		     REALIZED
GAIN
(LOSS)
(000)		     CHANGE IN
UNREALIZED
APPR./(DEPR.)
(000)		     MARKET VALUE
3/31/18
(000)		     DIVIDEND
INCOME
(000)		     REALIZED
GAINS
(000)		  

Government Money Market Portfolio

   $ 143,211     $ 263,938     $ 309,085     $ 0     $ 0     $ 98,064     $ 587     $ 0  

AB Bond Fund, Inc.:

                

AB All Market Real Return Portfolio

     16,343       0       16,624       899       (618 )      0       0       0  

Total

                           $ 899     $ (618 )    $ 98,064     $ 587     $ 0  

 

116   Sanford C. Bernstein Fund, Inc.

Table of Contents
SANFORD C. BERNSTEIN FUND, INC.—TAX-AWARE OVERLAY C PORTFOLIO  
                                        DISTRIBUTIONS  
FUND   MARKET VALUE
9/30/17
(000)		     PURCHASES
AT COST
(000)		     SALES
PROCEEDS
(000)		     REALIZED
GAIN
(LOSS)
(000)		     CHANGE IN
UNREALIZED
APPR./(DEPR.)
(000)		     MARKET VALUE
3/31/18
(000)		     DIVIDEND
INCOME
(000)		     REALIZED
GAINS
(000)		  

Government Money Market Portfolio

   $ 51,186     $ 62,448     $ 96,402     $ 0     $ 0     $ 17,232     $ 168     $ 0  

AB Bond Fund, Inc.: AB All Market Real Return Portfolio

     4,777       0       4,859       263       (181 )      0       0       0  

Total

                           $ 263     $ (181 )    $ 17,232     $ 168     $ 0  
SANFORD C. BERNSTEIN FUND, INC.—TAX-AWARE OVERLAY N PORTFOLIO  
                                        DISTRIBUTIONS  
FUND   MARKET VALUE
9/30/17
(000)		     PURCHASES
AT COST
(000)		     SALES
PROCEEDS
(000)		     REALIZED
GAIN
(LOSS)
(000)		     CHANGE IN
UNREALIZED
APPR./(DEPR.)
(000)		     MARKET VALUE
3/31/18
(000)		     DIVIDEND
INCOME
(000)		     REALIZED
GAINS
(000)		  

Government Money Market Portfolio

   $ 23,282     $ 76,199     $ 89,863     $ 0     $ 0     $ 9,618     $ 89     $ 0  

AB Bond Fund, Inc.: AB All Market Real Return Portfolio

     3,913       0       3,980       215       (148 )      0       0       0  

Total

                           $ 215     $ (148 )    $ 9,618     $ 89     $ 0  

Brokerage commissions paid on investment transactions and brokerage commissions paid to Sanford C. Bernstein & Co., LLC and Sanford C. Bernstein & Co., Ltd., affiliates of the Adviser, for the six months ended March 31, 2018 were as follows:

 

PORTFOLIO   TOTAL
COMMISSIONS		      SANFORD C.
BERNSTEIN &
CO., LLC		      SANFORD C.
BERNSTEIN &
CO., LTD.		  

Overlay A

   $ 362,114      $ 0      $ 0  

Tax-Aware Overlay A

     753,510        0        0  

Overlay B

     119,349        0        0  

Tax-Aware Overlay B

     145,053        0        0  

Tax-Aware Overlay C

     45,348        0        0  

Tax-Aware Overlay N

     33,495        0        0  

 

2018 Semi-Annual Report     117  

Table of Contents

Notes to Financial Statements (continued)

 

 

NOTE 3. Investment Security Transactions

 

A.   Purchases and Sales

For the six months ended March 31, 2018, the Portfolios had purchases and sales transactions, excluding transactions in short-term instruments, as follows:

 

PORTFOLIO   PURCHASES EXCLUDING
U.S. GOVERNMENT
SECURITIES		      PURCHASES OF
U.S.  GOVERNMENT
SECURITIES		      SALES EXCLUDING
U.S.  GOVERNMENT
SECURITIES		     

SALES OF

U.S. GOVERNMENT
SECURITIES

  

Overlay A

   $ 466,961,559      $ 0      $ 355,337,770      $ 0  

Tax-Aware Overlay A

     1,046,010,910        0        910,749,565        0  

Overlay B

     195,868,031        521,027,524        181,887,262        479,674,380  

Tax-Aware Overlay B

     328,286,749        5,479,195        152,362,297        65,383,254  

Tax-Aware Overlay C

     102,460,302        1,462,313        38,037,383        18,465,105  

Tax-Aware Overlay N

     74,158,428        0        44,810,071        13,869,070  

The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation are as follows:

 

    GROSS UNREALIZED      NET UNREALIZED
APPRECIATION		  
PORTFOLIO   APPRECIATION      (DEPRECIATION)     

Overlay A

   $ 432,080,904      $ (33,318,522 )     $ 398,762,382  

Tax-Aware Overlay A

     937,048,778        (71,505,368 )       865,543,410  

Overlay B

     58,289,024        (18,281,473 )       40,007,551  

Tax-Aware Overlay B

     106,829,776        (15,478,346 )       91,351,430  

Tax-Aware Overlay C

     29,614,452        (4,037,007 )       25,577,445  

Tax-Aware Overlay N

     23,910,224        (3,212,979 )       20,697,245  

 

B.   Derivative Financial Instruments

Each Portfolio may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.

The principal types of derivatives utilized by the Portfolios, as well as the methods in which they may be used are:

 

  •  

Futures

Each Portfolio may buy or sell futures for investment purposes or for the purpose of hedging its portfolio against adverse effects of potential movements in the market. The Portfolios bear the market risk that arises from changes in the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Portfolios may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under “Currency Transactions”.

At the time a Portfolio enters into futures, a Portfolio deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Portfolios agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Portfolios as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.

 

118   Sanford C. Bernstein Fund, Inc.

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Use of long futures subjects the Portfolios to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Portfolios to unlimited risk of loss. Each Portfolio may enter into futures only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transactions; therefore, the Portfolios’ credit risk is subject to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.

During the six months ended March 31, 2018, the Portfolios held futures for hedging and non-hedging purposes.

 

  •  

Forward Currency Exchange Contracts

Each Portfolio may enter into forward currency exchange contracts on either a spot (i.e., cash) or forward basis. Spot contracts are entered into at the rate then prevailing in the currency-exchange market. Forward currency exchange contracts obligate the contracting parties to purchase or sell a specific currency at a specified future date at a specified price. The Portfolios will generally not enter into a forward currency exchange contract with a term greater than one year. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on foreign currency transactions. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Portfolio. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.

Forward currency exchange contracts used to protect the Portfolios from adverse currency movements involve the risk that the Adviser may not accurately predict currency movements. As a result, total return could be adversely affected. The Adviser may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps and other options. The Adviser may enter into foreign currency transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value.

Under certain circumstances, the Portfolios may commit a substantial portion or the entire value of their Portfolios to the consummation of these contracts. The Adviser will consider the effect that a substantial commitment of assets to forward currency exchange contracts would have on the investment program of these Portfolios and the flexibility of the Portfolios to purchase additional securities.

During the six months ended March 31, 2018, the Portfolios held forward currency exchange contracts for hedging and non-hedging purposes.

 

  •  

Swaps

The Portfolios may enter into swaps to hedge their exposure to interest rates, credit risk, or currencies. Certain Portfolios may also enter into swaps for non-hedging purposes as a means of gaining market exposures, including by making direct investments in foreign currencies, as described below under “Currency Transactions.” A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Portfolios in accordance with the terms of the respective swaps to provide value and recourse to the Portfolios or their counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.

Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Portfolios, and/or the termination value at the end of the contract. Therefore, the Portfolios consider the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Portfolios and the counterparty and by the posting of collateral by the counterparty to the Portfolios to cover the Portfolios’ exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Portfolios accrue for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps.

 

2018 Semi-Annual Report     119  

Table of Contents

Notes to Financial Statements (continued)

 

Upfront premiums paid or received in connection with credit default swaps are recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the statement of operations.

Certain standardized swaps, including certain interest rate swaps and credit default swaps are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (“FCMs”) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.

At the time the Portfolios enter into a centrally cleared swap, the Portfolios deposit and maintain as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Portfolios agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Portfolios as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.

Interest Rate Swaps:

The Portfolios are subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Portfolios hold fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, the Portfolios may enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Portfolios may elect to pay a fixed rate and receive a floating rate, or receive a fixed rate and pay a floating rate on a notional amount.

In addition, a Portfolio may also enter into interest rate swap transactions to preserve a return or spread on a particular investment or portion of its portfolio, or protecting against an increase in the price of securities the Portfolio anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Portfolio with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) computed based on a contractually-based principal (or “notional”) amount. Interest rate swaps are entered into on a net basis (i.e., the two payment streams are netted out, with the Portfolio receiving or paying, as the case may be, only the net amount of the two payments).

During the six months ended March 31, 2018, the Overlay B Portfolio held interest rate swaps for hedging and non-hedging purposes.

Inflation (CPI) Swaps:

Inflation swap agreements are contracts in which one party agrees to pay the cumulative percentage increase in a price index (the Consumer Price Index with respect to CPI swaps) over the term of the swap (with some lag on the inflation index), and the other pays a compounded fixed rate. Inflation swaps may be used to protect the net asset value, or NAV, of a Portfolio against an unexpected change in the rate of inflation measured by an inflation index since the value of these agreements is expected to increase if there are unexpected inflation increases.

During the six months ended March 31, 2018, the Overlay B Portfolio, Tax-Aware Overlay B Portfolio, Tax-Aware Overlay C Portfolio, and Tax-Aware Overlay N Portfolio held inflation (CPI) swaps for hedging and non-hedging purposes.

Credit Default Swaps:

The Portfolios may enter into credit default swaps, including to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults by corporate and sovereign issuers held by the Portfolios, or to create exposure to corporate or sovereign issuers to which they are not otherwise exposed. The Portfolios may purchase credit protection (“Buy Contract”) or provide credit protection (“Sale Contract”) on the referenced obligation of the credit

 

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default swap. During the term of the swap, the Portfolios receive/(pay) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If a Portfolio is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Portfolios will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap (the “Maximum Payout Amount”) and deliver/(take delivery of) the referenced obligation or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation.

In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront premium received upon entering into the agreement, or net amounts received from settlement of buy protection credit default swaps entered into by the Portfolios for the same referenced obligations with the same counterparty. As of March 31, 2018, none of the Portfolios had Buy Contracts outstanding with respect to the same referenced obligation and same counterparty for its Sales Contracts outstanding.

Credit default swaps may involve greater risks than if a Portfolio had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If a Portfolio is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If a Portfolio is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Portfolio coupled with the periodic payments previously received, may be less than the Maximum Payout Amount it pays to the buyer, resulting in a net loss to the Portfolio.

Implied credit spreads over U.S. Treasuries of comparable maturity utilized in determining the market value of credit default swaps on issuers as of period end are disclosed in the portfolio of investments. The implied spreads serve as an indicator of the current status of the payment/performance risk and typically reflect the market’s assessment of the likelihood of default by the issuer of the referenced obligation. The implied credit spread of a particular reference obligation also reflects the cost of buying/selling protection and may reflect upfront payments required to be made to enter into the agreement. Widening credit spreads typically represent a deterioration of the referenced obligation’s credit soundness and greater likelihood of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced obligation.

During the six months ended March 31, 2018, the Overlay B Portfolio, Tax-Aware Overlay B Portfolio, Tax-Aware Overlay C Portfolio, and Tax-Aware Overlay N Portfolio held credit default swaps for hedging and non-hedging purposes.

Total Return Swaps:

Each Portfolio may enter into total return swaps in order to take a “long” or “short” position with respect to an underlying referenced asset. A Portfolio is subject to market price volatility of the underlying referenced asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Portfolio will receive a payment from or make a payment to the counterparty.

During the six months ended March 31, 2018, the Overlay B Portfolio, Tax-Aware Overlay B Portfolio, Tax-Aware Overlay C Portfolio, and Tax-Aware Overlay N Portfolio held total return swaps for hedging and non-hedging purposes.

Variance Swaps:

A Portfolio may enter into variance swaps to hedge equity market risk or adjust exposure to the equity markets. Variance swaps are contracts in which two parties agree to exchange cash payments based on the difference between the stated level of variance and the actual variance realized on underlying asset(s) or index(es). Actual “variance” as used here is defined as the sum of the square of the returns on the reference asset(s) or index(es) (which in effect is a measure of its “volatility”) over the length of the contract term. So the parties to a variance swap can be said to exchange actual volatility for a contractually stated rate of volatility.

During the six months ended March 31, 2018, the Overlay B Portfolio held variance swaps for hedging and non-hedging purposes.

A Portfolio typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral

 

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Notes to Financial Statements (continued)

 

and events of default or termination. Under an ISDA Master Agreement, a Portfolio typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of a Portfolio’s net liability, held by the defaulting party, may be delayed or denied.

A Portfolio’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of a Portfolio decline below specific levels (“net asset contingent features”). If these levels are triggered, a Portfolio’s OTC counterparty has the right to terminate such transaction and require the Portfolio to pay or receive a settlement amount in connection with the terminated transaction. For additional details, please refer to netting arrangements by the OTC counterparty tables below.

During the six months ended March 31, 2018, the Portfolios had entered into the following derivatives:

 

OVERLAY A PORTFOLIO    ASSET DERIVATIVES     LIABILITY DERIVATIVES  
DERIVATIVE TYPE    STATEMENT OF ASSETS
AND LIABILITIES
LOCATION		    FAIR VALUE     STATEMENT OF ASSETS
AND LIABILITIES LOCATION		    FAIR VALUE  

Interest rate contracts

   

Receivable/Payable for variation margin on futures

    $ 5,463,986 *   

Receivable/Payable for variation margin on futures

    $ 154,517 * 

Equity contracts

   

Receivable/Payable for variation margin on futures

      16,902,320 *   

Receivable/Payable for variation margin on futures

      1,908,307 * 

Foreign currency contracts

   

Unrealized appreciation on forward currency exchange contracts

      7,305,677    

Unrealized depreciation on forward currency exchange contracts

      6,668,263  

Total

         $ 29,671,983          $ 8,731,087  

 

  * Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the schedule of investments.

 

DERIVATIVE TYPE   

LOCATION OF GAIN OR (LOSS)  ON
DERIVATIVES WITHIN STATEMENT

OF OPERATIONS

   

REALIZED GAIN

OR (LOSS) ON

DERIVATIVES

     CHANGE IN UNREALIZED
APPRECIATION OR
(DEPRECIATION)		  

Interest rate contracts

   

Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures

    $ (1,088,575 )    $ 8,608,946  

Equity contracts

   

Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures

      (3,648,140 )      10,188,096  

Foreign currency contracts

   

Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts

      1,498,915       (1,816,753 ) 

Total

         $ (3,237,800 )    $ 16,980,289  

 

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TAX-AWARE

OVERLAY A PORTFOLIO

    ASSET DERIVATIVES     LIABILITY DERIVATIVES  
DERIVATIVE TYPE   

STATEMENT OF ASSETS

AND LIABILITIES

LOCATION

    FAIR VALUE    

STATEMENT OF ASSETS

AND LIABILITIES LOCATION

    FAIR VALUE  

Interest rate contracts

   

Receivable/Payable for variation margin on futures

    $ 7,547,220 *   

Receivable/Payable for variation margin on futures

    $ 72,321 * 

Equity contracts

   

Receivable/Payable for variation margin on futures

      35,334,097 *   

Receivable/Payable for variation margin on futures

      3,918,687 * 

Foreign currency contracts

   

Unrealized appreciation on forward currency exchange contracts

      14,946,435    

Unrealized depreciation on forward currency exchange contracts

      14,414,749  

Total

         $ 57,827,752          $ 18,405,757  

 

  * Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the schedule of investments.

 

DERIVATIVE TYPE    LOCATION OF GAIN OR  (LOSS) ON
DERIVATIVES WITHIN STATEMENT
OF OPERATIONS		    REALIZED GAIN
OR (LOSS) ON
DERIVATIVES		     CHANGE IN UNREALIZED
APPRECIATION OR
(DEPRECIATION)		  

Interest rate contracts

   

Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures

    $ (8,835,919 )    $ 15,347,197  

Equity contracts

   

Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures

      (22,201,303 )      24,780,433  

Foreign currency contracts

   

Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts

      4,276,836       (4,447,451 ) 

Interest rate contracts

   

Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps

      (19,270 )      0  

Total

         $ (26,779,656 )    $ 35,680,179  

 

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Notes to Financial Statements (continued)

 

 

OVERLAY B PORTFOLIO    ASSET DERIVATIVES           LIABILITY DERIVATIVES        
DERIVATIVE TYPE    STATEMENT OF ASSETS
AND LIABILITIES
LOCATION		    FAIR VALUE     STATEMENT OF ASSETS
AND LIABILITIES LOCATION		    FAIR VALUE  

Interest rate contracts

   

Receivable/Payable for variation margin on futures

    $ 3,904,254 *   

Receivable/Payable for variation margin on futures

    $ 1,284,144 * 

Equity contracts

   

Receivable/Payable for variation margin on futures

      1,633,491 *   

Receivable/Payable for variation margin on futures

      2,184,586 * 

Interest rate contracts

   

Receivable/Payable for variation margin on centrally cleared swaps

      1,224,239 *   

Receivable/Payable for variation margin on centrally cleared swaps

      87,465 * 

Foreign currency contracts

   

Unrealized appreciation on forward currency exchange contracts

      4,091,998    

Unrealized depreciation on forward currency exchange contracts

      3,253,760  

Interest rate contracts

   

Unrealized appreciation on inflation swaps

      332,085       

Credit contracts

   

Unrealized appreciation on credit default swaps

      42,783    

Unrealized depreciation on credit default swaps

      685,317  

Equity contracts

   

Unrealized appreciation on variance swaps

      115    

Unrealized depreciation on variance swaps

      220  

Total

         $ 11,228,965          $ 7,495,492  

 

  * Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the schedule of investments.

 

DERIVATIVE TYPE   

LOCATION OF GAIN OR (LOSS)  ON

DERIVATIVES WITHIN STATEMENT
OF OPERATIONS

    REALIZED GAIN
OR (LOSS)  ON
DERIVATIVES		     CHANGE IN  UNREALIZED
APPRECIATION OR
(DEPRECIATION)		  

Interest rate contracts

   

Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures

    $ 3,576,692     $ 2,864,126  

Equity contracts

   

Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures

      9,667,934       (3,628,813 ) 

Foreign currency contracts

   

Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts

      (13,422 )      1,468,447  

Interest rate contracts

   

Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps

      363,780       1,004,049  

Credit contracts

   

Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps

      242,949       80,807  

Equity contracts

   

Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps

      858,613       (444,997 ) 

Total

         $ 14,696,546     $ 1,343,619  

 

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TAX-AWARE

OVERLAY B PORTFOLIO

    ASSET DERIVATIVES     LIABILITY DERIVATIVES  
DERIVATIVE TYPE    STATEMENT OF ASSETS
AND LIABILITIES
LOCATION		    FAIR VALUE     STATEMENT OF ASSETS
AND LIABILITIES LOCATION		    FAIR VALUE  

Equity contracts

   

Receivable/Payable for variation margin on futures

    $ 3,522,261 *   

Receivable/Payable for variation margin on futures

    $ 2,868,359 * 

Foreign currency contracts

   

Unrealized appreciation on forward currency exchange contracts

      2,770,176    

Unrealized depreciation on forward currency exchange contracts

      2,645,087  

Interest rate contracts

   

Unrealized appreciation on inflation swaps

      4,870,347    

Unrealized depreciation on inflation swaps

      1,392,092  

Credit contracts

   

Unrealized appreciation on credit default swaps

      79,127    

Unrealized depreciation on credit default swaps

      7,064  

Total

         $ 11,241,911          $ 6,912,602  

 

  * Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the schedule of investments.

 

DERIVATIVE TYPE    LOCATION OF GAIN OR  (LOSS) ON
DERIVATIVES WITHIN
STATEMENT OF OPERATIONS		    REALIZED GAIN
OR (LOSS) ON
DERIVATIVES		     CHANGE IN  UNREALIZED
APPRECIATION OR
(DEPRECIATION)		  

Interest rate contracts

   

Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures

    $ 4,419,467     $ 0  

Equity contracts

   

Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures

      5,250,675       (5,145,059 ) 

Foreign currency contracts

   

Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts

      2,028,723       (926,358 ) 

Interest rate contracts

   

Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps

      (887,868 )      5,403,479  

Credit contracts

   

Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps

      47,689       72,063  

Equity contracts

   

Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps

      4,814,986       (4,173,306 ) 

Total

         $ 15,673,672     $ (4,769,181 ) 

 

2018 Semi-Annual Report     125  

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Notes to Financial Statements (continued)

 

 

TAX-AWARE

OVERLAY C PORTFOLIO

    ASSET DERIVATIVES     LIABILITY DERIVATIVES  
DERIVATIVE TYPE   

STATEMENT OF ASSETS

AND LIABILITIES

LOCATION

    FAIR VALUE     STATEMENT OF ASSETS
AND LIABILITIES LOCATION		    FAIR VALUE  

Equity contracts

   

Receivable/Payable for variation margin on futures

    $ 1,492,571 *   

Receivable/Payable for variation margin on futures

    $ 905,879 * 

Foreign currency contracts

   

Unrealized appreciation on forward currency exchange contracts

      854,834    

Unrealized depreciation on forward currency exchange contracts

      778,602  

Interest rate contracts

   

Unrealized appreciation on inflation swaps

      1,524,017    

Unrealized depreciation on inflation swaps

      341,485  

Credit contracts

   

Unrealized appreciation on credit default swaps

      29,265    

Unrealized depreciation on credit default swaps

      2,072  

Total

         $ 3,900,687          $ 2,028,038  

 

  * Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the schedule of investments.

 

DERIVATIVE TYPE    LOCATION OF GAIN OR  (LOSS) ON
DERIVATIVES WITHIN
STATEMENT OF OPERATIONS		    REALIZED GAIN
OR (LOSS) ON
DERIVATIVES		     CHANGE IN UNREALIZED
APPRECIATION OR
(DEPRECIATION)		  

Interest rate contracts

   

Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures

    $ 1,331,202     $ 0  

Equity contracts

   

Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures

      2,178,817       (1,306,154 ) 

Foreign currency contracts

   

Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts

      617,254       (232,268 ) 

Interest rate contracts

   

Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps

      (295,956 )      1,648,544  

Credit contracts

   

Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps

      15,191       27,193  

Equity contracts

   

Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps

      1,418,126       (1,229,137 ) 

Total

         $ 5,264,634     $ (1,091,822 ) 

 

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Table of Contents
TAX-AWARE OVERLAY N
PORTFOLIO		    ASSET DERIVATIVES     LIABILITY DERIVATIVES  
DERIVATIVE TYPE   

STATEMENT OF ASSETS

AND LIABILITIES

LOCATION

    FAIR VALUE    

STATEMENT OF ASSETS

AND LIABILITIES LOCATION

    FAIR VALUE  

Equity contracts

   

Receivable/Payable for variation margin on futures

    $ 695,796 *   

Receivable/Payable for variation margin on futures

    $ 685,645 * 

Foreign currency contracts

   

Unrealized appreciation on forward currency exchange contracts

      664,354    

Unrealized depreciation on forward currency exchange contracts

      618,597  

Interest rate contracts

   

Unrealized appreciation on inflation swaps

      1,173,490    

Unrealized depreciation on inflation swaps

      259,348  

Credit contracts

   

Unrealized appreciation on credit default swaps

      23,837    

Unrealized depreciation on credit default swaps

      1,687  

Total

         $ 2,557,477          $ 1,565,277  

 

  * Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the schedule of investments.

 

DERIVATIVE TYPE    LOCATION OF GAIN OR  (LOSS) ON
DERIVATIVES WITHIN
STATEMENT OF OPERATIONS		    REALIZED GAIN
OR (LOSS)  ON
DERIVATIVES		     CHANGE IN  UNREALIZED
APPRECIATION OR
(DEPRECIATION)		  

Interest rate contracts

   

Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures

    $ 1,044,879     $ 0  

Equity contracts

   

Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures

      1,526,584       (1,379,812 ) 

Foreign currency contracts

   

Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts

      495,588       (213,591 ) 

Interest rate contracts

   

Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps

      (197,304 )      1,219,994  

Credit contracts

   

Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps

      12,380       22,150  

Equity contracts

   

Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps

      1,164,498       (1,009,309 ) 

Total

         $ 4,046,625     $ (1,360,568 ) 

 

2018 Semi-Annual Report     127  

Table of Contents

Notes to Financial Statements (continued)

 

The following tables represent the average monthly volume of the Portfolios’ derivative transactions during the six months ended March 31, 2018:

 

OVERLAY A PORTFOLIO                  

Futures:

        

Average original value of buy contracts

    $ 645,163,240       

Average original value of sale contracts

    $ 367,106,061       

Forward Currency Exchange Contracts:

        

Average principal amount of buy contracts

    $ 476,049,777       

Average principal amount of sale contracts

    $ 532,265,470             
TAX-AWARE OVERLAY A PORTFOLIO                  

Futures:

        

Average original value of buy contracts

    $ 1,256,987,264       

Average original value of sale contracts

    $ 670,283,179       

Forward Currency Exchange Contracts:

        

Average principal amount of buy contracts

    $ 983,774,990       

Average principal amount of sale contracts

    $ 1,095,508,087             
OVERLAY B PORTFOLIO                  

Futures:

        

Average original value of buy contracts

    $ 480,848,070       

Average original value of sale contracts

    $ 401,450,241       

Forward Currency Exchange Contracts:

        

Average principal amount of buy contracts

    $ 208,947,606       

Average principal amount of sale contracts

    $ 373,974,077       

Inflation Swaps:

        

Average notional amount

    $ 14,980,000       

Centrally Cleared Interest Rate Swaps:

        

Average notional amount

    $ 114,343,266       

Credit Default Swaps:

        

Average notional amount of buy contracts

    $ 11,119,000       

Average notional amount of sale contracts

    $ 13,933,286       

Centrally Cleared Credit Default Swaps:

        

Average notional amount of buy contracts

    $ 2,720,000  (a)      

Average notional amount of sale contracts

    $ 3,410,000  (b)      

Total Return Swaps:

        

Average notional amount

    $ 15,558,560  (c)      

Variance Swaps:

        

Average notional amount

    $ 847,961  (d)            

(a) Positions were open for less than one month during the period.

        

(b) Positions were open for five months during the period.

        

(c) Positions were open for one month during the period.

        

(d) Positions were open for three months during the period.

        

 

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TAX-AWARE OVERLAY B PORTFOLIO                  

Futures:

        

Average original value of buy contracts

    $ 291,815,473       

Average original value of sale contracts

    $ 132,169,875       

Forward Currency Exchange Contracts:

        

Average principal amount of buy contracts

    $ 219,004,863       

Average principal amount of sale contracts

    $ 147,996,139       

Inflation Swaps:

        

Average notional amount

    $ 265,137,143       

Credit Default Swaps:

        

Average notional amount of sale contracts

    $ 6,427,000  (a)      

Total Return Swaps:

        

Average notional amount

    $ 21,610,515  (b)            

(a) Positions were open for five months during the period.

        

(b) Positions were open for one month during the period.

        
TAX-AWARE OVERLAY C PORTFOLIO                  

Futures:

        

Average original value of buy contracts

    $ 89,263,086       

Average original value of sale contracts

    $ 42,732,920       

Forward Currency Exchange Contracts:

        

Average principal amount of buy contracts

    $ 67,664,061       

Average principal amount of sale contracts

    $ 43,928,050       

Inflation Swaps:

        

Average notional amount

    $ 79,094,286       

Credit Default Swaps:

        

Average notional amount of sale contracts

    $ 2,073,800  (a)      

Total Return Swaps:

        

Average notional amount

    $ 6,364,807  (b)            

(a) Positions were open for five months during the period.

        

(b) Positions were open for one month during the period.

        

 

2018 Semi-Annual Report     129  

Table of Contents

Notes to Financial Statements (continued)

 

TAX-AWARE OVERLAY N PORTFOLIO                  

Futures:

        

Average original value of buy contracts

    $ 72,123,385       

Average original value of sale contracts

    $ 30,540,836       

Forward Currency Exchange Contracts:

        

Average principal amount of buy contracts

    $ 52,490,501       

Average principal amount of sale contracts

    $ 35,273,247       

Inflation Swaps:

        

Average notional amount

    $ 58,271,429       

Credit Default Swaps:

        

Average notional amount of sale contracts

    $ 1,689,600  (a)      

Total Return Swaps:

        

Average notional amount

    $ 5,226,478  (b)            

(a) Positions were open for five months during the period.

        

(b) Positions were open for one month during the period.

        

For financial reporting purposes, the Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.

All OTC derivatives held at period end were subject to netting arrangements. The following tables present the Portfolios’ derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements and net of the related collateral received/pledged by the Portfolios as of March 31, 2018.

Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the tables.

 

OVERLAY A PORTFOLIO

 

        
COUNTERPARTY   DERIVATIVE
ASSETS
SUBJECT TO  A MA		     DERIVATIVE
AVAILABLE  FOR
OFFSET		     CASH
COLLATERAL
RECEIVED*		     SECURITY
COLLATERAL
RECEIVED*		     NET AMOUNT  OF
DERIVATIVES
ASSETS		  

Bank of America, NA

   $ 171,929     $ (171,929 )    $ 0     $ 0     $ 0  

Barclays Bank PLC

     331,048       0       0       0       331,048  

BNP Paribas SA

     296,457       (296,457 )      0       0       0  

Citibank, NA

     709,807       (709,807 )      0       0       0  

Credit Suisse International

     999,946       (999,946 )      0       0       0  

Deutsche Bank AG

     1,116,412       0       0       0       1,116,412  

Goldman Sachs Bank USA

     896,720       0       (790,000 )      0       106,720  

JPMorgan Chase Bank, NA

     384,601       (384,601 )      0       0       0  

Morgan Stanley & Co., Inc.

     281,124       (163,100 )      0       0       118,024  

Royal Bank of Scotland PLC

     572,921       (446,916 )      0       0       126,005  

Standard Chartered Bank

     1,543,429       0       0       0       1,543,429  

State Street Bank & Trust Co.

     1,283       0       0       0       1,283  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 7,305,677     $ (3,172,756 )    $ (790,000 )    $             0     $ 3,342,921 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

130   Sanford C. Bernstein Fund, Inc.

Table of Contents
COUNTERPARTY   DERIVATIVE
LIABILITIES
SUBJECT TO
A MA		      DERIVATIVE
AVAILABLE  FOR
OFFSET		      CASH
COLLATERAL
PLEDGED*		      SECURITY
COLLATERAL
PLEDGED*		      NET AMOUNT  OF
DERIVATIVES
LIABILITIES		  

Bank of America, NA

   $ 903,288      $ (171,929 )     $ 0      $ 0      $ 731,359  

BNP Paribas SA

     877,828        (296,457 )       0        (361,889 )       219,482  

Citibank, NA

     874,371        (709,807 )       0        0        164,564  

Credit Suisse International

     1,029,998        (999,946 )       0        0        30,052  

JPMorgan Chase Bank, NA

     2,372,762        (384,601 )       0        0        1,988,161  

Morgan Stanley & Co., Inc.

     163,100        (163,100 )       0        0        0  

Royal Bank of Scotland PLC

     446,916        (446,916 )       0        0        0  
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total

   $ 6,668,263      $ (3,172,756 )     $             0      $ (361,889 )     $ 3,133,618 ^ 
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  * The actual collateral received/pledged may be more than the amount reported due to over-collateralization.

 

  ^ Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty.

 

TAX-AWARE OVERLAY A PORTFOLIO

 

        
COUNTERPARTY   DERIVATIVE
ASSETS
SUBJECT TO  A MA		     DERIVATIVE
AVAILABLE  FOR
OFFSET		     CASH
COLLATERAL
RECEIVED*		     SECURITY
COLLATERAL
RECEIVED*		     NET AMOUNT  OF
DERIVATIVES
ASSETS		  

Bank of America, NA

   $ 325,123     $ (325,123 )    $ 0     $ 0     $ 0  

Barclays Bank PLC

     670,934       0       0       0       670,934  

BNP Paribas SA

     619,574       (619,574 )      0       0       0  

Citibank, NA

     1,493,874       (1,493,874 )      0       0       0  

Credit Suisse International

     2,063,987       (2,063,987 )      0       0       0  

Deutsche Bank AG

     2,086,980       0       0       0       2,086,980  

Goldman Sachs Bank USA

     1,850,743       0       (1,620,000 )      0       230,743  

JPMorgan Chase Bank, NA

     800,151       (800,151 )      0       0       0  

Morgan Stanley & Co., Inc.

     588,813       (340,197 )      0       0       248,616  

Royal Bank of Scotland PLC

     1,195,064       (972,577 )      0       0       222,487  

Standard Chartered Bank

     3,251,192       0       0       0       3,251,192  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 14,946,435     $ (6,615,483 )    $ (1,620,000 )    $             0     $ 6,710,952 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
COUNTERPARTY   DERIVATIVE
LIABILITIES
SUBJECT  TO A MA		     DERIVATIVE
AVAILABLE  FOR
OFFSET		     CASH
COLLATERAL
PLEDGED*		     SECURITY
COLLATERAL
PLEDGED*		     NET AMOUNT OF
DERIVATIVES
LIABILITIES		  

Bank of America, NA

   $ 1,881,770     $ (325,123 )    $ 0     $ 0     $ 1,556,647  

BNP Paribas SA

     1,839,078       (619,574 )      0       (764,115 )      455,389  

Citibank, NA

     1,720,430       (1,493,874 )      0       0       226,556  

Credit Suisse International

     2,166,513       (2,063,987 )      0       0       102,526  

JPMorgan Chase Bank, NA

     5,356,275       (800,151 )      0       0       4,556,124  

Morgan Stanley & Co., Inc.

     340,197       (340,197 )      0       0       0  

Royal Bank of Scotland PLC

     972,577       (972,577 )      0       0       0  

UBS AG

     137,909       0       0       0       137,909  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 14,414,749     $ (6,615,483 )    $             0     $ (764,115 )    $ 7,035,151 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

  * The actual collateral received/pledged may be more than the amount reported due to over-collateralization.

 

  ^ Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty.

 

2018 Semi-Annual Report     131  

Table of Contents

Notes to Financial Statements (continued)

 

 

Overlay B Portfolio

          
COUNTERPARTY   DERIVATIVE
ASSETS
SUBJECT TO  A MA		     DERIVATIVE
AVAILABLE  FOR
OFFSET		     CASH
COLLATERAL
RECEIVED*		     SECURITY
COLLATERAL
RECEIVED*		     NET AMOUNT  OF
DERIVATIVES
ASSETS		  

Australia and New Zealand Banking Group Ltd.

   $ 2,480     $ 0     $ 0     $ 0     $ 2,480  

Bank of America, NA

     610,053       (187,313 )      0       0       422,740  

Barclays Bank PLC

     195,619       (41,963 )      0       0       153,656  

BNP Paribas SA

     214,410       (214,410 )      0       0       0  

Citibank, NA

     223,320       (223,320 )      0       0       0  

Citigroup Global Markets, Inc.

     13       (13 )      0       0       0  

Credit Suisse International

     281,141       (281,141 )      0       0       0  

Deutsche Bank AG

     173,704       (173,704 )      0       0       0  

Goldman Sachs Bank USA/Goldman Sachs International

     222,724       (222,724 )      0       0       0  

HSBC Bank USA

     933,669       (933,669 )      0       0       0  

JPMorgan Chase Bank, NA

     836,953       (749,949 )      0       0       87,004  

Morgan Stanley & Co., Inc./Morgan Stanley Capital Services LLC

     63,954       (63,954 )      0       0       0  

Royal Bank of Scotland PLC

     191,338       (191,338 )      0       0       0  

Standard Chartered Bank

     365,789       (576 )      0       0       365,213  

State Street Bank & Trust Co.

     113,163       (4,775 )      0       0       108,388  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 4,428,330     $ (3,288,849 )    $             0     $ 0     $   1,139,481 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
COUNTERPARTY   DERIVATIVE
LIABILITIES
SUBJECT TO A MA		     DERIVATIVE
AVAILABLE  FOR
OFFSET		     CASH
COLLATERAL
PLEDGED*		     SECURITY
COLLATERAL
PLEDGED*		     NET AMOUNT OF
DERIVATIVES
LIABILITIES		  

Bank of America, NA

   $ 187,313     $ (187,313 )    $ 0     $ 0     $ 0  

Barclays Bank PLC

     41,963       (41,963 )      0       0       0  

BNP Paribas SA

     222,773       (214,410 )      0       0       8,363  

Citibank, NA

     266,423       (223,320 )      0       0       43,103  

Citigroup Global Markets, Inc.

     186,133       (13 )      0       0       186,120  

Credit Suisse International

     657,343       (281,141 )      0       (291,472 )      84,730  

Deutsche Bank AG

     699,585       (173,704 )      0       (525,881 )      0  

Goldman Sachs Bank USA/Goldman Sachs International

     858,777       (222,724 )      0       (636,053 )      0  

HSBC Bank USA

     1,050,276       (933,669 )      0       0       116,607  

JPMorgan Chase Bank, NA

     749,949       (749,949 )      0       0       0  

Morgan Stanley & Co., Inc./Morgan Stanley Capital Services LLC

     148,069       (63,954 )      0       0       84,115  

Royal Bank of Scotland PLC

     302,076       (191,338 )      0       0       110,738  

Standard Chartered Bank

     576       (576 )      0       0       0  

State Street Bank & Trust Co.

     4,775       (4,775 )      0       0       0  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 5,376,031     $ (3,288,849 )    $             0     $ (1,453,406 )    $ 633,776 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

  * The actual collateral received/pledged may be more than the amount reported due to over-collateralization.

 

  ^ Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty.

 

132   Sanford C. Bernstein Fund, Inc.

Table of Contents

TAX-AWARE OVERLAY B PORTFOLIO

 

COUNTERPARTY   DERIVATIVE
ASSETS
SUBJECT TO  A MA		     DERIVATIVE
AVAILABLE  FOR
OFFSET		     CASH
COLLATERAL
RECEIVED*		     SECURITY
COLLATERAL
RECEIVED*		     NET AMOUNT  OF
DERIVATIVES
ASSETS		  

Bank of America, NA

   $ 469,860     $ (305,616 )    $ 0     $ 0     $ 164,244  

Barclays Bank PLC

     340,629       (340,629 )      0       0       0  

BNP Paribas SA

     94,881       (94,881 )      0       0       0  

Citibank, NA

     1,762,047       (808,536 )      (953,511 )      0       0  

Credit Suisse International

     370,698       (370,698 )      0       0       0  

Deutsche Bank AG

     993,213       (84,119 )      (510,000 )      (109,728 )      289,366  

Goldman Sachs Bank USA/ Goldman Sachs International

     318,894       (106,979 )      (211,915 )      0       0  

JPMorgan Chase Bank, NA

     1,276,337       (716,707 )      (559,630 )      0       0  

Morgan Stanley & Co., Inc./Morgan Stanley Capital Services LLC

     1,066,045       (59,866 )      (800,000 )      0       206,179  

Royal Bank of Scotland PLC

     179,334       (179,334 )      0       0       0  

Standard Chartered Bank

     768,585       0       0       0       768,585  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 7,640,523     $ (3,067,365 )    $ (3,035,056 )    $ (109,728 )    $ 1,428,374 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
COUNTERPARTY   DERIVATIVE
LIABILITIES
SUBJECT TO A MA		     DERIVATIVE
AVAILABLE FOR
OFFSET		     CASH
COLLATERAL
PLEDGED*		     SECURITY
COLLATERAL
PLEDGED*		     NET AMOUNT OF
DERIVATIVES
LIABILITIES		  

Bank of America, NA

   $ 305,616     $ (305,616 )    $ 0     $ 0     $ 0  

Barclays Bank PLC

     902,343       (340,629 )      0       (404,918 )      156,796  

BNP Paribas SA

     329,192       (94,881 )      0       0       234,311  

Citibank, NA

     808,536       (808,536 )      0       0       0  

Credit Suisse International

     586,840       (370,698 )      0       0       216,142  

Deutsche Bank AG

     84,119       (84,119 )      0       0       0  

Goldman Sachs Bank USA/ Goldman Sachs International

     106,979       (106,979 )      0       0       0  

JPMorgan Chase Bank, NA

     716,707       (716,707 )      0       0       0  

Morgan Stanley & Co., Inc./Morgan Stanley Capital Services LLC

     59,866       (59,866 )      0       0       0  

Royal Bank of Scotland PLC

     454,793       (179,334 )      0       0       275,459  

State Street Bank & Trust Co.

     646       0       0       0       646  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 4,355,637     $ (3,067,365 )    $ 0     $ (404,918 )    $ 883,354 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

  * The actual collateral received/pledged may be more than the amount reported due to over-collateralization.

 

  ^ Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty.

 

2018 Semi-Annual Report     133  

Table of Contents

Notes to Financial Statements (continued)

 

 

TAX-AWARE OVERLAY C PORTFOLIO

 

        
COUNTERPARTY   DERIVATIVE
ASSETS
SUBJECT TO  A MA		     DERIVATIVE
AVAILABLE
FOR OFFSET		     CASH
COLLATERAL
RECEIVED*		     SECURITY
COLLATERAL
RECEIVED*		     NET AMOUNT  OF
DERIVATIVES
ASSETS		  

Bank of America, NA

   $ 156,746     $ (92,553 )    $ 0     $ 0     $ 64,193  

Barclays Bank PLC

     69,511       (69,511 )      0       0       0  

BNP Paribas SA

     28,531       (28,531 )      0       0       0  

Citibank, NA

     531,078       (206,456 )      (260,000 )      0       64,622  

Credit Suisse International

     112,766       (112,766 )      0       0       0  

Deutsche Bank AG

     317,589       (24,685 )      (190,000 )      0       102,904  

Goldman Sachs Bank USA/Goldman Sachs International

     96,079       (31,397 )      0       0       64,682  

JPMorgan Chase Bank, NA

     279,903       (198,398 )      (81,505 )      0       0  

Morgan Stanley & Co., Inc./Morgan Stanley Capital Services LLC

     490,769       (18,160 )      (260,000 )      0       212,609  

Royal Bank of Scotland PLC

     54,103       (54,103 )      0       0       0  

Standard Chartered Bank

     241,776       0       0       0       241,776  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 2,378,851     $ (836,560 )    $ (791,505 )    $             0     $ 750,786 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
COUNTERPARTY   DERIVATIVE
LIABILITIES
SUBJECT TO A MA		     DERIVATIVE
AVAILABLE
FOR OFFSET		     CASH
COLLATERAL
PLEDGED*		     SECURITY
COLLATERAL
PLEDGED*		     NET AMOUNT OF
DERIVATIVES
LIABILITIES		  

Bank of America, NA

   $ 92,553     $ (92,553 )    $ 0     $ 0     $ 0  

Barclays Bank PLC

     229,542       (69,511 )      0       (160,031 )      0  

BNP Paribas SA

     98,437       (28,531 )      0       0       69,906  

Citibank, NA

     206,456       (206,456 )      0       0       0  

Credit Suisse International

     197,216       (112,766 )      0       0       84,450  

Deutsche Bank AG

     24,685       (24,685 )      0       0       0  

Goldman Sachs Bank USA/Goldman Sachs International

     31,397       (31,397 )      0       0       0  

JPMorgan Chase Bank, NA

     198,398       (198,398 )      0       0       0  

Morgan Stanley & Co., Inc./Morgan Stanley Capital Services LLC

     18,160       (18,160 )      0       0       0  

Royal Bank of Scotland PLC

     136,907       (54,103 )      0       0       82,804  

State Street Bank & Trust Co.

     296       0       0       0       296  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 1,234,047     $ (836,560 )    $             0     $ (160,031 )    $ 237,456 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

  * The actual collateral received/pledged may be more than the amount reported due to over-collateralization.

 

  ^ Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty.

 

134   Sanford C. Bernstein Fund, Inc.

Table of Contents

TAX-AWARE OVERLAY N PORTFOLIO

 

        
COUNTERPARTY   DERIVATIVE
ASSETS
SUBJECT TO  A MA		     DERIVATIVE
AVAILABLE
FOR OFFSET		     CASH
COLLATERAL
RECEIVED*		     SECURITY
COLLATERAL
RECEIVED*		     NET AMOUNT  OF
DERIVATIVES
ASSETS		  

Bank of America, NA

   $ 121,869     $ (71,685 )    $ 0     $ 0     $ 50,184  

Barclays Bank PLC

     46,525       (46,525 )      0       0       0  

BNP Paribas SA

     22,226       (22,226 )      0       0       0  

Citibank, NA

     478,959       (140,690 )      (280,000 )      0       58,269  

Credit Suisse International

     88,284       (88,284 )      0       0       0  

Deutsche Bank AG

     280,075       (20,133 )      (160,000 )      0       99,942  

Goldman Sachs Bank USA/Goldman Sachs International

     75,193       (25,617 )      (30,000 )      0       19,576  

JPMorgan Chase Bank, NA

     282,470       (165,933 )      (116,537 )      0       0  

Morgan Stanley & Co., Inc./Morgan Stanley Capital Services LLC

     217,797       (14,117 )      0       0       203,680  

Royal Bank of Scotland PLC

     42,205       (42,205 )      0       0       0  

Standard Chartered Bank

     182,241       0       0       0       182,241  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 1,837,844     $ (637,415 )    $ (586,537 )    $             0     $ 613,892 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
COUNTERPARTY   DERIVATIVE
LIABILITIES
SUBJECT  TO A MA		     DERIVATIVE
AVAILABLE
FOR OFFSET		     CASH
COLLATERAL
PLEDGED*		     SECURITY
COLLATERAL
PLEDGED*		     NET AMOUNT OF
DERIVATIVES
LIABILITIES		  

Bank of America, NA

   $ 71,685     $ (71,685 )    $ 0     $ 0     $ 0  

Barclays Bank PLC

     192,882       (46,525 )      0       (146,357 )      0  

BNP Paribas SA

     77,712       (22,226 )      0       0       55,486  

Citibank, NA

     140,690       (140,690 )      0       0       0  

Credit Suisse International

     155,017       (88,284 )      0       0       66,733  

Deutsche Bank AG

     20,133       (20,133 )      0       0       0  

Goldman Sachs Bank USA/Goldman Sachs International

     25,617       (25,617 )      0       0       0  

JPMorgan Chase Bank, NA

     165,933       (165,933 )      0       0       0  

Morgan Stanley & Co., Inc./Morgan Stanley Capital Services LLC

     14,117       (14,117 )      0       0       0  

Royal Bank of Scotland PLC

     106,928       (42,205 )      0       0       64,723  

State Street Bank & Trust Co.

     9       0       0       0       9  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 970,723     $ (637,415 )    $             0     $ (146,357 )    $ 186,951 ^ 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

  * The actual collateral received/pledged may be more than the amount reported due to over-collateralization.

 

  ^ Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty.

 

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C.   Currency Transactions

The Portfolios may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Portfolios may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Portfolios may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Portfolios and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Portfolios may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).

 

D.   TBA

The Portfolios may invest in TBA mortgage-backed securities. A TBA, or “To Be Announced”, trade represents a contract for the purchase or sale of mortgage-backed securities to be delivered at a future agree-upon date; however, the specific mortgage pool numbers or the number of pools that will be delivered to fulfill the trade obligation or terms of the contract are unknown at the time of the trade. Mortgage pools (including fixed-rate or variable-rate mortgages) guaranteed by the Government National Mortgage Association, or GNMA, the Federal National Mortgage Association, or FNMA, or the Federal Home Loan Mortgage Corporation, or FHLMC, are subsequently allocated to the TBA transactions.

 

NOTE 4. Distributions to Shareholders

The tax character of distributions to be paid for the year ending September 30, 2018 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended September 30, 2017 and September 30, 2016 were as follows:

 

PORTFOLIO    2017        2016  

Overlay A

        

Distributions paid from:

        

Ordinary income

    $ 11,662,754        $ 8,745,277  

Long-term capital gains

      0          76,448,898  
  

 

 

       

 

 

  

Total distributions paid

    $ 11,662,754        $ 85,194,175  
  

 

 

       

 

 

  
       

Tax-Aware Overlay A

                    

Distributions paid from:

        

Ordinary income

    $ 23,304,471        $ 15,585,456  

Long-term capital gains

      0          154,670,784  
  

 

 

       

 

 

  

Total distributions paid

    $ 23,304,471        $ 170,256,240  
  

 

 

       

 

 

  
       

Overlay B

                    

Distributions paid from:

        

Ordinary income

    $ 28,460,071        $ 15,974  

Long-term capital gains

      0          16,349,431  
  

 

 

       

 

 

  

Total distributions paid

    $ 28,460,071        $ 16,365,405  
  

 

 

       

 

 

  
       

Tax-Aware Overlay B

                    

Distributions paid from:

        

Ordinary income

    $ 23,433,683        $ 6,238,683  

Long-term capital gains

      0          3,054,395  
  

 

 

       

 

 

  

Total taxable distributions

      23,433,683          9,293,078  

Tax exempt distributions

      23,538,089          17,785,456  
  

 

 

       

 

 

  

Total distributions paid

    $ 46,971,772        $ 27,078,534  
  

 

 

       

 

 

  
       

 

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PORTFOLIO    2017        2016  

Tax-Aware Overlay C

                    

Distributions paid from:

        

Ordinary income

    $ 6,171,990        $ 2,447,833  

Long-term capital gains

      0          1,730,441  
  

 

 

       

 

 

  

Total taxable distributions

      6,171,990          4,178,274  

Tax exempt distributions

      3,724,239          5,396,111  
  

 

 

       

 

 

  

Total distributions paid

    $ 9,896,229        $ 9,574,385  
  

 

 

       

 

 

  
       

Tax-Aware Overlay N

                    

Distributions paid from:

        

Ordinary income

    $ 5,745,913        $ 1,820,673  

Long-term capital gains

      0          871,649  
  

 

 

       

 

 

  

Total taxable distributions

      5,745,913          2,692,322  

Tax exempt distributions

      3,458,846          4,623,098  
  

 

 

       

 

 

  

Total distributions paid

    $ 9,204,759        $ 7,315,420  
  

 

 

       

 

 

  

As of September 30, 2017, the components of accumulated earnings/(deficit) on a tax basis were as follows:

 

PORTFOLIO  

UNDISTRIBUTED

ORDINARY

INCOME(a)

      UNDISTRIBUTED
LONG-TERM
GAINS		     

ACCUMULATED

CAPITAL AND

OTHER

(LOSSES)(b)

     

UNREALIZED

APPRECIATION/
(DEPRECIATION)(c)

     

TOTAL

ACCUMULATED

EARNINGS/

(DEFICIT)(d)

  

Overlay A

   $ 18,619,078      $ 0      $ (28,370,887 )     $ 379,347,314      $ 369,595,505  

Tax-Aware Overlay A

     41,778,291        2,741,037        0        844,066,822        888,586,150  

Overlay B

     28,704,577        0        (645,891 )       43,839,456        71,898,142  

Tax-Aware Overlay B

     45,804,571        23,100,277        0        103,091,592        171,996,440  

Tax-Aware Overlay C

     13,469,626        6,029,472        0        28,684,445        48,183,543  

Tax-Aware Overlay N

     10,846,796        4,655,672        0        23,857,284        39,359,752  

 

  (a) Includes tax exempt income as shown below:

 

PORTFOLIO        

Tax-Aware Overlay B

    $ 17,472,856  

Tax-Aware Overlay C

      5,009,837  

Tax-Aware Overlay N

      3,735,501  

 

  (b) As of September 30, 2017, certain Portfolios had capital loss carryforwards for federal income tax purposes. During the fiscal year ended September 30, 2017, Overlay A Portfolio, Tax-Aware Overlay A Portfolio and Overlay B Portfolio utilized capital loss carryforwards of $85,146,366, $194,256,985, and $10,983,329 respectively to offset current year net realized gains. As of September 30, 2017 Overlay B Portfolio deferred $645,891 in straddle losses.

 

  (c) The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the tax deferral of losses on wash sales, the tax treatment of swaps and passive foreign investment companies (PFICs), the realization for tax purposes of gains/losses on certain derivative instruments, and the tax treatment of Treasury inflation-protected securities and partnership investments.

 

  (d) The differences between book-basis and tax-basis components of accumulated earnings/(deficit) are attributable primarily to the amortization of offering costs.

 

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Notes to Financial Statements (continued)

 

For tax purposes, net capital losses may be carried over to offset future capital gains, if any. Portfolios are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses.

As of September 30, 2017, the following Portfolios had net capital loss carryforwards of which will expire as follows:

 

PORTFOLIO   

SHORT-TERM

AMOUNT

        LONG-TERM
AMOUNT 		       EXPIRATION  

Overlay A

    $ 28,370,887        $ 0          No expiration  

 

NOTE 5. Risks Involved in Investing in the Portfolios

Market Risk—The Portfolios are subject to market risk, which is the risk that stock and bond prices in general may decline over short or extended periods. In the past decade, financial markets in the United States, Europe and elsewhere have experienced increased volatility, decreased liquidity and heightened uncertainty. These market conditions may recur from time to time and have an adverse impact on various securities market. The US government and the Federal Reserve, as well as certain foreign governments and central banks, have taken steps to support financial markets. Other governments have tried to support markets by buying stocks and through other market interventions. Government intervention may not work as intended, particularly if the efforts are perceived by investors as being unlikely to achieve the desired results. The Federal Reserve has reduced its market support activities and has begun raising interest rates. Further Federal Reserve or other US or non-US governmental or central bank actions, including interest rate increases or decreases, could negatively affect financial markets generally, increase market volatility and reduce the value and liquidity of securities in which the Portfolios invest.

Current political uncertainty surrounding the European Union (“EU”) and its membership may increase market volatility. The United Kingdom has voted to withdraw from the EU, and one or more other countries may withdraw from the EU and/or abandon the Euro, the common currency of the EU. The financial instability of some countries in the EU, together with the risk of that financial instability impacting other more stable countries, may increase the risk of investing in companies in Europe and worldwide. In addition, policy and legislative changes in the United States and in other countries are affecting many aspects of financial regulation, and may in some instances contribute to decreased liquidity and increased volatility in the financial markets. The impact of these changes, and the practical implications for market participants, may not be fully known for some time.

Economies and financial markets throughout the world are becoming increasingly interconnected. Economic, financial or political events, trading and tariff arrangements, terrorism, natural disasters and other circumstances in one country or region could have profound impacts on global economies or markets. As a result, whether or not the Portfolios invest in securities of issuers located in or with significant exposure to countries experiencing economic and financial difficulties, the value and liquidity of the Portfolios’ investments may be negatively affected.

Management Risk—The Portfolios are subject to management risk because they are actively managed investment portfolios. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolios, but these techniques, analyses and decisions may not work as intended or may not produce the desired results, and may, during certain periods, result in increased volatility for the Portfolios. The Portfolios do not seek to control risk relative to, or to outperform, a particular securities market benchmark. In some cases, derivative and other investment techniques may be unavailable or the Adviser may determine not to use them, possibly even under market conditions where their use could benefit the Portfolios. In addition, the Adviser may change the Portfolios’ investment strategies or policies from time to time. Those changes may not lead to the results intended by the Adviser and could have an adverse effect on the value or performance of the Portfolios.

Allocation Risk—The allocation of investments among different global asset classes may have a significant effect on the Portfolios’ NAV when one of these asset classes is performing more poorly than others. As both the direct investments and derivative positions will be periodically rebalanced to reflect the Adviser’s view of market and economic conditions, there will be transaction costs which may be, over time, significant. In addition, there is a risk that certain asset allocation decisions may not achieve the desired results and, as a result, the Portfolios may incur significant losses.

Derivatives Risk—The Portfolios intend to use derivatives as direct investments to earn income, enhance return and broaden portfolio diversification, which entail greater risk than if used solely for hedging purposes. In addition to other

 

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risks such as the credit risk of the counterparty, derivatives involve the risk that changes in the value of the derivative may not correlate with relevant assets, rates or indices. Derivatives may be illiquid and difficult to price or unwind, and small changes may produce disproportionate losses for the Portfolios. Certain derivatives have the potential for unlimited loss, regardless of the size of the initial investment. Assets required to be set aside or posted to cover or secure derivatives positions may themselves go down in value, and these collateral and other requirements may limit investment flexibility. Some derivatives involve leverage, which can make the Portfolios more volatile and can compound other risks. Use of derivatives may have different tax consequences for the Portfolios than an investment in the underlying security, and such differences may affect the amount, timing and character of income distributed to shareholders. The U.S. Government and foreign governments are in the process of adopting and implementing regulations governing derivatives markets, including mandatory clearing of certain derivatives, margin, reporting and registration requirements. The ultimate impact of the regulations remains unclear. Additional regulation may make derivatives more costly, limit their availability or utility, otherwise adversely affect their performance, or disrupt markets.

Leverage Risk—Leverage creates exposure to gains and losses in a greater amount than the dollar amount made in an investment by attempting to enhance return or value without increasing the investment amount. Leverage can magnify the effects of changes in the value of the Portfolios’ investments and make it more volatile. The use of leverage may cause the Portfolios to liquidate portfolio positions when it may not be advantageous to do so.

Liquidity Risk—Liquidity risk exists when particular investments are difficult to purchase or sell, possibly preventing the Portfolios from selling out of these illiquid or relatively less liquid securities at an advantageous price. Over recent years, regulatory changes have led to reduced liquidity in the marketplace, and the capacity of dealers to make markets in fixed-income securities has been outpaced by the growth in the size of the fixed-income markets. Liquidity risk may be magnified in a rising interest rate environment, where the value and liquidity of fixed-income securities generally go down. Derivatives and securities involving substantial market and credit risk tend to involve greater liquidity risk. To the extent the Portfolios invest in municipal securities, the Portfolios are subject to more liquidity risk because the market for municipal securities is generally smaller than many other markets. Illiquid securities and relatively less liquid securities may also be difficult to value.

Redemption Risk—The Portfolios may experience heavy redemptions that could cause the Portfolios to liquidate their assets at inopportune times or at a loss or depressed value, which could cause the value of your investment to decline. Redemption risk is heightened during periods of overall market turmoil.

Mortgage-Related Securities Risk—Mortgage-related securities represent interests in “pools” of mortgages, including consumer loans or receivables held in trust. Mortgage-related securities are subject to credit, interest rate, prepayment and extension risks. These securities also are subject to risk of default on the underlying mortgage, particularly during periods of economic downturn. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-related securities.

Prepayment and Extension Risk—Prepayment risk is the risk that a loan, bond or other security might be called or otherwise converted, prepaid or redeemed before maturity. If this happens, particularly during a time of declining interest rates or credit spreads, the Portfolios will not benefit from the rise in market price that normally accompanies a decline in interest rates, and may not be able to invest the proceeds in securities providing as much income, resulting in a lower yield to the Portfolios. Conversely, extension risk is the risk that as interest rates rise or spreads widen, payments of securities may occur more slowly than anticipated by the market. If this happens, the values of these securities may go down because their interest rates are lower than current market rates and they remain outstanding longer than anticipated.

Subordination Risk—The Portfolios may invest in securities that are subordinated to more senior securities of an issuer, or which represent interests in pools of such subordinated securities. Subordinated securities will be disproportionately affected by a default or even a perceived decline in creditworthiness of the issuer. Subordinated securities are more likely to suffer a credit loss than non-subordinated securities of the same issuer, any loss incurred by the subordinated securities is likely to be proportionately greater, and any recovery of interest or principal may take more time.

Municipal Market Risk—This is the risk that special factors may adversely affect the value of municipal securities and have a significant effect on the yield or value of the Portfolios’ investments in municipal securities. These factors include economic conditions, political or legislative changes, uncertainties related to the tax status of municipal securities, or the rights of investors in these securities. The value of municipal securities may also be adversely affected by health care

 

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Notes to Financial Statements (continued)

 

costs, increasing unfunded pension liabilities, and by the phasing out of federal programs providing financial support. In recent periods an increasing number of municipal issuers have defaulted on obligations, been downgraded or commenced insolvency proceedings. Financial difficulties of municipal issuers may continue or get worse. To the extent the Portfolio invests in a particular state’s municipal securities, it may be vulnerable to events adversely affecting that state, including economic, political and regulatory occurrences, court decisions, terrorism and catastrophic natural disasters, such as hurricanes and earthquakes. The Portfolios’ investments in certain municipal securities with principal and interest payments that are made from the revenues of a specific project or facility, and not general tax revenues, are subject to the risk that factors affecting the project or facility, such as local business or economic conditions, could have a significant effect on the project’s ability to make payments of principal and interest on these securities. In addition, recent proposals in Congress regarding tax reform could have a material impact on the value of municipal securities. Changes in tax rates or the treatment of income from municipal securities, among other things, and could negatively affect the municipal securities markets.

The Portfolios may invest in the municipal securities of Puerto Rico and other US territories and their governmental agencies and municipalities, which are exempt from federal, state, and, where applicable, local income taxes. These municipal securities may have more risks than those of other US issuers of municipal securities. Like many U.S. states and municipalities, Puerto Rico experienced a significant downturn in the recent recession. Puerto Rico’s downturn was particularly severe, and Puerto Rico continues to face a very challenging economic and fiscal environment. If the general economic situation in Puerto Rico continues to persist or worsens, the volatility and credit quality of Puerto Rican municipal securities could continue to be adversely affected, and the market for such securities may deteriorate further.

Interest Rate Risk—This is the risk that changes in interest rates will affect the value of the Portfolios’ investments in fixed-income debt securities such as bonds and notes. The Portfolios may be subject to a greater risk of rising interest rates due to the current period of historically low rates and the effect of potential government fiscal policy initiatives and market reaction to those initiatives. Increases in interest rates may cause the value of the Portfolios’ investments to decline and this decrease in value may not be offset by higher income from new investments. A Portfolio may experience increased interest rate risk to the extent they invest in fixed-income securities with longer maturities or durations. A general rise in interest rates may cause investors to move out of fixed-income securities on a large scale, which could adversely affect the price and liquidity of fixed-income securities and could also result in increased redemptions from a Portfolio that invests largely in fixed-income securities.

Credit Risk—This is the risk that the issuer or the guarantor of a debt security, or the counterparty to a derivatives or other contract, will be unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. The issuer or guarantor may default, potentially causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. The credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security. Investments in fixed-income securities with lower ratings tend to have a higher probability that an issuer will default or fail to meet its payment obligations. At times when credit risk is perceived to be greater, credit “spreads” (i.e., the difference between the yields on lower quality securities and the yields on higher quality securities) may get larger or “widen”. As a result, the values of the lower quality securities may go down more and they may become harder to sell and less liquid.

Duration Risk—Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of the fixed-income security. Fixed-income securities with longer durations have more interest rate risk and will decrease in price as interest rates rise. For example, a fixed-income security with a duration of three years would be expected to decrease in value by approximately 3% if interest rates increase by 1%. Securities that have final maturities longer than their durations may be affected by increased credit spreads to a far greater degree than their durations would suggest, because they are exposed to credit risk until final maturity.

Foreign (Non-U.S.) Securities Risk—Investments in foreign securities entail significant risks in addition to those customarily associated with investing in U.S. securities. These risks include risks related to adverse market, economic, political and regulatory factors and social instability, all of which could disrupt the financial markets in which the Portfolios invest and adversely affect the value of the Portfolios’ assets.

 

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Emerging Markets Securities Risk—The risks of investing in foreign (non-U.S.) securities are heightened with respect to issuers in emerging-market countries, because the markets are less developed and less liquid and there may be a greater amount of economic, political and social uncertainty. In addition, the value of the Portfolio’s investments may decline because of factors such as unfavorable or unsuccessful government actions and reduction of government or central bank support.

Foreign Currency Risk—This is the risk that changes in foreign (non-U.S.) currency exchange rates may negatively affect the value of the Portfolios investments or reduce the returns of the Portfolios. For example, the value of the Portfolios’ investments in foreign securities and foreign currency positions may decrease if the U.S. Dollar is strong (i.e., gaining value relative to other currencies) and other currencies are weak (i.e., losing value relative to the U.S. Dollar).

Actions by a Few Major Investors—In certain countries, volatility may be heightened by actions of a few major investors. For example, substantial increases or decreases in cash flows of mutual funds investing in these markets could significantly affect local stock prices and, therefore, share prices of the Portfolios.

Commodity Risk—The value of commodity-linked derivatives, exchange traded notes and exchange traded funds may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.

Inflation Risk—This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Portfolios’ assets can decline as can the value of the Portfolios’ distributions. This risk is significantly greater for fixed-income securities with longer maturities.

Inflation-Protected Securities Risk—The terms of inflation-protected securities provide for the coupon and/or maturity value to be adjusted based on changes in an inflation index. Decreases in the inflation rate or in investors’ expectations about inflation could cause these securities to underperform non-inflation-adjusted securities on a total-return basis.

Lower-rated Securities Risk—Lower-rated securities, or junk bonds/high-yield securities, are subject to greater risk of loss of principal and interest and greater market risk than higher-rated securities. The capacity of issuers of lower-rated securities to pay interest and repay principal is more likely to weaken than is that of issuers of higher-rated securities in times of deteriorating economic conditions or rising interest rates.

Real Estate Related Securities Risk— Investing in real estate related securities includes, among others, the following risks: possible declines in the value of real estate; risks related to general and local economic conditions, including increases in the rate of inflation; possible lack of availability of mortgage funds; overbuilding; extended vacancies of properties; increases in competition, property taxes and operating expenses; changes in zoning laws; costs resulting from the clean-up of, and liability to third parties for damages resulting from, environmental problems; casualty or condemnation losses; uninsured damages from floods, earthquakes or other natural disasters; limitations on and variations in rents; and changes in interest rates. Investing in Real Estate Investment Trusts (“REITs”) involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by changes in the value of the underlying property owned by the REITs, while mortgage REITs may be affected by the quality of any credit extended. REITs are dependent upon management skills, are not diversified, and are subject to heavy cash flow dependency, default by borrowers and self-liquidation. Investing in REITs also involves risks similar to those associated with investing in small-capitalization companies. REITs may have limited financial resources, may trade less frequently and in a limited volume and may be subject to more abrupt or erratic price movements than larger company securities.

Investment in Other Investment Companies Risk—As with other investments, investments in other investment companies, including other AB Mutual Funds and ETFs, are subject to market and selection risk. In addition, if the Portfolios acquire shares of investment companies, shareholders bear both their proportionate share of expenses in the Portfolios (including management and advisory fees) and, indirectly, the expenses of the investment companies.

Tax Risk—There is no guarantee that the income on a Municipal Portfolios’ municipal securities will be exempt from regular federal income, and if applicable, state income taxes. Unfavorable legislation, adverse interpretations by federal or state authorities, litigation or noncompliant conduct by the issuer of a municipal security could affect the tax-exempt status of municipal securities. If the Internal Revenue Service or a state authority determines that an issuer of a municipal security has not complied with applicable requirements, interest from the security could become subject to regular federal

 

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Notes to Financial Statements (continued)

 

income tax and/or state personal income tax, possibly retroactively to the date the security was issued, the value of the security could decline significantly, and a portion of the distributions to Portfolio shareholders could be recharacterized as taxable. The U.S. Congress has considered changes to U.S. federal tax law that would, if enacted, have a negative impact on certain types of municipal securities, such as private activity bonds, or would otherwise make investments in municipal bonds less attractive.

Portfolio Turnover Risk—Some or all of the strategies utilized by the Portfolios may involve frequent and active trading. This trading may increase the Portfolios’ rate of turnover and the incidence of short-term capital gain taxable as ordinary income. A higher rate of portfolio turnover may increase transaction costs, which must be borne by the Portfolios and their shareholders.

Cybersecurity Risk—Cybersecurity incidents may allow an unauthorized party to gain access to Portfolio assets, customer data (including private shareholder information), or proprietary information, or cause the Portfolios, the Adviser, and/or its service providers (including, but not limited to, fund accountants, custodians, sub-custodians, transfer agents and financial intermediaries) to suffer data breaches, data corruption or lose operational functionality.

Indemnification Risk—In the ordinary course of business, the Portfolios enter into contracts that contain a variety of indemnifications. The Portfolios’ maximum exposure under these arrangements is unknown. However, the Portfolios have not had prior claims or losses pursuant to these indemnification provisions and expect the risk of loss thereunder to be remote. Therefore, the Portfolios have not accrued any liability in connection with these indemnification provisions.

 

NOTE 6. Capital-Share Transactions

As of March 31, 2018, the Sanford C. Bernstein Fund, Inc., has authorized 15.5 billion shares of common stock, par value $0.001 per share, of which 3.6 billion shares are allocated to the Overlay Portfolios. Each Class 1 and Class 2 of the Overlay Portfolios is allocated 300 million shares.

Share transactions for each Portfolio for the six months ended March 31, 2018 and the year ended September 30, 2017, were as follows:

 

    OVERLAY A PORTFOLIO  
         
    SHARES           AMOUNT  
         
     SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		            SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		  

Class 1 Shares

          

Shares sold

     6,577,089       15,586,610       $ 90,527,004     $ 190,750,643  

Shares issued on reinvestment of dividends and distributions

     1,484,524       662,025         20,337,972       7,785,415  

Shares redeemed

     (9,751,773 )      (21,875,208 )        (133,932,669 )      (266,997,228 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net decrease

     (1,690,160 )      (5,626,573 )      $ (23,067,693 )    $ (68,461,170 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
         

Class 2 Shares

          

Shares sold

     2,666,314       5,628,109       $ 37,043,092     $ 67,609,327  

Shares issued on reinvestment of dividends and distributions

     411,456       221,358         5,641,063       2,605,382  

Shares redeemed

     (5,700,673 )      (7,137,896 )        (77,920,050 )      (86,665,674 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net decrease

     (2,622,903 )      (1,288,429 )      $ (35,235,895 )    $ (16,450,965 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

 

142   Sanford C. Bernstein Fund, Inc.

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    TAX-AWARE OVERLAY A PORTFOLIO  
         
    SHARES           AMOUNT  
         
     SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		            SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		  

Class 1 Shares

          

Shares sold

     10,076,784       23,014,100       $ 145,667,336     $ 297,454,920  

Shares issued on reinvestment of dividends and distributions

     4,869,314       1,087,296         69,825,960       13,547,704  

Shares redeemed

     (13,609,827 )      (37,893,895 )        (196,999,433 )      (489,610,972 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase (decrease)

     1,336,271       (13,792,499 )      $ 18,493,863     $ (178,608,348 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
         

Class 2 Shares

                                        

Shares sold

     3,375,308       7,688,763       $ 49,014,698     $ 99,973,074  

Shares issued on reinvestment of dividends and distributions

     1,464,083       415,554         21,024,237       5,186,117  

Shares redeemed

     (3,876,124 )      (11,124,990 )        (56,397,573 )      (145,043,571 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase (decrease)

     963,267       (3,020,673 )      $ 13,641,362     $ (39,884,380 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  
         
    OVERLAY B PORTFOLIO  
         
    SHARES           AMOUNT  
         
     SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		            SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		  

Class 1 Shares

          

Shares sold

     6,786,801       15,114,885       $ 74,979,873     $ 160,834,105  

Shares issued on reinvestment of dividends and distributions

     1,807,577       1,830,582         19,829,121       18,818,387  

Shares redeemed

     (6,068,724 )      (13,673,523 )        (67,054,998 )      (145,095,230 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase

     2,525,654       3,271,944       $ 27,753,996     $ 34,557,262  
 

 

 

    

 

 

      

 

 

    

 

 

  
         

Class 2 Shares

                                        

Shares sold

     3,593,022       3,415,945       $ 39,891,314     $ 36,325,450  

Shares issued on reinvestment of dividends and distributions

     452,799       497,713         4,971,736       5,126,442  

Shares redeemed

     (3,008,678 )      (6,923,395 )        (33,399,159 )      (73,811,795 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

Net increase (decrease)

     1,037,143       (3,009,737 )      $ 11,463,891     $ (32,359,903 ) 
 

 

 

    

 

 

      

 

 

    

 

 

  

 

2018 Semi-Annual Report     143  

Table of Contents

Notes to Financial Statements (continued)

 

 

     TAX-AWARE OVERLAY B PORTFOLIO  
           
     SHARES            AMOUNT  
           
      SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		             SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		  

Class 1 Shares

            

Shares sold

      7,578,879       13,312,648        $ 86,018,912     $ 148,164,919  

Shares issued on reinvestment of dividends and distributions

      4,291,814       2,569,536          48,068,311       27,648,212  

Shares redeemed

      (6,572,321 )      (18,548,385 )         (74,778,176 )      (205,685,050 ) 
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net increase (decrease)

      5,298,372       (2,666,201 )       $ 59,309,047     $ (29,871,919 ) 
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  
           

Class 2 Shares

                                          

Shares sold

      4,688,048       5,816,398        $ 53,314,348     $ 64,796,918  

Shares issued on reinvestment of dividends and distributions

      2,043,427       1,250,091          22,906,813       13,463,471  

Shares redeemed

      (3,285,894 )      (7,888,081 )         (37,615,643 )      (87,616,230 ) 
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net increase (decrease)

      3,445,581       (821,592 )       $ 38,605,518     $ (9,355,841 ) 
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  
           
     TAX-AWARE OVERLAY C PORTFOLIO  
           
     SHARES            AMOUNT  
           
      SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		             SIX MONTHS
ENDED 3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		  

Class 1 Shares

            

Shares sold

      2,008,281       3,985,506        $ 22,791,137     $ 44,420,180  

Shares issued on reinvestment of dividends and distributions

      1,130,093       504,359          12,679,647       5,426,900  

Shares redeemed

      (1,749,704 )      (4,876,216 )         (19,997,023 )      (54,127,409 ) 
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net increase (decrease)

      1,388,670       (386,351 )       $ 15,473,761     $ (4,280,329 ) 
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  
           

Class 2 Shares

                                          

Shares sold

      1,166,248       1,832,690        $ 13,289,553     $ 20,504,718  

Shares issued on reinvestment of dividends and distributions

      706,021       325,775          7,928,617       3,505,340  

Shares redeemed

      (957,557 )      (1,440,835 )         (10,868,352 )      (15,901,890 ) 
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

Net increase

      914,712       717,630        $ 10,349,818     $ 8,108,168  
  

 

 

    

 

 

    

 

 

     

 

 

    

 

 

  

 

144   Sanford C. Bernstein Fund, Inc.

Table of Contents
    TAX-AWARE OVERLAY N PORTFOLIO  
         
    SHARES           AMOUNT  
         
     SIX MONTHS
ENDED  3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		            SIX MONTHS
ENDED  3/31/18
(UNAUDITED)		     YEAR
ENDED
9/30/17		  

Class 1 Shares

          

Shares sold

     2,254,587       3,740,437       $ 25,464,800     $ 41,310,859  

Shares issued on reinvestment of dividends and distributions

     1,186,021       618,869         13,224,131       6,615,709  

Shares redeemed

     (1,925,848 )      (4,865,009 )        (21,833,512 )      (53,792,311 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease)

     1,514,760       (505,703 )      $ 16,855,419     $ (5,865,743 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
         

Class 2 Shares

                                        

Shares sold

     147,435       1,157,651       $ 1,678,222     $ 12,774,749  

Shares issued on reinvestment of dividends and distributions

     292,209       165,395         3,263,975       1,769,729  

Shares redeemed

     (466,716 )      (1,621,934 )        (5,291,114 )      (17,909,786 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net decrease

     (27,072 )      (298,888 )      $ (348,917 )    $ (3,365,308 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

NOTE 7. Recent Accounting Pronouncements

In March 2017, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (the “ASU”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The ASU does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. The ASU is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. At this time, management is evaluating the implications of these changes on the financial statements.

 

NOTE 8. Subsequent Events

Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no other material events that would require disclosure in the Portfolios’ financial statements through this date.

 

2018 Semi-Annual Report     145  

Table of Contents

Sanford C. Bernstein Fund, Inc.—Overlay Portfolios

 

 

BOARD OF DIRECTORS

Bart Friedman*^

Chairman

Kathleen Fisher

President

R. Jay Gerken*

Director

William Kristol*

Director

Debra Perry*

Director

Donald K. Peterson*

Director

 

 

OFFICERS

Alexander Barenboym(1)

Vice President

Daniel J. Loewy(1)

Vice President

Joseph J. Mantineo

Treasurer and Chief Financial Officer

Phyllis J. Clarke

Controller

Emilie D. Wrapp

Secretary

Vincent S. Noto

Chief Compliance Officer

 

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

PricewaterhouseCoopers LLP

300 Madison Avenue

New York, New York 10017

 

 

LEGAL COUNSEL

Willkie Farr & Gallagher LLP

787 Seventh Avenue

New York, New York 10019

 

 

CUSTODIAN AND ACCOUNTING AGENT

State Street Bank and Trust Company

State Street Corporation CCB/5

1 Iron Street

Boston, Massachusetts 02210

 

 

TRANSFER AGENT

DST Asset Manager Solutions

2000 Crown Colony Drive

Quincy, Massachusetts 02169

 

 

INVESTMENT ADVISER

AllianceBernstein L.P.

1345 Avenue of the Americas

New York, New York 10105

 

* Member of the Audit Committee, the Nominating, Governance and Compensation Committee and the Independent Directors Committee.

^ Member of the Fair Value Pricing Committee.

(1) The day-to-day management of, and investment decisions for, the Overlay Portfolios are made by the Asset Allocation Team. Messrs. Barenboym and Loewy are the investment professionals with the most significant responsibility for the day-to-day management of the Funds’ portfolios.

 

146   Sanford C. Bernstein Fund, Inc.

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Board’s Consideration of Investment Management Arrangement

 

Tax-Managed International Portfolio

International Portfolio

Emerging Markets Portfolio

Short Duration Diversified Municipal Portfolio

New York Municipal Portfolio

California Municipal Portfolio

Diversified Municipal Portfolio

Short Duration Plus Portfolio

Intermediate Duration Portfolio

Overlay A Portfolio

Tax-Aware Overlay A Portfolio

Overlay B Portfolio

Tax-Aware Overlay B Portfolio

Tax-Aware Overlay C Portfolio

Tax-Aware Overlay N Portfolio

The Fund’s Board of Directors, including the Directors who are not interested persons of the Fund (the “Independent Directors”), unanimously approved the continuation of the Investment Management Agreement between the Sanford C. Bernstein Fund, Inc. (the “Fund”), on behalf of the Tax-Managed International, International, Emerging Markets, Short Duration Diversified Municipal, New York Municipal, California Municipal, Diversified Municipal, Short Duration Plus, Intermediate Duration, Overlay A, Tax-Aware Overlay A, Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios (each, a “Portfolio” and collectively, the “Portfolios”) and AllianceBernstein L.P. (the “Adviser”) (the “Investment Management Agreement”) at a meeting held on October 25-26, 2017. In connection with the process relating to the annual review of the Investment Management Agreement between the Fund and the Adviser, the Adviser received a letter dated August 18, 2017, from counsel to the Independent Directors. The letter contained a list of information requested by the Independent Directors to conduct their annual review. The Board of Directors, including the Independent Directors, met in person in July 2017 and received and reviewed certain information relating to the profitability of the Adviser in 2016 and prior years in relation to its services to the Fund, and received and evaluated extensive additional materials relating to the renewal of the Investment Management Agreement from the Adviser during in-person meetings in September and October 2017. In addition, the Independent Directors received materials prepared by the Senior Officer1 as described below. At the July 27, 2017 meeting, the Independent Directors met separately with independent counsel and the Senior Officer, and met with Seth Bernstein, the Chief Executive Officer of the Adviser, to discuss (among other things) the importance of the Private Client business to the Adviser and the role played by the Portfolios, as well as the capabilities the Adviser could provide to clients. On September 28, 2017, the Board of Directors held an in-person meeting to discuss its review of the Investment Management Agreement and the materials the Directors had been provided. Also on September 28, 2017, the Independent Directors met separately with independent counsel and the Senior Officer in executive session. Following the September 28, 2017 meeting, the Independent Directors, through counsel, requested certain additional information which was provided by the Adviser on October 5, 2017. The Independent Directors held a telephonic meeting on October 17, 2017 to discuss the contract renewal materials and supplemental materials. On October 25-26, 2017, the Board of Directors held an in-person meeting to continue their review of the Investment Management Agreement. During this meeting, the Independent Directors met with counsel to the Independent Directors as well as the Fund’s Senior Officer to review the contract renewal materials provided by the Adviser as well as the Senior Officer’s report and conclusions. At the conclusion of this meeting, the Board approved the continuation of the Investment Management Agreement for an additional annual term as described below.

In approving the continuation of the Investment Management Agreement, the Board of Directors, including the Independent Directors, considered all information it deemed reasonably necessary to evaluate the terms of the Agreement and considered whether continuation of the Investment Management Agreement would be in the best interests of each Portfolio.

The Board of Directors also reviewed an independent evaluation prepared by the Fund’s Senior Officer of the reasonableness of the advisory fees in the Investment Management Agreement, wherein the Senior Officer concluded that the contractual fees contained in the Adviser’s proposal were reasonable with respect to all Portfolios and within the range of what would have been negotiated at arms-length in light of the surrounding circumstances.

 

1 Philip Kirstein, the Fund’s Senior Officer, retired effective 12/31/2017.

 

2018 Semi-Annual Report     147  

Table of Contents

Board’s Consideration of Investment Management Arrangement (continued)

 

The matters discussed below were considered separately by the Independent Directors in executive sessions, during which experienced counsel that is independent of the Adviser provided guidance to the Independent Directors. No single factor was considered in isolation or to be determinative to the decision of the Board to approve the continuation of the Investment Management Agreement. Rather, the Board concluded, in light of a weighing and balancing of all factors considered, and in light of the proposal to establish breakpoints for the Overlay A and the Tax-Aware Overlay A Portfolios’ fee schedules, and to reduce fees for the Short Duration Diversified Municipal, Short Duration Plus, Intermediate Duration, Tax-Managed International, International, and Emerging Markets Portfolios, effective January 1, 2018, that it was in the best interests of each Portfolio to approve the continuation of the Investment Management Agreement including the fees to be charged for services thereunder, as summarized below.

Fees and Expenses

The Board of Directors, including the Independent Directors, compared the fees and expense ratios of each Portfolio as proposed by the Adviser (before and after any fee waivers and expense reimbursements) against fees and expense ratios of a peer group of funds with similar investment objectives (“peer group”). Both the peer group and the funds within the peer group, with respect to the fee and expense data, were prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data. The Senior Officer also performed analyses of the advisory fees, and compared such analyses to the Portfolios’ peer groups.

The Board also received and considered information about the services rendered, and the fee rates charged, to other clients advised by the Adviser, including information about recent advisory fee changes with respect to other investment companies and non-investment company clients advised by the Adviser.

On the basis of its review and consideration of the fees as described above and the Board’s consideration of the other factors described below, the Board concluded that the contractual advisory fees as proposed are reasonable.

Nature, Extent and Quality of Services

The Board of Directors, including the Independent Directors, considered the nature, quality and extent of services performed by the Adviser and its affiliates gained from their experience as directors of the Fund, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, and the Adviser’s initiative in identifying and raising potential issues with the Directors. The Board also considered the Adviser’s responsiveness, frankness and attention to concerns raised by the Directors from time to time, including the Adviser’s willingness to consider and implement organizational changes designed to improve investment results and the services provided to the Portfolios. The Board also considered the scope and quality of the Adviser’s investment management capabilities, other resources dedicated to performing its services, the quality of its compliance, administrative and other services provided to the Portfolios and the background and experience of the Adviser’s senior management. The Board reviewed the qualifications, backgrounds and responsibilities of the investment staff primarily responsible for day-to-day portfolio management services for each Portfolio and noted the Adviser’s commitment to strong research and investment management capabilities throughout changing market environments. The Board reviewed the compliance and administrative services of the Adviser that support the investment advisory services provided to the Portfolios and noted that such staff appeared sufficient to provide a high level of service to the Portfolios. The Board also considered how the organizational capabilities and financial condition of the Adviser may affect the nature and quality of its services. The Board further reviewed information about AXA Financial’s proposed initial public offering (“IPO”) of a minority stake in its US operations, including AXA Group’s interest in the Adviser, and the statements of the Adviser that it will continue to operate as an independent, publicly-traded US asset manager and that the IPO is not anticipated to change the Adviser’s current management structure or strategy.

In considering the nature and quality of the services provided by the Adviser, the Board of Directors, including the Independent Directors, received and considered information about each Portfolio’s investment performance, as well as the performance of its peer group and the performance of an appropriate benchmark index. (The Board recognized that the benchmark indices do not account for fees and expenses incurred by a fund, including the Portfolios.) The Board was provided with performance data versus each Portfolio’s peer group, for the l-year, 3-year, 5-year and 10-year periods, as applicable, ended June 30, 2017 (“relevant periods”) and versus each Portfolio’s benchmark index, for the year to date, l-year, 3-years, 5-years, 10-years and since inception periods, as applicable, ended June 30, 2017. Both the funds included

 

148   Sanford C. Bernstein Fund, Inc.

Table of Contents

in each Portfolio’s peer group and the comparative performance data were provided to the Directors by Broadridge. The Directors also receive detailed comparative performance information for the Portfolios at each regular Board meeting during the year.

The Directors noted the complexity of the Overlay Portfolios, in particular the complexity of managing the globally diversified set of asset classes and derivatives in which the Overlay Portfolios can invest as well as the complexity of dynamically allocating assets through the Overlay Portfolios among various asset classes as economic and market conditions change in seeking to provide the desired risk/return trade-off for their investors. The Directors also noted the Adviser’s continued efforts to enhance the Overlay Portfolios.

The Board concluded that the Adviser had the experience and resources necessary to provide services of appropriate nature, quality and scope with respect to the Portfolios.

Profitability

The Board of Directors, including the Independent Directors, considered the level of the Adviser’s profits in respect of its management of the Portfolios. The materials provided to the Independent Directors included information indicating the profitability of the Portfolios to the Adviser for calendar years 2015 and 2016, which had been reviewed by an independent consultant retained by the Senior Officer. The Directors reviewed the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and noted that there are many potentially acceptable allocation methodologies for information of this type. The Directors noted that they received information regarding all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to the Adviser’s subsidiaries that provide transfer agency, distribution and brokerage services to the Portfolios, and that they had focused on profitability before taxes and distribution expenses. The Directors also received a presentation at the July 27, 2017 Board meeting from the independent consultant who reviewed the Adviser’s method of calculating profitability. The Directors recognized that it is difficult to make comparisons of profitability among fund advisory contracts because comparative information is not generally publicly available and is affected by numerous factors including different cost accounting methodologies.

After reviewing all relevant factors, the Board of Directors, including the Independent Directors, concluded that the level of the Adviser’s profits in respect of its management of the Portfolios was not excessive.

Economies of Scale

The Board of Directors, including the Independent Directors, considered whether there have been economies of scale in respect of the management of the Portfolios, whether the Portfolios have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale.

At the October 26, 2017 Board meeting, the Directors received the Senior Officer Report which included a discussion of possible economies of scale. The Directors discussed with the Senior Officer possible ways in which any such economies of scale may be shared with the Portfolios, including by investment in enhanced services.

After reviewing the profitability and economies of scale information provided by the Adviser, the Board concluded that the benefits of any economies of scale were appropriately being shared with Portfolio investors by way of, among other things, breakpoint arrangements as currently in effect as well as the new breakpoints proposed for the Overlay A and Tax-Aware Overlay A Portfolios; proposed fee reductions for the Short Duration Diversified Municipal, Short Duration Plus, Intermediate Duration, Tax-Managed International, International, and Emerging Markets Portfolios, effective January 1, 2018; the fact that that the New York Municipal Portfolio, California Municipal Portfolio and Diversified Municipal Portfolio had recently implemented advisory fee reductions in 2017; the fact that in the case of the Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios the fee levels initially established had assumed achievement of significant scale and that these Portfolios are considerably smaller in asset size than the Overlay A and Tax-Aware Overlay A Portfolios; expense caps and waivers on select Portfolios; and the Adviser’s continued reinvestment in the business, including by researching and implementing new product enhancements, although the Adviser decreased its operating expenses and staff in recent years. The Directors also noted that, because of the investment by the Overlay A and Tax-Aware Overlay A Portfolios in affiliated portfolios, there are significant waivers of management fees for the Overlay A and Tax-Aware Overlay A Portfolios to reflect their investment in such affiliated portfolios.

 

2018 Semi-Annual Report     149  

Table of Contents

Board’s Consideration of Investment Management Arrangement (continued)

 

Fall-Out Benefits and Other Revenue

The Board of Directors, including the Independent Directors, also took into account so-called “fall-out benefits” to the Adviser, such as soft dollar arrangements (whereby the Adviser receives the benefit of research services from many of the brokers and dealers that execute purchases and sales of securities on behalf of its clients on an agency basis), Rule 12b-1 fees and sales charges received by the principal underwriter (which is a wholly owned subsidiary of the Adviser) with respect to the retail share classes of certain Portfolios, and transfer agency fees paid by the retail share classes of certain Portfolios to a wholly-owned subsidiary of the Adviser. The Directors recognized that the Adviser’s profitability would be lower without these benefits. They also considered other benefits potentially derived from an increase in the Adviser’s business as a result of its relationship with the Fund. The Directors concluded that these fall-out benefits to the Adviser were acceptable.

Advisory Fee Rate Schedule

On the basis of the information considered, the Board determined to approve the continuation of the Investment Management Agreement for an additional annual term, with the addition of breakpoints to the Overlay A and the Tax-Aware Overlay A Portfolios’ fee schedules, and with the reduction of certain other Portfolios’ contractual fee schedules, as set forth below:

 

      ADVISORY FEE SCHEDULE
Short Duration Diversified Municipal Portfolio    0.30% of the first $750 million; 0.25% of assets in excess of $750 million
  
Short Duration Plus Portfolio    0.35% of the first $750 million; 0.30% of assets in excess of $750 million
  
New York Municipal Portfolio    0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% in excess of $5 billion
  
California Municipal Portfolio    0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% in excess of $5 billion
  
Diversified Municipal Portfolio    0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% in excess of $5 billion up to, but not exceeding $7 billion; 0.225% of assets in excess of $7 billion
  
Intermediate Duration Portfolio    0.45% of the first $2.5 billion; 0.40% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.35% in excess of $5 billion up to, but not exceeding $8 billion; 0.30% of assets in excess of $8 billion
  
Tax-Managed International Portfolio    0.75% of the first $2.5 billion; 0.65% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.60% in excess of $5 billion
  
International Portfolio    0.75% of the first $2.5 billion; 0.65% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.60% in excess of $5 billion
  
Emerging Markets Portfolio    0.95% of the first $2.5 billion; 0.90% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.85% in excess of $5 billion

 

150   Sanford C. Bernstein Fund, Inc.

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      ADVISORY FEE SCHEDULE
Overlay A Portfolio    0.90% of the first $5 billion; 0.875% in excess of $5 billion
  
Tax-Aware Overlay A Portfolio    0.90% of the first $5 billion; 0.875% in excess of $5 billion
  
Overlay B Portfolio    0.65%
  
Tax-Aware Overlay B Portfolio    0.65%
  
Tax-Aware Overlay C Portfolio    0.65%
  
Tax-Aware Overlay N Portfolio    0.65%

 

2018 Semi-Annual Report     151  

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LOGO

Distributor

SANFORD C. BERNSTEIN FUND, INC.

1345 AVENUE OF THE AMERICAS, NEW YORK, NY 10105

(212) 756-4097

SCBII–1947–0318

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ITEM 2. CODE OF ETHICS.

Not applicable when filing a semi-annual report to shareholders.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

Not applicable when filing a semi-annual report to shareholders.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Not applicable when filing a semi-annual report to shareholders.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable to the registrant.

ITEM 6. SCHEDULE OF INVESTMENTS.

Please see Schedule of Investments contained in the Report to Shareholders included under Item 1 of this Form N-CSR.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable to the registrant.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable to the registrant.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not applicable to the registrant.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Directors since the Fund last provided disclosure in response to this item.

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ITEM 11. CONTROLS AND PROCEDURES.

(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940, as amended) are effective at the reasonable assurance level based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.

(b) There were no changes in the registrant’s internal controls over financial reporting that occurred during the second fiscal quarter of the period that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 12. EXHIBITS.

The following exhibits are attached to this Form N-CSR:

 

EXHIBIT NO.

  

DESCRIPTION OF EXHIBIT

12 (b) (1)   Certification of Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
12 (b) (2)   Certification of Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
12 (c)   Certification of Principal Executive Officer and Principal Financial Officer Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant): Sanford C. Bernstein Fund, Inc.

 

By:  

/s/ Kathleen M. Fisher

  Kathleen M. Fisher
  President
Date:   May 25, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:  

/s/ Kathleen M. Fisher

  Kathleen M. Fisher
  President
Date:   May 25, 2018
By:  

/s/ Joseph J. Mantineo

  Joseph J. Mantineo
  Treasurer and Chief Financial Officer
Date:   May 25, 2018